UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-02105
Fidelity Salem Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, 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, 2021 |
Item 1.
Reports to Stockholders
Fidelity® Real Estate Index Fund
July 31, 2021
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. © 2021 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.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
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, 2021 | Past 1 year | Past 5 years | Life of fundA |
| Fidelity® Real Estate Index Fund | 39.73% | 4.91% | 9.58% |
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 MSCI US IMI Real Estate 25/25 Index, the Dow Jones U.S. Select Real Estate Securities Index℠, and the Fidelity Real Estate Linked Index performed over the same period.
| Period Ending Values | ||
| $24,748 | Fidelity® Real Estate Index Fund | |
| $29,438 | MSCI US IMI Real Estate 25/25 Index | |
| $25,423 | Dow Jones U.S. Select Real Estate Securities Index℠ | |
| $24,947 | Fidelity Real Estate Linked Index | |
Effective December 1, 2020, the fund's benchmark changed from the Dow Jones U.S. Select Real Estate Securities IndexSM to the MSCI US IMI Real Estate 25/25 Index.
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year ending July 31, 2021, the fund gained 39.73%, compared with the 36.79% advance of the benchmark MSCI US IMI Real Estate 25/25 index. By segment, apartment real estate investment trusts (REITs) rose roughly 58% and contributed most, followed by real-estate related firms, which were up 39%, and self-storage REITs (+68%). Additionally, the health care group advanced 46%, industrial REITs gained 19% and strip centers rose 75%. Other notable contributors included malls (+110%), hotels (+84%), office REITs (+25%), other retail REITs (+49%) and specialty REITs (+29%). Turning to individual stocks, the top contributor was American Tower (+24%), within the real-estate related segment. In malls, Simon Property Group (+115%) was helpful while Public Storage (+61%) from the self-storage industry also contributed. Welltower, within the health care category, rose approximately 68% and added value, as did Prologis (+24%) within the industrial group. Conversely, the biggest individual detractor was Digital Realty Trust (-1%), from the mixed industrial/office segment, followed by Americold Realty Trust (-2%), which is in the industrial category. Within the real-estate related group, GEO Group returned roughly -25% and further weighed on the portfolio’s return. Other detractors included Equity Commonwealth (-6%), a stock in the office group, and Washington Prime (-70%), from the other retail segment.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 December 1, 2020, the fund's SEC benchmark changed from the Dow Jones U.S. Select Real Estate Securities Index to the MSCI US IMI Real Estate 25/25 Index, which is broader and better reflects the investment opportunities in the real estate market.Investment Summary (Unaudited)
Top Ten Stocks as of July 31, 2021
| % of fund's net assets | |
| American Tower Corp. | 8.1 |
| Prologis (REIT), Inc. | 6.1 |
| Crown Castle International Corp. | 5.1 |
| Equinix, Inc. | 4.2 |
| Public Storage | 3.2 |
| Simon Property Group, Inc. | 2.7 |
| Digital Realty Trust, Inc. | 2.7 |
| SBA Communications Corp. Class A | 2.5 |
| Welltower, Inc. | 2.4 |
| CBRE Group, Inc. | 2.1 |
| 39.1 |
Top Five REIT Sectors as of July 31, 2021
| % of fund's net assets | |
| REITs - Diversified | 23.7 |
| REITs - Apartments | 12.1 |
| REITs - Management/Investment | 12.0 |
| REITs - Warehouse/Industrial | 9.0 |
| REITs - Health Care | 7.8 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2021* | ||
| Stocks and Equity Futures | 100.0% | |
* Foreign Investments - 0.2%
Schedule of Investments July 31, 2021
Showing Percentage of Net Assets
| Common Stocks - 99.7% | |||
| Shares | Value | ||
| Equity Real Estate Investment Trusts (REITs) - 95.0% | |||
| REITs - Apartments - 12.1% | |||
| American Campus Communities, Inc. | 270,397 | $13,603,673 | |
| American Homes 4 Rent Class A | 544,541 | 22,870,722 | |
| Apartment Investment & Management Co. Class A | 296,813 | 2,065,818 | |
| AvalonBay Communities, Inc. | 270,439 | 61,614,117 | |
| Camden Property Trust (SBI) | 189,407 | 28,295,512 | |
| Centerspace | 25,108 | 2,259,720 | |
| Equity Residential (SBI) | 718,624 | 60,457,837 | |
| Essex Property Trust, Inc. | 127,629 | 41,875,075 | |
| Independence Realty Trust, Inc. | 220,423 | 4,249,755 | |
| Invitation Homes, Inc. | 1,091,048 | 44,383,833 | |
| Mid-America Apartment Communities, Inc. | 223,218 | 43,103,340 | |
| UDR, Inc. | 577,657 | 31,765,358 | |
| 356,544,760 | |||
| REITs - Diversified - 23.7% | |||
| Alexander & Baldwin, Inc. | 156,297 | 3,129,066 | |
| American Finance Trust, Inc. | 247,609 | 2,097,248 | |
| Apartment Income (REIT) Corp. | 298,466 | 15,711,250 | |
| Apple Hospitality (REIT), Inc. | 448,529 | 6,705,509 | |
| Armada Hoffler Properties, Inc. | 147,851 | 1,922,063 | |
| Broadstone Net Lease, Inc. (a) | 27,297 | 710,268 | |
| CatchMark Timber Trust, Inc. | 143,274 | 1,674,873 | |
| CorePoint Lodging, Inc. (b) | 141,998 | 1,908,453 | |
| Cousins Properties, Inc. | 298,640 | 11,861,981 | |
| Crown Castle International Corp. | 782,592 | 151,110,689 | |
| Digital Realty Trust, Inc. | 514,301 | 79,284,642 | |
| Digitalbridge Group, Inc. (a)(b) | 1,040,698 | 7,243,258 | |
| Duke Realty Corp. | 724,855 | 36,880,622 | |
| EPR Properties | 154,812 | 7,787,044 | |
| Equinix, Inc. | 150,745 | 123,672,705 | |
| Gaming & Leisure Properties | 420,242 | 19,894,256 | |
| Gladstone Commercial Corp. | 77,127 | 1,787,804 | |
| Gladstone Land Corp. | 29,500 | 687,940 | |
| Global Net Lease, Inc. | 178,271 | 3,292,665 | |
| Lamar Advertising Co. Class A | 174,006 | 18,549,040 | |
| NexPoint Residential Trust, Inc. | 45,886 | 2,704,980 | |
| One Liberty Properties, Inc. | 48,453 | 1,482,177 | |
| Outfront Media, Inc. (b) | 313,137 | 7,480,843 | |
| Potlatch Corp. | 145,143 | 7,538,727 | |
| Preferred Apartment Communities, Inc. Class A | 108,924 | 1,148,059 | |
| PS Business Parks, Inc. | 43,041 | 6,614,110 | |
| Safehold, Inc. | 32,012 | 2,891,324 | |
| SBA Communications Corp. Class A | 215,094 | 73,344,903 | |
| Store Capital Corp. | 475,825 | 17,220,107 | |
| The GEO Group, Inc. (a) | 244,673 | 1,693,137 | |
| Uniti Group, Inc. | 407,288 | 4,769,342 | |
| VICI Properties, Inc. (a) | 936,687 | 29,215,268 | |
| Vornado Realty Trust | 322,519 | 14,029,577 | |
| Washington REIT (SBI) | 160,086 | 3,888,489 | |
| WP Carey, Inc. | 337,122 | 27,202,374 | |
| 697,134,793 | |||
| REITs - Health Care - 7.8% | |||
| CareTrust (REIT), Inc. | 209,907 | 5,062,957 | |
| Community Healthcare Trust, Inc. | 55,210 | 2,751,114 | |
| Diversified Healthcare Trust (SBI) | 539,148 | 2,102,677 | |
| Global Medical REIT, Inc. | 149,811 | 2,331,059 | |
| Healthcare Realty Trust, Inc. | 268,290 | 8,553,085 | |
| Healthcare Trust of America, Inc. | 425,583 | 12,167,418 | |
| Healthpeak Properties, Inc. | 988,100 | 36,530,057 | |
| LTC Properties, Inc. | 76,158 | 2,882,580 | |
| Medical Properties Trust, Inc. | 1,120,818 | 23,570,803 | |
| New Senior Investment Group, Inc. | 252,082 | 2,324,196 | |
| Physicians Realty Trust | 397,651 | 7,535,486 | |
| Sabra Health Care REIT, Inc. | 425,829 | 7,916,161 | |
| Universal Health Realty Income Trust (SBI) | 29,831 | 1,782,402 | |
| Ventas, Inc. | 724,942 | 43,337,033 | |
| Welltower, Inc. | 805,852 | 69,996,305 | |
| 228,843,333 | |||
| REITs - Health Care Facilities - 0.8% | |||
| National Health Investors, Inc. | 89,999 | 6,140,632 | |
| Omega Healthcare Investors, Inc. | 443,133 | 16,076,865 | |
| 22,217,497 | |||
| REITs - Hotels - 2.8% | |||
| Chatham Lodging Trust (b) | 129,501 | 1,590,272 | |
| DiamondRock Hospitality Co. (b) | 443,964 | 3,822,530 | |
| Host Hotels & Resorts, Inc. (b) | 1,386,599 | 22,088,522 | |
| MGM Growth Properties LLC | 305,267 | 11,539,093 | |
| Park Hotels & Resorts, Inc. (b) | 481,603 | 8,909,656 | |
| Pebblebrook Hotel Trust | 279,065 | 6,276,172 | |
| RLJ Lodging Trust | 359,307 | 5,156,055 | |
| Ryman Hospitality Properties, Inc. (b) | 109,132 | 8,370,424 | |
| Service Properties Trust | 364,449 | 4,056,317 | |
| Summit Hotel Properties, Inc. (b) | 258,616 | 2,330,130 | |
| Sunstone Hotel Investors, Inc. (b) | 457,713 | 5,282,008 | |
| Xenia Hotels & Resorts, Inc. (b) | 252,124 | 4,457,552 | |
| 83,878,731 | |||
| REITs - Industrial Buildings - 0.4% | |||
| Stag Industrial, Inc. | 304,457 | 12,580,163 | |
| REITs - Management/Investment - 12.0% | |||
| American Assets Trust, Inc. | 114,248 | 4,219,179 | |
| American Tower Corp. | 842,160 | 238,162,851 | |
| CoreSite Realty Corp. | 74,164 | 10,250,206 | |
| Empire State Realty Trust, Inc. | 324,382 | 3,707,686 | |
| iStar Financial, Inc. (a) | 172,968 | 4,191,015 | |
| Lexington Corporate Properties Trust | 512,513 | 6,739,546 | |
| National Retail Properties, Inc. | 343,777 | 16,800,382 | |
| Rayonier, Inc. | 261,235 | 9,851,172 | |
| Retail Properties America, Inc. | 464,036 | 5,851,494 | |
| UMH Properties, Inc. | 103,313 | 2,405,127 | |
| Weyerhaeuser Co. | 1,463,283 | 49,356,536 | |
| 351,535,194 | |||
| REITs - Manufactured Homes - 2.2% | |||
| Equity Lifestyle Properties, Inc. | 340,227 | 28,511,023 | |
| Sun Communities, Inc. | 185,748 | 36,427,040 | |
| 64,938,063 | |||
| REITs - Office Buildings - 0.6% | |||
| CyrusOne, Inc. | 229,681 | 16,369,365 | |
| Office Properties Income Trust | 98,825 | 2,863,949 | |
| 19,233,314 | |||
| REITs - Office Property - 7.0% | |||
| Alexandria Real Estate Equities, Inc. | 241,566 | 48,636,898 | |
| Boston Properties, Inc. | 290,430 | 34,090,673 | |
| Brandywine Realty Trust (SBI) | 374,813 | 5,232,389 | |
| City Office REIT, Inc. | 131,034 | 1,686,408 | |
| Columbia Property Trust, Inc. | 229,718 | 3,829,399 | |
| Corporate Office Properties Trust (SBI) | 232,053 | 6,831,640 | |
| Douglas Emmett, Inc. | 333,696 | 11,145,446 | |
| Easterly Government Properties, Inc. | 152,011 | 3,450,650 | |
| Equity Commonwealth | 196,365 | 5,162,436 | |
| Franklin Street Properties Corp. | 256,810 | 1,340,548 | |
| Highwoods Properties, Inc. (SBI) | 213,432 | 10,178,572 | |
| Hudson Pacific Properties, Inc. | 307,809 | 8,390,873 | |
| JBG SMITH Properties | 233,368 | 7,614,798 | |
| Kilroy Realty Corp. | 207,648 | 14,383,777 | |
| Mack-Cali Realty Corp. | 179,855 | 3,237,390 | |
| Paramount Group, Inc. | 361,500 | 3,528,240 | |
| Piedmont Office Realty Trust, Inc. Class A | 258,488 | 4,916,442 | |
| SL Green Realty Corp. | 147,899 | 11,012,560 | |
| VEREIT, Inc. | 433,628 | 21,234,763 | |
| 205,903,902 | |||
| REITs - Regional Malls - 3.0% | |||
| Simon Property Group, Inc. | 635,207 | 80,366,390 | |
| Tanger Factory Outlet Centers, Inc. (a) | 215,810 | 3,705,458 | |
| The Macerich Co. | 250,113 | 4,076,842 | |
| 88,148,690 | |||
| REITs - Shopping Centers - 5.4% | |||
| Acadia Realty Trust (SBI) | 183,851 | 3,934,411 | |
| Alexanders, Inc. | 4,423 | 1,233,309 | |
| Brixmor Property Group, Inc. | 605,813 | 13,945,815 | |
| Federal Realty Investment Trust (SBI) | 144,798 | 17,018,109 | |
| Kimco Realty Corp. | 872,806 | 18,616,952 | |
| Kite Realty Group Trust | 203,227 | 4,097,056 | |
| Realty Income Corp. | 652,920 | 45,893,747 | |
| Regency Centers Corp. | 334,753 | 21,896,194 | |
| Retail Opportunity Investments Corp. | 266,798 | 4,714,321 | |
| RPT Realty | 211,273 | 2,691,618 | |
| Saul Centers, Inc. | 37,057 | 1,689,799 | |
| Seritage Growth Properties (b) | 99,192 | 1,574,177 | |
| SITE Centers Corp. | 355,366 | 5,636,105 | |
| Urban Edge Properties | 263,733 | 5,010,927 | |
| Urstadt Biddle Properties, Inc. Class A | 75,561 | 1,440,948 | |
| Weingarten Realty Investors (SBI) | 256,500 | 8,256,735 | |
| 157,650,223 | |||
| REITs - Single Tenant - 1.1% | |||
| Agree Realty Corp. | 95,287 | 7,160,818 | |
| Essential Properties Realty Trust, Inc. | 221,858 | 6,611,368 | |
| Four Corners Property Trust, Inc. | 151,622 | 4,353,068 | |
| Getty Realty Corp. | 75,667 | 2,390,321 | |
| NETSTREIT Corp. | 53,354 | 1,384,536 | |
| Spirit Realty Capital, Inc. | 208,248 | 10,458,215 | |
| 32,358,326 | |||
| REITs - Storage - 7.1% | |||
| CubeSmart | 385,161 | 19,127,095 | |
| Extra Space Storage, Inc. | 252,253 | 43,927,337 | |
| Iron Mountain, Inc. | 565,725 | 24,756,126 | |
| Life Storage, Inc. | 139,808 | 16,407,867 | |
| National Storage Affiliates Trust | 168,013 | 9,101,264 | |
| Public Storage | 303,471 | 94,828,618 | |
| 208,148,307 | |||
| REITs - Warehouse/Industrial - 9.0% | |||
| Americold Realty Trust | 400,323 | 15,552,549 | |
| EastGroup Properties, Inc. | 80,818 | 14,241,748 | |
| First Industrial Realty Trust, Inc. | 256,936 | 14,074,954 | |
| Industrial Logistics Properties Trust | 141,774 | 3,842,075 | |
| Monmouth Real Estate Investment Corp. Class A | 192,168 | 3,658,879 | |
| Prologis (REIT), Inc. | 1,392,765 | 178,329,631 | |
| QTS Realty Trust, Inc. Class A | 115,880 | 9,005,035 | |
| Rexford Industrial Realty, Inc. | 240,908 | 14,820,660 | |
| Terreno Realty Corp. | 142,957 | 9,772,541 | |
| 263,298,072 | |||
| TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 2,792,413,368 | ||
| Real Estate Management & Development - 4.7% | |||
| Diversified Real Estate Activities - 0.2% | |||
| Five Point Holdings LLC Class A (b) | 155,898 | 1,304,866 | |
| The RMR Group, Inc. | 36,465 | 1,430,887 | |
| The St. Joe Co. | 74,853 | 3,388,595 | |
| 6,124,348 | |||
| Real Estate Development - 0.3% | |||
| Forestar Group, Inc. (b) | 56,191 | 1,150,230 | |
| Howard Hughes Corp. (b) | 81,675 | 7,572,089 | |
| 8,722,319 | |||
| Real Estate Operating Companies - 0.2% | |||
| FRP Holdings, Inc. (b) | 8,216 | 494,028 | |
| Kennedy-Wilson Holdings, Inc. | 240,755 | 4,860,843 | |
| 5,354,871 | |||
| Real Estate Services - 4.0% | |||
| CBRE Group, Inc. (b) | 652,673 | 62,956,838 | |
| Cushman & Wakefield PLC (b) | 247,127 | 4,613,861 | |
| eXp World Holdings, Inc. (a) | 121,053 | 4,348,224 | |
| Jones Lang LaSalle, Inc. (b) | 101,443 | 22,578,169 | |
| Marcus & Millichap, Inc. (b) | 50,242 | 1,999,129 | |
| Newmark Group, Inc. | 363,086 | 4,676,548 | |
| Opendoor Technologies, Inc. (b) | 58,660 | 869,341 | |
| RE/MAX Holdings, Inc. | 44,080 | 1,511,944 | |
| Realogy Holdings Corp. (b) | 251,388 | 4,454,595 | |
| Redfin Corp. (a)(b) | 186,985 | 10,951,711 | |
| 118,960,360 | |||
| TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 139,161,898 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $2,240,453,716) | 2,931,575,266 | ||
| Money Market Funds - 1.5% | |||
| Fidelity Cash Central Fund 0.06% (c) | 11,339,070 | 11,341,337 | |
| Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) | 32,714,364 | 32,717,636 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $44,058,973) | 44,058,973 | ||
| TOTAL INVESTMENT IN SECURITIES - 101.2% | |||
| (Cost $2,284,512,689) | 2,975,634,239 | ||
| NET OTHER ASSETS (LIABILITIES) - (1.2)% | (36,019,546) | ||
| NET ASSETS - 100% | $2,939,614,693 |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
| Purchased | |||||
| Equity Index Contracts | |||||
| CBOT Dow Jones U.S. Real Estate Index Contracts (United States) | 126 | Sept. 2021 | $5,229,000 | $85,718 | $85,718 |
| CME E-mini S&P MidCap 400 Index Contracts (United States) | 11 | Sept. 2021 | 2,968,570 | 145,537 | 145,537 |
| TOTAL FUTURES CONTRACTS | $231,255 |
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 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 | $5,043 |
| Fidelity Securities Lending Cash Central Fund | 169,832 |
| Total | $174,875 |
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.
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
| Fidelity Cash Central Fund 0.06% | $-- | $530,258,989 | $518,918,214 | $562 | $-- | $11,341,337 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 0.06% | 18,543,381 | 171,487,341 | 157,313,086 | -- | -- | 32,717,636 | 0.1% |
| Total | $18,543,381 | $701,746,330 | $676,231,300 | $562 | $-- | $44,058,973 |
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2021, 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 | $2,931,575,266 | $2,931,575,266 | $-- | $-- |
| Money Market Funds | 44,058,973 | 44,058,973 | -- | -- |
| Total Investments in Securities: | $2,975,634,239 | $2,975,634,239 | $-- | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $231,255 | $231,255 | $-- | $-- |
| Total Assets | $231,255 | $231,255 | $-- | $-- |
| Total Derivative Instruments: | $231,255 | $231,255 | $-- | $-- |
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, 2021. 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) | $231,255 | $0 |
| Total Equity Risk | 231,255 | 0 |
| Total Value of Derivatives | $231,255 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| July 31, 2021 | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $31,846,728) — See accompanying schedule: Unaffiliated issuers (cost $2,240,453,716) | $2,931,575,266 | |
| Fidelity Central Funds (cost $44,058,973) | 44,058,973 | |
| Total Investment in Securities (cost $2,284,512,689) | $2,975,634,239 | |
| Segregated cash with brokers for derivative instruments | 681,300 | |
| Receivable for fund shares sold | 3,156,026 | |
| Dividends receivable | 1,530,403 | |
| Distributions receivable from Fidelity Central Funds | 2,342 | |
| Total assets | 2,981,004,310 | |
| Liabilities | ||
| Payable for investments purchased | $7,012,069 | |
| Payable for fund shares redeemed | 1,498,081 | |
| Accrued management fee | 168,510 | |
| Payable for daily variation margin on futures contracts | 3,357 | |
| Collateral on securities loaned | 32,707,600 | |
| Total liabilities | 41,389,617 | |
| Net Assets | $2,939,614,693 | |
| Net Assets consist of: | ||
| Paid in capital | $2,454,222,875 | |
| Total accumulated earnings (loss) | 485,391,818 | |
| Net Assets | $2,939,614,693 | |
| Net Asset Value, offering price and redemption price per share ($2,939,614,693 ÷ 159,444,513 shares) | $18.44 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Year ended July 31, 2021 | ||
| Investment Income | ||
| Dividends | $62,028,945 | |
| Income from Fidelity Central Funds (including $169,832 from security lending) | 174,875 | |
| Total income | 62,203,820 | |
| Expenses | ||
| Management fee | $1,672,695 | |
| Independent trustees' fees and expenses | 6,526 | |
| Interest | 1,923 | |
| Miscellaneous | 1,078 | |
| Total expenses | 1,682,222 | |
| Net investment income (loss) | 60,521,598 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | (77,502,264) | |
| Fidelity Central Funds | 562 | |
| Futures contracts | 5,289,392 | |
| Total net realized gain (loss) | (72,212,310) | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 832,844,983 | |
| Futures contracts | 70,668 | |
| Total change in net unrealized appreciation (depreciation) | 832,915,651 | |
| Net gain (loss) | 760,703,341 | |
| Net increase (decrease) in net assets resulting from operations | $821,224,939 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Year ended July 31, 2021 | Year ended July 31, 2020 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $60,521,598 | $74,539,716 |
| Net realized gain (loss) | (72,212,310) | (138,944,093) |
| Change in net unrealized appreciation (depreciation) | 832,915,651 | (345,669,088) |
| Net increase (decrease) in net assets resulting from operations | 821,224,939 | (410,073,465) |
| Distributions to shareholders | (63,006,932) | (83,652,157) |
| Share transactions | ||
| Proceeds from sales of shares | 886,460,485 | 995,506,925 |
| Reinvestment of distributions | 56,453,099 | 74,858,894 |
| Cost of shares redeemed | (844,105,696) | (750,546,568) |
| Net increase (decrease) in net assets resulting from share transactions | 98,807,888 | 319,819,251 |
| Total increase (decrease) in net assets | 857,025,895 | (173,906,371) |
| Net Assets | ||
| Beginning of period | 2,082,588,798 | 2,256,495,169 |
| End of period | $2,939,614,693 | $2,082,588,798 |
| Other Information | ||
| Shares | ||
| Sold | 57,934,745 | 66,698,457 |
| Issued in reinvestment of distributions | 4,009,622 | 4,516,826 |
| Redeemed | (55,837,169) | (52,070,823) |
| Net increase (decrease) | 6,107,198 | 19,144,460 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Real Estate Index Fund
| Years ended July 31, | 2021 | 2020 | 2019 | 2018 | 2017 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $13.58 | $16.82 | $15.76 | $15.70 | $17.28 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .39 | .51 | .53 | .46 | .39 |
| Net realized and unrealized gain (loss) | 4.88 | (3.15) | 1.13 | .13 | (1.37) |
| Total from investment operations | 5.27 | (2.64) | 1.66 | .59 | (.98) |
| Distributions from net investment income | (.41) | (.47) | (.50) | (.44) | (.39) |
| Distributions from net realized gain | – | (.13) | (.10) | (.09) | (.21) |
| Total distributions | (.41) | (.60) | (.60) | (.53) | (.60) |
| Redemption fees added to paid in capitalA | – | – | – | –B | –B |
| Net asset value, end of period | $18.44 | $13.58 | $16.82 | $15.76 | $15.70 |
| Total ReturnC | 39.73% | (16.34)% | 10.84% | 3.90% | (5.61)% |
| Ratios to Average Net AssetsD,E | |||||
| Expenses before reductions | .07% | .07% | .07% | .07% | .07% |
| Expenses net of fee waivers, if any | .07% | .07% | .07% | .07% | .07% |
| Expenses net of all reductions | .07% | .07% | .07% | .07% | .07% |
| Net investment income (loss) | 2.53% | 3.32% | 3.33% | 3.12% | 2.49% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $2,939,615 | $2,082,589 | $2,256,495 | $380,099 | $45,866 |
| Portfolio turnover rateF | 44% | 26% | 10% | 6% | 8% |
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended July 31, 2021
1. Organization.
Fidelity Real Estate Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% to .01%. |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has 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, 2021 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.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, capital loss carryforwards, 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 | $765,207,655 |
| Gross unrealized depreciation | (84,510,773) |
| Net unrealized appreciation (depreciation) | $680,696,882 |
| Tax Cost | $2,294,937,357 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $2,223,655 |
| Capital loss carryforward | $(197,528,720) |
| Net unrealized appreciation (depreciation) on securities and other investments | $680,696,882 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
| No expiration | |
| Short-term | $(65,337,847) |
| Long-term | (132,190,873) |
| Total capital loss carryforward | $(197,528,720) |
The tax character of distributions paid was as follows:
| July 31, 2021 | July 31, 2020 | |
| Ordinary Income | $63,006,932 | $ 68,573,048 |
| Long-term Capital Gains | – | 15,079,109 |
| Total | $63,006,932 | $ 83,652,157 |
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 and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity Real Estate Index Fund | 1,162,503,315 | 1,032,338,683 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .07% of the Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
| Fidelity Real Estate Index Fund | Borrower | $15,690,786 | .32% | $1,923 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. Effective during January 2021, commitment fees are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
| Amount | |
| Fidelity Real Estate Index Fund | $1,078 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Fidelity Real Estate Index Fund | $22,829 | $1,332 | $– |
9. Other.
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.
10. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Real Estate Index Fund
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Real Estate Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2021, 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, 2021, 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, 2021, 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, 2021
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 283 funds. Mr. Chiel oversees 176 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 Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
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 and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and 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 her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. 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. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for 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
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
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).
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present) and 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).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jamie Pagliocco (1964)
Year of Election or Appointment: 2020
Vice President
Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.
Kenneth B. Robins (1969)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
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 FIMM, LLC (2021-present) and 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 LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During Period-B February 1, 2021 to July 31, 2021 | |
| Fidelity Real Estate Index Fund | .07% | |||
| Actual | $1,000.00 | $1,269.30 | $.39 | |
| 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 annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The fund designates 59% of the dividends distributed in March and June during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 1%, 1%, 74%, and 74% of the dividends distributed in September, December, March, and June, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 56%, 99%, 27%, and 27% of the dividends distributed in September, December, March, and June, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
URX-I-ANN-0921
1.929343.109
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.
July 31, 2021
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. © 2021 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.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
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, 2021 | Past 1 year | Past 5 years | Life of fundA |
| Fidelity® SAI Small-Mid Cap 500 Index Fund | 46.99% | 15.05% | 13.06% |
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 | ||
| $20,812 | Fidelity® SAI Small-Mid Cap 500 Index Fund | |
| $20,895 | Russell SMID 500™ Index | |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year ending July 31, 2021, the fund gained 46.99%, roughly in line with the 47.08% advance of the benchmark Russell SMID 500 Index. By sector, information technology gained 47% and contributed most, followed by industrials (+54%) and financials (+57%). The consumer discretionary sector rose about 58%, real estate gained 43%, and health care advanced 31%. Other notable contributors included materials (+55%), energy (+79%), communication services (+38%), consumer staples (+18%), and utilities (+17%) stocks. Turning to individual holdings, the top contributor was Generac Holdings (+151%), from the capital goods segment. In health care equipment & services, Novocure (+194%) added value, as did HubSpot (+149%) from the software & services category. Enphase Energy, within the semiconductors & semiconductor equipment group, rose approximately 208% and further contributed, along with Ally Financial (+157%) within the diversified financials industry. Conversely, the biggest individual detractor was Sarepta Therapeutics (-56%), from the pharmaceuticals, biotechnology & life sciences industry. In software & services, Alteryx (-56%) and Fastly (-50%) hurt as well. Shares of Quidel, in the health care equipment & services segment, returned about -51% and further hindered the fund. Another key detractor was GameStop (-23%), a stock in the retailing category.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Top Five Stocks as of July 31, 2021
| % of fund's net assets | |
| Enphase Energy, Inc. | 0.7 |
| Avantor, Inc. | 0.6 |
| PerkinElmer, Inc. | 0.6 |
| Charles River Laboratories International, Inc. | 0.5 |
| Monolithic Power Systems, Inc. | 0.5 |
| 2.9 |
Top Five Market Sectors as of July 31, 2021
| % of fund's net assets | |
| Information Technology | 18.7 |
| Industrials | 17.1 |
| Consumer Discretionary | 13.3 |
| Financials | 12.7 |
| Health Care | 11.5 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2021* | ||
| Stocks and Equity Futures | 100.0% | |
* Foreign investments - 5.6%
Schedule of Investments July 31, 2021
Showing Percentage of Net Assets
| Common Stocks - 99.8% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 2.4% | |||
| Entertainment - 0.6% | |||
| Madison Square Garden Sports Corp. (a) | 5,501 | $895,233 | |
| Playtika Holding Corp. | 22,193 | 493,350 | |
| Skillz, Inc. (a)(b) | 85,855 | 1,208,838 | |
| World Wrestling Entertainment, Inc. Class A | 12,969 | 640,409 | |
| Zynga, Inc. (a) | 291,926 | 2,948,453 | |
| 6,186,283 | |||
| Interactive Media & Services - 0.2% | |||
| TripAdvisor, Inc. (a) | 28,687 | 1,088,672 | |
| Vimeo, Inc. (a) | 36,630 | 1,641,024 | |
| 2,729,696 | |||
| Media - 1.6% | |||
| Cable One, Inc. | 1,577 | 2,977,360 | |
| Interpublic Group of Companies, Inc. | 114,538 | 4,050,064 | |
| Liberty Media Corp.: | |||
| Liberty Formula One Group Series C (a) | 57,932 | 2,718,749 | |
| Liberty Media Class A (a) | 7,301 | 302,699 | |
| News Corp.: | |||
| Class A | 113,660 | 2,799,446 | |
| Class B | 35,677 | 838,766 | |
| Nexstar Broadcasting Group, Inc. Class A | 12,034 | 1,769,840 | |
| The New York Times Co. Class A | 48,227 | 2,111,378 | |
| 17,568,302 | |||
| TOTAL COMMUNICATION SERVICES | 26,484,281 | ||
| CONSUMER DISCRETIONARY - 13.3% | |||
| Auto Components - 0.9% | |||
| BorgWarner, Inc. | 70,009 | 3,429,041 | |
| Gentex Corp. | 70,601 | 2,402,552 | |
| Lear Corp. | 17,544 | 3,069,849 | |
| QuantumScape Corp. Class A (a)(b) | 33,903 | 776,718 | |
| 9,678,160 | |||
| Automobiles - 0.3% | |||
| Harley-Davidson, Inc. | 44,755 | 1,773,193 | |
| Thor Industries, Inc. | 15,557 | 1,841,327 | |
| 3,614,520 | |||
| Distributors - 0.5% | |||
| Pool Corp. | 11,377 | 5,436,158 | |
| Diversified Consumer Services - 1.4% | |||
| Bright Horizons Family Solutions, Inc. (a) | 17,763 | 2,655,569 | |
| Chegg, Inc. (a) | 40,962 | 3,630,462 | |
| Frontdoor, Inc. (a) | 25,004 | 1,223,696 | |
| Grand Canyon Education, Inc. (a) | 13,370 | 1,234,987 | |
| H&R Block, Inc. | 52,951 | 1,299,947 | |
| Service Corp. International | 47,832 | 2,989,022 | |
| Terminix Global Holdings, Inc. (a) | 37,502 | 1,968,855 | |
| 15,002,538 | |||
| Hotels, Restaurants & Leisure - 2.4% | |||
| ARAMARK Holdings Corp. | 66,979 | 2,352,972 | |
| Boyd Gaming Corp. (a) | 24,004 | 1,368,228 | |
| Choice Hotels International, Inc. | 10,153 | 1,217,345 | |
| Churchill Downs, Inc. | 10,775 | 2,001,995 | |
| Hyatt Hotels Corp. Class A (a) | 11,796 | 942,147 | |
| Marriott Vacations Worldwide Corp. (a) | 12,170 | 1,793,493 | |
| Norwegian Cruise Line Holdings Ltd. (a)(b) | 107,930 | 2,593,558 | |
| Penn National Gaming, Inc. (a) | 45,614 | 3,119,085 | |
| Planet Fitness, Inc. (a) | 24,345 | 1,831,474 | |
| Six Flags Entertainment Corp. (a) | 22,486 | 934,293 | |
| Travel+Leisure Co. | 24,705 | 1,279,719 | |
| Vail Resorts, Inc. (a) | 11,662 | 3,559,242 | |
| Wendy's Co. | 51,950 | 1,205,760 | |
| Wyndham Hotels & Resorts, Inc. | 26,799 | 1,931,136 | |
| 26,130,447 | |||
| Household Durables - 1.7% | |||
| Leggett & Platt, Inc. | 38,861 | 1,866,494 | |
| Mohawk Industries, Inc. (a) | 16,525 | 3,220,723 | |
| Newell Brands, Inc. | 111,136 | 2,750,616 | |
| PulteGroup, Inc. | 76,538 | 4,199,640 | |
| Tempur Sealy International, Inc. | 53,177 | 2,300,969 | |
| Toll Brothers, Inc. | 32,841 | 1,946,486 | |
| TopBuild Corp. (a) | 9,642 | 1,954,337 | |
| 18,239,265 | |||
| Internet & Direct Marketing Retail - 0.1% | |||
| Qurate Retail, Inc. Series A | 108,362 | 1,285,173 | |
| Leisure Products - 0.9% | |||
| Brunswick Corp. | 22,741 | 2,374,160 | |
| Hayward Holdings, Inc. (b) | 11,183 | 269,398 | |
| Mattel, Inc. (a) | 101,894 | 2,213,138 | |
| Polaris, Inc. | 16,851 | 2,208,661 | |
| YETI Holdings, Inc. (a) | 24,994 | 2,407,672 | |
| 9,473,029 | |||
| Multiline Retail - 0.5% | |||
| Kohl's Corp. | 45,763 | 2,324,760 | |
| Nordstrom, Inc. (a)(b) | 32,217 | 1,066,383 | |
| Ollie's Bargain Outlet Holdings, Inc. (a)(b) | 19,076 | 1,775,976 | |
| 5,167,119 | |||
| Specialty Retail - 2.7% | |||
| AutoNation, Inc. (a) | 14,801 | 1,795,805 | |
| Dick's Sporting Goods, Inc. | 18,375 | 1,913,573 | |
| Five Below, Inc. (a) | 16,102 | 3,130,551 | |
| Floor & Decor Holdings, Inc. Class A (a) | 29,739 | 3,628,455 | |
| Foot Locker, Inc. | 26,168 | 1,493,146 | |
| GameStop Corp. Class A (a)(b) | 17,283 | 2,784,637 | |
| Gap, Inc. | 58,684 | 1,711,812 | |
| Leslie's, Inc. (b) | 31,775 | 773,721 | |
| Lithia Motors, Inc. Class A (sub. vtg.) | 8,454 | 3,189,018 | |
| Penske Automotive Group, Inc. | 9,273 | 821,588 | |
| Petco Health & Wellness Co., Inc. (b) | 21,757 | 448,847 | |
| RH (a) | 5,013 | 3,329,033 | |
| Vroom, Inc. (a)(b) | 33,560 | 1,243,062 | |
| Williams-Sonoma, Inc. | 21,882 | 3,319,499 | |
| 29,582,747 | |||
| Textiles, Apparel & Luxury Goods - 1.9% | |||
| Capri Holdings Ltd. (a) | 43,162 | 2,430,452 | |
| Carter's, Inc. | 12,553 | 1,226,930 | |
| Columbia Sportswear Co. | 11,640 | 1,159,577 | |
| Deckers Outdoor Corp. (a) | 8,146 | 3,346,784 | |
| Hanesbrands, Inc. | 101,457 | 1,852,605 | |
| PVH Corp. (a) | 20,754 | 2,171,283 | |
| Ralph Lauren Corp. | 13,794 | 1,565,895 | |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 38,497 | 2,066,519 | |
| Tapestry, Inc. (a) | 81,557 | 3,449,861 | |
| Under Armour, Inc.: | |||
| Class A (sub. vtg.) (a) | 54,970 | 1,124,137 | |
| Class C (non-vtg.) (a) | 57,977 | 1,015,757 | |
| 21,409,800 | |||
| TOTAL CONSUMER DISCRETIONARY | 145,018,956 | ||
| CONSUMER STAPLES - 2.9% | |||
| Beverages - 0.2% | |||
| Boston Beer Co., Inc. Class A (a) | 2,724 | 1,934,040 | |
| Food & Staples Retailing - 0.6% | |||
| Albertsons Companies, Inc. (b) | 45,260 | 977,616 | |
| Casey's General Stores, Inc. | 10,785 | 2,132,302 | |
| Grocery Outlet Holding Corp. (a)(b) | 25,470 | 843,566 | |
| U.S. Foods Holding Corp. (a) | 64,583 | 2,217,780 | |
| 6,171,264 | |||
| Food Products - 1.8% | |||
| Beyond Meat, Inc. (a)(b) | 16,749 | 2,055,102 | |
| Bunge Ltd. | 40,164 | 3,117,931 | |
| Darling Ingredients, Inc. (a) | 47,217 | 3,261,278 | |
| Flowers Foods, Inc. | 54,646 | 1,287,460 | |
| Freshpet, Inc. (a) | 11,932 | 1,747,441 | |
| Ingredion, Inc. | 19,612 | 1,722,130 | |
| Lamb Weston Holdings, Inc. | 42,669 | 2,849,009 | |
| Pilgrim's Pride Corp. (a) | 13,858 | 306,955 | |
| Post Holdings, Inc. (a)(b) | 17,194 | 1,759,634 | |
| Seaboard Corp. | 73 | 300,030 | |
| The Hain Celestial Group, Inc. (a) | 24,427�� | 974,882 | |
| 19,381,852 | |||
| Household Products - 0.1% | |||
| Reynolds Consumer Products, Inc. | 15,840 | 450,648 | |
| Spectrum Brands Holdings, Inc. | 12,204 | 1,066,019 | |
| 1,516,667 | |||
| Personal Products - 0.2% | |||
| Coty, Inc. Class A (a) | 84,614 | 738,680 | |
| Herbalife Nutrition Ltd. (a) | 31,305 | 1,594,677 | |
| 2,333,357 | |||
| TOTAL CONSUMER STAPLES | 31,337,180 | ||
| ENERGY - 2.7% | |||
| Energy Equipment & Services - 0.2% | |||
| NOV, Inc. (a) | 113,920 | 1,573,235 | |
| Oil, Gas & Consumable Fuels - 2.5% | |||
| Antero Midstream GP LP | 97,458 | 925,851 | |
| APA Corp. | 110,249 | 2,067,169 | |
| Cabot Oil & Gas Corp. | 114,776 | 1,836,416 | |
| Cimarex Energy Co. | 29,392 | 1,916,358 | |
| Continental Resources, Inc. | 18,957 | 647,382 | |
| Devon Energy Corp. | 197,043 | 5,091,591 | |
| Diamondback Energy, Inc. | 52,786 | 4,071,384 | |
| EQT Corp. (a) | 81,189 | 1,493,066 | |
| HollyFrontier Corp. | 43,627 | 1,282,634 | |
| Marathon Oil Corp. | 229,208 | 2,656,521 | |
| New Fortress Energy, Inc. | 7,722 | 234,054 | |
| Targa Resources Corp. | 65,845 | 2,772,733 | |
| Texas Pacific Land Corp. | 1,719 | 2,565,693 | |
| 27,560,852 | |||
| TOTAL ENERGY | 29,134,087 | ||
| FINANCIALS - 12.7% | |||
| Banks - 4.0% | |||
| Bank of Hawaii Corp. | 11,599 | 970,952 | |
| Bank OZK | 35,819 | 1,458,191 | |
| BOK Financial Corp. | 8,909 | 748,445 | |
| Comerica, Inc. | 40,780 | 2,799,955 | |
| Commerce Bancshares, Inc. | 31,096 | 2,199,420 | |
| Cullen/Frost Bankers, Inc. | 16,706 | 1,792,888 | |
| East West Bancorp, Inc. | 41,237 | 2,934,013 | |
| First Citizens Bancshares, Inc. | 1,760 | 1,377,358 | |
| First Hawaiian, Inc. | 37,942 | 1,044,543 | |
| First Horizon National Corp. | 159,936 | 2,471,011 | |
| FNB Corp., Pennsylvania | 92,819 | 1,063,706 | |
| PacWest Bancorp | 34,354 | 1,367,976 | |
| Peoples United Financial, Inc. | 124,351 | 1,952,311 | |
| Pinnacle Financial Partners, Inc. | 21,721 | 1,946,419 | |
| Popular, Inc. | 24,214 | 1,761,811 | |
| Prosperity Bancshares, Inc. | 26,111 | 1,780,509 | |
| Signature Bank | 16,469 | 3,737,969 | |
| Sterling Bancorp | 55,982 | 1,215,369 | |
| Synovus Financial Corp. | 43,084 | 1,762,136 | |
| Umpqua Holdings Corp. | 64,511 | 1,217,323 | |
| Webster Financial Corp. | 26,239 | 1,262,096 | |
| Western Alliance Bancorp. | 29,456 | 2,734,106 | |
| Wintrust Financial Corp. | 16,519 | 1,179,457 | |
| Zions Bancorp NA | 47,167 | 2,459,759 | |
| 43,237,723 | |||
| Capital Markets - 3.1% | |||
| Affiliated Managers Group, Inc. | 12,101 | 1,917,282 | |
| Ares Management Corp. | 40,188 | 2,877,863 | |
| Carlyle Group LP | 47,321 | 2,388,291 | |
| Cboe Global Markets, Inc. | 31,076 | 3,681,574 | |
| Evercore, Inc. Class A | 11,655 | 1,540,791 | |
| FactSet Research Systems, Inc. | 11,077 | 3,957,591 | |
| Invesco Ltd. | 97,495 | 2,376,928 | |
| Janus Henderson Group PLC | 49,922 | 2,088,736 | |
| Jefferies Financial Group, Inc. | 63,964 | 2,122,965 | |
| Lazard Ltd. Class A | 29,693 | 1,401,510 | |
| LPL Financial | 23,263 | 3,281,014 | |
| Morningstar, Inc. | 6,819 | 1,722,684 | |
| SEI Investments Co. | 31,934 | 1,941,587 | |
| Stifel Financial Corp. | 29,831 | 1,984,955 | |
| Virtu Financial, Inc. Class A | 27,205 | 700,257 | |
| 33,984,028 | |||
| Consumer Finance - 0.5% | |||
| Credit Acceptance Corp. (a)(b) | 2,712 | 1,314,696 | |
| OneMain Holdings, Inc. | 25,820 | 1,575,020 | |
| Santander Consumer U.S.A. Holdings, Inc. | 17,571 | 720,938 | |
| SLM Corp. | 93,828 | 1,766,781 | |
| Upstart Holdings, Inc. | 3,582 | 432,562 | |
| 5,809,997 | |||
| Diversified Financial Services - 0.2% | |||
| Voya Financial, Inc. (b) | 35,223 | 2,268,361 | |
| Insurance - 4.1% | |||
| Alleghany Corp. (a) | 3,945 | 2,615,930 | |
| American Financial Group, Inc. | 19,811 | 2,505,893 | |
| Assurant, Inc. | 17,652 | 2,785,662 | |
| Assured Guaranty Ltd. | 21,197 | 1,013,429 | |
| Athene Holding Ltd. (a) | 33,731 | 2,179,697 | |
| Axis Capital Holdings Ltd. | 22,576 | 1,148,441 | |
| Brighthouse Financial, Inc. (a) | 25,098 | 1,080,720 | |
| Brown & Brown, Inc. | 68,466 | 3,724,550 | |
| Erie Indemnity Co. Class A | 7,315 | 1,352,470 | |
| Everest Re Group Ltd. | 11,588 | 2,929,794 | |
| First American Financial Corp. | 31,107 | 2,093,812 | |
| Globe Life, Inc. | 29,658 | 2,761,456 | |
| GoHealth, Inc. (a) | 13,972 | 122,954 | |
| Hanover Insurance Group, Inc. | 10,409 | 1,414,583 | |
| Kemper Corp. | 17,772 | 1,173,130 | |
| Lemonade, Inc. (a)(b) | 11,140 | 969,848 | |
| Mercury General Corp. | 7,759 | 471,980 | |
| Old Republic International Corp. | 81,830 | 2,017,928 | |
| Primerica, Inc. | 11,457 | 1,675,243 | |
| Reinsurance Group of America, Inc. | 19,833 | 2,185,200 | |
| RenaissanceRe Holdings Ltd. | 14,358 | 2,192,323 | |
| Unum Group | 59,652 | 1,634,465 | |
| W.R. Berkley Corp. | 40,330 | 2,950,946 | |
| White Mountains Insurance Group Ltd. | 880 | 995,782 | |
| 43,996,236 | |||
| Mortgage Real Estate Investment Trusts - 0.5% | |||
| AGNC Investment Corp. | 152,835 | 2,425,491 | |
| New Residential Investment Corp. | 126,723 | 1,236,816 | |
| Starwood Property Trust, Inc. | 80,174 | 2,086,929 | |
| 5,749,236 | |||
| Thrifts & Mortgage Finance - 0.3% | |||
| MGIC Investment Corp. | 98,865 | 1,368,292 | |
| New York Community Bancorp, Inc. | 132,052 | 1,555,573 | |
| TFS Financial Corp. | 14,349 | 279,519 | |
| UWM Holdings Corp. Class A (b) | 12,520 | 95,528 | |
| 3,298,912 | |||
| TOTAL FINANCIALS | 138,344,493 | ||
| HEALTH CARE - 11.5% | |||
| Biotechnology - 2.5% | |||
| Acceleron Pharma, Inc. (a) | 15,422 | 1,928,675 | |
| Exelixis, Inc. (a) | 90,243 | 1,520,595 | |
| Ionis Pharmaceuticals, Inc. (a) | 40,888 | 1,518,580 | |
| Iovance Biotherapeutics, Inc. (a) | 42,335 | 942,800 | |
| Mirati Therapeutics, Inc. (a) | 11,475 | 1,836,689 | |
| Natera, Inc. (a) | 24,040 | 2,753,061 | |
| Neurocrine Biosciences, Inc. (a) | 27,333 | 2,547,709 | |
| Novavax, Inc. (a) | 21,574 | 3,868,865 | |
| Repligen Corp. (a) | 15,990 | 3,928,743 | |
| Sage Therapeutics, Inc. (a) | 14,979 | 655,032 | |
| Sarepta Therapeutics, Inc. (a) | 22,314 | 1,512,443 | |
| Ultragenyx Pharmaceutical, Inc. (a) | 18,788 | 1,499,846 | |
| United Therapeutics Corp. (a) | 12,900 | 2,346,897 | |
| 26,859,935 | |||
| Health Care Equipment & Supplies - 1.8% | |||
| Envista Holdings Corp. (a) | 47,027 | 2,025,923 | |
| Globus Medical, Inc. (a) | 22,525 | 1,873,404 | |
| Hill-Rom Holdings, Inc. | 19,440 | 2,691,662 | |
| ICU Medical, Inc. (a) | 5,805 | 1,180,098 | |
| Integra LifeSciences Holdings Corp. (a) | 21,073 | 1,525,474 | |
| Masimo Corp. (a) | 14,618 | 3,981,797 | |
| Penumbra, Inc. (a) | 9,868 | 2,627,158 | |
| Quidel Corp. (a)(b) | 10,955 | 1,549,804 | |
| Tandem Diabetes Care, Inc. (a) | 17,840 | 1,938,673 | |
| 19,393,993 | |||
| Health Care Providers & Services - 2.0% | |||
| Acadia Healthcare Co., Inc. (a)(b) | 25,781 | 1,591,203 | |
| agilon health, Inc. (a) | 14,614 | 537,649 | |
| Amedisys, Inc. (a) | 9,372 | 2,442,531 | |
| Chemed Corp. | 4,557 | 2,169,223 | |
| Encompass Health Corp. | 28,533 | 2,375,372 | |
| Guardant Health, Inc. (a) | 26,242 | 2,881,372 | |
| Henry Schein, Inc. (a) | 41,162 | 3,299,134 | |
| Molina Healthcare, Inc. (a) | 16,850 | 4,600,219 | |
| Premier, Inc. | 35,466 | 1,264,008 | |
| Signify Health, Inc. (b) | 6,665 | 175,423 | |
| 21,336,134 | |||
| Health Care Technology - 0.2% | |||
| Certara, Inc. | 9,766 | 265,733 | |
| Change Healthcare, Inc. (a) | 71,919 | 1,561,361 | |
| 1,827,094 | |||
| Life Sciences Tools & Services - 3.8% | |||
| 10X Genomics, Inc. (a) | 24,435 | 4,477,225 | |
| Adaptive Biotechnologies Corp. (a) | 31,726 | 1,163,075 | |
| Avantor, Inc. (a) | 169,433 | 6,367,292 | |
| Bio-Techne Corp. | 11,310 | 5,454,134 | |
| Bruker Corp. | 29,900 | 2,459,275 | |
| Charles River Laboratories International, Inc. (a) | 14,559 | 5,924,348 | |
| Maravai LifeSciences Holdings, Inc. | 22,000 | 967,340 | |
| PerkinElmer, Inc. | 32,724 | 5,963,295 | |
| PPD, Inc. (a) | 46,703 | 2,153,942 | |
| QIAGEN NV (a) | 66,329 | 3,501,508 | |
| Sotera Health Co. | 22,844 | 541,403 | |
| Syneos Health, Inc. (a) | 29,727 | 2,665,620 | |
| 41,638,457 | |||
| Pharmaceuticals - 1.2% | |||
| Catalent, Inc. (a) | 47,463 | 5,686,542 | |
| Jazz Pharmaceuticals PLC (a) | 17,319 | 2,935,917 | |
| Nektar Therapeutics (a)(b) | 51,736 | 816,911 | |
| Organon & Co. | 74,117 | 2,150,134 | |
| Perrigo Co. PLC | 39,062 | 1,876,148 | |
| 13,465,652 | |||
| TOTAL HEALTH CARE | 124,521,265 | ||
| INDUSTRIALS - 17.1% | |||
| Aerospace & Defense - 2.0% | |||
| Axon Enterprise, Inc. (a) | 18,667 | 3,472,435 | |
| BWX Technologies, Inc. | 27,783 | 1,595,578 | |
| Curtiss-Wright Corp. | 11,920 | 1,410,136 | |
| Hexcel Corp. (a)(b) | 24,435 | 1,329,753 | |
| Howmet Aerospace, Inc. | 114,494 | 3,757,693 | |
| Huntington Ingalls Industries, Inc. | 11,513 | 2,361,662 | |
| Mercury Systems, Inc. (a) | 16,103 | 1,062,798 | |
| Spirit AeroSystems Holdings, Inc. Class A | 30,623 | 1,323,220 | |
| Textron, Inc. | 65,926 | 4,549,553 | |
| Virgin Galactic Holdings, Inc. (a)(b) | 41,875 | 1,255,831 | |
| 22,118,659 | |||
| Air Freight & Logistics - 0.4% | |||
| XPO Logistics, Inc. (a) | 28,293 | 3,923,956 | |
| Airlines - 0.7% | |||
| Alaska Air Group, Inc. (a) | 35,637 | 2,068,015 | |
| American Airlines Group, Inc. (a)(b) | 186,550 | 3,801,889 | |
| Copa Holdings SA Class A (a)(b) | 9,188 | 651,521 | |
| JetBlue Airways Corp. (a) | 92,573 | 1,369,155 | |
| 7,890,580 | |||
| Building Products - 2.5% | |||
| A.O. Smith Corp. | 38,677 | 2,720,153 | |
| Advanced Drain Systems, Inc. | 16,402 | 2,002,520 | |
| Allegion PLC | 26,230 | 3,583,018 | |
| Armstrong World Industries, Inc. | 13,861 | 1,499,483 | |
| Builders FirstSource, Inc. (a) | 59,877 | 2,664,527 | |
| Fortune Brands Home & Security, Inc. | 40,375 | 3,935,351 | |
| Lennox International, Inc. | 9,952 | 3,278,487 | |
| Owens Corning | 30,454 | 2,928,457 | |
| The AZEK Co., Inc. (a) | 31,950 | 1,162,022 | |
| Trex Co., Inc. (a) | 33,808 | 3,282,757 | |
| 27,056,775 | |||
| Commercial Services & Supplies - 0.8% | |||
| ADT, Inc. (b) | 46,073 | 483,306 | |
| Clean Harbors, Inc. (a) | 14,762 | 1,402,390 | |
| Driven Brands Holdings, Inc. | 10,694 | 340,283 | |
| IAA, Inc. (a) | 39,427 | 2,384,545 | |
| MSA Safety, Inc. | 10,722 | 1,763,555 | |
| Stericycle, Inc. (a) | 26,747 | 1,887,001 | |
| 8,261,080 | |||
| Construction & Engineering - 0.9% | |||
| AECOM (a) | 40,870 | 2,573,175 | |
| MasTec, Inc. (a) | 16,365 | 1,656,629 | |
| Quanta Services, Inc. | 40,435 | 3,675,542 | |
| Valmont Industries, Inc. | 6,080 | 1,440,656 | |
| 9,346,002 | |||
| Electrical Equipment - 2.0% | |||
| Acuity Brands, Inc. | 10,332 | 1,812,026 | |
| ChargePoint Holdings, Inc. Class A (a)(b) | 39,985 | 945,645 | |
| Hubbell, Inc. Class B | 15,815 | 3,170,275 | |
| nVent Electric PLC | 48,676 | 1,538,648 | |
| Plug Power, Inc. (a)(b) | 146,222 | 3,988,936 | |
| Regal Beloit Corp. | 11,859 | 1,746,001 | |
| Sensata Technologies, Inc. PLC (a) | 45,453 | 2,664,455 | |
| Shoals Technologies Group, Inc. | 29,793 | 866,678 | |
| Sunrun, Inc. (a) | 58,244 | 3,085,185 | |
| Vertiv Holdings Co. | 82,164 | 2,303,879 | |
| 22,121,728 | |||
| Industrial Conglomerates - 0.3% | |||
| Carlisle Companies, Inc. | 15,013 | 3,036,229 | |
| Machinery - 3.9% | |||
| AGCO Corp. | 18,231 | 2,408,497 | |
| Allison Transmission Holdings, Inc. | 31,761 | 1,267,582 | |
| Colfax Corp. (a)(b) | 34,100 | 1,564,508 | |
| Crane Co. | 14,378 | 1,397,973 | |
| Donaldson Co., Inc. | 36,826 | 2,437,513 | |
| Flowserve Corp. | 37,914 | 1,595,800 | |
| Gates Industrial Corp. PLC (a) | 20,428 | 369,951 | |
| Graco, Inc. | 49,024 | 3,827,794 | |
| ITT, Inc. | 25,180 | 2,465,374 | |
| Lincoln Electric Holdings, Inc. | 16,781 | 2,339,775 | |
| Middleby Corp. (a) | 16,092 | 3,081,457 | |
| Nordson Corp. | 16,956 | 3,834,260 | |
| Oshkosh Corp. | 19,970 | 2,387,414 | |
| Pentair PLC | 48,295 | 3,557,893 | |
| Snap-On, Inc. | 15,598 | 3,400,052 | |
| Timken Co. | 18,719 | 1,488,161 | |
| Toro Co. | 31,381 | 3,569,275 | |
| Woodward, Inc. | 16,776 | 2,039,291 | |
| 43,032,570 | |||
| Marine - 0.1% | |||
| Kirby Corp. (a) | 17,369 | 1,005,839 | |
| Professional Services - 2.0% | |||
| Booz Allen Hamilton Holding Corp. Class A | 39,644 | 3,401,852 | |
| CACI International, Inc. Class A (a) | 6,777 | 1,809,188 | |
| Dun & Bradstreet Holdings, Inc. (a) | 46,681 | 978,434 | |
| FTI Consulting, Inc. (a)(b) | 9,777 | 1,424,509 | |
| Jacobs Engineering Group, Inc. | 37,765 | 5,107,716 | |
| Manpower, Inc. | 15,880 | 1,883,050 | |
| Nielsen Holdings PLC | 104,492 | 2,475,415 | |
| Robert Half International, Inc. | 32,095 | 3,152,050 | |
| Science Applications Internati | 16,932 | 1,478,164 | |
| 21,710,378 | |||
| Road & Rail - 0.7% | |||
| AMERCO | 2,609 | 1,533,988 | |
| Knight-Swift Transportation Holdings, Inc. Class A | 46,988 | 2,334,834 | |
| Landstar System, Inc. | 11,143 | 1,749,451 | |
| Ryder System, Inc. | 15,295 | 1,164,714 | |
| Schneider National, Inc. Class B | 15,093 | 338,687 | |
| TuSimple Holdings, Inc. (a)(b) | 10,449 | 384,523 | |
| 7,506,197 | |||
| Trading Companies & Distributors - 0.8% | |||
| Air Lease Corp. Class A | 31,202 | 1,321,717 | |
| MSC Industrial Direct Co., Inc. Class A | 13,079 | 1,166,254 | |
| SiteOne Landscape Supply, Inc. (a) | 12,879 | 2,250,992 | |
| Univar, Inc. (a) | 48,769 | 1,196,791 | |
| Watsco, Inc. | 9,543 | 2,695,325 | |
| 8,631,079 | |||
| TOTAL INDUSTRIALS | 185,641,072 | ||
| INFORMATION TECHNOLOGY - 18.7% | |||
| Communications Equipment - 1.2% | |||
| Ciena Corp. (a) | 45,058 | 2,619,672 | |
| CommScope Holding Co., Inc. (a) | 58,512 | 1,238,114 | |
| F5 Networks, Inc. (a) | 17,399 | 3,593,067 | |
| Juniper Networks, Inc. | 94,832 | 2,668,572 | |
| Lumentum Holdings, Inc. (a) | 22,111 | 1,857,103 | |
| ViaSat, Inc. (a) | 18,059 | 896,449 | |
| 12,872,977 | |||
| Electronic Equipment & Components - 1.9% | |||
| Arrow Electronics, Inc. (a) | 21,454 | 2,543,801 | |
| Avnet, Inc. | 28,915 | 1,194,768 | |
| Cognex Corp. | 49,954 | 4,516,341 | |
| Coherent, Inc. (a) | 7,124 | 1,752,077 | |
| IPG Photonics Corp. (a) | 10,578 | 2,307,696 | |
| Jabil, Inc. | 42,368 | 2,522,591 | |
| Littelfuse, Inc. | 7,001 | 1,862,196 | |
| National Instruments Corp. | 38,373 | 1,692,633 | |
| SYNNEX Corp. | 12,134 | 1,450,498 | |
| Vontier Corp. | 49,296 | 1,594,726 | |
| 21,437,327 | |||
| IT Services - 3.4% | |||
| Alliance Data Systems Corp. | 14,505 | 1,352,591 | |
| Amdocs Ltd. | 37,803 | 2,914,989 | |
| Concentrix Corp. (a) | 12,308 | 2,015,189 | |
| DXC Technology Co. (a) | 74,138 | 2,964,037 | |
| Euronet Worldwide, Inc. (a) | 14,798 | 2,113,450 | |
| Fastly, Inc. Class A (a)(b) | 30,823 | 1,481,662 | |
| Genpact Ltd. | 53,515 | 2,665,582 | |
| Globant SA (a) | 11,351 | 2,714,705 | |
| Jack Henry & Associates, Inc. | 21,577 | 3,756,340 | |
| MongoDB, Inc. Class A (a) | 15,454 | 5,546,750 | |
| Paysafe Ltd. (a) | 89,937 | 970,420 | |
| Sabre Corp. (a)(b) | 92,521 | 1,090,823 | |
| Shift4 Payments, Inc. (a) | 12,517 | 1,116,391 | |
| SolarWinds, Inc. (a) | 20,350 | 228,734 | |
| Switch, Inc. Class A | 33,413 | 690,313 | |
| The Western Union Co. | 119,346 | 2,770,021 | |
| WEX, Inc. (a) | 13,051 | 2,476,166 | |
| 36,868,163 | |||
| Semiconductors & Semiconductor Equipment - 3.5% | |||
| Allegro MicroSystems LLC (a) | 14,980 | 410,602 | |
| Brooks Automation, Inc. | 21,393 | 1,904,191 | |
| Cirrus Logic, Inc. (a) | 16,856 | 1,392,137 | |
| Cree, Inc. (a) | 33,696 | 3,125,641 | |
| Enphase Energy, Inc. (a) | 38,534 | 7,306,044 | |
| Entegris, Inc. | 39,335 | 4,745,374 | |
| First Solar, Inc. (a) | 30,965 | 2,664,229 | |
| MKS Instruments, Inc. | 16,156 | 2,527,445 | |
| Monolithic Power Systems, Inc. | 13,095 | 5,883,060 | |
| ON Semiconductor Corp. (a) | 123,724 | 4,832,659 | |
| Universal Display Corp. | 12,644 | 2,964,892 | |
| 37,756,274 | |||
| Software - 8.3% | |||
| Alteryx, Inc. Class A (a) | 17,137 | 1,326,404 | |
| Anaplan, Inc. (a) | 41,038 | 2,347,374 | |
| Aspen Technology, Inc. (a) | 19,844 | 2,902,383 | |
| Avalara, Inc. (a) | 24,755 | 4,138,293 | |
| Bentley Systems, Inc. Class B (b) | 39,309 | 2,390,380 | |
| Bill.Com Holdings, Inc. (a) | 21,919 | 4,533,288 | |
| Black Knight, Inc. (a) | 44,422 | 3,678,586 | |
| C3.Ai, Inc. (b) | 5,361 | 269,926 | |
| CDK Global, Inc. | 35,532 | 1,705,181 | |
| Ceridian HCM Holding, Inc. (a) | 37,748 | 3,714,403 | |
| Datto Holding Corp. (b) | 6,947 | 181,247 | |
| Dolby Laboratories, Inc. Class A | 18,718 | 1,817,518 | |
| DoubleVerify Holdings, Inc. (a) | 4,443 | 153,728 | |
| Dropbox, Inc. Class A (a) | 89,095 | 2,805,602 | |
| Duck Creek Technologies, Inc. (a) | 20,904 | 918,313 | |
| Dynatrace, Inc. (a) | 53,742 | 3,432,502 | |
| Elastic NV (a) | 19,957 | 2,954,833 | |
| Everbridge, Inc. (a) | 10,952 | 1,546,641 | |
| Fair Isaac Corp. (a) | 8,152 | 4,270,914 | |
| FireEye, Inc. (a) | 68,329 | 1,380,246 | |
| Five9, Inc. (a) | 19,517 | 3,928,577 | |
| Guidewire Software, Inc. (a) | 24,522 | 2,824,934 | |
| Jamf Holding Corp. (a)(b) | 15,420 | 505,930 | |
| Manhattan Associates, Inc. (a) | 18,493 | 2,952,038 | |
| McAfee Corp. | 13,492 | 365,228 | |
| Medallia, Inc. (a) | 30,189 | 1,022,501 | |
| N-able, Inc. (a)(b) | 10,280 | 141,864 | |
| nCino, Inc. (a) | 13,715 | 871,863 | |
| New Relic, Inc. (a) | 15,950 | 1,101,826 | |
| NortonLifeLock, Inc. | 160,624 | 3,986,688 | |
| Nuance Communications, Inc. (a) | 83,246 | 4,570,205 | |
| Nutanix, Inc. Class A (a) | 56,145 | 2,022,343 | |
| Paylocity Holding Corp. (a) | 10,957 | 2,273,139 | |
| Pegasystems, Inc. | 11,892 | 1,517,895 | |
| Proofpoint, Inc. (a) | 16,571 | 2,894,291 | |
| PTC, Inc. (a) | 30,798 | 4,171,589 | |
| Smartsheet, Inc. (a) | 35,106 | 2,546,940 | |
| Teradata Corp. (a) | 31,737 | 1,576,059 | |
| Zendesk, Inc. (a) | 34,378 | 4,487,360 | |
| 90,229,032 | |||
| Technology Hardware, Storage & Peripherals - 0.4% | |||
| NCR Corp. (a) | 37,154 | 1,649,638 | |
| Pure Storage, Inc. Class A (a) | 77,971 | 1,521,994 | |
| Xerox Holdings Corp. | 44,645 | 1,077,284 | |
| 4,248,916 | |||
| TOTAL INFORMATION TECHNOLOGY | 203,412,689 | ||
| MATERIALS - 6.5% | |||
| Chemicals - 2.4% | |||
| Ashland Global Holdings, Inc. | 16,016 | 1,362,481 | |
| Axalta Coating Systems Ltd. (a) | 60,878 | 1,832,428 | |
| CF Industries Holdings, Inc. | 62,497 | 2,952,983 | |
| Diversey Holdings Ltd. (a) | 14,951 | 249,383 | |
| Element Solutions, Inc. | 67,449 | 1,577,632 | |
| Huntsman Corp. | 61,679 | 1,628,942 | |
| NewMarket Corp. | 1,952 | 616,656 | |
| Olin Corp. | 42,020 | 1,976,201 | |
| RPM International, Inc. | 37,307 | 3,230,413 | |
| The Chemours Co. LLC | 48,128 | 1,600,256 | |
| The Mosaic Co. | 100,953 | 3,152,762 | |
| The Scotts Miracle-Gro Co. Class A | 11,996 | 2,122,812 | |
| Valvoline, Inc. | 52,797 | 1,619,812 | |
| W.R. Grace & Co. | 16,401 | 1,141,510 | |
| Westlake Chemical Corp. | 9,666 | 801,505 | |
| 25,865,776 | |||
| Construction Materials - 0.2% | |||
| Eagle Materials, Inc. | 11,989 | 1,694,285 | |
| Containers & Packaging - 2.3% | |||
| Aptargroup, Inc. | 19,187 | 2,473,588 | |
| Ardagh Group SA | 5,358 | 125,109 | |
| Avery Dennison Corp. | 24,179 | 5,094,032 | |
| Berry Global Group, Inc. (a) | 39,469 | 2,537,462 | |
| Crown Holdings, Inc. | 37,895 | 3,780,405 | |
| Graphic Packaging Holding Co. | 82,289 | 1,577,480 | |
| Packaging Corp. of America | 27,388 | 3,875,402 | |
| Sealed Air Corp. | 44,385 | 2,518,849 | |
| Silgan Holdings, Inc. | 24,572 | 995,657 | |
| Sonoco Products Co. | 29,258 | 1,866,368 | |
| 24,844,352 | |||
| Metals & Mining - 1.5% | |||
| Alcoa Corp. (a) | 54,572 | 2,191,066 | |
| Cleveland-Cliffs, Inc. (a) | 133,094 | 3,327,350 | |
| Reliance Steel & Aluminum Co. | 18,506 | 2,908,218 | |
| Royal Gold, Inc. | 19,139 | 2,325,771 | |
| Steel Dynamics, Inc. | 58,622 | 3,778,188 | |
| United States Steel Corp. | 78,123 | 2,068,697 | |
| 16,599,290 | |||
| Paper & Forest Products - 0.1% | |||
| Louisiana-Pacific Corp. | 29,714 | 1,647,344 | |
| TOTAL MATERIALS | 70,651,047 | ||
| REAL ESTATE - 9.5% | |||
| Equity Real Estate Investment Trusts (REITs) - 9.0% | |||
| American Campus Communities, Inc. | 39,911 | 2,007,922 | |
| American Homes 4 Rent Class A | 81,239 | 3,412,038 | |
| Americold Realty Trust | 73,816 | 2,867,752 | |
| Apartment Income (REIT) Corp. | 45,555 | 2,398,015 | |
| Brixmor Property Group, Inc. | 86,295 | 1,986,511 | |
| Camden Property Trust (SBI) | 27,620 | 4,126,152 | |
| CoreSite Realty Corp. | 12,410 | 1,715,186 | |
| Cousins Properties, Inc. | 43,212 | 1,716,381 | |
| CubeSmart | 58,706 | 2,915,340 | |
| CyrusOne, Inc. | 35,796 | 2,551,181 | |
| Douglas Emmett, Inc. | 48,493 | 1,619,666 | |
| EPR Properties | 21,572 | 1,085,072 | |
| Equity Lifestyle Properties, Inc. | 50,784 | 4,255,699 | |
| Federal Realty Investment Trust (SBI) | 22,567 | 2,652,300 | |
| First Industrial Realty Trust, Inc. | 37,507 | 2,054,633 | |
| Gaming & Leisure Properties | 64,443 | 3,050,732 | |
| Healthcare Trust of America, Inc. | 63,435 | 1,813,607 | |
| Highwoods Properties, Inc. (SBI) | 29,956 | 1,428,602 | |
| Host Hotels & Resorts, Inc. (a) | 204,370 | 3,255,614 | |
| Hudson Pacific Properties, Inc. | 42,774 | 1,166,019 | |
| Iron Mountain, Inc. | 83,741 | 3,664,506 | |
| JBG SMITH Properties | 36,108 | 1,178,204 | |
| Kilroy Realty Corp. | 33,842 | 2,344,235 | |
| Kimco Realty Corp. | 120,708 | 2,574,702 | |
| Lamar Advertising Co. Class A | 25,188 | 2,685,041 | |
| Life Storage, Inc. | 22,324 | 2,619,945 | |
| Medical Properties Trust, Inc. | 169,409 | 3,562,671 | |
| National Retail Properties, Inc. | 51,094 | 2,496,964 | |
| Omega Healthcare Investors, Inc. | 68,769 | 2,494,939 | |
| Park Hotels & Resorts, Inc. (a) | 68,440 | 1,266,140 | |
| Rayonier, Inc. | 40,241 | 1,517,488 | |
| Regency Centers Corp. | 49,381 | 3,230,011 | |
| Rexford Industrial Realty, Inc. | 39,251 | 2,414,722 | |
| SL Green Realty Corp. | 20,451 | 1,522,781 | |
| Spirit Realty Capital, Inc. | 33,414 | 1,678,051 | |
| Store Capital Corp. | 71,436 | 2,585,269 | |
| VEREIT, Inc. | 66,893 | 3,275,750 | |
| VICI Properties, Inc. | 156,966 | 4,895,770 | |
| Vornado Realty Trust | 51,152 | 2,225,112 | |
| Weingarten Realty Investors (SBI) | 34,824 | 1,120,985 | |
| 97,431,708 | |||
| Real Estate Management & Development - 0.5% | |||
| Howard Hughes Corp. (a) | 12,095 | 1,121,327 | |
| Jones Lang LaSalle, Inc. (a) | 14,935 | 3,324,083 | |
| Opendoor Technologies, Inc. (a) | 101,336 | 1,501,800 | |
| 5,947,210 | |||
| TOTAL REAL ESTATE | 103,378,918 | ||
| UTILITIES - 2.5% | |||
| Electric Utilities - 1.0% | |||
| Hawaiian Electric Industries, Inc. | 30,730 | 1,331,838 | |
| IDACORP, Inc. | 14,674 | 1,547,373 | |
| NRG Energy, Inc. | 71,106 | 2,932,411 | |
| OGE Energy Corp. | 58,199 | 1,964,216 | |
| Pinnacle West Capital Corp. | 32,949 | 2,752,889 | |
| 10,528,727 | |||
| Gas Utilities - 0.4% | |||
| National Fuel Gas Co. | 25,554 | 1,314,242 | |
| UGI Corp. | 60,764 | 2,794,536 | |
| 4,108,778 | |||
| Independent Power and Renewable Electricity Producers - 0.4% | |||
| Brookfield Renewable Corp. | 37,336 | 1,584,540 | |
| Vistra Corp. | 139,941 | 2,679,870 | |
| 4,264,410 | |||
| Multi-Utilities - 0.4% | |||
| MDU Resources Group, Inc. | 58,143 | 1,844,296 | |
| NiSource, Inc. | 114,499 | 2,836,140 | |
| 4,680,436 | |||
| Water Utilities - 0.3% | |||
| Essential Utilities, Inc. | 65,439 | 3,214,364 | |
| TOTAL UTILITIES | 26,796,715 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $706,374,285) | 1,084,720,703 | ||
| Money Market Funds - 3.5% | |||
| Fidelity Cash Central Fund 0.06% (c) | 3,894,116 | 3,894,895 | |
| Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) | 34,471,421 | 34,474,868 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $38,369,763) | 38,369,763 | ||
| TOTAL INVESTMENT IN SECURITIES - 103.3% | |||
| (Cost $744,744,048) | 1,123,090,466 | ||
| NET OTHER ASSETS (LIABILITIES) - (3.3)% | (35,675,623) | ||
| NET ASSETS - 100% | $1,087,414,843 |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
| Purchased | |||||
| Equity Index Contracts | |||||
| CME E-mini S&P Mid Cap 400 Index Contracts (United States) | 10 | Sept. 2021 | $2,698,700 | $68,912 | $68,912 |
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
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 | $6,970 |
| Fidelity Securities Lending Cash Central Fund | 244,633 |
| Total | $251,603 |
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.
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
| Fidelity Cash Central Fund 0.06% | $16,831,316 | $706,348,779 | $719,284,754 | $(446) | $-- | $3,894,895 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 0.06% | 85,066,861 | 643,677,752 | 694,269,745 | -- | -- | 34,474,868 | 0.1% |
| Total | $101,898,177 | $1,350,026,531 | $1,413,554,499 | $(446) | $-- | $38,369,763 |
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: | ||||
| Description | Total | Level 1 | Level 2 | Level 3 |
| Investments in Securities: | ||||
| Equities: | ||||
| Communication Services | $26,484,281 | $26,484,281 | $-- | $-- |
| Consumer Discretionary | 145,018,956 | 145,018,956 | -- | -- |
| Consumer Staples | 31,337,180 | 31,337,180 | -- | -- |
| Energy | 29,134,087 | 29,134,087 | -- | -- |
| Financials | 138,344,493 | 138,344,493 | -- | -- |
| Health Care | 124,521,265 | 124,521,265 | -- | -- |
| Industrials | 185,641,072 | 185,641,072 | -- | -- |
| Information Technology | 203,412,689 | 203,412,689 | -- | -- |
| Materials | 70,651,047 | 70,651,047 | -- | -- |
| Real Estate | 103,378,918 | 103,378,918 | -- | -- |
| Utilities | 26,796,715 | 26,796,715 | -- | -- |
| Money Market Funds | 38,369,763 | 38,369,763 | -- | -- |
| Total Investments in Securities: | $1,123,090,466 | $1,123,090,466 | $-- | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $68,912 | $68,912 | $-- | $-- |
| Total Assets | $68,912 | $68,912 | $-- | $-- |
| Total Derivative Instruments: | $68,912 | $68,912 | $-- | $-- |
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, 2021. 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) | $68,912 | $0 |
| Total Equity Risk | 68,912 | 0 |
| Total Value of Derivatives | $68,912 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| July 31, 2021 | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $33,212,052) — See accompanying schedule: Unaffiliated issuers (cost $706,374,285) | $1,084,720,703 | |
| Fidelity Central Funds (cost $38,369,763) | 38,369,763 | |
| Total Investment in Securities (cost $744,744,048) | $1,123,090,466 | |
| Segregated cash with brokers for derivative instruments | 229,500 | |
| Receivable for fund shares sold | 639,990 | |
| Dividends receivable | 424,375 | |
| Distributions receivable from Fidelity Central Funds | 6,838 | |
| Prepaid expenses | 982 | |
| Receivable from investment adviser for expense reductions | 89,938 | |
| Total assets | 1,124,482,089 | |
| Liabilities | ||
| Payable for investments purchased | $1,994,465 | |
| Payable for fund shares redeemed | 415,499 | |
| Accrued management fee | 92,147 | |
| Payable for daily variation margin on futures contracts | 8,269 | |
| Other payables and accrued expenses | 91,328 | |
| Collateral on securities loaned | 34,465,538 | |
| Total liabilities | 37,067,246 | |
| Net Assets | $1,087,414,843 | |
| Net Assets consist of: | ||
| Paid in capital | $344,124,780 | |
| Total accumulated earnings (loss) | 743,290,063 | |
| Net Assets | $1,087,414,843 | |
| Net Asset Value, offering price and redemption price per share ($1,087,414,843 ÷ 66,067,206 shares) | $16.46 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Year ended July 31, 2021 | ||
| Investment Income | ||
| Dividends | $28,871,232 | |
| Income from Fidelity Central Funds (including $244,633 from security lending) | 251,603 | |
| Total income | 29,122,835 | |
| Expenses | ||
| Management fee | $2,257,875 | |
| Custodian fees and expenses | 102,753 | |
| Independent trustees' fees and expenses | 6,015 | |
| Registration fees | 156,986 | |
| Audit | 53,270 | |
| Legal | 10,947 | |
| Interest | 16,504 | |
| Miscellaneous | 9,024 | |
| Total expenses before reductions | 2,613,374 | |
| Expense reductions | (1,566,144) | |
| Total expenses after reductions | 1,047,230 | |
| Net investment income (loss) | 28,075,605 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 652,164,717 | |
| Fidelity Central Funds | (446) | |
| Futures contracts | 2,337,289 | |
| Total net realized gain (loss) | 654,501,560 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 181,248,190 | |
| Futures contracts | (242,502) | |
| Total change in net unrealized appreciation (depreciation) | 181,005,688 | |
| Net gain (loss) | 835,507,248 | |
| Net increase (decrease) in net assets resulting from operations | $863,582,853 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Year ended July 31, 2021 | Year ended July 31, 2020 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $28,075,605 | $26,992,398 |
| Net realized gain (loss) | 654,501,560 | 125,470,983 |
| Change in net unrealized appreciation (depreciation) | 181,005,688 | (83,318,580) |
| Net increase (decrease) in net assets resulting from operations | 863,582,853 | 69,144,801 |
| Distributions to shareholders | (165,880,066) | (82,587,160) |
| Share transactions | ||
| Proceeds from sales of shares | 1,316,673,142 | 1,441,606,281 |
| Reinvestment of distributions | 165,691,380 | 31,118,897 |
| Cost of shares redeemed | (3,014,462,118) | (1,399,758,420) |
| Net increase (decrease) in net assets resulting from share transactions | (1,532,097,596) | 72,966,758 |
| Total increase (decrease) in net assets | (834,394,809) | 59,524,399 |
| Net Assets | ||
| Beginning of period | 1,921,809,652 | 1,862,285,253 |
| End of period | $1,087,414,843 | $1,921,809,652 |
| Other Information | ||
| Shares | ||
| Sold | 94,819,743 | 130,546,747 |
| Issued in reinvestment of distributions | 14,258,047 | 2,475,641 |
| Redeemed | (200,707,173) | (120,871,335) |
| Net increase (decrease) | (91,629,383) | 12,151,053 |
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, | 2021 | 2020 | 2019 | 2018 | 2017 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $12.19 | $12.80 | $12.95 | $11.37 | $10.26 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .20 | .20 | .19 | .17 | .15 |
| Net realized and unrealized gain (loss) | 5.09 | (.20)B,C | .46 | 1.62 | 1.11 |
| Total from investment operations | 5.29 | – | .65 | 1.79 | 1.26 |
| Distributions from net investment income | (.17) | (.22) | (.18) | (.13) | (.09) |
| Distributions from net realized gain | (.85) | (.39) | (.63) | (.08) | (.06) |
| Total distributions | (1.02) | (.61) | (.80)D | (.21) | (.15) |
| Net asset value, end of period | $16.46 | $12.19 | $12.80 | $12.95 | $11.37 |
| Total ReturnE,F | 46.99% | (.03)%C | 5.26% | 15.91% | 12.41% |
| Ratios to Average Net AssetsG,H | |||||
| Expenses before reductions | .13% | .13% | .22% | .23% | .29% |
| Expenses net of fee waivers, if any | .05% | .05% | .08% | .13% | .15% |
| Expenses net of all reductions | .05% | .05% | .08% | .13% | .15% |
| Net investment income (loss) | 1.37% | 1.66% | 1.53% | 1.37% | 1.38% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $1,087,415 | $1,921,810 | $1,862,285 | $2,281,452 | $1,460,960 |
| Portfolio turnover rateI | 69% | 79% | 41% | 39% | 22% |
A Calculated based on average shares outstanding during the period.
B The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been (.16) %.
D Total distributions per share do not sum due to rounding.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended July 31, 2021
1. Organization.
Fidelity SAI Small-Mid Cap 500 Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% to .01% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has 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, 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, 2021 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.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, partnerships and losses deferred due to wash sales.
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 | $388,818,990 |
| Gross unrealized depreciation | (15,463,727) |
| Net unrealized appreciation (depreciation) | $373,355,263 |
| Tax Cost | $749,735,203 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $7,637,189 |
| Undistributed long-term capital gain | $362,297,611 |
| Net unrealized appreciation (depreciation) on securities and other investments | $373,355,263 |
The tax character of distributions paid was as follows:
| July 31, 2021 | July 31, 2020 | |
| Ordinary Income | $55,433,945 | $ 30,336,554 |
| Long-term Capital Gains | 110,446,121 | 52,250,606 |
| Total | $165,880,066 | $ 82,587,160 |
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 and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity SAI Small-Mid Cap 500 Index Fund | 1,351,077,659 | 2,973,268,156 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .11% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
| Fidelity SAI Small-Mid Cap 500 Index Fund | Borrower | $41,384,950 | .31% | $14,092 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Fidelity SAI Small-Mid Cap 500 Index Fund | $4,192 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Fidelity SAI Small-Mid Cap 500 Index Fund | $28,910 | $372 | $306,658 |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
| Fidelity SAI Small-Mid Cap 500 Index Fund | $144,702,000 | .60% | $2,412 |
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, 2021. 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 $1,565,997.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $147.
11. Other.
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.
12. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of 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, 2021, 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, 2021, 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, 2021, 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, 2021
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 314 funds. Mr. Chiel oversees 176 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 Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
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 and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and 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 her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. 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. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for 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
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
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).
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present) and 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).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jamie Pagliocco (1964)
Year of Election or Appointment: 2020
Vice President
Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.
Kenneth B. Robins (1969)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
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 FIMM, LLC (2021-present) and 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 LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During Period-B February 1, 2021 to July 31, 2021 | |
| Fidelity SAI Small-Mid Cap 500 Index Fund | .05% | |||
| Actual | $1,000.00 | $1,157.50 | $.27 | |
| Hypothetical-C | $1,000.00 | $1,024.55 | $.25 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
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 13, 2021, to shareholders of record at the opening of business on September 10, 2021, a distribution of $5.421 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.115 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2021, $404,276,942, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 28% and 43% 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 30% and 45% 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 5% and 33% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts
Fidelity SAI Small-Mid Cap 500 Index Fund
At its July 2021 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 LLC (FMR), the fund's investment adviser, to Geode on behalf of the fund by 0.25 basis points, effective August 1, 2021. 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 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 agreement (Advisory Contracts). At its September 2020 meeting, the Board concluded that the nature, extent and quality of the services provided to the fund under the existing Advisory Contracts should continue to 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 should continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Expense Ratio. The Board noted that the Amended Contract would result in no change in the fund's management fee and total expense ratio and 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 2020 and July 2021 meetings that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered and that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board previously reviewed information regarding the revenues earned and the expenses incurred by Fidelity in providing services to the fund and the level of Fidelity's profitability. At its September 2020 meeting, the Board concluded that it was satisfied that Fidelity's profitability in connection with the operation of the fund was not excessive. At the July 2021 meeting, the Board concluded that the Amended Contract would not have a meaningful effect on Fidelity's profitability.Economies of Scale. The Board has 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 2020 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. At the July 2021 meeting, the Board concluded that the Amended Contract would not have a meaningful effect on any potential economies of scale.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the sub-advisory fee arrangement is fair and reasonable, and that the fund's Amended Contract should be approved.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SV3-ANN-0921
1.9868212.105
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.
July 31, 2021
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 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.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
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, 2021 | Past 1 year | Past 5 years | Life of fundA |
| Fidelity® SAI U.S. Quality Index Fund | 32.64% | 19.34% | 18.15% |
A From October 8, 2015
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Quality Index Fund on October 8, 2015, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Quality Focus Index℠, the Fidelity SAI U.S. Quality Index Fund Linked Index, and the S&P 500 Index performed over the same period.
| Period Ending Values | ||
| $26,383 | Fidelity® SAI U.S. Quality Index Fund | |
| $26,430 | Fidelity U.S. Quality Focus Index℠ | |
| $26,537 | Fidelity SAI U.S. Quality Index Fund Linked Index | |
| $24,439 | S&P 500 Index | |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year ending July 31, 2021, the fund gained 32.64%, roughly in line with the 32.72% advance of the benchmark Fidelity U.S. Quality Focus Index. By sector, information technology rose 35% and contributed most, followed by communication services, which gained 58%, benefiting from the media & entertainment industry (+58%). The health care sector rose roughly 26%, consumer discretionary gained about 37%, and financials advanced roughly 32%. Other notable contributors included the industrials (+19%), consumer staples (+13%), real estate (+121%), and materials (+7%) sectors. Turning to individual stocks, the biggest individual contributor was Alphabet (+81%), from the media & entertainment segment. Apple, within the technology hardware & equipment group, advanced approximately 37% and lifted the fund. In software & services, Microsoft (+40%) and Adobe (+39%) helped. Another contributor was Facebook (+40%), a stock in the media & entertainment category. Conversely, the biggest individual detractor was AbbVie (-5%), from the pharmaceuticals, biotechnology & life sciences industry. Regeneron Pharmaceuticals, within the pharmaceuticals, biotechnology & life sciences category, returned roughly -13% and hindered the fund. In household & personal products, Clorox (-22%) and Kimberly-Clark (-11%) hurt. Another detractor was Zoom Video Communications (-8%), a stock in the software & services segment.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Top Five Stocks as of July 31, 2021
| % of fund's net assets | |
| Apple, Inc. | 8.4 |
| Microsoft Corp. | 8.0 |
| Alphabet, Inc. Class A | 6.8 |
| Facebook, Inc. Class A | 4.7 |
| Adobe, Inc. | 4.1 |
| 32.0 |
Top Five Market Sectors as of July 31, 2021
| % of fund's net assets | |
| Information Technology | 36.9 |
| Health Care | 21.2 |
| Communication Services | 12.2 |
| Financials | 9.9 |
| Consumer Staples | 8.7 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2021 * | ||
| Stocks and Equity Futures | 100.0% | |
* Foreign investments - 2.0%
Schedule of Investments July 31, 2021
Showing Percentage of Net Assets
| Common Stocks - 99.7% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 12.2% | |||
| Interactive Media & Services - 12.2% | |||
| Alphabet, Inc. Class A (a) | 255,458 | $688,339,245 | |
| Facebook, Inc. Class A (a) | 1,349,562 | 480,848,941 | |
| Match Group, Inc. (a) | 435,726 | 69,398,080 | |
| 1,238,586,266 | |||
| CONSUMER DISCRETIONARY - 2.5% | |||
| Auto Components - 0.1% | |||
| Gentex Corp. | 390,392 | 13,285,040 | |
| Household Durables - 0.4% | |||
| Garmin Ltd. | 236,296 | 37,145,731 | |
| Internet & Direct Marketing Retail - 0.7% | |||
| Amazon.com, Inc. (a) | 10,533 | 35,049,505 | |
| Etsy, Inc. (a) | 201,530 | 36,982,770 | |
| 72,032,275 | |||
| Leisure Products - 0.1% | |||
| YETI Holdings, Inc. (a)(b) | 119,545 | 11,515,770 | |
| Specialty Retail - 1.2% | |||
| AutoZone, Inc. (a) | 35,204 | 57,156,158 | |
| O'Reilly Automotive, Inc. (a) | 110,753 | 66,877,092 | |
| 124,033,250 | |||
| TOTAL CONSUMER DISCRETIONARY | 258,012,066 | ||
| CONSUMER STAPLES - 8.7% | |||
| Beverages - 0.8% | |||
| Brown-Forman Corp. Class B (non-vtg.) | 293,005 | 20,779,915 | |
| Monster Beverage Corp. (a) | 589,325 | 55,585,134 | |
| 76,365,049 | |||
| Food Products - 0.4% | |||
| The Hershey Co. | 230,276 | 41,191,771 | |
| Household Products - 5.0% | |||
| Colgate-Palmolive Co. | 1,340,700 | 106,585,650 | |
| Procter & Gamble Co. | 2,587,915 | 368,079,150 | |
| The Clorox Co. | 201,325 | 36,417,679 | |
| 511,082,479 | |||
| Personal Products - 0.1% | |||
| Herbalife Nutrition Ltd. (a)(b) | 140,595 | 7,161,909 | |
| Tobacco - 2.4% | |||
| Philip Morris International, Inc. | 2,465,191 | 246,740,967 | |
| TOTAL CONSUMER STAPLES | 882,542,175 | ||
| FINANCIALS - 9.9% | |||
| Capital Markets - 5.6% | |||
| Evercore, Inc. Class A (b) | 66,940 | 8,849,468 | |
| FactSet Research Systems, Inc. | 60,673 | 21,677,249 | |
| KKR & Co. LP | 912,883 | 58,205,420 | |
| Lazard Ltd. Class A | 179,965 | 8,494,348 | |
| LPL Financial | 126,978 | 17,908,977 | |
| MarketAxess Holdings, Inc. | 60,885 | 28,930,725 | |
| Moody's Corp. | 254,422 | 95,662,672 | |
| S&P Global, Inc. | 281,864 | 120,840,734 | |
| SEI Investments Co. | 189,789 | 11,539,171 | |
| T. Rowe Price Group, Inc. | 362,321 | 73,971,455 | |
| The Blackstone Group LP | 1,083,532 | 124,898,734 | |
| 570,978,953 | |||
| Consumer Finance - 0.2% | |||
| Credit Acceptance Corp. (a)(b) | 18,661 | 9,046,293 | |
| SLM Corp. | 522,014 | 9,829,524 | |
| 18,875,817 | |||
| Insurance - 4.1% | |||
| Allstate Corp. | 481,146 | 62,573,037 | |
| Aon PLC (b) | 358,663 | 93,263,140 | |
| Athene Holding Ltd. (a) | 197,043 | 12,732,919 | |
| Erie Indemnity Co. Class A | 39,883 | 7,373,968 | |
| Fidelity National Financial, Inc. (b) | 466,231 | 20,798,565 | |
| Marsh & McLennan Companies, Inc. | 801,134 | 117,942,947 | |
| Old Republic International Corp. | 443,209 | 10,929,534 | |
| Progressive Corp. | 931,650 | 88,655,814 | |
| 414,269,924 | |||
| TOTAL FINANCIALS | 1,004,124,694 | ||
| HEALTH CARE - 21.2% | |||
| Biotechnology - 3.0% | |||
| Amgen, Inc. | 914,738 | 220,945,817 | |
| Biogen, Inc. (a) | 241,797 | 79,002,334 | |
| 299,948,151 | |||
| Health Care Equipment & Supplies - 4.7% | |||
| Edwards Lifesciences Corp. (a) | 990,207 | 111,170,540 | |
| Hologic, Inc. (a) | 410,847 | 30,829,959 | |
| IDEXX Laboratories, Inc. (a) | 135,402 | 91,874,319 | |
| Intuitive Surgical, Inc. (a) | 186,831 | 185,235,463 | |
| ResMed, Inc. | 230,942 | 62,770,036 | |
| 481,880,317 | |||
| Health Care Providers & Services - 0.3% | |||
| Quest Diagnostics, Inc. | 211,330 | 29,966,594 | |
| Health Care Technology - 1.1% | |||
| Cerner Corp. | 486,932 | 39,144,463 | |
| Veeva Systems, Inc. Class A (a) | 217,213 | 72,268,937 | |
| 111,413,400 | |||
| Life Sciences Tools & Services - 2.0% | |||
| Bio-Techne Corp. | 61,811 | 29,807,737 | |
| Illumina, Inc. (a) | 231,707 | 114,868,745 | |
| Mettler-Toledo International, Inc. (a) | 37,026 | 54,565,586 | |
| 199,242,068 | |||
| Pharmaceuticals - 10.1% | |||
| Eli Lilly & Co. | 1,260,800 | 307,004,800 | |
| Jazz Pharmaceuticals PLC (a) | 95,013 | 16,106,604 | |
| Merck & Co., Inc. | 2,522,450 | 193,900,732 | |
| Pfizer, Inc. | 8,332,763 | 356,725,584 | |
| Zoetis, Inc. Class A | 752,202 | 152,471,345 | |
| 1,026,209,065 | |||
| TOTAL HEALTH CARE | 2,148,659,595 | ||
| INDUSTRIALS - 7.3% | |||
| Aerospace & Defense - 1.4% | |||
| Lockheed Martin Corp. | 390,546 | 145,154,232 | |
| Building Products - 0.1% | |||
| A.O. Smith Corp. | 214,894 | 15,113,495 | |
| Commercial Services & Supplies - 0.1% | |||
| Rollins, Inc. | 355,169 | 13,613,628 | |
| Electrical Equipment - 0.6% | |||
| Rockwell Automation, Inc. | 184,631 | 56,759,262 | |
| Industrial Conglomerates - 1.8% | |||
| 3M Co. | 917,379 | 181,585,999 | |
| Machinery - 2.3% | |||
| Donaldson Co., Inc. (b) | 198,664 | 13,149,570 | |
| Fortive Corp. | 538,337 | 39,115,566 | |
| Illinois Tool Works, Inc. | 455,164 | 103,172,024 | |
| Otis Worldwide Corp. | 645,094 | 57,768,168 | |
| Snap-On, Inc. | 86,148 | 18,778,541 | |
| 231,983,869 | |||
| Professional Services - 0.2% | |||
| Robert Half International, Inc. | 179,767 | 17,654,917 | |
| Trading Companies & Distributors - 0.8% | |||
| Fastenal Co. | 907,653 | 49,712,155 | |
| W.W. Grainger, Inc. | 69,402 | 30,854,741 | |
| 80,566,896 | |||
| TOTAL INDUSTRIALS | 742,432,298 | ||
| INFORMATION TECHNOLOGY - 36.9% | |||
| IT Services - 9.8% | |||
| Automatic Data Processing, Inc. | 678,493 | 142,232,488 | |
| MasterCard, Inc. Class A | 961,092 | 370,923,846 | |
| Paychex, Inc. | 507,952 | 57,815,097 | |
| VeriSign, Inc. (a) | 157,259 | 34,026,130 | |
| Visa, Inc. Class A (b) | 1,593,324 | 392,579,100 | |
| 997,576,661 | |||
| Semiconductors & Semiconductor Equipment - 5.1% | |||
| Intel Corp. | 4,417,047 | 237,283,765 | |
| Texas Instruments, Inc. | 1,460,456 | 278,392,123 | |
| 515,675,888 | |||
| Software - 13.6% | |||
| Adobe, Inc. (a) | 668,006 | 415,252,570 | |
| Check Point Software Technologies Ltd. (a) | 176,701 | 22,458,697 | |
| Fair Isaac Corp. (a) | 46,712 | 24,472,884 | |
| Fortinet, Inc. (a) | 215,202 | 58,586,592 | |
| Manhattan Associates, Inc. (a) | 102,407 | 16,347,229 | |
| Microsoft Corp. | 2,830,710 | 806,497,586 | |
| Paycom Software, Inc. (a) | 78,508 | 31,403,200 | |
| 1,375,018,758 | |||
| Technology Hardware, Storage & Peripherals - 8.4% | |||
| Apple, Inc. | 5,805,872 | 846,844,491 | |
| TOTAL INFORMATION TECHNOLOGY | 3,735,115,798 | ||
| MATERIALS - 0.9% | |||
| Chemicals - 0.9% | |||
| Ecolab, Inc. | 393,668 | 86,933,704 | |
| REAL ESTATE - 0.1% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
| CoreSite Realty Corp. | 68,627 | 9,484,938 | |
| TOTAL COMMON STOCKS | |||
| (Cost $6,812,738,070) | 10,105,891,534 | ||
| Money Market Funds - 2.3% | |||
| Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) | |||
| (Cost $234,182,625) | 234,159,209 | 234,182,625 | |
| TOTAL INVESTMENT IN SECURITIES - 102.0% | |||
| (Cost $7,046,920,695) | 10,340,074,159 | ||
| NET OTHER ASSETS (LIABILITIES) - (2.0)% | (203,983,626) | ||
| NET ASSETS - 100% | $10,136,090,533 |
| 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) | 138 | Sept. 2021 | $30,287,550 | $872,520 | $872,520 |
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) 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 | $16,973 |
| Fidelity Securities Lending Cash Central Fund | 33,018 |
| Total | $49,991 |
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.
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
| Fidelity Cash Central Fund 0.06% | $-- | $2,555,808,631 | $2,555,817,388 | $8,757 | $-- | $-- | 0.0% |
| Fidelity Securities Lending Cash Central Fund 0.06% | 82,978,300 | 689,668,061 | 538,463,736 | -- | -- | 234,182,625 | 0.7% |
| Total | $82,978,300 | $3,245,476,692 | $3,094,281,124 | $8,757 | $-- | $234,182,625 |
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2021, 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 | $1,238,586,266 | $1,238,586,266 | $-- | $-- |
| Consumer Discretionary | 258,012,066 | 258,012,066 | -- | -- |
| Consumer Staples | 882,542,175 | 882,542,175 | -- | -- |
| Financials | 1,004,124,694 | 1,004,124,694 | -- | -- |
| Health Care | 2,148,659,595 | 2,148,659,595 | -- | -- |
| Industrials | 742,432,298 | 742,432,298 | -- | -- |
| Information Technology | 3,735,115,798 | 3,735,115,798 | -- | -- |
| Materials | 86,933,704 | 86,933,704 | -- | -- |
| Real Estate | 9,484,938 | 9,484,938 | -- | -- |
| Money Market Funds | 234,182,625 | 234,182,625 | -- | -- |
| Total Investments in Securities: | $10,340,074,159 | $10,340,074,159 | $-- | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $872,520 | $872,520 | $-- | $-- |
| Total Assets | $872,520 | $872,520 | $-- | $-- |
| Total Derivative Instruments: | $872,520 | $872,520 | $-- | $-- |
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, 2021. 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) | $872,520 | $0 |
| Total Equity Risk | 872,520 | 0 |
| Total Value of Derivatives | $872,520 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| July 31, 2021 | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $227,978,464) — See accompanying schedule: Unaffiliated issuers (cost $6,812,738,070) | $10,105,891,534 | |
| Fidelity Central Funds (cost $234,182,625) | 234,182,625 | |
| Total Investment in Securities (cost $7,046,920,695) | $10,340,074,159 | |
| Segregated cash with brokers for derivative instruments | 1,496,000 | |
| Receivable for investments sold | 89,905,921 | |
| Receivable for fund shares sold | 707,579 | |
| Dividends receivable | 10,566,878 | |
| Distributions receivable from Fidelity Central Funds | 3,361 | |
| Prepaid expenses | 6,767 | |
| Total assets | 10,442,760,665 | |
| Liabilities | ||
| Payable to custodian bank | $208,017 | |
| Payable for fund shares redeemed | 928,849 | |
| Accrued management fee | 835,985 | |
| Notes payable to affiliates | 70,292,000 | |
| Payable for daily variation margin on futures contracts | 152,554 | |
| Other payables and accrued expenses | 83,427 | |
| Collateral on securities loaned | 234,169,300 | |
| Total liabilities | 306,670,132 | |
| Net Assets | $10,136,090,533 | |
| Net Assets consist of: | ||
| Paid in capital | $6,122,138,364 | |
| Total accumulated earnings (loss) | 4,013,952,169 | |
| Net Assets | $10,136,090,533 | |
| Net Asset Value, offering price and redemption price per share ($10,136,090,533 ÷ 526,806,165 shares) | $19.24 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Year ended July 31, 2021 | ||
| Investment Income | ||
| Dividends | $117,003,946 | |
| Interest | 1,452 | |
| Income from Fidelity Central Funds (including $33,018 from security lending) | 49,991 | |
| Total income | 117,055,389 | |
| Expenses | ||
| Management fee | $8,313,330 | |
| Custodian fees and expenses | 94,353 | |
| Independent trustees' fees and expenses | 23,479 | |
| Registration fees | 79,975 | |
| Audit | 53,091 | |
| Legal | 17,385 | |
| Interest | 32,052 | |
| Miscellaneous | 39,605 | |
| Total expenses | 8,653,270 | |
| Net investment income (loss) | 108,402,119 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 1,042,884,087 | |
| Fidelity Central Funds | 8,757 | |
| Futures contracts | 7,419,953 | |
| Total net realized gain (loss) | 1,050,312,797 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 1,237,888,388 | |
| Futures contracts | (411,609) | |
| Total change in net unrealized appreciation (depreciation) | 1,237,476,779 | |
| Net gain (loss) | 2,287,789,576 | |
| Net increase (decrease) in net assets resulting from operations | $2,396,191,695 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Year ended July 31, 2021 | Year ended July 31, 2020 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $108,402,119 | $165,783,440 |
| Net realized gain (loss) | 1,050,312,797 | 582,334,983 |
| Change in net unrealized appreciation (depreciation) | 1,237,476,779 | 808,592,545 |
| Net increase (decrease) in net assets resulting from operations | 2,396,191,695 | 1,556,710,968 |
| Distributions to shareholders | (768,878,056) | (1,171,850,303) |
| Share transactions | ||
| Proceeds from sales of shares | 2,963,346,740 | 2,521,381,744 |
| Reinvestment of distributions | 755,566,663 | 869,380,021 |
| Cost of shares redeemed | (3,542,471,393) | (4,176,043,929) |
| Net increase (decrease) in net assets resulting from share transactions | 176,442,010 | (785,282,164) |
| Total increase (decrease) in net assets | 1,803,755,649 | (400,421,499) |
| Net Assets | ||
| Beginning of period | 8,332,334,884 | 8,732,756,383 |
| End of period | $10,136,090,533 | $8,332,334,884 |
| Other Information | ||
| Shares | ||
| Sold | 173,464,583 | 178,961,257 |
| Issued in reinvestment of distributions | 48,649,105 | 63,065,977 |
| Redeemed | (217,407,264) | (294,683,737) |
| Net increase (decrease) | 4,706,424 | (52,656,503) |
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, | 2021 | 2020 | 2019 | 2018 | 2017 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $15.96 | $15.19 | $14.23 | $12.27 | $10.87 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .22 | .26 | .25 | .21 | .21 |
| Net realized and unrealized gain (loss) | 4.58 | 2.45 | 1.10 | 2.25 | 1.36 |
| Total from investment operations | 4.80 | 2.71 | 1.35 | 2.46 | 1.57 |
| Distributions from net investment income | (.28) | (.24) | (.19) | (.19) | (.14) |
| Distributions from net realized gain | (1.25) | (1.69) | (.20) | (.31) | (.03) |
| Total distributions | (1.52)B | (1.94)B | (.39) | (.50) | (.17) |
| Net asset value, end of period | $19.24 | $15.96 | $15.19 | $14.23 | $12.27 |
| Total ReturnC | 32.64% | 20.14% | 9.70% | 20.71% | 14.70% |
| Ratios to Average Net AssetsD,E | |||||
| Expenses before reductions | .10% | .11% | .19% | .20% | .21% |
| Expenses net of fee waivers, if any | .10% | .11% | .15% | .15% | .15% |
| Expenses net of all reductions | .10% | .11% | .15% | .15% | .15% |
| Net investment income (loss) | 1.30% | 1.83% | 1.76% | 1.55% | 1.84% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $10,136,091 | $8,332,335 | $8,732,756 | $7,247,643 | $5,093,881 |
| Portfolio turnover rateF | 71% | 60% | 99% | 34% | 31% |
A Calculated based on average shares outstanding during the period.
B Total distributions per share do not sum due to rounding.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended July 31, 2021
1. Organization.
Fidelity SAI U.S. Quality Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% to .01 % |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has 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, 2021 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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, partnerships and losses deferred due to wash sales.
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 | $3,307,833,108 |
| Gross unrealized depreciation | (26,739,448) |
| Net unrealized appreciation (depreciation) | $3,281,093,660 |
| Tax Cost | $7,058,980,499 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $62,514,867 |
| Undistributed long-term capital gain | $670,343,641 |
| Net unrealized appreciation (depreciation) on securities and other investments | $3,281,093,660 |
The tax character of distributions paid was as follows:
| July 31, 2021 | July 31, 2020 | |
| Ordinary Income | $140,710,843 | $ 337,926,456 |
| Long-term Capital Gains | 628,167,213 | 833,923,847 |
| Total | $768,878,056 | $ 1,171,850,303 |
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 and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity SAI U.S. Quality Index Fund | 5,886,617,541 | 6,366,749,354 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable to affiliates" in the Statement of Assets and Liabilities. Activity in this program during the period for which loans were outstanding was as follows:
| Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
| Fidelity SAI U.S. Quality Index Fund | Borrower | $46,483,127 | .32% | $32,052 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Fidelity SAI U.S. Quality Index Fund | $15,812 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Fidelity SAI U.S. Quality Index Fund | $6,110 | $7 | $– |
9. Other.
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.
In addition, at the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| Strategic Advisers Fidelity U.S. Total Stock Fund | Strategic Advisers Large Cap Fund | |
| Fidelity SAI U.S. Quality Index Fund | 74% | 11% |
10. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of 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, 2021, 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, 2021, 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, 2021, 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 10, 2021
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 283 funds. Mr. Chiel oversees 176 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 Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
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 and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and 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 her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. 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. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for 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
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
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).
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present) and 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).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jamie Pagliocco (1964)
Year of Election or Appointment: 2020
Vice President
Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.
Kenneth B. Robins (1969)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
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 FIMM, LLC (2021-present) and 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 LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During Period-B February 1, 2021 to July 31, 2021 | |
| Fidelity SAI U.S. Quality Index Fund | .10% | |||
| Actual | $1,000.00 | $1,213.90 | $.55 | |
| Hypothetical-C | $1,000.00 | $1,024.30 | $.50 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 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 13, 2021, to shareholders of record at the opening of business on September 10, 2021, a distribution of $1.275 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.119 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2021, $976,052,567, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 99% and 97% 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 the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 1% of the dividends distributed during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SV4-ANN-0921
1.9868208.105
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.
July 31, 2021
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.
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Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
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, 2021 | Past 1 year | Past 5 years | Life of fundA |
| Fidelity® SAI U.S. Large Cap Index Fund | 36.43% | 17.31% | 18.70% |
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 | ||
| $25,659 | Fidelity® SAI U.S. Large Cap Index Fund | |
| $25,699 | S&P 500® Index | |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year ending July 31, 2021, the fund gained 36.43%, roughly in line with the 36.45% advance of the benchmark S&P 500® Index. By sector, information technology gained roughly 39% and contributed most, followed by financials, which gained 55%, and communication services, which advanced roughly 44%, lifted by the media & entertainment industry (+51%). The health care sector rose 27%, industrials gained 46%, and consumer discretionary advanced about 26%. Other notable contributors included the consumer staples (+18%), energy (+45%), materials (+42%), real estate (+33%), and utilities (+12%) sectors. Turning to individual stocks, the top contributor was Alphabet (+81%), from the media & entertainment group. In technology hardware & equipment, Apple (+37%) was helpful, and Microsoft (+40%), from the software & services industry, also contributed. Facebook, within the media & entertainment category, rose approximately 40%, and Nvidia, within the semiconductors & semiconductor equipment segment, gained about 82% and boosted the fund. Conversely, the biggest individual detractor was Vertex Pharmaceuticals (-26%), from the pharmaceuticals, biotechnology & life sciences category, followed by Penn National Gaming (-42%), which is in the consumer services group. Within health care equipment & services, Becton Dickinson returned -8% and hurt. Other detractors were Clorox (-22%), a stock in the household & personal products industry, and Regeneron Pharmaceuticals (-9%), from the pharmaceuticals, biotechnology & life sciences segment.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Top Five Stocks as of July 31, 2021
| % of fund's net assets | |
| Apple, Inc. | 6.1 |
| Microsoft Corp. | 5.8 |
| Amazon.com, Inc. | 3.8 |
| Facebook, Inc. Class A | 2.3 |
| Alphabet, Inc. Class A | 2.2 |
| 20.2 |
Top Five Market Sectors as of July 31, 2021
| % of fund's net assets | |
| Information Technology | 27.7 |
| Health Care | 13.4 |
| Consumer Discretionary | 12.0 |
| Communication Services | 11.2 |
| Financials | 10.9 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2021* | ||
| Stocks and Equity Futures | 100.0% | |
* Foreign investments – 3.5%
Schedule of Investments July 31, 2021
Showing Percentage of Net Assets
| Common Stocks - 99.7% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 11.2% | |||
| Diversified Telecommunication Services - 1.2% | |||
| AT&T, Inc. | 2,672,383 | $74,960,343 | |
| Lumen Technologies, Inc. (a) | 372,331 | 4,642,968 | |
| Verizon Communications, Inc. | 1,549,558 | 86,434,345 | |
| 166,037,656 | |||
| Entertainment - 1.8% | |||
| Activision Blizzard, Inc. | 290,824 | 24,318,703 | |
| Electronic Arts, Inc. | 107,116 | 15,420,419 | |
| Live Nation Entertainment, Inc. (b) | 54,074 | 4,265,898 | |
| Netflix, Inc. (b) | 165,958 | 85,894,882 | |
| Take-Two Interactive Software, Inc. (b) | 43,288 | 7,507,005 | |
| The Walt Disney Co.(b) | 680,047 | 119,701,873 | |
| 257,108,780 | |||
| Interactive Media & Services - 6.7% | |||
| Alphabet, Inc.: | |||
| Class A (b) | 112,565 | 303,309,769 | |
| Class C (b) | 106,577 | 288,228,970 | |
| Facebook, Inc. Class A (b) | 896,800 | 319,529,840 | |
| Twitter, Inc. (b) | 298,726 | 20,836,139 | |
| 931,904,718 | |||
| Media - 1.3% | |||
| Charter Communications, Inc. Class A (b) | 51,549 | 38,355,033 | |
| Comcast Corp. Class A | 1,716,031 | 100,954,104 | |
| Discovery Communications, Inc.: | |||
| Class A (b) | 63,140 | 1,831,691 | |
| Class C (non-vtg.) (b) | 112,430 | 3,047,977 | |
| DISH Network Corp. Class A (b) | 92,996 | 3,895,602 | |
| Fox Corp.: | |||
| Class A | 122,339 | 4,362,609 | |
| Class B | 56,908 | 1,891,622 | |
| Interpublic Group of Companies, Inc. | 147,234 | 5,206,194 | |
| News Corp.: | |||
| Class A | 146,621 | 3,611,275 | |
| Class B | 45,353 | 1,066,249 | |
| Omnicom Group, Inc. | 80,501 | 5,862,083 | |
| ViacomCBS, Inc. Class B | 226,661 | 9,277,235 | |
| 179,361,674 | |||
| Wireless Telecommunication Services - 0.2% | |||
| T-Mobile U.S., Inc. (b) | 219,339 | 31,589,203 | |
| TOTAL COMMUNICATION SERVICES | 1,566,002,031 | ||
| CONSUMER DISCRETIONARY - 12.0% | |||
| Auto Components - 0.2% | |||
| Aptiv PLC (b) | 101,230 | 16,890,226 | |
| BorgWarner, Inc. | 89,771 | 4,396,984 | |
| 21,287,210 | |||
| Automobiles - 1.8% | |||
| Ford Motor Co. (b) | 1,467,487 | 20,471,444 | |
| General Motors Co. (b) | 477,807 | 27,158,550 | |
| Tesla, Inc. (b) | 288,447 | 198,220,778 | |
| 245,850,772 | |||
| Distributors - 0.1% | |||
| Genuine Parts Co. | 54,074 | 6,863,072 | |
| LKQ Corp. (b) | 104,046 | 5,280,335 | |
| Pool Corp. | 15,020 | 7,176,856 | |
| 19,320,263 | |||
| Hotels, Restaurants & Leisure - 2.0% | |||
| Booking Holdings, Inc. (b) | 15,365 | 33,468,965 | |
| Caesars Entertainment, Inc. (b) | 78,113 | 6,823,952 | |
| Carnival Corp. (a)(b) | 298,792 | 6,468,847 | |
| Chipotle Mexican Grill, Inc. (b) | 10,536 | 19,633,204 | |
| Darden Restaurants, Inc. | 48,972 | 7,144,035 | |
| Domino's Pizza, Inc. | 14,533 | 7,636,946 | |
| Expedia, Inc. (b) | 52,941 | 8,516,619 | |
| Hilton Worldwide Holdings, Inc. (b) | 104,251 | 13,703,794 | |
| Las Vegas Sands Corp. (b) | 122,954 | 5,207,102 | |
| Marriott International, Inc. Class A (b) | 99,943 | 14,589,679 | |
| McDonald's Corp. | 279,280 | 67,784,049 | |
| MGM Resorts International | 152,388 | 5,719,122 | |
| Norwegian Cruise Line Holdings Ltd. (a)(b) | 138,460 | 3,327,194 | |
| Penn National Gaming, Inc. (b) | 55,596 | 3,801,654 | |
| Royal Caribbean Cruises Ltd. (b) | 81,942 | 6,298,882 | |
| Starbucks Corp. | 441,018 | 53,552,816 | |
| Wynn Resorts Ltd. (b) | 39,393 | 3,873,514 | |
| Yum! Brands, Inc. | 111,499 | 14,649,854 | |
| 282,200,228 | |||
| Household Durables - 0.4% | |||
| D.R. Horton, Inc. | 122,780 | 11,716,895 | |
| Garmin Ltd. | 56,095 | 8,818,134 | |
| Leggett & Platt, Inc. (a) | 49,867 | 2,395,112 | |
| Lennar Corp. Class A | 103,212 | 10,852,742 | |
| Mohawk Industries, Inc. (b) | 21,916 | 4,271,428 | |
| Newell Brands, Inc. | 141,673 | 3,506,407 | |
| NVR, Inc. (b) | 1,280 | 6,684,928 | |
| PulteGroup, Inc. | 98,989 | 5,431,526 | |
| Whirlpool Corp. (a) | 23,439 | 5,192,676 | |
| 58,869,848 | |||
| Internet & Direct Marketing Retail - 4.0% | |||
| Amazon.com, Inc. (b) | 160,446 | 533,898,505 | |
| eBay, Inc. | 242,236 | 16,522,918 | |
| Etsy, Inc. (b) | 47,573 | 8,730,121 | |
| 559,151,544 | |||
| Leisure Products - 0.0% | |||
| Hasbro, Inc. | 47,886 | 4,761,784 | |
| Multiline Retail - 0.6% | |||
| Dollar General Corp. | 88,408 | 20,567,237 | |
| Dollar Tree, Inc. (b) | 86,816 | 8,663,369 | |
| Target Corp. | 185,167 | 48,337,845 | |
| 77,568,451 | |||
| Specialty Retail - 2.2% | |||
| Advance Auto Parts, Inc. | 24,493 | 5,193,986 | |
| AutoZone, Inc. (b) | 8,092 | 13,137,928 | |
| Bath & Body Works, Inc. | 99,091 | 7,934,216 | |
| Best Buy Co., Inc. | 83,436 | 9,374,035 | |
| CarMax, Inc. (b) | 61,065 | 8,179,657 | |
| Gap, Inc. | 77,732 | 2,267,442 | |
| Lowe's Companies, Inc. | 264,577 | 50,981,342 | |
| O'Reilly Automotive, Inc. (b) | 26,111 | 15,766,866 | |
| Ross Stores, Inc. | 133,474 | 16,375,925 | |
| The Home Depot, Inc. | 397,960 | 130,606,492 | |
| TJX Companies, Inc. | 451,384 | 31,059,733 | |
| Tractor Supply Co. | 43,138 | 7,804,958 | |
| Ulta Beauty, Inc. (b) | 20,495 | 6,882,221 | |
| 305,564,801 | |||
| Textiles, Apparel & Luxury Goods - 0.7% | |||
| Hanesbrands, Inc. (a) | 130,669 | 2,386,016 | |
| NIKE, Inc. Class B | 477,195 | 79,934,934 | |
| PVH Corp. (b) | 26,674 | 2,790,634 | |
| Ralph Lauren Corp. | 18,059 | 2,050,058 | |
| Tapestry, Inc. (b) | 104,372 | 4,414,936 | |
| Under Armour, Inc.: | |||
| Class A (sub. vtg.) (b) | 70,904 | 1,449,987 | |
| Class C (non-vtg.) (b) | 73,176 | 1,282,044 | |
| VF Corp. | 120,356 | 9,652,551 | |
| 103,961,160 | |||
| TOTAL CONSUMER DISCRETIONARY | 1,678,536,061 | ||
| CONSUMER STAPLES - 5.8% | |||
| Beverages - 1.4% | |||
| Brown-Forman Corp. Class B (non-vtg.) | 68,365 | 4,848,446 | |
| Constellation Brands, Inc. Class A (sub. vtg.) | 63,253 | 14,190,178 | |
| Molson Coors Beverage Co. Class B | 70,499 | 3,446,696 | |
| Monster Beverage Corp. (b) | 138,482 | 13,061,622 | |
| PepsiCo, Inc. | 517,121 | 81,162,141 | |
| The Coca-Cola Co. | 1,452,411 | 82,830,999 | |
| 199,540,082 | |||
| Food & Staples Retailing - 1.3% | |||
| Costco Wholesale Corp. | 165,459 | 71,101,041 | |
| Kroger Co. | 283,370 | 11,533,159 | |
| Sysco Corp. | 191,477 | 14,207,593 | |
| Walgreens Boots Alliance, Inc. | 268,528 | 12,661,095 | |
| Walmart, Inc. | 513,910 | 73,257,871 | |
| 182,760,759 | |||
| Food Products - 0.9% | |||
| Archer Daniels Midland Co. | 209,113 | 12,488,228 | |
| Campbell Soup Co. (a) | 75,986 | 3,322,108 | |
| Conagra Brands, Inc. | 179,636 | 6,016,010 | |
| General Mills, Inc. | 228,302 | 13,437,856 | |
| Hormel Foods Corp. (a) | 105,503 | 4,893,229 | |
| Kellogg Co. | 94,307 | 5,975,292 | |
| Lamb Weston Holdings, Inc. | 54,751 | 3,655,724 | |
| McCormick & Co., Inc. (non-vtg.) | 93,198 | 7,844,476 | |
| Mondelez International, Inc. | 525,759 | 33,259,514 | |
| The Hershey Co. | 54,789 | 9,800,656 | |
| The J.M. Smucker Co. | 41,016 | 5,377,608 | |
| The Kraft Heinz Co. (a) | 242,636 | 9,334,207 | |
| Tyson Foods, Inc. Class A | 110,329 | 7,884,110 | |
| 123,289,018 | |||
| Household Products - 1.3% | |||
| Church & Dwight Co., Inc. | 91,792 | 7,947,351 | |
| Colgate-Palmolive Co. | 316,632 | 25,172,244 | |
| Kimberly-Clark Corp. | 126,295 | 17,140,757 | |
| Procter & Gamble Co. | 916,333 | 130,330,043 | |
| The Clorox Co. | 46,550 | 8,420,430 | |
| 189,010,825 | |||
| Personal Products - 0.2% | |||
| Estee Lauder Companies, Inc. Class A | 86,794 | 28,974,441 | |
| Tobacco - 0.7% | |||
| Altria Group, Inc. | 692,663 | 33,275,531 | |
| Philip Morris International, Inc. | 583,334 | 58,385,900 | |
| 91,661,431 | |||
| TOTAL CONSUMER STAPLES | 815,236,556 | ||
| ENERGY - 2.6% | |||
| Energy Equipment & Services - 0.2% | |||
| Baker Hughes Co. Class A | 272,259 | 5,782,781 | |
| Halliburton Co. | 333,007 | 6,886,585 | |
| NOV, Inc. (b) | 146,211 | 2,019,174 | |
| Schlumberger Ltd. | 523,372 | 15,088,815 | |
| 29,777,355 | |||
| Oil, Gas & Consumable Fuels - 2.4% | |||
| APA Corp. | 141,469 | 2,652,544 | |
| Cabot Oil & Gas Corp. | 149,588 | 2,393,408 | |
| Chevron Corp. | 723,399 | 73,649,252 | |
| ConocoPhillips Co. | 505,065 | 28,313,944 | |
| Devon Energy Corp. | 222,950 | 5,761,028 | |
| Diamondback Energy, Inc. | 67,744 | 5,225,095 | |
| EOG Resources, Inc. | 218,434 | 15,915,101 | |
| Exxon Mobil Corp. | 1,584,543 | 91,222,141 | |
| Hess Corp. | 102,739 | 7,853,369 | |
| Kinder Morgan, Inc. | 728,932 | 12,668,838 | |
| Marathon Oil Corp. | 294,993 | 3,418,969 | |
| Marathon Petroleum Corp. | 238,439 | 13,166,602 | |
| Occidental Petroleum Corp. | 314,427 | 8,206,545 | |
| ONEOK, Inc. | 166,757 | 8,666,361 | |
| Phillips 66 Co. | 163,885 | 12,034,076 | |
| Pioneer Natural Resources Co. | 86,742 | 12,609,685 | |
| The Williams Companies, Inc. | 454,665 | 11,389,358 | |
| Valero Energy Corp. | 152,992 | 10,245,874 | |
| 325,392,190 | |||
| TOTAL ENERGY | 355,169,545 | ||
| FINANCIALS - 10.9% | |||
| Banks - 4.0% | |||
| Bank of America Corp. | 2,822,470 | 108,269,949 | |
| Citigroup, Inc. | 773,661 | 52,314,957 | |
| Citizens Financial Group, Inc. | 159,419 | 6,721,105 | |
| Comerica, Inc. | 52,255 | 3,587,828 | |
| Fifth Third Bancorp | 263,483 | 9,561,798 | |
| First Republic Bank | 65,870 | 12,845,967 | |
| Huntington Bancshares, Inc./Ohio | 552,249 | 7,775,666 | |
| JPMorgan Chase & Co. | 1,133,003 | 171,967,195 | |
| KeyCorp | 363,250 | 7,141,495 | |
| M&T Bank Corp. | 48,153 | 6,445,279 | |
| Peoples United Financial, Inc. | 160,055 | 2,512,864 | |
| PNC Financial Services Group, Inc. | 159,017 | 29,006,291 | |
| Regions Financial Corp. | 359,793 | 6,926,015 | |
| SVB Financial Group (b) | 21,033 | 11,567,309 | |
| Truist Financial Corp. | 503,353 | 27,397,504 | |
| U.S. Bancorp | 507,381 | 28,179,941 | |
| Wells Fargo & Co. | 1,547,126 | 71,074,968 | |
| Zions Bancorp NA | 61,314 | 3,197,525 | |
| 566,493,656 | |||
| Capital Markets - 3.0% | |||
| Ameriprise Financial, Inc. | 43,381 | 11,173,210 | |
| Bank of New York Mellon Corp. | 301,970 | 15,500,120 | |
| BlackRock, Inc. Class A | 53,092 | 46,039,790 | |
| Cboe Global Markets, Inc. | 39,931 | 4,730,626 | |
| Charles Schwab Corp. | 561,370 | 38,145,092 | |
| CME Group, Inc. | 134,403 | 28,510,908 | |
| Franklin Resources, Inc. | 101,930 | 3,012,032 | |
| Goldman Sachs Group, Inc. | 127,337 | 47,736,095 | |
| Intercontinental Exchange, Inc. | 210,634 | 25,240,272 | |
| Invesco Ltd. | 141,625 | 3,452,818 | |
| MarketAxess Holdings, Inc. | 14,216 | 6,755,017 | |
| Moody's Corp. | 60,257 | 22,656,632 | |
| Morgan Stanley | 557,110 | 53,471,418 | |
| MSCI, Inc. | 30,850 | 18,385,366 | |
| NASDAQ, Inc. | 42,992 | 8,027,896 | |
| Northern Trust Corp. | 77,903 | 8,791,354 | |
| Raymond James Financial, Inc. | 45,776 | 5,927,076 | |
| S&P Global, Inc. (a) | 90,165 | 38,655,539 | |
| State Street Corp. | 130,164 | 11,342,491 | |
| T. Rowe Price Group, Inc. | 84,908 | 17,334,817 | |
| 414,888,569 | |||
| Consumer Finance - 0.7% | |||
| American Express Co. | 243,537 | 41,530,365 | |
| Capital One Financial Corp. | 168,985 | 27,324,875 | |
| Discover Financial Services | 114,114 | 14,186,652 | |
| Synchrony Financial | 202,445 | 9,518,964 | |
| 92,560,856 | |||
| Diversified Financial Services - 1.4% | |||
| Berkshire Hathaway, Inc. Class B (b) | 709,399 | 197,418,648 | |
| Insurance - 1.8% | |||
| AFLAC, Inc. | 236,581 | 13,011,955 | |
| Allstate Corp. | 112,037 | 14,570,412 | |
| American International Group, Inc. | 321,188 | 15,208,252 | |
| Aon PLC (a) | 84,456 | 21,961,094 | |
| Arthur J. Gallagher & Co. | 76,686 | 10,683,127 | |
| Assurant, Inc. | 22,669 | 3,577,395 | |
| Chubb Ltd. | 168,312 | 28,400,967 | |
| Cincinnati Financial Corp. | 56,075 | 6,610,121 | |
| Everest Re Group Ltd. | 15,003 | 3,793,208 | |
| Globe Life, Inc. | 35,485 | 3,304,008 | |
| Hartford Financial Services Group, Inc. | 133,691 | 8,505,421 | |
| Lincoln National Corp. | 66,978 | 4,127,184 | |
| Loews Corp. | 83,727 | 4,490,279 | |
| Marsh & McLennan Companies, Inc. | 190,335 | 28,021,119 | |
| MetLife, Inc. | 278,505 | 16,069,739 | |
| Principal Financial Group, Inc. | 94,683 | 5,882,655 | |
| Progressive Corp. | 219,013 | 20,841,277 | |
| Prudential Financial, Inc. | 147,467 | 14,787,991 | |
| The Travelers Companies, Inc. | 94,132 | 14,018,137 | |
| Unum Group | 76,444 | 2,094,566 | |
| W.R. Berkley Corp. | 52,449 | 3,837,693 | |
| Willis Towers Watson PLC | 48,274 | 9,948,306 | |
| 253,744,906 | |||
| TOTAL FINANCIALS | 1,525,106,635 | ||
| HEALTH CARE - 13.4% | |||
| Biotechnology - 1.9% | |||
| AbbVie, Inc. | 661,067 | 76,882,092 | |
| Amgen, Inc. | 215,046 | 51,942,211 | |
| Biogen, Inc. (b) | 56,350 | 18,411,236 | |
| Gilead Sciences, Inc. | 469,418 | 32,056,555 | |
| Incyte Corp. (b) | 69,967 | 5,411,947 | |
| Moderna, Inc. (b) | 114,217 | 40,387,131 | |
| Regeneron Pharmaceuticals, Inc. (b) | 39,186 | 22,516,667 | |
| Vertex Pharmaceuticals, Inc. (b) | 96,889 | 19,530,885 | |
| 267,138,724 | |||
| Health Care Equipment & Supplies - 3.8% | |||
| Abbott Laboratories | 665,034 | 80,455,813 | |
| Abiomed, Inc. (b) | 16,954 | 5,546,332 | |
| Align Technology, Inc. (b) | 26,954 | 18,754,593 | |
| Baxter International, Inc. | 188,209 | 14,557,966 | |
| Becton, Dickinson & Co. | 108,849 | 27,838,132 | |
| Boston Scientific Corp. (b) | 531,823 | 24,251,129 | |
| Danaher Corp. | 237,602 | 70,684,219 | |
| Dentsply Sirona, Inc. | 81,713 | 5,396,327 | |
| DexCom, Inc.(b) | 36,195 | 18,658,884 | |
| Edwards Lifesciences Corp. (b) | 232,668 | 26,121,636 | |
| Hologic, Inc. (b) | 95,904 | 7,196,636 | |
| IDEXX Laboratories, Inc. (b)�� | 31,919 | 21,657,999 | |
| Intuitive Surgical, Inc. (b) | 44,320 | 43,941,507 | |
| Medtronic PLC | 503,561 | 66,122,595 | |
| ResMed, Inc. | 54,465 | 14,803,587 | |
| STERIS PLC | 36,545 | 7,964,983 | |
| Stryker Corp. | 122,679 | 33,238,648 | |
| Teleflex, Inc. | 17,491 | 6,951,448 | |
| The Cooper Companies, Inc. | 18,433 | 7,774,486 | |
| West Pharmaceutical Services, Inc. | 27,631 | 11,376,512 | |
| Zimmer Biomet Holdings, Inc. | 78,031 | 12,751,826 | |
| 526,045,258 | |||
| Health Care Providers & Services - 2.6% | |||
| AmerisourceBergen Corp. | 55,355 | 6,762,720 | |
| Anthem, Inc. | 91,640 | 35,190,676 | |
| Cardinal Health, Inc. | 108,598 | 6,448,549 | |
| Centene Corp. (b) | 218,108 | 14,964,390 | |
| Cigna Corp. | 128,434 | 29,474,319 | |
| CVS Health Corp. | 492,769 | 40,584,455 | |
| DaVita HealthCare Partners, Inc. (b) | 26,234 | 3,154,639 | |
| HCA Holdings, Inc. | 98,366 | 24,414,441 | |
| Henry Schein, Inc. (b) | 52,660 | 4,220,699 | |
| Humana, Inc. | 48,288 | 20,563,928 | |
| Laboratory Corp. of America Holdings (b) | 36,545 | 10,822,802 | |
| McKesson Corp. | 59,206 | 12,067,959 | |
| Quest Diagnostics, Inc. (a) | 48,896 | 6,933,453 | |
| UnitedHealth Group, Inc. | 353,212 | 145,601,051 | |
| Universal Health Services, Inc. Class B | 29,184 | 4,681,405 | |
| 365,885,486 | |||
| Health Care Technology - 0.1% | |||
| Cerner Corp. | 112,778 | 9,066,223 | |
| Life Sciences Tools & Services - 1.3% | |||
| Agilent Technologies, Inc. | 113,574 | 17,402,944 | |
| Bio-Rad Laboratories, Inc. Class A (b) | 8,066 | 5,964,888 | |
| Charles River Laboratories International, Inc. (b) | 18,809 | 7,653,758 | |
| Illumina, Inc. (b) | 54,645 | 27,090,259 | |
| IQVIA Holdings, Inc. (b) | 71,735 | 17,768,760 | |
| Mettler-Toledo International, Inc. (b) | 8,709 | 12,834,540 | |
| PerkinElmer, Inc. | 41,954 | 7,645,277 | |
| Thermo Fisher Scientific, Inc. | 147,104 | 79,437,631 | |
| Waters Corp. (b) | 23,093 | 9,001,882 | |
| 184,799,939 | |||
| Pharmaceuticals - 3.7% | |||
| Bristol-Myers Squibb Co. | 836,122 | 56,747,600 | |
| Catalent, Inc. (b) | 63,756 | 7,638,606 | |
| Eli Lilly & Co. | 297,926 | 72,544,981 | |
| Johnson & Johnson | 985,636 | 169,726,519 | |
| Merck & Co., Inc. | 947,707 | 72,850,237 | |
| Organon & Co. | 94,706 | 2,747,421 | |
| Perrigo Co. PLC | 49,985 | 2,400,780 | |
| Pfizer, Inc. | 2,095,123 | 89,692,216 | |
| Viatris, Inc. | 452,380 | 6,364,987 | |
| Zoetis, Inc. Class A | 177,697 | 36,019,182 | |
| 516,732,529 | |||
| TOTAL HEALTH CARE | 1,869,668,159 | ||
| INDUSTRIALS - 8.4% | |||
| Aerospace & Defense - 1.6% | |||
| General Dynamics Corp. | 85,675 | 16,794,870 | |
| Howmet Aerospace, Inc. | 146,305 | 4,801,730 | |
| Huntington Ingalls Industries, Inc. | 15,058 | 3,088,848 | |
| L3Harris Technologies, Inc. | 76,722 | 17,395,946 | |
| Lockheed Martin Corp. | 91,543 | 34,023,787 | |
| Northrop Grumman Corp. | 56,028 | 20,339,285 | |
| Raytheon Technologies Corp. | 567,073 | 49,306,997 | |
| Teledyne Technologies, Inc. (b) | 17,383 | 7,870,501 | |
| Textron, Inc. | 84,479 | 5,829,896 | |
| The Boeing Co. (b) | 205,751 | 46,598,486 | |
| TransDigm Group, Inc. (b) | 20,545 | 13,171,194 | |
| 219,221,540 | |||
| Air Freight & Logistics - 0.7% | |||
| C.H. Robinson Worldwide, Inc. | 49,776 | 4,438,526 | |
| Expeditors International of Washington, Inc. | 63,211 | 8,106,811 | |
| FedEx Corp. | 91,368 | 25,578,472 | |
| United Parcel Service, Inc. Class B | 270,725 | 51,805,936 | |
| 89,929,745 | |||
| Airlines - 0.3% | |||
| Alaska Air Group, Inc. (b) | 46,592 | 2,703,734 | |
| American Airlines Group, Inc. (a)(b) | 240,059 | 4,892,402 | |
| Delta Air Lines, Inc. (b) | 239,409 | 9,552,419 | |
| Southwest Airlines Co. (b) | 221,343 | 11,182,248 | |
| United Airlines Holdings, Inc. (b) | 121,110 | 5,658,259 | |
| 33,989,062 | |||
| Building Products - 0.5% | |||
| A.O. Smith Corp. | 50,329 | 3,539,639 | |
| Allegion PLC | 33,677 | 4,600,278 | |
| Carrier Global Corp. | 305,737 | 16,891,969 | |
| Fortune Brands Home & Security, Inc. | 51,811 | 5,050,018 | |
| Johnson Controls International PLC | 268,254 | 19,158,701 | |
| Masco Corp. | 94,988 | 5,671,733 | |
| Trane Technologies PLC | 89,509 | 18,224,927 | |
| 73,137,265 | |||
| Commercial Services & Supplies - 0.4% | |||
| Cintas Corp. | 33,028 | 13,018,977 | |
| Copart, Inc. (b) | 77,921 | 11,454,387 | |
| Republic Services, Inc. | 78,810 | 9,327,952 | |
| Rollins, Inc. | 82,887 | 3,177,059 | |
| Waste Management, Inc. | 145,355 | 21,550,332 | |
| 58,528,707 | |||
| Construction & Engineering - 0.0% | |||
| Quanta Services, Inc. | 52,155 | 4,740,890 | |
| Electrical Equipment - 0.6% | |||
| AMETEK, Inc. | 86,429 | 12,017,952 | |
| Eaton Corp. PLC | 149,152 | 23,573,474 | |
| Emerson Electric Co. | 224,458 | 22,645,568 | |
| Generac Holdings, Inc. (b) | 23,563 | 9,881,380 | |
| Rockwell Automation, Inc. | 43,446 | 13,356,169 | |
| 81,474,543 | |||
| Industrial Conglomerates - 1.2% | |||
| 3M Co. | 216,963 | 42,945,656 | |
| General Electric Co. | 3,285,698 | 42,549,789 | |
| Honeywell International, Inc. | 259,961 | 60,776,282 | |
| Roper Technologies, Inc. | 39,389 | 19,353,391 | |
| 165,625,118 | |||
| Machinery - 1.6% | |||
| Caterpillar, Inc. | 205,028 | 42,389,539 | |
| Cummins, Inc. | 54,721 | 12,700,744 | |
| Deere & Co. | 116,755 | 42,217,440 | |
| Dover Corp. | 53,870 | 9,002,754 | |
| Fortive Corp. | 126,705 | 9,206,385 | |
| IDEX Corp. | 28,420 | 6,442,530 | |
| Illinois Tool Works, Inc. | 107,589 | 24,387,199 | |
| Ingersoll Rand, Inc. (b) | 139,725 | 6,828,361 | |
| Otis Worldwide Corp. | 150,984 | 13,520,617 | |
| PACCAR, Inc. | 129,935 | 10,783,306 | |
| Parker Hannifin Corp. | 48,303 | 15,071,985 | |
| Pentair PLC | 62,207 | 4,582,790 | |
| Snap-On, Inc. | 20,241 | 4,412,133 | |
| Stanley Black & Decker, Inc. | 60,445 | 11,910,687 | |
| Westinghouse Air Brake Co. | 66,495 | 5,643,431 | |
| Xylem, Inc. | 67,387 | 8,480,654 | |
| 227,580,555 | |||
| Professional Services - 0.4% | |||
| Equifax, Inc. | 45,551 | 11,870,591 | |
| IHS Markit Ltd. | 140,212 | 16,382,370 | |
| Jacobs Engineering Group, Inc. | 48,737 | 6,591,679 | |
| Leidos Holdings, Inc. | 49,755 | 5,294,927 | |
| Nielsen Holdings PLC | 134,180 | 3,178,724 | |
| Robert Half International, Inc. | 42,212 | 4,145,641 | |
| Verisk Analytics, Inc. | 60,668 | 11,523,280 | |
| 58,987,212 | |||
| Road & Rail - 0.9% | |||
| CSX Corp. | 850,446 | 27,486,415 | |
| J.B. Hunt Transport Services, Inc. | 31,245 | 5,263,220 | |
| Kansas City Southern | 34,035 | 9,114,573 | |
| Norfolk Southern Corp. | 93,661 | 24,148,616 | |
| Old Dominion Freight Lines, Inc. | 35,591 | 9,579,318 | |
| Union Pacific Corp. | 248,637 | 54,391,830 | |
| 129,983,972 | |||
| Trading Companies & Distributors - 0.2% | |||
| Fastenal Co. | 214,966 | 11,773,688 | |
| United Rentals, Inc. (b) | 27,090 | 8,927,510 | |
| W.W. Grainger, Inc. | 16,383 | 7,283,554 | |
| 27,984,752 | |||
| TOTAL INDUSTRIALS | 1,171,183,361 | ||
| INFORMATION TECHNOLOGY - 27.7% | |||
| Communications Equipment - 0.8% | |||
| Arista Networks, Inc. (b) | 20,568 | 7,823,862 | |
| Cisco Systems, Inc. | 1,577,306 | 87,335,433 | |
| F5 Networks, Inc. (b) | 22,313 | 4,607,858 | |
| Juniper Networks, Inc. | 122,668 | 3,451,878 | |
| Motorola Solutions, Inc. | 63,504 | 14,219,816 | |
| 117,438,847 | |||
| Electronic Equipment & Components - 0.6% | |||
| Amphenol Corp. Class A | 223,677 | 16,214,346 | |
| CDW Corp. | 52,476 | 9,621,475 | |
| Corning, Inc. | 289,970 | 12,138,144 | |
| IPG Photonics Corp. (b) | 13,436 | 2,931,198 | |
| Keysight Technologies, Inc. (b) | 68,953 | 11,346,216 | |
| TE Connectivity Ltd. | 123,598 | 18,226,997 | |
| Trimble, Inc. (b) | 93,932 | 8,031,186 | |
| Zebra Technologies Corp. Class A (b) | 20,028 | 11,065,069 | |
| 89,574,631 | |||
| IT Services - 5.2% | |||
| Accenture PLC Class A | 237,912 | 75,579,884 | |
| Akamai Technologies, Inc. (b) | 61,005 | 7,315,720 | |
| Automatic Data Processing, Inc. | 159,264 | 33,386,512 | |
| Broadridge Financial Solutions, Inc. | 43,464 | 7,540,569 | |
| Cognizant Technology Solutions Corp. Class A | 197,401 | 14,514,896 | |
| DXC Technology Co. (b) | 95,370 | 3,812,893 | |
| Fidelity National Information Services, Inc. | 232,103 | 34,594,952 | |
| Fiserv, Inc. (b) | 222,920 | 25,660,321 | |
| FleetCor Technologies, Inc. (b) | 31,197 | 8,055,689 | |
| Gartner, Inc. (b) | 32,217 | 8,528,806 | |
| Global Payments, Inc. | 110,494 | 21,370,645 | |
| IBM Corp. | 334,431 | 47,141,394 | |
| Jack Henry & Associates, Inc. | 27,803 | 4,840,224 | |
| MasterCard, Inc. Class A | 327,418 | 126,363,703 | |
| Paychex, Inc. (a) | 120,040 | 13,662,953 | |
| PayPal Holdings, Inc. (b) | 439,681 | 121,145,306 | |
| The Western Union Co. | 153,176 | 3,555,215 | |
| VeriSign, Inc. (b) | 37,093 | 8,025,812 | |
| Visa, Inc. Class A (a) | 633,215 | 156,017,844 | |
| 721,113,338 | |||
| Semiconductors & Semiconductor Equipment - 5.6% | |||
| Advanced Micro Devices, Inc. (b) | 454,762 | 48,291,177 | |
| Analog Devices, Inc. | 138,046 | 23,111,661 | |
| Applied Materials, Inc. | 343,465 | 48,061,057 | |
| Broadcom, Inc. | 152,821 | 74,179,313 | |
| Enphase Energy, Inc. (b) | 50,790 | 9,629,784 | |
| Intel Corp. | 1,511,356 | 81,190,044 | |
| KLA Corp. | 57,371 | 19,974,287 | |
| Lam Research Corp. | 53,380 | 34,024,946 | |
| Maxim Integrated Products, Inc. | 100,444 | 10,035,360 | |
| Microchip Technology, Inc. | 102,378 | 14,652,339 | |
| Micron Technology, Inc. | 419,727 | 32,562,421 | |
| Monolithic Power Systems, Inc. | 16,097 | 7,231,738 | |
| NVIDIA Corp. | 932,714 | 181,869,903 | |
| NXP Semiconductors NV | 103,209 | 21,301,306 | |
| Qorvo, Inc. (b) | 42,139 | 7,989,133 | |
| Qualcomm, Inc. | 422,192 | 63,244,362 | |
| Skyworks Solutions, Inc. | 61,792 | 11,401,242 | |
| Teradyne, Inc. | 62,231 | 7,903,337 | |
| Texas Instruments, Inc. | 345,660 | 65,889,709 | |
| Xilinx, Inc. | 92,014 | 13,787,378 | |
| 776,330,497 | |||
| Software - 9.1% | |||
| Adobe, Inc. (b) | 178,907 | 111,213,958 | |
| ANSYS, Inc. (b) | 32,620 | 12,019,165 | |
| Autodesk, Inc. (b) | 82,347 | 26,444,092 | |
| Cadence Design Systems, Inc. (b) | 104,150 | 15,377,748 | |
| Citrix Systems, Inc. | 46,474 | 4,682,256 | |
| Fortinet, Inc. (b) | 50,736 | 13,812,369 | |
| Intuit, Inc. | 102,276 | 54,203,212 | |
| Microsoft Corp. | 2,818,943 | 803,145,050 | |
| NortonLifeLock, Inc. | 217,064 | 5,387,528 | |
| Oracle Corp. | 679,933 | 59,249,362 | |
| Paycom Software, Inc. (b) | 18,386 | 7,354,400 | |
| PTC, Inc. (b) | 39,363 | 5,331,718 | |
| Salesforce.com, Inc. (b) | 361,448 | 87,445,115 | |
| ServiceNow, Inc. (b) | 73,901 | 43,445,659 | |
| Synopsys, Inc. (b) | 57,098 | 16,443,653 | |
| Tyler Technologies, Inc. (b) | 15,248 | 7,511,775 | |
| 1,273,067,060 | |||
| Technology Hardware, Storage & Peripherals - 6.4% | |||
| Apple, Inc. | 5,871,147 | 856,365,494 | |
| Hewlett Packard Enterprise Co. | 488,787 | 7,087,412 | |
| HP, Inc. | 449,609 | 12,980,212 | |
| NetApp, Inc. | 83,316 | 6,631,120 | |
| Seagate Technology Holdings PLC | 74,527 | 6,550,923 | |
| Western Digital Corp. (b) | 114,700 | 7,447,471 | |
| 897,062,632 | |||
| TOTAL INFORMATION TECHNOLOGY | 3,874,587,005 | ||
| MATERIALS - 2.6% | |||
| Chemicals - 1.8% | |||
| Air Products & Chemicals, Inc. | 82,834 | 24,107,179 | |
| Albemarle Corp. U.S. | 43,687 | 9,001,269 | |
| Celanese Corp. Class A | 42,157 | 6,566,796 | |
| CF Industries Holdings, Inc. | 80,289 | 3,793,655 | |
| Corteva, Inc. | 275,885 | 11,802,360 | |
| Dow, Inc. | 279,585 | 17,379,004 | |
| DuPont de Nemours, Inc. | 199,172 | 14,947,859 | |
| Eastman Chemical Co. | 51,096 | 5,759,541 | |
| Ecolab, Inc. | 93,109 | 20,561,260 | |
| FMC Corp. | 48,237 | 5,158,947 | |
| International Flavors & Fragrances, Inc. | 93,167 | 14,034,677 | |
| Linde PLC | 194,705 | 59,850,370 | |
| LyondellBasell Industries NV Class A | 96,360 | 9,571,439 | |
| PPG Industries, Inc. | 88,739 | 14,510,601 | |
| Sherwin-Williams Co. | 89,587 | 26,072,505 | |
| The Mosaic Co. | 129,354 | 4,039,725 | |
| 247,157,187 | |||
| Construction Materials - 0.1% | |||
| Martin Marietta Materials, Inc. | 23,344 | 8,480,875 | |
| Vulcan Materials Co. | 49,654 | 8,937,223 | |
| 17,418,098 | |||
| Containers & Packaging - 0.3% | |||
| Amcor PLC | 577,068 | 6,670,906 | |
| Avery Dennison Corp. | 31,069 | 6,545,617 | |
| Ball Corp. | 122,860 | 9,936,917 | |
| International Paper Co. | 146,621 | 8,468,829 | |
| Packaging Corp. of America | 35,555 | 5,031,033 | |
| Sealed Air Corp. | 56,887 | 3,228,337 | |
| WestRock Co. | 99,603 | 4,901,464 | |
| 44,783,103 | |||
| Metals & Mining - 0.4% | |||
| Freeport-McMoRan, Inc. | 548,522 | 20,898,688 | |
| Newmont Corp. | 299,862 | 18,837,331 | |
| Nucor Corp. | 112,001 | 11,650,344 | |
| 51,386,363 | |||
| TOTAL MATERIALS | 360,744,751 | ||
| REAL ESTATE - 2.6% | |||
| Equity Real Estate Investment Trusts (REITs) - 2.5% | |||
| Alexandria Real Estate Equities, Inc. | 51,343 | 10,337,400 | |
| American Tower Corp. | 170,185 | 48,128,318 | |
| AvalonBay Communities, Inc. | 52,252 | 11,904,573 | |
| Boston Properties, Inc. | 53,158 | 6,239,686 | |
| Crown Castle International Corp. | 161,761 | 31,234,431 | |
| Digital Realty Trust, Inc. | 105,394 | 16,247,539 | |
| Duke Realty Corp. | 140,351 | 7,141,059 | |
| Equinix, Inc. | 33,528 | 27,506,706 | |
| Equity Residential (SBI) | 128,785 | 10,834,682 | |
| Essex Property Trust, Inc. | 24,328 | 7,982,017 | |
| Extra Space Storage, Inc. | 50,052 | 8,716,055 | |
| Federal Realty Investment Trust (SBI) | 26,483 | 3,112,547 | |
| Healthpeak Properties, Inc. | 201,714 | 7,457,367 | |
| Host Hotels & Resorts, Inc. (b) | 264,276 | 4,209,917 | |
| Iron Mountain, Inc. | 108,067 | 4,729,012 | |
| Kimco Realty Corp. | 162,237 | 3,460,515 | |
| Mid-America Apartment Communities, Inc. | 42,851 | 8,274,528 | |
| Prologis (REIT), Inc. | 276,885 | 35,452,355 | |
| Public Storage | 56,977 | 17,804,173 | |
| Realty Income Corp. | 139,821 | 9,828,018 | |
| Regency Centers Corp. | 59,126 | 3,867,432 | |
| SBA Communications Corp. Class A | 40,926 | 13,955,357 | |
| Simon Property Group, Inc. | 122,964 | 15,557,405 | |
| UDR, Inc. | 111,100 | 6,109,389 | |
| Ventas, Inc. | 140,409 | 8,393,650 | |
| Vornado Realty Trust | 58,763 | 2,556,191 | |
| Welltower, Inc. | 156,271 | 13,573,699 | |
| Weyerhaeuser Co. | 280,418 | 9,458,499 | |
| 354,072,520 | |||
| Real Estate Management & Development - 0.1% | |||
| CBRE Group, Inc. (b) | 125,631 | 12,118,366 | |
| TOTAL REAL ESTATE | 366,190,886 | ||
| UTILITIES - 2.5% | |||
| Electric Utilities - 1.6% | |||
| Alliant Energy Corp. | 93,622 | 5,479,696 | |
| American Electric Power Co., Inc. | 187,048 | 16,482,670 | |
| Duke Energy Corp. | 287,906 | 30,261,800 | |
| Edison International | 142,017 | 7,739,927 | |
| Entergy Corp. | 75,104 | 7,729,704 | |
| Evergy, Inc. | 85,811 | 5,596,593 | |
| Eversource Energy | 128,554 | 11,090,354 | |
| Exelon Corp. | 365,740 | 17,116,632 | |
| FirstEnergy Corp. | 203,573 | 7,800,917 | |
| NextEra Energy, Inc. | 734,136 | 57,189,194 | |
| NRG Energy, Inc. (a) | 91,607 | 3,777,873 | |
| Pinnacle West Capital Corp. | 42,201 | 3,525,894 | |
| PPL Corp. | 287,984 | 8,170,106 | |
| Southern Co. | 396,227 | 25,307,018 | |
| Xcel Energy, Inc. | 201,442 | 13,748,417 | |
| 221,016,795 | |||
| Gas Utilities - 0.0% | |||
| Atmos Energy Corp. | 48,908 | 4,821,840 | |
| Independent Power and Renewable Electricity Producers - 0.1% | |||
| The AES Corp. | 249,369 | 5,910,045 | |
| Multi-Utilities - 0.7% | |||
| Ameren Corp. | 95,649 | 8,026,864 | |
| CenterPoint Energy, Inc. (a) | 217,270 | 5,531,694 | |
| CMS Energy Corp. | 108,340 | 6,694,329 | |
| Consolidated Edison, Inc. | 128,309 | 9,465,355 | |
| Dominion Energy, Inc. | 301,868 | 22,600,857 | |
| DTE Energy Co. | 72,509 | 8,506,756 | |
| NiSource, Inc. | 146,800 | 3,636,236 | |
| Public Service Enterprise Group, Inc. | 189,048 | 11,764,457 | |
| Sempra Energy | 117,926 | 15,407,032 | |
| WEC Energy Group, Inc. | 118,062 | 11,114,357 | |
| 102,747,937 | |||
| Water Utilities - 0.1% | |||
| American Water Works Co., Inc. | 67,921 | 11,554,041 | |
| TOTAL UTILITIES | 346,050,658 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $6,736,472,678) | 13,928,475,648 | ||
| Money Market Funds - 1.9% | |||
| Fidelity Cash Central Fund 0.06% (c) | 26,193,572 | 26,198,811 | |
| Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) | 240,064,393 | 240,088,399 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $266,287,210) | 266,287,210 | ||
| TOTAL INVESTMENT IN SECURITIES - 101.6% | |||
| (Cost $7,002,759,888) | 14,194,762,858 | ||
| NET OTHER ASSETS (LIABILITIES) - (1.6)% | (226,992,636) | ||
| NET ASSETS - 100% | $13,967,770,222 |
| 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) | 184 | Sept. 2021 | $40,383,400 | $1,525,794 | $1,525,794 |
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 | $60,337 |
| Fidelity Securities Lending Cash Central Fund | 79,607 |
| Total | $139,944 |
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.
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
| Fidelity Cash Central Fund 0.06% | $48,344,594 | $6,350,866,173 | $6,372,977,472 | $(33,951) | $(533) | $26,198,811 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 0.06% | 58,722,871 | 1,116,696,234 | 935,330,706 | -- | -- | 240,088,399 | 0.8% |
| Total | $107,067,465 | $7,467,562,407 | $7,308,308,178 | $(33,951) | $(533) | $266,287,210 |
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2021, 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 | $1,566,002,031 | $1,566,002,031 | $-- | $-- |
| Consumer Discretionary | 1,678,536,061 | 1,678,536,061 | -- | -- |
| Consumer Staples | 815,236,556 | 815,236,556 | -- | -- |
| Energy | 355,169,545 | 355,169,545 | -- | -- |
| Financials | 1,525,106,635 | 1,525,106,635 | -- | -- |
| Health Care | 1,869,668,159 | 1,869,668,159 | -- | -- |
| Industrials | 1,171,183,361 | 1,171,183,361 | -- | -- |
| Information Technology | 3,874,587,005 | 3,874,587,005 | -- | -- |
| Materials | 360,744,751 | 360,744,751 | -- | -- |
| Real Estate | 366,190,886 | 366,190,886 | -- | -- |
| Utilities | 346,050,658 | 346,050,658 | -- | -- |
| Money Market Funds | 266,287,210 | 266,287,210 | -- | -- |
| Total Investments in Securities: | $14,194,762,858 | $14,194,762,858 | $-- | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $1,525,794 | $1,525,794 | $-- | $-- |
| Total Assets | $1,525,794 | $1,525,794 | $-- | $-- |
| Total Derivative Instruments: | $1,525,794 | $1,525,794 | $-- | $-- |
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, 2021. 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) | $1,525,794 | $0 |
| Total Equity Risk | 1,525,794 | 0 |
| Total Value of Derivatives | $1,525,794 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| July 31, 2021 | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $233,089,487) — See accompanying schedule: Unaffiliated issuers (cost $6,736,472,678) | $13,928,475,648 | |
| Fidelity Central Funds (cost $266,287,210) | 266,287,210 | |
| Total Investment in Securities (cost $7,002,759,888) | $14,194,762,858 | |
| Segregated cash with brokers for derivative instruments | 2,035,000 | |
| Cash | 29,880 | |
| Receivable for fund shares sold | 71,030,853 | |
| Dividends receivable | 13,175,266 | |
| Distributions receivable from Fidelity Central Funds | 13,850 | |
| Prepaid expenses | 12,306 | |
| Receivable from investment adviser for expense reductions | 41,397 | |
| Total assets | 14,281,101,410 | |
| Liabilities | ||
| Payable for investments purchased | $69,621,620 | |
| Payable for fund shares redeemed | 3,043,007 | |
| Accrued management fee | 197,203 | |
| Payable for daily variation margin on futures contracts | 207,139 | |
| Other payables and accrued expenses | 143,644 | |
| Collateral on securities loaned | 240,118,575 | |
| Total liabilities | 313,331,188 | |
| Net Assets | $13,967,770,222 | |
| Net Assets consist of: | ||
| Paid in capital | $5,409,029,415 | |
| Total accumulated earnings (loss) | 8,558,740,807 | |
| Net Assets | $13,967,770,222 | |
| Net Asset Value, offering price and redemption price per share ($13,967,770,222 ÷ 603,102,416 shares) | $23.16 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Year ended July 31, 2021 | ||
| Investment Income | ||
| Dividends | $251,207,618 | |
| Interest | 1,283 | |
| Income from Fidelity Central Funds (including $79,607 from security lending) | 139,944 | |
| Total income | 251,348,845 | |
| Expenses | ||
| Management fee | $2,458,216 | |
| Custodian fees and expenses | 233,585 | |
| Independent trustees' fees and expenses | 45,588 | |
| Registration fees | 93,842 | |
| Audit | 52,675 | |
| Legal | 33,815 | |
| Interest | 110,010 | |
| Miscellaneous | 71,865 | |
| Total expenses before reductions | 3,099,596 | |
| Expense reductions | (478,092) | |
| Total expenses after reductions | 2,621,504 | |
| Net investment income (loss) | 248,727,341 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 2,253,346,036 | |
| Fidelity Central Funds | (33,951) | |
| Futures contracts | 21,845,513 | |
| Total net realized gain (loss) | 2,275,157,598 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 2,774,947,444 | |
| Fidelity Central Funds | (533) | |
| Futures contracts | (1,079,480) | |
| Total change in net unrealized appreciation (depreciation) | 2,773,867,431 | |
| Net gain (loss) | 5,049,025,029 | |
| Net increase (decrease) in net assets resulting from operations | $5,297,752,370 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Year ended July 31, 2021 | Year ended July 31, 2020 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $248,727,341 | $284,095,895 |
| Net realized gain (loss) | 2,275,157,598 | 21,656,675 |
| Change in net unrealized appreciation (depreciation) | 2,773,867,431 | 1,360,854,382 |
| Net increase (decrease) in net assets resulting from operations | 5,297,752,370 | 1,666,606,952 |
| Distributions to shareholders | (616,908,279) | (277,507,662) |
| Share transactions | ||
| Proceeds from sales of shares | 18,319,849,544 | 17,656,249,318 |
| Reinvestment of distributions | 610,586,296 | 184,843,686 |
| Cost of shares redeemed | (25,049,954,195) | (17,870,724,118) |
| Net increase (decrease) in net assets resulting from share transactions | (6,119,518,355) | (29,631,114) |
| Total increase (decrease) in net assets | (1,438,674,264) | 1,359,468,176 |
| Net Assets | ||
| Beginning of period | 15,406,444,486 | 14,046,976,310 |
| End of period | $13,967,770,222 | $15,406,444,486 |
| Other Information | ||
| Shares | ||
| Sold | 920,285,819 | 1,091,411,412 |
| Issued in reinvestment of distributions | 32,481,306 | 11,014,839 |
| Redeemed | (1,221,017,368) | (1,104,319,712) |
| Net increase (decrease) | (268,250,243) | (1,893,461) |
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, | 2021 | 2020 | 2019 | 2018 | 2017 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $17.68 | $16.09 | $15.21 | $13.30 | $11.55 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .31 | .32 | .30 | .27 | .25 |
| Net realized and unrealized gain (loss) | 5.94 | 1.56 | .87 | 1.86 | 1.59 |
| Total from investment operations | 6.25 | 1.88 | 1.17 | 2.13 | 1.84 |
| Distributions from net investment income | (.35) | (.29) | (.28) | (.19) | (.09) |
| Distributions from net realized gain | (.42) | – | (.01) | (.03) | –B |
| Total distributions | (.77) | (.29) | (.29) | (.22) | (.09) |
| Net asset value, end of period | $23.16 | $17.68 | $16.09 | $15.21 | $13.30 |
| Total ReturnC,D | 36.43% | 11.84% | 7.97% | 16.22% | 16.03% |
| Ratios to Average Net AssetsE,F | |||||
| Expenses before reductions | .02% | .02% | .09% | .09% | .09% |
| Expenses net of fee waivers, if any | .02% | .02% | .02% | .02% | .02% |
| Expenses net of all reductions | .02% | .02% | .02% | .02% | .02% |
| Net investment income (loss) | 1.52% | 1.97% | 2.00% | 1.87% | 2.05% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $13,967,770 | $15,406,444 | $14,046,976 | $13,692,497 | $8,155,030 |
| Portfolio turnover rateG | 86% | 80% | 41% | 26% | 17% |
A Calculated based on average shares outstanding during the period.
B Amount represents less than $.005 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended July 31, 2021
1. Organization.
Fidelity SAI U.S. Large Cap Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% to .01% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has 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, 2021 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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, 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, certain deemed distributions 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 | $7,158,863,826 |
| Gross unrealized depreciation | (109,905,308) |
| Net unrealized appreciation (depreciation) | $7,048,958,518 |
| Tax Cost | $7,145,804,340 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $143,564,798 |
| Undistributed long-term capital gain | $1,366,217,491 |
| Net unrealized appreciation (depreciation) on securities and other investments | $7,048,958,518 |
The tax character of distributions paid was as follows:
| July 31, 2021 | July 31, 2020 | |
| Ordinary Income | $358,589,460 | $ 277,507,662 |
| Long-term Capital Gains | 258,318,819 | – |
| Total | $616,908,279 | $ 277,507,662 |
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 and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity SAI U.S. Large Cap Index Fund | 13,725,785,046 | 20,137,505,758 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .015% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
| Fidelity SAI U.S. Large Cap Index Fund | Borrower | $134,190,189 | .31% | $110,010 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Fidelity SAI U.S. Large Cap Index Fund | $31,549 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Fidelity SAI U.S. Large Cap Index Fund | $14,296 | $88 | $– |
9. Expense Reductions.
Effective September 1, 2021 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, 2022. 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 $477,972.
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 by $120.
10. Other.
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.
In addition, at the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| Strategic Advisers Large Cap Fund | |
| Fidelity SAI U.S. Large Cap Index Fund | 12% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of 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, 2021, 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, 2021, 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, 2021, 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, 2021
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 283 funds. Mr. Chiel oversees 176 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 Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
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 and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and 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 her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. 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. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for 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
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
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).
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present) and 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).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jamie Pagliocco (1964)
Year of Election or Appointment: 2020
Vice President
Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.
Kenneth B. Robins (1969)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
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 FIMM, LLC (2021-present) and 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 LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During Period-B February 1, 2021 to July 31, 2021 | |
| Fidelity SAI U.S. Large Cap Index Fund | .02% | |||
| Actual | $1,000.00 | $1,192.00 | $.11 | |
| 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 annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity SAI U.S. Large Cap Index Fund voted to pay on September 13, 2021, to shareholders of record at the opening of business on September 10, 2021, a distribution of $2.021 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.200 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2021, $1,619,884,517, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 90% and 50% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 95% and 52% 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 3% and 4% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts
Fidelity SAI U.S. Large Cap Index Fund
At its July 2021 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 LLC (FMR), the fund's investment adviser, to Geode on behalf of the fund by 0.05 basis points, effective August 1, 2021. 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 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 agreement (Advisory Contracts). At its September 2020 meeting, the Board concluded that the nature, extent and quality of the services provided to the fund under the existing Advisory Contracts should continue to 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 should continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Expense Ratio. The Board noted that the Amended Contract would result in no change in the fund's management fee and total expense ratio and 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 2020 and July 2021 meetings that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered and that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board previously reviewed information regarding the revenues earned and the expenses incurred by Fidelity in providing services to the fund and the level of Fidelity's profitability. At its September 2020 meeting, the Board concluded that it was satisfied that Fidelity's profitability in connection with the operation of the fund was not excessive. At the July 2021 meeting, the Board concluded that the Amended Contract would not have a meaningful effect on Fidelity's profitability.Economies of Scale. The Board has 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 2020 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. At the July 2021 meeting, the Board concluded that the Amended Contract would not have a meaningful effect on any potential economies of scale.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the sub-advisory fee arrangement is fair and reasonable, and that the fund's Amended Contract should be approved.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SV9-ANN-0921
1.9870993.105
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.
July 31, 2021
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. © 2021 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.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
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, 2021 | Past 1 year | Past 5 years | Life of fundA |
| Fidelity® SAI Real Estate Index Fund | 39.72% | 4.97% | 8.28% |
A From February 2, 2016
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI Real Estate Index Fund on February 2, 2016, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the MSCI US IMI Real Estate 25/25 Index, the Dow Jones U.S. Select Real Estate Securities Index℠, and the Fidelity Real Estate Linked Index performed over the same period.
| Period Ending Values | ||
| $15,485 | Fidelity® SAI Real Estate Index Fund | |
| $18,360 | MSCI US IMI Real Estate 25/25 Index | |
| $15,791 | Dow Jones U.S. Select Real Estate Securities Index℠ | |
| $15,495 | Fidelity Real Estate Linked Index | |
Effective December 1, 2020, the fund's benchmark changed from the Dow Jones U.S. Select Real Estate Securities IndexSM to the MSCI US IMI Real Estate 25/25 Index.
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year ending July 31, 2021, the fund gained 39.72%, compared with the 36.79% advance of the benchmark MSCI US IMI Real Estate 25/25 index. By segment, apartment real estate investment trusts (REITs) rose roughly 59% and contributed most, followed by real-estate related firms, which were up 39%, and self-storage REITs (+68%). Additionally, the health care group advanced about 46%, industrial REITs gained approximately 19% and strip centers rose roughly 75%. Other notable contributors included malls (+111%), hotels (+84%), office REITs (+25%), other retail REITs (+49%) and specialty REITs (+29%). Turning to individual stocks, the top contributor was American Tower (+24%), within the real-estate related segment. In malls, Simon Property Group (+115%) was helpful while Public Storage (+61%) from the self-storage industry also contributed. Welltower, within the health care category, rose approximately 68% and added value, as did Prologis (+24%) within the industrial group. Conversely, the biggest individual detractor was Digital Realty Trust (-1%), from the mixed industrial/office segment, followed by Americold Realty Trust (-2%), which is in the industrial category. Within the real-estate related group, GEO Group returned roughly -25% and further weighed on the portfolio’s return. Other detractors included Equity Commonwealth (-6%), a stock in the office group, and Washington Prime (-70%), from the other retail segment.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 December 1, 2020, the fund's primary benchmark changed from the Dow Jones U.S. Select Real Estate Securities Index to the MSCI US IMI Real Estate 25/25 Index, which is broader and better reflects the investment opportunities in the real estate market.Investment Summary (Unaudited)
Top Ten Stocks as of July 31, 2021
| % of fund's net assets | |
| American Tower Corp. | 8.1 |
| Prologis (REIT), Inc. | 6.1 |
| Crown Castle International Corp. | 5.1 |
| Equinix, Inc. | 4.2 |
| Public Storage | 3.2 |
| Simon Property Group, Inc. | 2.7 |
| Digital Realty Trust, Inc. | 2.7 |
| SBA Communications Corp. Class A | 2.5 |
| Welltower, Inc. | 2.4 |
| CBRE Group, Inc. | 2.1 |
| 39.1 |
Top Five REIT Sectors as of July 31, 2021
| % of fund's net assets | |
| REITs - Diversified | 23.7 |
| REITs - Apartments | 12.1 |
| REITs - Management/Investment | 12.0 |
| REITs - Warehouse/Industrial | 9.0 |
| REITs - Health Care | 7.8 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2021* | ||
| Stocks and Equity Futures | 100.0% | |
* Foreign Investments - 0.2%
Schedule of Investments July 31, 2021
Showing Percentage of Net Assets
| Common Stocks - 99.9% | |||
| Shares | Value | ||
| Equity Real Estate Investment Trusts (REITs) - 95.2% | |||
| REITs - Apartments - 12.1% | |||
| American Campus Communities, Inc. | 68,996 | $3,471,189 | |
| American Homes 4 Rent Class A | 138,742 | 5,827,164 | |
| Apartment Investment & Management Co. Class A | 76,187 | 530,262 | |
| AvalonBay Communities, Inc. | 68,919 | 15,701,816 | |
| Camden Property Trust (SBI) | 48,246 | 7,207,470 | |
| Centerspace | 6,355 | 571,950 | |
| Equity Residential (SBI) | 183,148 | 15,408,241 | |
| Essex Property Trust, Inc. | 32,526 | 10,671,781 | |
| Independence Realty Trust, Inc. | 55,934 | 1,078,408 | |
| Invitation Homes, Inc. | 278,033 | 11,310,382 | |
| Mid-America Apartment Communities, Inc. | 56,803 | 10,968,659 | |
| UDR, Inc. | 147,212 | 8,095,188 | |
| 90,842,510 | |||
| REITs - Diversified - 23.7% | |||
| Alexander & Baldwin, Inc. | 39,896 | 798,718 | |
| American Finance Trust, Inc. | 63,991 | 542,004 | |
| Apartment Income (REIT) Corp. | 76,090 | 4,005,378 | |
| Apple Hospitality (REIT), Inc. | 114,142 | 1,706,423 | |
| Armada Hoffler Properties, Inc. | 37,553 | 488,189 | |
| Broadstone Net Lease, Inc. (a) | 6,949 | 180,813 | |
| CatchMark Timber Trust, Inc. | 36,241 | 423,657 | |
| CorePoint Lodging, Inc. (b) | 35,230 | 473,491 | |
| Cousins Properties, Inc. | 76,210 | 3,027,061 | |
| Crown Castle International Corp. | 199,405 | 38,503,111 | |
| Digital Realty Trust, Inc. | 131,066 | 20,205,135 | |
| Digitalbridge Group, Inc. (a)(b) | 265,440 | 1,847,462 | |
| Duke Realty Corp. | 184,629 | 9,393,924 | |
| EPR Properties | 39,475 | 1,985,593 | |
| Equinix, Inc. | 38,423 | 31,522,613 | |
| Gaming & Leisure Properties | 107,108 | 5,070,493 | |
| Gladstone Commercial Corp. | 18,529 | 429,502 | |
| Gladstone Land Corp. | 7,624 | 177,792 | |
| Global Net Lease, Inc. | 44,087 | 814,287 | |
| Lamar Advertising Co. Class A | 44,344 | 4,727,070 | |
| NexPoint Residential Trust, Inc. | 11,755 | 692,957 | |
| One Liberty Properties, Inc. | 12,319 | 376,838 | |
| Outfront Media, Inc. (b) | 80,014 | 1,911,534 | |
| Potlatch Corp. | 37,021 | 1,922,871 | |
| Preferred Apartment Communities, Inc. Class A | 27,256 | 287,278 | |
| PS Business Parks, Inc. | 11,003 | 1,690,831 | |
| Safehold, Inc. | 8,078 | 729,605 | |
| SBA Communications Corp. Class A | 54,818 | 18,692,390 | |
| Store Capital Corp. | 121,335 | 4,391,114 | |
| The GEO Group, Inc. (a) | 62,842 | 434,867 | |
| Uniti Group, Inc. | 104,326 | 1,221,657 | |
| VICI Properties, Inc. (a) | 238,769 | 7,447,205 | |
| Vornado Realty Trust | 82,263 | 3,578,441 | |
| Washington REIT (SBI) | 40,320 | 979,373 | |
| WP Carey, Inc. | 85,955 | 6,935,709 | |
| 177,615,386 | |||
| REITs - Health Care - 7.8% | |||
| CareTrust (REIT), Inc. | 53,693 | 1,295,075 | |
| Community Healthcare Trust, Inc. | 14,044 | 699,813 | |
| Diversified Healthcare Trust (SBI) | 137,169 | 534,959 | |
| Global Medical REIT, Inc. | 37,791 | 588,028 | |
| Healthcare Realty Trust, Inc. | 68,529 | 2,184,705 | |
| Healthcare Trust of America, Inc. | 108,689 | 3,107,419 | |
| Healthpeak Properties, Inc. | 251,834 | 9,310,303 | |
| LTC Properties, Inc. | 19,292 | 730,202 | |
| Medical Properties Trust, Inc. | 285,933 | 6,013,171 | |
| New Senior Investment Group, Inc. | 64,144 | 591,408 | |
| Physicians Realty Trust | 101,612 | 1,925,547 | |
| Sabra Health Care REIT, Inc. | 108,982 | 2,025,975 | |
| Universal Health Realty Income Trust (SBI) | 7,575 | 452,606 | |
| Ventas, Inc. | 184,817 | 11,048,360 | |
| Welltower, Inc. | 205,358 | 17,837,396 | |
| 58,344,967 | |||
| REITs - Health Care Facilities - 0.8% | |||
| National Health Investors, Inc. | 22,897 | 1,562,262 | |
| Omega Healthcare Investors, Inc. | 113,113 | 4,103,740 | |
| 5,666,002 | |||
| REITs - Hotels - 2.9% | |||
| Chatham Lodging Trust (b) | 32,124 | 394,483 | |
| DiamondRock Hospitality Co. (b) | 113,874 | 980,455 | |
| Host Hotels & Resorts, Inc. (b) | 353,490 | 5,631,096 | |
| MGM Growth Properties LLC | 77,904 | 2,944,771 | |
| Park Hotels & Resorts, Inc. (b) | 122,896 | 2,273,576 | |
| Pebblebrook Hotel Trust | 71,316 | 1,603,897 | |
| RLJ Lodging Trust | 91,622 | 1,314,776 | |
| Ryman Hospitality Properties, Inc. (b) | 27,832 | 2,134,714 | |
| Service Properties Trust | 93,156 | 1,036,826 | |
| Summit Hotel Properties, Inc. (b) | 66,124 | 595,777 | |
| Sunstone Hotel Investors, Inc. (b) | 116,632 | 1,345,933 | |
| Xenia Hotels & Resorts, Inc. (b) | 64,418 | 1,138,910 | |
| 21,395,214 | |||
| REITs - Industrial Buildings - 0.4% | |||
| Stag Industrial, Inc. | 77,687 | 3,210,027 | |
| REITs - Management/Investment - 12.0% | |||
| American Assets Trust, Inc. | 28,825 | 1,064,507 | |
| American Tower Corp. | 214,582 | 60,683,789 | |
| CoreSite Realty Corp. | 18,921 | 2,615,071 | |
| Empire State Realty Trust, Inc. | 82,934 | 947,936 | |
| iStar Financial, Inc. (a) | 44,020 | 1,066,605 | |
| Lexington Corporate Properties Trust | 130,846 | 1,720,625 | |
| National Retail Properties, Inc. | 87,717 | 4,286,730 | |
| Rayonier, Inc. | 66,678 | 2,514,427 | |
| Retail Properties America, Inc. | 118,702 | 1,496,832 | |
| UMH Properties, Inc. | 26,315 | 612,613 | |
| Weyerhaeuser Co. | 372,944 | 12,579,401 | |
| 89,588,536 | |||
| REITs - Manufactured Homes - 2.2% | |||
| Equity Lifestyle Properties, Inc. | 86,672 | 7,263,114 | |
| Sun Communities, Inc. | 47,309 | 9,277,768 | |
| 16,540,882 | |||
| REITs - Office Buildings - 0.7% | |||
| CyrusOne, Inc. | 58,738 | 4,186,257 | |
| Office Properties Income Trust | 25,525 | 739,715 | |
| 4,925,972 | |||
| REITs - Office Property - 7.0% | |||
| Alexandria Real Estate Equities, Inc. | 61,563 | 12,395,094 | |
| Boston Properties, Inc. | 74,003 | 8,686,472 | |
| Brandywine Realty Trust (SBI) | 95,636 | 1,335,079 | |
| City Office REIT, Inc. | 33,170 | 426,898 | |
| Columbia Property Trust, Inc. | 58,094 | 968,427 | |
| Corporate Office Properties Trust (SBI) | 59,400 | 1,748,736 | |
| Douglas Emmett, Inc. | 85,120 | 2,843,008 | |
| Easterly Government Properties, Inc. | 39,172 | 889,204 | |
| Equity Commonwealth | 49,106 | 1,290,997 | |
| Franklin Street Properties Corp. | 64,923 | 338,898 | |
| Highwoods Properties, Inc. (SBI) | 54,605 | 2,604,112 | |
| Hudson Pacific Properties, Inc. | 78,285 | 2,134,049 | |
| JBG SMITH Properties | 59,617 | 1,945,303 | |
| Kilroy Realty Corp. | 53,027 | 3,673,180 | |
| Mack-Cali Realty Corp. | 45,682 | 822,276 | |
| Paramount Group, Inc. | 91,693 | 894,924 | |
| Piedmont Office Realty Trust, Inc. Class A | 65,795 | 1,251,421 | |
| SL Green Realty Corp. | 37,731 | 2,809,450 | |
| VEREIT, Inc. | 110,560 | 5,414,123 | |
| 52,471,651 | |||
| REITs - Regional Malls - 3.0% | |||
| Simon Property Group, Inc. | 161,865 | 20,479,160 | |
| Tanger Factory Outlet Centers, Inc. | 55,277 | 949,106 | |
| The Macerich Co. | 63,847 | 1,040,706 | |
| 22,468,972 | |||
| REITs - Shopping Centers - 5.4% | |||
| Acadia Realty Trust (SBI) | 47,098 | 1,007,897 | |
| Alexanders, Inc. | 1,129 | 314,810 | |
| Brixmor Property Group, Inc. | 154,627 | 3,559,514 | |
| Federal Realty Investment Trust (SBI) | 36,913 | 4,338,385 | |
| Kimco Realty Corp. | 222,700 | 4,750,191 | |
| Kite Realty Group Trust | 51,213 | 1,032,454 | |
| Realty Income Corp. | 166,542 | 11,706,237 | |
| Regency Centers Corp. | 85,319 | 5,580,716 | |
| Retail Opportunity Investments Corp. | 68,433 | 1,209,211 | |
| RPT Realty | 53,478 | 681,310 | |
| Saul Centers, Inc. | 9,364 | 426,998 | |
| Seritage Growth Properties (b) | 25,430 | 403,574 | |
| SITE Centers Corp. | 90,990 | 1,443,101 | |
| Urban Edge Properties | 67,628 | 1,284,932 | |
| Urstadt Biddle Properties, Inc. Class A | 19,548 | 372,780 | |
| Weingarten Realty Investors (SBI) | 65,592 | 2,111,406 | |
| 40,223,516 | |||
| REITs - Single Tenant - 1.1% | |||
| Agree Realty Corp. | 24,304 | 1,826,446 | |
| Essential Properties Realty Trust, Inc. | 56,782 | 1,692,104 | |
| Four Corners Property Trust, Inc. | 38,682 | 1,110,560 | |
| Getty Realty Corp. | 19,448 | 614,362 | |
| NETSTREIT Corp. | 12,882 | 334,288 | |
| Spirit Realty Capital, Inc. | 53,025 | 2,662,916 | |
| 8,240,676 | |||
| REITs - Storage - 7.1% | |||
| CubeSmart | 98,159 | 4,874,576 | |
| Extra Space Storage, Inc. | 64,283 | 11,194,242 | |
| Iron Mountain, Inc. | 144,220 | 6,311,067 | |
| Life Storage, Inc. | 35,633 | 4,181,889 | |
| National Storage Affiliates Trust | 41,305 | 2,237,492 | |
| Public Storage | 77,323 | 24,161,891 | |
| 52,961,157 | |||
| REITs - Warehouse/Industrial - 9.0% | |||
| Americold Realty Trust | 102,076 | 3,965,653 | |
| EastGroup Properties, Inc. | 20,590 | 3,628,370 | |
| First Industrial Realty Trust, Inc. | 65,543 | 3,590,446 | |
| Industrial Logistics Properties Trust | 35,945 | 974,110 | |
| Monmouth Real Estate Investment Corp. Class A | 49,059 | 934,083 | |
| Prologis (REIT), Inc. | 354,861 | 45,436,402 | |
| QTS Realty Trust, Inc. Class A | 29,547 | 2,296,097 | |
| Rexford Industrial Realty, Inc. | 61,213 | 3,765,824 | |
| Terreno Realty Corp. | 36,538 | 2,497,738 | |
| 67,088,723 | |||
| TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 711,584,191 | ||
| Real Estate Management & Development - 4.7% | |||
| Diversified Real Estate Activities - 0.2% | |||
| Five Point Holdings LLC Class A (b) | 40,040 | 335,135 | |
| The RMR Group, Inc. | 9,411 | 369,288 | |
| The St. Joe Co. | 19,118 | 865,472 | |
| 1,569,895 | |||
| Real Estate Development - 0.3% | |||
| Forestar Group, Inc. (b) | 14,327 | 293,274 | |
| Howard Hughes Corp. (b) | 20,681 | 1,917,336 | |
| 2,210,610 | |||
| Real Estate Operating Companies - 0.2% | |||
| FRP Holdings, Inc. (b) | 2,160 | 129,881 | |
| Kennedy-Wilson Holdings, Inc. | 61,074 | 1,233,084 | |
| 1,362,965 | |||
| Real Estate Services - 4.0% | |||
| CBRE Group, Inc. (b) | 166,364 | 16,047,471 | |
| Cushman & Wakefield PLC (b) | 63,160 | 1,179,197 | |
| eXp World Holdings, Inc. (a) | 30,764 | 1,105,043 | |
| Jones Lang LaSalle, Inc. (b) | 25,860 | 5,755,660 | |
| Marcus & Millichap, Inc. (b) | 12,922 | 514,166 | |
| Newmark Group, Inc. | 92,447 | 1,190,717 | |
| Opendoor Technologies, Inc. (b) | 13,677 | 202,693 | |
| RE/MAX Holdings, Inc. | 11,108 | 381,004 | |
| Realogy Holdings Corp. (b) | 64,145 | 1,136,649 | |
| Redfin Corp. (b) | 47,628 | 2,789,572 | |
| 30,302,172 | |||
| TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 35,445,642 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $547,046,353) | 747,029,833 | ||
| Money Market Funds - 1.5% | |||
| Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) | |||
| (Cost $11,396,932) | 11,395,793 | 11,396,932 | |
| TOTAL INVESTMENT IN SECURITIES - 101.4% | |||
| (Cost $558,443,285) | 758,426,765 | ||
| NET OTHER ASSETS (LIABILITIES) - (1.4)% | (10,601,071) | ||
| NET ASSETS - 100% | $747,825,694 |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
| Purchased | |||||
| Equity Index Contracts | |||||
| CBOT Dow Jones U.S. Real Estate Index Contracts (United States) | 25 | Sept. 2021 | $1,037,500 | $16,932 | $16,932 |
The notional amount of futures purchased as a percentage of Net Assets is 0.1%
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 | $1,698 |
| Fidelity Securities Lending Cash Central Fund | 43,157 |
| Total | $44,855 |
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.
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
| Fidelity Cash Central Fund 0.06% | $34,234,808 | $133,199,945 | $167,434,757 | $4 | $-- | $-- | 0.0% |
| Fidelity Securities Lending Cash Central Fund 0.06% | 1,196,182 | 39,858,412 | 29,657,662 | -- | -- | 11,396,932 | 0.0% |
| Total | $35,430,990 | $173,058,357 | $197,092,419 | $4 | $-- | $11,396,932 |
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2021, 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 | $747,029,833 | $747,029,833 | $-- | $-- |
| Money Market Funds | 11,396,932 | 11,396,932 | -- | -- |
| Total Investments in Securities: | $758,426,765 | $758,426,765 | $-- | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $16,932 | $16,932 | $-- | $-- |
| Total Assets | $16,932 | $16,932 | $-- | $-- |
| Total Derivative Instruments: | $16,932 | $16,932 | $-- | $-- |
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, 2021. 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) | $16,932 | $0 |
| Total Equity Risk | 16,932 | 0 |
| Total Value of Derivatives | $16,932 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| July 31, 2021 | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $11,187,184) — See accompanying schedule: Unaffiliated issuers (cost $547,046,353) | $747,029,833 | |
| Fidelity Central Funds (cost $11,396,932) | 11,396,932 | |
| Total Investment in Securities (cost $558,443,285) | $758,426,765 | |
| Segregated cash with brokers for derivative instruments | 57,500 | |
| Receivable for investments sold | 3,301,329 | |
| Receivable for fund shares sold | 106,330 | |
| Dividends receivable | 365,802 | |
| Distributions receivable from Fidelity Central Funds | 821 | |
| Receivable for daily variation margin on futures contracts | 2,000 | |
| Prepaid expenses | 646 | |
| Receivable from investment adviser for expense reductions | 5,806 | |
| Total assets | 762,266,999 | |
| Liabilities | ||
| Payable to custodian bank | $2,789,458 | |
| Payable for fund shares redeemed | 166,145 | |
| Accrued management fee | 43,474 | |
| Other payables and accrued expenses | 44,878 | |
| Collateral on securities loaned | 11,397,350 | |
| Total liabilities | 14,441,305 | |
| Net Assets | $747,825,694 | |
| Net Assets consist of: | ||
| Paid in capital | $541,870,796 | |
| Total accumulated earnings (loss) | 205,954,898 | |
| Net Assets | $747,825,694 | |
| Net Asset Value, offering price and redemption price per share ($747,825,694 ÷ 56,793,585 shares) | $13.17 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Year ended July 31, 2021 | ||
| Investment Income | ||
| Dividends | $18,050,285 | |
| Income from Fidelity Central Funds (including $43,157 from security lending) | 44,855 | |
| Total income | 18,095,140 | |
| Expenses | ||
| Management fee | $478,847 | |
| Custodian fees and expenses | 17,650 | |
| Independent trustees' fees and expenses | 1,798 | |
| Registration fees | 36,013 | |
| Audit | 51,482 | |
| Legal | 959 | |
| Interest | 1,245 | |
| Miscellaneous | 1,901 | |
| Total expenses before reductions | 589,895 | |
| Expense reductions | (108,421) | |
| Total expenses after reductions | 481,474 | |
| Net investment income (loss) | 17,613,666 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 28,673,341 | |
| Fidelity Central Funds | 4 | |
| Futures contracts | 1,424,497 | |
| Total net realized gain (loss) | 30,097,842 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 189,807,851 | |
| Futures contracts | 10,711 | |
| Total change in net unrealized appreciation (depreciation) | 189,818,562 | |
| Net gain (loss) | 219,916,404 | |
| Net increase (decrease) in net assets resulting from operations | $237,530,070 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Year ended July 31, 2021 | Year ended July 31, 2020 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $17,613,666 | $4,650,213 |
| Net realized gain (loss) | 30,097,842 | (27,111,980) |
| Change in net unrealized appreciation (depreciation) | 189,818,562 | 8,169,553 |
| Net increase (decrease) in net assets resulting from operations | 237,530,070 | (14,292,214) |
| Distributions to shareholders | (16,700,258) | (3,402,434) |
| Share transactions | ||
| Proceeds from sales of shares | 144,689,121 | 565,703,735 |
| Reinvestment of distributions | 16,698,031 | 3,402,425 |
| Cost of shares redeemed | (207,219,025) | (83,279,953) |
| Net increase (decrease) in net assets resulting from share transactions | (45,831,873) | 485,826,207 |
| Total increase (decrease) in net assets | 174,997,939 | 468,131,559 |
| Net Assets | ||
| Beginning of period | 572,827,755 | 104,696,196 |
| End of period | $747,825,694 | $572,827,755 |
| Other Information | ||
| Shares | ||
| Sold | 14,641,188 | 59,600,408 |
| Issued in reinvestment of distributions | 1,654,297 | 289,184 |
| Redeemed | (18,761,090) | (9,440,066) |
| Net increase (decrease) | (2,465,605) | 50,449,526 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Real Estate Index Fund
| Years ended July 31, | 2021 | 2020 | 2019 | 2018 | 2017 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $9.67 | $11.88 | $11.11 | $11.08 | $12.05 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .28 | .36 | .37 | .33 | .28 |
| Net realized and unrealized gain (loss) | 3.48 | (2.20) | .79 | .08 | (.96) |
| Total from investment operations | 3.76 | (1.84) | 1.16 | .41 | (.68) |
| Distributions from net investment income | (.26) | (.30) | (.37) | (.33) | (.24) |
| Distributions from net realized gain | – | (.07) | (.02) | (.05) | (.05) |
| Total distributions | (.26) | (.37) | (.39) | (.38) | (.29) |
| Net asset value, end of period | $13.17 | $9.67 | $11.88 | $11.11 | $11.08 |
| Total ReturnB,C | 39.72% | (16.04)% | 10.79% | 3.87% | (5.60)% |
| Ratios to Average Net AssetsD,E | |||||
| Expenses before reductions | .09% | .16% | .15% | .15% | .15% |
| Expenses net of fee waivers, if any | .07% | .07% | .07% | .07% | .09% |
| Expenses net of all reductions | .07% | .07% | .07% | .07% | .09% |
| Net investment income (loss) | 2.58% | 3.52% | 3.31% | 3.11% | 2.55% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $747,826 | $572,828 | $104,696 | $95,437 | $98,222 |
| Portfolio turnover rateF | 53% | 82% | 9% | 8% | 6% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended July 31, 2021
1. Organization.
Fidelity SAI Real Estate Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% to .01% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has 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, 2021 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.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, 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, 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 | $202,793,067 |
| Gross unrealized depreciation | (3,199,861) |
| Net unrealized appreciation (depreciation) | $199,593,206 |
| Tax Cost | $558,833,559 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation is estimated as of fiscal period end and is subject to adjustment.
| No expiration | |
| Short-term | $(890,875) |
| Long-term | (11,418,962) |
| Total capital loss carryforward | $(12,309,837) |
Due to large redemptions and then subscriptions in a prior period, approximately $12,309,837 of the Fund's realized capital losses are subject to limitation. Due to this limitation, the Fund will only be permitted to use approximately $70,663 of those capital losses per year to offset capital gains.
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $15,984,607 |
| Undistributed long-term capital gain | $2,686,921 |
| Net unrealized appreciation (depreciation) on securities and other investments | $199,593,206 |
The tax character of distributions paid was as follows:
| July 31, 2021 | July 31, 2020 | |
| Ordinary Income | $16,700,258 | $ 2,829,806 |
| Long-term Capital Gains | – | 572,628 |
| Total | $16,700,258 | $ 3,402,434 |
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 and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity SAI Real Estate Index Fund | 356,828,839 | 389,232,006 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .07% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
| Fidelity SAI Real Estate Index Fund | Borrower | $6,071,783 | .32% | $1,245 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Fidelity SAI Real Estate Index Fund | $1,254 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Fidelity SAI Real Estate Index Fund | $5,316 | $2,130 | $– |
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, 2022. 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 $108,421.
10. Other.
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, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| Strategic Advisers Small-Mid Cap Fund | |
| Fidelity SAI Real Estate Index Fund | 13% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI Real Estate Index Fund
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI Real Estate Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2021, 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, 2021, 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, 2021, 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, 2021
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 283 funds. Mr. Chiel oversees 176 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 Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
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 and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and 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 her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. 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. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for 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
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
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).
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present) and 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).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jamie Pagliocco (1964)
Year of Election or Appointment: 2020
Vice President
Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.
Kenneth B. Robins (1969)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
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 FIMM, LLC (2021-present) and 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 LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During Period-B February 1, 2021 to July 31, 2021 | |
| Fidelity SAI Real Estate Index Fund | .07% | |||
| Actual | $1,000.00 | $1,268.90 | $.39 | |
| 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 annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
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 7, 2021, to shareholders of record at the opening of business on September 3, 2021, a distribution of $0.289 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.053 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31,2021 $2,686,921, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 0%, 0%, and 84% of the dividends distributed in September, December, and June, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 0%, 0%, and 100% of the dividends distributed in September, December, and June, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 85%, 99%, and 0% of the dividends distributed in September, December, and June, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SV8-ANN-0921
1.9870987.105
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.
July 31, 2021
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. © 2021 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.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
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, 2021 | Past 1 year | Life of fundA |
| Fidelity® SAI U.S. Momentum Index Fund | 32.98% | 19.63% |
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 | ||
| $22,301 | Fidelity® SAI U.S. Momentum Index Fund | |
| $22,435 | MSCI USA Custom Momentum Composite Index | |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year ending July 31, 2021, the fund gained 32.98%, roughly in line with the 33.14% advance of the benchmark MSCI USA Custom Momentum Composite Index. By sector, information technology rose roughly 36% and contributed most, followed by consumer discretionary, which gained about 61%, benefiting from the automobiles & components industry (+140%). Additionally, the health care sector increased about 48%, communication services gained 39%, aided by the media & entertainment industry (+39%). Industrials stocks also advanced roughly 25%. Other notable contributors included the financials (+23%), materials (+14%), consumer staples (+14%) and utilities (+3%) sectors. Conversely, stocks in the real estate sector returned approximately 5% and detracted most. Energy (-3%) also hurt. Turning to individual stocks, the top contributor was Tesla (+133%), from the automobiles & components segment. In media & entertainment, Alphabet (+81%) was helpful, as was Nvidia (+80%) within the semiconductors & semiconductor equipment industry. Moderna, in the pharmaceuticals, biotechnology & life sciences group, rose about 377% while PayPal, within the software & services category, gained 40% and further boosted the fund. Conversely, the biggest individual detractor was Regeneron Pharmaceuticals (-23%), from the pharmaceuticals, biotechnology & life sciences group, followed by Bank of America (-5%), which is in the banks segment. Within pharmaceuticals, biotechnology & life sciences, Vertex Pharmaceuticals returned -19% and hurt. Other detractors included Caterpillar (-3%), a stock in the capital goods category, and American Tower (-18%), from the real estate sector.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Top Five Stocks as of July 31, 2021
| % of fund's net assets | |
| Tesla, Inc. | 4.7 |
| PayPal Holdings, Inc. | 3.5 |
| The Walt Disney Co. | 2.7 |
| Alphabet, Inc. Class C | 2.6 |
| Alphabet, Inc. Class A | 2.5 |
| 16.0 |
Top Five Market Sectors as of July 31, 2021
| % of fund's net assets | |
| Information Technology | 27.5 |
| Financials | 20.3 |
| Communication Services | 12.0 |
| Consumer Discretionary | 11.7 |
| Industrials | 11.0 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2021 * | ||
| Stocks and Equity Futures | 100.0% | |
* Foreign investments - 4.0%
Schedule of Investments July 31, 2021
Showing Percentage of Net Assets
| Common Stocks - 99.5% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 12.0% | |||
| Entertainment - 3.6% | |||
| Activision Blizzard, Inc. | 65,367 | $5,465,989 | |
| Roku, Inc. Class A (a) | 44,557 | 19,084,209 | |
| Take-Two Interactive Software, Inc. (a) | 5,339 | 925,889 | |
| The Walt Disney Co. (a) | 452,504 | 79,649,754 | |
| 105,125,841 | |||
| Interactive Media & Services - 7.6% | |||
| Alphabet, Inc.: | |||
| Class A (a) | 27,032 | 72,838,535 | |
| Class C (a) | 27,795 | 75,169,354 | |
| IAC (a) | 45,227 | 6,209,215 | |
| Match Group, Inc. (a) | 16,726 | 2,663,950 | |
| Pinterest, Inc. Class A (a) | 320,619 | 18,884,459 | |
| Snap, Inc. Class A (a) | 453,929 | 33,781,396 | |
| Twitter, Inc. (a) | 112,701 | 7,860,895 | |
| Zillow Group, Inc.: | |||
| Class A (a) | 9,939 | 1,064,765 | |
| Class C (a)(b) | 27,683 | 2,941,596 | |
| 221,414,165 | |||
| Media - 0.7% | |||
| Discovery Communications, Inc.: | |||
| Class A (a) | 46,081 | 1,336,810 | |
| Class C (non-vtg.) (a) | 79,185 | 2,146,705 | |
| Interpublic Group of Companies, Inc. | 95,197 | 3,366,166 | |
| News Corp. Class A | 209,987 | 5,171,980 | |
| Omnicom Group, Inc. | 14,546 | 1,059,240 | |
| ViacomCBS, Inc. Class B | 150,673 | 6,167,046 | |
| 19,247,947 | |||
| Wireless Telecommunication Services - 0.1% | |||
| T-Mobile U.S., Inc. (a) | 27,014 | 3,890,556 | |
| TOTAL COMMUNICATION SERVICES | 349,678,509 | ||
| CONSUMER DISCRETIONARY - 11.7% | |||
| Auto Components - 0.4% | |||
| Aptiv PLC (a) | 64,678 | 10,791,524 | |
| Lear Corp. | 3,315 | 580,059 | |
| 11,371,583 | |||
| Automobiles - 6.5% | |||
| Ford Motor Co. (a) | 1,424,772 | 19,875,569 | |
| General Motors Co. (a) | 550,468 | 31,288,601 | |
| Tesla, Inc. (a) | 201,849 | 138,710,629 | |
| 189,874,799 | |||
| Distributors - 0.1% | |||
| Pool Corp. | 5,677 | 2,712,584 | |
| Hotels, Restaurants & Leisure - 0.5% | |||
| Caesars Entertainment, Inc. (a) | 28,126 | 2,457,087 | |
| DraftKings, Inc. Class A (a)(b) | 31,598 | 1,532,503 | |
| Expedia, Inc. (a) | 35,792 | 5,757,859 | |
| MGM Resorts International | 93,037 | 3,491,679 | |
| 13,239,128 | |||
| Household Durables - 0.3% | |||
| D.R. Horton, Inc. | 15,564 | 1,485,273 | |
| Garmin Ltd. | 8,106 | 1,274,263 | |
| Lennar Corp. Class A | 11,537 | 1,213,116 | |
| Mohawk Industries, Inc. (a) | 13,883 | 2,705,797 | |
| Newell Brands, Inc. | 17,183 | 425,279 | |
| Whirlpool Corp. | 4,884 | 1,082,001 | |
| 8,185,729 | |||
| Internet & Direct Marketing Retail - 1.0% | |||
| Chewy, Inc. (a)(b) | 22,792 | 1,907,690 | |
| eBay, Inc. | 25,849 | 1,763,160 | |
| Etsy, Inc. (a) | 39,714 | 7,287,916 | |
| MercadoLibre, Inc. (a) | 10,589 | 16,610,964 | |
| Wayfair LLC Class A (a)(b) | 11,652 | 2,812,327 | |
| 30,382,057 | |||
| Leisure Products - 0.4% | |||
| Peloton Interactive, Inc. Class A (a) | 92,684 | 10,941,346 | |
| Multiline Retail - 1.6% | |||
| Target Corp. | 177,969 | 46,458,807 | |
| Specialty Retail - 0.5% | |||
| Bath & Body Works, Inc. | 78,275 | 6,267,479 | |
| Burlington Stores, Inc. (a) | 3,688 | 1,234,742 | |
| Carvana Co. Class A (a)(b) | 14,276 | 4,819,007 | |
| Tractor Supply Co. | 17,832 | 3,226,344 | |
| 15,547,572 | |||
| Textiles, Apparel & Luxury Goods - 0.4% | |||
| NIKE, Inc. Class B | 68,125 | 11,411,619 | |
| TOTAL CONSUMER DISCRETIONARY | 340,125,224 | ||
| CONSUMER STAPLES - 0.7% | |||
| Food Products - 0.4% | |||
| Archer Daniels Midland Co. | 104,103 | 6,217,031 | |
| Bunge Ltd. | 66,577 | 5,168,373 | |
| 11,385,404 | |||
| Personal Products - 0.3% | |||
| Estee Lauder Companies, Inc. Class A | 24,350 | 8,128,761 | |
| TOTAL CONSUMER STAPLES | 19,514,165 | ||
| ENERGY - 2.7% | |||
| Energy Equipment & Services - 0.2% | |||
| Baker Hughes Co. Class A | 46,754 | 993,055 | |
| Halliburton Co. | 52,866 | 1,093,269 | |
| Schlumberger Ltd. | 71,127 | 2,050,591 | |
| 4,136,915 | |||
| Oil, Gas & Consumable Fuels - 2.5% | |||
| Cheniere Energy, Inc. (a) | 66,208 | 5,623,045 | |
| Devon Energy Corp. | 178,150 | 4,603,396 | |
| EOG Resources, Inc. | 134,530 | 9,801,856 | |
| Exxon Mobil Corp. | 681,646 | 39,242,360 | |
| Hess Corp. | 45,606 | 3,486,123 | |
| Marathon Petroleum Corp. | 34,930 | 1,928,835 | |
| Occidental Petroleum Corp. | 127,513 | 3,328,089 | |
| ONEOK, Inc. | 26,253 | 1,364,368 | |
| Pioneer Natural Resources Co. | 26,011 | 3,781,219 | |
| 73,159,291 | |||
| TOTAL ENERGY | 77,296,206 | ||
| FINANCIALS - 20.3% | |||
| Banks - 8.4% | |||
| Bank of America Corp. | 1,796,893 | 68,928,815 | |
| Citizens Financial Group, Inc. | 102,708 | 4,330,169 | |
| Fifth Third Bancorp | 167,838 | 6,090,841 | |
| First Republic Bank | 45,388 | 8,851,568 | |
| Huntington Bancshares, Inc./Ohio | 53,233 | 749,521 | |
| JPMorgan Chase & Co. | 446,153 | 67,717,102 | |
| KeyCorp | 46,262 | 909,511 | |
| PNC Financial Services Group, Inc. | 123,801 | 22,582,540 | |
| Regions Financial Corp. | 180,415 | 3,472,989 | |
| SVB Financial Group (a) | 28,060 | 15,431,878 | |
| U.S. Bancorp | 140,929 | 7,827,197 | |
| Wells Fargo & Co. | 859,350 | 39,478,539 | |
| 246,370,670 | |||
| Capital Markets - 7.5% | |||
| Ameriprise Financial, Inc. | 19,744 | 5,085,265 | |
| BlackRock, Inc. Class A | 33,263 | 28,844,676 | |
| Carlyle Group LP | 37,306 | 1,882,834 | |
| Charles Schwab Corp. | 615,446 | 41,819,556 | |
| Franklin Resources, Inc. | 18,780 | 554,949 | |
| Goldman Sachs Group, Inc. | 124,816 | 46,791,022 | |
| Invesco Ltd. | 217,934 | 5,313,231 | |
| KKR & Co. LP | 136,026 | 8,673,018 | |
| MarketAxess Holdings, Inc. | 1,914 | 909,475 | |
| Morgan Stanley | 492,415 | 47,261,992 | |
| MSCI, Inc. | 3,736 | 2,226,507 | |
| NASDAQ, Inc. | 12,321 | 2,300,700 | |
| Raymond James Financial, Inc. | 42,659 | 5,523,487 | |
| T. Rowe Price Group, Inc. | 26,056 | 5,319,593 | |
| The Blackstone Group LP | 128,291 | 14,788,104 | |
| 217,294,409 | |||
| Consumer Finance - 1.4% | |||
| Ally Financial, Inc. | 158,823 | 8,157,149 | |
| American Express Co. | 35,460 | 6,046,994 | |
| Capital One Financial Corp. | 132,254 | 21,385,472 | |
| Discover Financial Services | 14,283 | 1,775,663 | |
| Synchrony Financial | 62,941 | 2,959,486 | |
| 40,324,764 | |||
| Diversified Financial Services - 2.3% | |||
| Berkshire Hathaway, Inc. Class B (a) | 234,674 | 65,307,427 | |
| Equitable Holdings, Inc. | 54,790 | 1,691,367 | |
| 66,998,794 | |||
| Insurance - 0.7% | |||
| American Financial Group, Inc. | 9,757 | 1,234,163 | |
| Arthur J. Gallagher & Co. | 23,666 | 3,296,910 | |
| Athene Holding Ltd. (a) | 7,354 | 475,215 | |
| Cincinnati Financial Corp. | 29,937 | 3,528,974 | |
| Erie Indemnity Co. Class A | 1,574 | 291,017 | |
| Hartford Financial Services Group, Inc. | 59,984 | 3,816,182 | |
| Loews Corp. | 26,962 | 1,445,972 | |
| MetLife, Inc. | 118,168 | 6,818,294 | |
| 20,906,727 | |||
| TOTAL FINANCIALS | 591,895,364 | ||
| HEALTH CARE - 9.4% | |||
| Biotechnology - 2.8% | |||
| Exact Sciences Corp. (a) | 9,925 | 1,070,312 | |
| Horizon Therapeutics PLC (a) | 44,851 | 4,485,997 | |
| Moderna, Inc. (a) | 204,656 | 72,366,362 | |
| Novavax, Inc. (a) | 13,195 | 2,366,259 | |
| 80,288,930 | |||
| Health Care Equipment & Supplies - 2.5% | |||
| Align Technology, Inc. (a) | 21,631 | 15,050,850 | |
| Danaher Corp. | 88,900 | 26,446,861 | |
| Hologic, Inc. (a) | 9,316 | 699,073 | |
| IDEXX Laboratories, Inc. (a) | 26,599 | 18,048,219 | |
| Insulet Corp. (a) | 2,577 | 720,761 | |
| Masimo Corp. (a) | 2,110 | 574,743 | |
| Novocure Ltd. (a) | 31,055 | 4,782,781 | |
| West Pharmaceutical Services, Inc. | 14,707 | 6,055,313 | |
| 72,378,601 | |||
| Health Care Providers & Services - 0.3% | |||
| DaVita HealthCare Partners, Inc. (a) | 3,653 | 439,273 | |
| HCA Holdings, Inc. | 29,278 | 7,266,800 | |
| Laboratory Corp. of America Holdings (a) | 5,149 | 1,524,876 | |
| 9,230,949 | |||
| Health Care Technology - 0.1% | |||
| Teladoc Health, Inc. (a)(b) | 5,501 | 816,623 | |
| Veeva Systems, Inc. Class A (a) | 5,196 | 1,728,761 | |
| 2,545,384 | |||
| Life Sciences Tools & Services - 2.3% | |||
| 10X Genomics, Inc. (a) | 32,662 | 5,984,658 | |
| Agilent Technologies, Inc. | 101,839 | 15,604,790 | |
| Avantor, Inc. (a) | 129,295 | 4,858,906 | |
| Bio-Rad Laboratories, Inc. Class A (a) | 1,978 | 1,462,751 | |
| Bio-Techne Corp. | 7,556 | 3,643,805 | |
| Charles River Laboratories International, Inc. (a) | 10,526 | 4,283,240 | |
| IQVIA Holdings, Inc. (a) | 20,717 | 5,131,601 | |
| Mettler-Toledo International, Inc. (a) | 5,701 | 8,401,621 | |
| PerkinElmer, Inc. | 5,720 | 1,042,356 | |
| PPD, Inc. (a) | 13,335 | 615,010 | |
| Thermo Fisher Scientific, Inc. | 22,416 | 12,104,864 | |
| Waters Corp. (a) | 12,193 | 4,752,953 | |
| 67,886,555 | |||
| Pharmaceuticals - 1.4% | |||
| Catalent, Inc. (a) | 20,177 | 2,417,406 | |
| Eli Lilly & Co. | 160,637 | 39,115,110 | |
| 41,532,516 | |||
| TOTAL HEALTH CARE | 273,862,935 | ||
| INDUSTRIALS - 11.0% | |||
| Aerospace & Defense - 0.2% | |||
| Howmet Aerospace, Inc. | 72,272 | 2,371,967 | |
| Textron, Inc. | 58,387 | 4,029,287 | |
| 6,401,254 | |||
| Air Freight & Logistics - 1.6% | |||
| Expeditors International of Washington, Inc. | 25,499 | 3,270,247 | |
| FedEx Corp. | 60,043 | 16,809,038 | |
| United Parcel Service, Inc. Class B | 133,199 | 25,488,961 | |
| 45,568,246 | |||
| Building Products - 1.5% | |||
| A.O. Smith Corp. | 7,139 | 502,086 | |
| Carrier Global Corp. | 210,138 | 11,610,125 | |
| Johnson Controls International PLC | 271,352 | 19,379,960 | |
| Owens Corning | 5,149 | 495,128 | |
| Trane Technologies PLC | 56,036 | 11,409,490 | |
| 43,396,789 | |||
| Electrical Equipment - 1.3% | |||
| Eaton Corp. PLC | 54,323 | 8,585,750 | |
| Emerson Electric Co. | 31,866 | 3,214,961 | |
| Generac Holdings, Inc. (a) | 40,018 | 16,781,948 | |
| Plug Power, Inc. (a)(b) | 315,619 | 8,610,086 | |
| Sunrun, Inc. (a) | 15,942 | 844,448 | |
| 38,037,193 | |||
| Industrial Conglomerates - 0.9% | |||
| General Electric Co. | 2,055,707 | 26,621,406 | |
| Machinery - 3.7% | |||
| Caterpillar, Inc. | 179,050 | 37,018,588 | |
| Cummins, Inc. | 15,349 | 3,562,503 | |
| Deere & Co. | 157,159 | 56,827,123 | |
| Ingersoll Rand, Inc. (a) | 14,567 | 711,889 | |
| Parker Hannifin Corp. | 14,556 | 4,541,909 | |
| Pentair PLC | 16,018 | 1,180,046 | |
| Snap-On, Inc. | 10,029 | 2,186,121 | |
| Xylem, Inc. | 18,458 | 2,322,939 | |
| 108,351,118 | |||
| Professional Services - 0.4% | |||
| Equifax, Inc. | 7,058 | 1,839,315 | |
| IHS Markit Ltd. | 52,277 | 6,108,045 | |
| Jacobs Engineering Group, Inc. | 6,339 | 857,350 | |
| Robert Half International, Inc. | 34,712 | 3,409,066 | |
| 12,213,776 | |||
| Road & Rail - 1.1% | |||
| AMERCO | 4,582 | 2,694,033 | |
| Kansas City Southern | 29,088 | 7,789,766 | |
| Lyft, Inc. (a) | 60,769 | 3,361,741 | |
| Old Dominion Freight Lines, Inc. | 19,376 | 5,215,050 | |
| Uber Technologies, Inc. (a) | 266,657 | 11,588,913 | |
| 30,649,503 | |||
| Trading Companies & Distributors - 0.3% | |||
| United Rentals, Inc. (a) | 28,872 | 9,514,768 | |
| TOTAL INDUSTRIALS | 320,754,053 | ||
| INFORMATION TECHNOLOGY - 27.5% | |||
| Communications Equipment - 0.2% | |||
| F5 Networks, Inc. (a) | 13,597 | 2,807,916 | |
| Motorola Solutions, Inc. | 8,813 | 1,973,407 | |
| 4,781,323 | |||
| Electronic Equipment & Components - 1.2% | |||
| Arrow Electronics, Inc. (a) | 12,103 | 1,435,053 | |
| Cognex Corp. | 17,427 | 1,575,575 | |
| Corning, Inc. | 66,542 | 2,785,448 | |
| Keysight Technologies, Inc. (a) | 34,055 | 5,603,750 | |
| TE Connectivity Ltd. | 19,935 | 2,939,814 | |
| Trimble, Inc. (a) | 92,099 | 7,874,465 | |
| Zebra Technologies Corp. Class A (a) | 23,897 | 13,202,615 | |
| 35,416,720 | |||
| IT Services - 5.5% | |||
| EPAM Systems, Inc. (a) | 20,682 | 11,577,784 | |
| Gartner, Inc. (a) | 11,801 | 3,124,079 | |
| MongoDB, Inc. Class A (a) | 7,086 | 2,543,307 | |
| Okta, Inc. (a) | 11,018 | 2,730,150 | |
| PayPal Holdings, Inc. (a) | 372,011 | 102,500,191 | |
| Square, Inc. (a) | 101,759 | 25,160,930 | |
| Twilio, Inc. Class A (a) | 32,637 | 12,192,857 | |
| 159,829,298 | |||
| Semiconductors & Semiconductor Equipment - 11.1% | |||
| Applied Materials, Inc. | 505,453 | 70,728,038 | |
| Broadcom, Inc. | 64,516 | 31,316,066 | |
| Enphase Energy, Inc. (a) | 42,477 | 8,053,639 | |
| KLA Corp. | 45,270 | 15,761,203 | |
| Lam Research Corp. | 52,154 | 33,243,481 | |
| Marvell Technology, Inc. | 88,025 | 5,326,393 | |
| Maxim Integrated Products, Inc. | 74,556 | 7,448,890 | |
| Microchip Technology, Inc. | 14,161 | 2,026,722 | |
| Micron Technology, Inc. | 272,369 | 21,130,387 | |
| Monolithic Power Systems, Inc. | 6,197 | 2,784,064 | |
| NVIDIA Corp. | 254,137 | 49,554,174 | |
| NXP Semiconductors NV | 100,552 | 20,752,927 | |
| ON Semiconductor Corp. (a) | 115,567 | 4,514,047 | |
| Qorvo, Inc. (a) | 32,866 | 6,231,065 | |
| Qualcomm, Inc. | 65,760 | 9,850,848 | |
| Skyworks Solutions, Inc. | 14,989 | 2,765,620 | |
| SolarEdge Technologies, Inc. (a) | 3,236 | 839,677 | |
| Teradyne, Inc. | 32,890 | 4,177,030 | |
| Texas Instruments, Inc. | 140,442 | 26,771,054 | |
| 323,275,325 | |||
| Software - 7.6% | |||
| Avalara, Inc. (a) | 7,328 | 1,225,022 | |
| Bentley Systems, Inc. Class B (b) | 32,541 | 1,978,818 | |
| Cadence Design Systems, Inc. (a) | 52,837 | 7,801,383 | |
| Cloudflare, Inc. (a) | 137,721 | 16,337,842 | |
| Crowdstrike Holdings, Inc. (a) | 106,216 | 26,937,440 | |
| Datadog, Inc. Class A (a) | 19,178 | 2,123,005 | |
| DocuSign, Inc. (a) | 23,934 | 7,133,289 | |
| Dynatrace, Inc. (a) | 8,722 | 557,074 | |
| Fortinet, Inc. (a) | 35,533 | 9,673,504 | |
| HubSpot, Inc. (a) | 19,473 | 11,606,297 | |
| Intuit, Inc. | 15,713 | 8,327,419 | |
| Microsoft Corp. | 183,103 | 52,167,876 | |
| Oracle Corp. | 224,458 | 19,559,270 | |
| Palantir Technologies, Inc. (a) | 64,885 | 1,408,653 | |
| Palo Alto Networks, Inc. (a) | 18,304 | 7,304,211 | |
| PTC, Inc. (a) | 27,229 | 3,688,168 | |
| RingCentral, Inc. (a) | 3,163 | 845,375 | |
| ServiceNow, Inc. (a) | 8,879 | 5,219,875 | |
| Synopsys, Inc. (a) | 22,192 | 6,391,074 | |
| The Trade Desk, Inc. (a) | 52,077 | 4,265,627 | |
| Tyler Technologies, Inc. (a) | 4,694 | 2,312,452 | |
| Zendesk, Inc. (a) | 16,651 | 2,173,455 | |
| Zoom Video Communications, Inc. Class A (a) | 45,616 | 17,247,410 | |
| Zscaler, Inc. (a) | 23,062 | 5,440,556 | |
| 221,725,095 | |||
| Technology Hardware, Storage & Peripherals - 1.9% | |||
| Apple, Inc. | 174,287 | 25,421,502 | |
| Dell Technologies, Inc. (a) | 79,544 | 7,685,541 | |
| Hewlett Packard Enterprise Co. | 228,234 | 3,309,393 | |
| HP, Inc. | 253,783 | 7,326,715 | |
| NetApp, Inc. | 48,522 | 3,861,866 | |
| Seagate Technology Holdings PLC | 66,567 | 5,851,239 | |
| Western Digital Corp. (a) | 13,761 | 893,502 | |
| 54,349,758 | |||
| TOTAL INFORMATION TECHNOLOGY | 799,377,519 | ||
| MATERIALS - 3.4% | |||
| Chemicals - 1.1% | |||
| Albemarle Corp. U.S. | 45,581 | 9,391,509 | |
| Celanese Corp. Class A | 11,439 | 1,781,853 | |
| CF Industries Holdings, Inc. | 21,400 | 1,011,150 | |
| Corteva, Inc. | 141,587 | 6,057,092 | |
| Dow, Inc. | 37,360 | 2,322,298 | |
| DuPont de Nemours, Inc. | 59,597 | 4,472,755 | |
| Eastman Chemical Co. | 16,755 | 1,888,624 | |
| PPG Industries, Inc. | 10,617 | 1,736,092 | |
| The Mosaic Co. | 151,150 | 4,720,415 | |
| 33,381,788 | |||
| Construction Materials - 0.1% | |||
| Martin Marietta Materials, Inc. | 7,697 | 2,796,320 | |
| Containers & Packaging - 0.4% | |||
| Avery Dennison Corp. | 27,542 | 5,802,549 | |
| International Paper Co. | 56,397 | 3,257,491 | |
| Packaging Corp. of America | 5,513 | 780,090 | |
| Sealed Air Corp. | 9,050 | 513,588 | |
| WestRock Co. | 13,594 | 668,961 | |
| 11,022,679 | |||
| Metals & Mining - 1.8% | |||
| Freeport-McMoRan, Inc. | 939,501 | 35,794,988 | |
| Nucor Corp. | 117,529 | 12,225,367 | |
| Steel Dynamics, Inc. | 71,950 | 4,637,178 | |
| 52,657,533 | |||
| TOTAL MATERIALS | 99,858,320 | ||
| REAL ESTATE - 0.6% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.3% | |||
| Extra Space Storage, Inc. | 17,353 | 3,021,851 | |
| Iron Mountain, Inc. | 37,913 | 1,659,073 | |
| Public Storage | 11,116 | 3,473,528 | |
| 8,154,452 | |||
| Real Estate Management & Development - 0.3% | |||
| CBRE Group, Inc. (a) | 100,501 | 9,694,326 | |
| TOTAL REAL ESTATE | 17,848,778 | ||
| UTILITIES - 0.2% | |||
| Gas Utilities - 0.0% | |||
| UGI Corp. | 10,639 | 489,288 | |
| Independent Power and Renewable Electricity Producers - 0.2% | |||
| The AES Corp. | 191,293 | 4,533,644 | |
| TOTAL UTILITIES | 5,022,932 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $2,329,508,001) | 2,895,234,005 | ||
| Money Market Funds - 3.0% | |||
| Fidelity Cash Central Fund 0.06% (c) | 66,503,848 | 66,517,149 | |
| Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) | 20,091,251 | 20,093,260 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $86,610,409) | 86,610,409 | ||
| TOTAL INVESTMENT IN SECURITIES - 102.5% | |||
| (Cost $2,416,118,410) | 2,981,844,414 | ||
| NET OTHER ASSETS (LIABILITIES) - (2.5)% | (72,984,855) | ||
| NET ASSETS - 100% | $2,908,859,559 |
| 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) | 64 | Sept. 2021 | $14,046,400 | $413,644 | $413,644 |
The notional amount of futures purchased as a percentage of Net Assets is 0.5%
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 | $7,382 |
| Fidelity Securities Lending Cash Central Fund | 9,586 |
| Total | $16,968 |
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.
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
| Fidelity Cash Central Fund 0.06% | $28,555,285 | $956,894,070 | $918,931,989 | $(145) | $(72) | $66,517,149 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 0.06% | 5,732,278 | 262,518,587 | 248,157,605 | -- | -- | 20,093,260 | 0.1% |
| Total | $34,287,563 | $1,219,412,657 | $1,167,089,594 | $(145) | $(72) | $86,610,409 |
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2021, 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 | $349,678,509 | $349,678,509 | $-- | $-- |
| Consumer Discretionary | 340,125,224 | 340,125,224 | -- | -- |
| Consumer Staples | 19,514,165 | 19,514,165 | -- | -- |
| Energy | 77,296,206 | 77,296,206 | -- | -- |
| Financials | 591,895,364 | 591,895,364 | -- | -- |
| Health Care | 273,862,935 | 273,862,935 | -- | -- |
| Industrials | 320,754,053 | 320,754,053 | -- | -- |
| Information Technology | 799,377,519 | 799,377,519 | -- | -- |
| Materials | 99,858,320 | 99,858,320 | -- | -- |
| Real Estate | 17,848,778 | 17,848,778 | -- | -- |
| Utilities | 5,022,932 | 5,022,932 | -- | -- |
| Money Market Funds | 86,610,409 | 86,610,409 | -- | -- |
| Total Investments in Securities: | $2,981,844,414 | $2,981,844,414 | $-- | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $413,644 | $413,644 | $-- | $-- |
| Total Assets | $413,644 | $413,644 | $-- | $-- |
| Total Derivative Instruments: | $413,644 | $413,644 | $-- | $-- |
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, 2021. 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) | $413,644 | $0 |
| Total Equity Risk | 413,644 | 0 |
| Total Value of Derivatives | $413,644 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| July 31, 2021 | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $19,292,234) — See accompanying schedule: Unaffiliated issuers (cost $2,329,508,001) | $2,895,234,005 | |
| Fidelity Central Funds (cost $86,610,409) | 86,610,409 | |
| Total Investment in Securities (cost $2,416,118,410) | $2,981,844,414 | |
| Segregated cash with brokers for derivative instruments | 616,000 | |
| Cash | 361,941 | |
| Receivable for investments sold | 276,680,888 | |
| Receivable for fund shares sold | 310,626 | |
| Dividends receivable | 1,605,345 | |
| Distributions receivable from Fidelity Central Funds | 1,928 | |
| Prepaid expenses | 2,059 | |
| Other receivables | 16 | |
| Total assets | 3,261,423,217 | |
| Liabilities | ||
| Payable for investments purchased | $331,809,970 | |
| Payable for fund shares redeemed | 295,724 | |
| Accrued management fee | 228,140 | |
| Payable for daily variation margin on futures contracts | 63,161 | |
| Other payables and accrued expenses | 63,788 | |
| Collateral on securities loaned | 20,102,875 | |
| Total liabilities | 352,563,658 | |
| Net Assets | $2,908,859,559 | |
| Net Assets consist of: | ||
| Paid in capital | $1,904,579,533 | |
| Total accumulated earnings (loss) | 1,004,280,026 | |
| Net Assets | $2,908,859,559 | |
| Net Asset Value, offering price and redemption price per share ($2,908,859,559 ÷ 152,723,189 shares) | $19.05 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Year ended July 31, 2021 | ||
| Investment Income | ||
| Dividends | $15,434,771 | |
| Income from Fidelity Central Funds (including $9,586 from security lending) | 16,968 | |
| Total income | 15,451,739 | |
| Expenses | ||
| Management fee | $2,252,964 | |
| Custodian fees and expenses | 46,316 | |
| Independent trustees' fees and expenses | 6,074 | |
| Registration fees | 37,947 | |
| Audit | 52,413 | |
| Legal | 6,076 | |
| Interest | 2,664 | |
| Miscellaneous | 9,064 | |
| Total expenses | 2,413,518 | |
| Net investment income (loss) | 13,038,221 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 479,303,186 | |
| Fidelity Central Funds | (145) | |
| Futures contracts | 2,751,342 | |
| Total net realized gain (loss) | 482,054,383 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 137,881,997 | |
| Fidelity Central Funds | (72) | |
| Futures contracts | 285,473 | |
| Total change in net unrealized appreciation (depreciation) | 138,167,398 | |
| Net gain (loss) | 620,221,781 | |
| Net increase (decrease) in net assets resulting from operations | $633,260,002 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Year ended July 31, 2021 | Year ended July 31, 2020 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $13,038,221 | $39,104,562 |
| Net realized gain (loss) | 482,054,383 | 259,357,435 |
| Change in net unrealized appreciation (depreciation) | 138,167,398 | (77,686,467) |
| Net increase (decrease) in net assets resulting from operations | 633,260,002 | 220,775,530 |
| Distributions to shareholders | (185,281,787) | (74,889,307) |
| Share transactions | ||
| Proceeds from sales of shares | 1,215,829,630 | 671,359,872 |
| Reinvestment of distributions | 177,412,411 | 61,020,034 |
| Cost of shares redeemed | (730,747,824) | (2,735,369,594) |
| Net increase (decrease) in net assets resulting from share transactions | 662,494,217 | (2,002,989,688) |
| Total increase (decrease) in net assets | 1,110,472,432 | (1,857,103,465) |
| Net Assets | ||
| Beginning of period | 1,798,387,127 | 3,655,490,592 |
| End of period | $2,908,859,559 | $1,798,387,127 |
| Other Information | ||
| Shares | ||
| Sold | 71,831,071 | 49,727,677 |
| Issued in reinvestment of distributions | 11,959,109 | 4,423,533 |
| Redeemed | (45,349,737) | (205,333,165) |
| Net increase (decrease) | 38,440,443 | (151,181,955) |
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, | 2021 | 2020 | 2019 | 2018 | 2017 A |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $15.74 | $13.77 | $13.31 | $10.98 | $10.00 |
| Income from Investment Operations | |||||
| Net investment income (loss)B | .10 | .19 | .20 | .15 | .07 |
| Net realized and unrealized gain (loss) | 4.66 | 2.07 | .71C | 2.29 | .91 |
| Total from investment operations | 4.76 | 2.26 | .91 | 2.44 | .98 |
| Distributions from net investment income | (.18) | (.22) | (.12) | (.06) | – |
| Distributions from net realized gain | (1.27) | (.08) | (.33) | (.04) | – |
| Total distributions | (1.45) | (.29)D | (.45) | (.11)D | – |
| Net asset value, end of period | $19.05 | $15.74 | $13.77 | $13.31 | $10.98 |
| Total ReturnE,F | 32.98% | 16.76% | 6.94%C | 22.33% | 9.80% |
| Ratios to Average Net AssetsG,H | |||||
| Expenses before reductions | .11% | .11% | .21% | .23% | .35%I |
| Expenses net of fee waivers, if any | .11% | .11% | .15% | .15% | .15%I |
| Expenses net of all reductions | .11% | .11% | .15% | .15% | .15%I |
| Net investment income (loss) | .58% | 1.36% | 1.54% | 1.19% | 1.40%I |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $2,908,860 | $1,798,387 | $3,655,491 | $2,512,747 | $744,177 |
| Portfolio turnover rateJ | 128% | 163% | 161% | 153% | 47%J |
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 per share do not sum due to rounding.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
I Annualized
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, 2021
1. Organization.
Fidelity SAI U.S. Momentum Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% to .01% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has 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, 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, 2021 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.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $607,026,398 |
| Gross unrealized depreciation | (46,875,928) |
| Net unrealized appreciation (depreciation) | $560,150,470 |
| Tax Cost | $2,421,693,944 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $126,909,221 |
| Undistributed long-term capital gain | $317,220,336 |
| Net unrealized appreciation (depreciation) on securities and other investments | $560,150,470 |
The tax character of distributions paid was as follows:
| July 31, 2021 | July 31, 2020 | |
| Ordinary Income | $31,811,914 | $ 55,904,171 |
| Long-term Capital Gains | 153,469,873 | 18,985,136 |
| Total | $185,281,787 | $ 74,889,307 |
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 and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity SAI U.S. Momentum Index Fund | 3,348,292,307 | 2,859,829,628 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
| Fidelity SAI U.S. Momentum Index Fund | Borrower | $15,161,900 | .32% | $2,664 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Fidelity SAI U.S. Momentum Index Fund | $4,153 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Fidelity SAI U.S. Momentum Index Fund | $1,350 | $– | $– |
9. Other.
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, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| Strategic Advisers Fidelity U.S. Total Stock Fund | |
| Fidelity SAI U.S. Momentum Index Fund | 58% |
Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.
| Fund | % of shares held |
| Fidelity SAI U.S. Momentum Index Fund | 59% |
10. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of 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, 2021, 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 four years in the period then ended and for the period from February 9, 2017 (commencement of operations) through 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, 2021, 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 four years in the period then ended and for the period from February 9, 2017 (commencement of operations) through 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, 2021, 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, 2021
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 283 funds. Mr. Chiel oversees 176 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 Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
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 and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and 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 her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. 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. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for 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
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
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).
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present) and 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).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jamie Pagliocco (1964)
Year of Election or Appointment: 2020
Vice President
Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.
Kenneth B. Robins (1969)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
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 FIMM, LLC (2021-present) and 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 LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During Period-B February 1, 2021 to July 31, 2021 | |
| Fidelity SAI U.S. Momentum Index Fund | .11% | |||
| Actual | $1,000.00 | $1,126.60 | $.58 | |
| Hypothetical-C | $1,000.00 | $1,024.25 | $.55 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity SAI U.S Momentum Index Fund voted to pay on September 13, 2021, to shareholders of record at the opening of business on September 10, 2021, a distribution of $2.883 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.039 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2021, $328,258,843, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 85% and 42% 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 85% and 43% 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 12% and 4% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SY1-ANN-0921
1.9878817.104
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.
July 31, 2021
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 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.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
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, 2021 | Past 1 year | Life of fundA |
| Fidelity® SAI U.S. Value Index Fund | 42.39% | 8.31% |
A From December 19, 2017
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Value Index Fund on December 19, 2017, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Value Focus Index℠ and the S&P 500 Index performed over the same period.
| Period Ending Values | ||
| $13,348 | Fidelity® SAI U.S. Value Index Fund | |
| $13,369 | Fidelity U.S. Value Focus Index℠ | |
| $17,520 | S&P 500 Index | |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year ending July 31, 2021, the fund gained 42.39%, roughly in line with the 42.56% advance of the benchmark Fidelity U.S. Value Focus Index. By sector, financials gained approximately 68% and contributed most, followed by information technology, which rose about 37%, and health care, which advanced 30%. The energy sector was up 38%, consumer discretionary gained 59% and materials increased about 66%. Other notable contributors included industrials (+68%), communication services (+18%), consumer staples (+21%), utilities (+19%) and real estate (+96%). Turning to individual holdings, the biggest individual contributor was Bank of America (+73%). Exxon Mobil, within the energy sector, advanced 42% and also lifted the fund’s return. In diversified financials, Morgan Stanley (+100%) and Goldman Sachs (+93%) helped as well. Another key contributor was Cisco Systems (+34%), a stock in the technology hardware & equipment segment. In contrast, the biggest individual detractor was PG&E (-30%), from the utilities sector, followed by Marathon Petroleum (-14%), which is in the energy sector. Within insurance, American International Group returned roughly -12% and weighed on the portfolio’s result. Other notable detractors included Viatris (-8%), a stock in the pharmaceuticals, biotechnology & life sciences category, and Berkshire Hathaway (-3%), from the diversified financials industry.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Top Five Stocks as of July 31, 2021
| % of fund's net assets | |
| Berkshire Hathaway, Inc. Class B | 4.3 |
| Pfizer, Inc. | 3.8 |
| Verizon Communications, Inc. | 3.5 |
| AbbVie, Inc. | 3.5 |
| Intel Corp. | 3.4 |
| 18.5 |
Top Five Market Sectors as of July 31, 2021
| % of fund's net assets | |
| Health Care | 22.7 |
| Financials | 21.3 |
| Information Technology | 17.5 |
| Communication Services | 12.1 |
| Consumer Discretionary | 6.8 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2021 * | ||
| Stocks | 100.0% | |
* Foreign investments - 2.8%
Schedule of Investments July 31, 2021
Showing Percentage of Net Assets
| Common Stocks - 99.7% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 12.1% | |||
| Diversified Telecommunication Services - 7.3% | |||
| AT&T, Inc. | 4,311,467 | $120,936,649 | |
| Liberty Global PLC Class A (a) | 292,618 | 7,856,793 | |
| Lumen Technologies, Inc. | 600,696 | 7,490,679 | |
| Verizon Communications, Inc. | 2,285,986 | 127,512,299 | |
| 263,796,420 | |||
| Interactive Media & Services - 0.5% | |||
| Alphabet, Inc. Class A (a) | 6,896 | 18,581,479 | |
| Media - 4.3% | |||
| Comcast Corp. Class A | 1,563,701 | 91,992,530 | |
| Discovery Communications, Inc. Class A (a) | 273,204 | 7,925,648 | |
| DISH Network Corp. Class A (a) | 150,033 | 6,284,882 | |
| Fox Corp. Class A | 284,412 | 10,142,132 | |
| Interpublic Group of Companies, Inc. | 237,539 | 8,399,379 | |
| Nexstar Broadcasting Group, Inc. Class A | 25,811 | 3,796,024 | |
| Omnicom Group, Inc. | 129,876 | 9,457,570 | |
| ViacomCBS, Inc. Class B | 370,951 | 15,183,024 | |
| 153,181,189 | |||
| TOTAL COMMUNICATION SERVICES | 435,559,088 | ||
| CONSUMER DISCRETIONARY - 6.8% | �� | ||
| Auto Components - 0.4% | |||
| BorgWarner, Inc. | 144,831 | 7,093,822 | |
| Lear Corp. | 33,045 | 5,782,214 | |
| The Goodyear Tire & Rubber Co. (a) | 168,501 | 2,647,151 | |
| 15,523,187 | |||
| Automobiles - 2.4% | |||
| Ford Motor Co. (a) | 2,367,559 | 33,027,448 | |
| General Motors Co. (a) | 770,865 | 43,815,967 | |
| Harley-Davidson, Inc. | 92,791 | 3,676,379 | |
| Thor Industries, Inc. | 33,433 | 3,957,130 | |
| 84,476,924 | |||
| Distributors - 0.2% | |||
| LKQ Corp. (a) | 167,862 | 8,518,997 | |
| Household Durables - 2.0% | |||
| D.R. Horton, Inc. | 198,086 | 18,903,347 | |
| Lennar Corp. Class A | 174,153 | 18,312,188 | |
| Mohawk Industries, Inc. (a) | 35,358 | 6,891,274 | |
| Newell Brands, Inc. | 228,566 | 5,657,009 | |
| PulteGroup, Inc. | 159,703 | 8,762,904 | |
| Toll Brothers, Inc. | 67,795 | 4,018,210 | |
| Whirlpool Corp. | 37,816 | 8,377,757 | |
| 70,922,689 | |||
| Internet & Direct Marketing Retail - 0.6% | |||
| Amazon.com, Inc. (a) | 5,564 | 18,514,711 | |
| Qurate Retail, Inc. Series A | 229,198 | 2,718,288 | |
| 21,232,999 | |||
| Leisure Products - 0.1% | |||
| Polaris, Inc. | 34,762 | 4,556,255 | |
| Multiline Retail - 0.2% | |||
| Kohl's Corp. | 94,341 | 4,792,523 | |
| Macy's, Inc. (a) | 188,229 | 3,199,893 | |
| 7,992,416 | |||
| Specialty Retail - 0.8% | |||
| AutoNation, Inc. (a) | 32,560 | 3,950,505 | |
| Best Buy Co., Inc. | 134,610 | 15,123,434 | |
| Dick's Sporting Goods, Inc. (b) | 39,572 | 4,121,028 | |
| Foot Locker, Inc. | 62,364 | 3,558,490 | |
| 26,753,457 | |||
| Textiles, Apparel & Luxury Goods - 0.1% | |||
| PVH Corp. (a) | 43,034 | 4,502,217 | |
| TOTAL CONSUMER DISCRETIONARY | 244,479,141 | ||
| CONSUMER STAPLES - 4.1% | |||
| Beverages - 0.1% | |||
| Molson Coors Beverage Co. Class B | 113,739 | 5,560,700 | |
| Food & Staples Retailing - 1.1% | |||
| Kroger Co. | 457,173 | 18,606,941 | |
| Walgreens Boots Alliance, Inc. | 433,228 | 20,426,700 | |
| 39,033,641 | |||
| Food Products - 1.4% | |||
| Conagra Brands, Inc. | 289,815 | 9,705,904 | |
| Ingredion, Inc. | 40,443 | 3,551,300 | |
| The J.M. Smucker Co. | 66,173 | 8,675,942 | |
| The Kraft Heinz Co. | 391,455 | 15,059,274 | |
| Tyson Foods, Inc. Class A | 177,998 | 12,719,737 | |
| 49,712,157 | |||
| Tobacco - 1.5% | |||
| Altria Group, Inc. | 1,117,502 | 53,684,796 | |
| TOTAL CONSUMER STAPLES | 147,991,294 | ||
| ENERGY - 4.1% | |||
| Energy Equipment & Services - 0.3% | |||
| Baker Hughes Co. Class A | 439,246 | 9,329,585 | |
| Oil, Gas & Consumable Fuels - 3.8% | |||
| Chevron Corp. | 708,550 | 72,137,476 | |
| EOG Resources, Inc. | 352,408 | 25,676,447 | |
| EQT Corp. (a) | 168,537 | 3,099,395 | |
| HollyFrontier Corp. | 90,243 | 2,653,144 | |
| Kinder Morgan, Inc. | 1,176,017 | 20,439,175 | |
| Marathon Oil Corp. | 475,924 | 5,515,959 | |
| PDC Energy, Inc. | 59,972 | 2,371,893 | |
| Targa Resources Corp. | 138,073 | 5,814,254 | |
| 137,707,743 | |||
| TOTAL ENERGY | 147,037,328 | ||
| FINANCIALS - 21.3% | |||
| Banks - 3.7% | |||
| Citigroup, Inc. | 1,248,180 | 84,401,932 | |
| Citizens Financial Group, Inc. | 257,196 | 10,843,383 | |
| First Horizon National Corp. | 333,550 | 5,153,348 | |
| KeyCorp | 586,045 | 11,521,645 | |
| Popular, Inc. | 48,666 | 3,540,938 | |
| Prosperity Bancshares, Inc. | 56,121 | 3,826,891 | |
| Regions Financial Corp. | 341,167 | 6,567,465 | |
| Valley National Bancorp | 245,092 | 3,159,236 | |
| Zions Bancorp NA | 98,920 | 5,158,678 | |
| 134,173,516 | |||
| Capital Markets - 5.9% | |||
| Bank of New York Mellon Corp. | 487,181 | 25,007,001 | |
| Goldman Sachs Group, Inc. | 205,438 | 77,014,597 | |
| Invesco Ltd. | 228,490 | 5,570,586 | |
| Janus Henderson Group PLC | 103,032 | 4,310,859 | |
| Jefferies Financial Group, Inc. | 120,798 | 4,009,286 | |
| Morgan Stanley | 811,178 | 77,856,864 | |
| State Street Corp. | 209,999 | 18,299,313 | |
| 212,068,506 | |||
| Consumer Finance - 2.2% | |||
| Ally Financial, Inc. | 223,835 | 11,496,166 | |
| Capital One Financial Corp. | 272,630 | 44,084,271 | |
| OneMain Holdings, Inc. | 55,218 | 3,368,298 | |
| SLM Corp. | 194,963 | 3,671,153 | |
| Synchrony Financial | 326,613 | 15,357,343 | |
| 77,977,231 | |||
| Diversified Financial Services - 4.4% | |||
| Berkshire Hathaway, Inc. Class B (a) | 552,365 | 153,717,649 | |
| Voya Financial, Inc. (b) | 73,205 | 4,714,402 | |
| 158,432,051 | |||
| Insurance - 4.4% | |||
| AFLAC, Inc. | 381,686 | 20,992,730 | |
| Allstate Corp. | 180,755 | 23,507,188 | |
| Arch Capital Group Ltd. (a) | 243,724 | 9,505,236 | |
| Athene Holding Ltd. (a) | 75,259 | 4,863,237 | |
| Everest Re Group Ltd. | 24,205 | 6,119,750 | |
| Fidelity National Financial, Inc. | 174,544 | 7,786,408 | |
| First American Financial Corp. | 66,267 | 4,460,432 | |
| Hartford Financial Services Group, Inc. | 215,689 | 13,722,134 | |
| Lincoln National Corp. | 108,059 | 6,658,596 | |
| Markel Corp. (a) | 8,308 | 10,020,860 | |
| Old Republic International Corp. | 171,141 | 4,220,337 | |
| Principal Financial Group, Inc. | 152,756 | 9,490,730 | |
| Prudential Financial, Inc. | 237,916 | 23,858,216 | |
| Reinsurance Group of America, Inc. | 41,052 | 4,523,109 | |
| RenaissanceRe Holdings Ltd. | 29,974 | 4,576,730 | |
| Unum Group | 123,330 | 3,379,242 | |
| 157,684,935 | |||
| Mortgage Real Estate Investment Trusts - 0.4% | |||
| AGNC Investment Corp. | 316,964 | 5,030,219 | |
| Annaly Capital Management, Inc. | 844,482 | 7,169,652 | |
| New Residential Investment Corp. | 281,783 | 2,750,202 | |
| 14,950,073 | |||
| Thrifts & Mortgage Finance - 0.3% | |||
| Essent Group Ltd. | 68,145 | 3,078,110 | |
| MGIC Investment Corp. | 204,895 | 2,835,747 | |
| New York Community Bancorp, Inc. | 280,828 | 3,308,154 | |
| 9,222,011 | |||
| TOTAL FINANCIALS | 764,508,323 | ||
| HEALTH CARE - 22.7% | |||
| Biotechnology - 5.2% | |||
| AbbVie, Inc. | 1,066,528 | 124,037,206 | |
| Biogen, Inc. (a) | 18,767 | 6,131,742 | |
| Gilead Sciences, Inc. | 757,331 | 51,718,134 | |
| United Therapeutics Corp. (a) | 27,050 | 4,921,207 | |
| 186,808,289 | |||
| Health Care Equipment & Supplies - 0.4% | |||
| Hologic, Inc. (a) | 154,725 | 11,610,564 | |
| Quidel Corp. (a)(b) | 23,382 | 3,307,852 | |
| 14,918,416 | |||
| Health Care Providers & Services - 9.8% | |||
| Anthem, Inc. | 147,846 | 56,774,342 | |
| Cardinal Health, Inc. | 175,205 | 10,403,673 | |
| Centene Corp. (a) | 351,883 | 24,142,693 | |
| Cigna Corp. | 207,208 | 47,552,164 | |
| CVS Health Corp. | 795,006 | 65,476,694 | |
| DaVita HealthCare Partners, Inc. (a) | 42,325 | 5,089,581 | |
| HCA Holdings, Inc. | 154,062 | 38,238,188 | |
| Humana, Inc. | 77,905 | 33,176,623 | |
| Laboratory Corp. of America Holdings (a) | 58,960 | 17,461,004 | |
| McKesson Corp. | 95,520 | 19,469,842 | |
| Molina Healthcare, Inc. (a) | 35,265 | 9,627,698 | |
| Quest Diagnostics, Inc. (b) | 78,885 | 11,185,893 | |
| Select Medical Holdings Corp. | 65,138 | 2,569,694 | |
| Tenet Healthcare Corp. (a) | 64,485 | 4,632,602 | |
| Universal Health Services, Inc. Class B | 47,083 | 7,552,584 | |
| 353,353,275 | |||
| Life Sciences Tools & Services - 0.3% | |||
| Bio-Rad Laboratories, Inc. Class A (a) | 13,014 | 9,623,983 | |
| Pharmaceuticals - 7.0% | |||
| Bristol-Myers Squibb Co. | 1,348,951 | 91,553,304 | |
| Jazz Pharmaceuticals PLC (a) | 36,289 | 6,151,711 | |
| Perrigo Co. PLC | 80,643 | 3,873,283 | |
| Pfizer, Inc. | 3,211,986 | 137,505,121 | |
| Viatris, Inc. | 729,843 | 10,268,891 | |
| 249,352,310 | |||
| TOTAL HEALTH CARE | 814,056,273 | ||
| INDUSTRIALS - 3.1% | |||
| Aerospace & Defense - 0.9% | |||
| Huntington Ingalls Industries, Inc. | 24,294 | 4,983,428 | |
| L3Harris Technologies, Inc. | 123,779 | 28,065,650 | |
| 33,049,078 | |||
| Building Products - 0.3% | |||
| Builders FirstSource, Inc. (a) | 125,077 | 5,565,927 | |
| Owens Corning | 63,079 | 6,065,677 | |
| 11,631,604 | |||
| Construction & Engineering - 0.1% | |||
| EMCOR Group, Inc. | 32,943 | 4,012,787 | |
| Electrical Equipment - 0.1% | |||
| Regal Beloit Corp. | 24,534 | 3,612,141 | |
| Machinery - 0.5% | |||
| Oshkosh Corp. | 41,434 | 4,953,435 | |
| Timken Co. | 39,588 | 3,147,246 | |
| Westinghouse Air Brake Co. | 107,278 | 9,104,684 | |
| 17,205,365 | |||
| Professional Services - 0.5% | |||
| CACI International, Inc. Class A (a) | 14,221 | 3,796,438 | |
| Manpower, Inc. | 32,925 | 3,904,247 | |
| Nielsen Holdings PLC | 216,477 | 5,128,340 | |
| Science Applications Internati | 35,004 | 3,055,849 | |
| 15,884,874 | |||
| Road & Rail - 0.1% | |||
| Knight-Swift Transportation Holdings, Inc. Class A | 73,958 | 3,674,973 | |
| Trading Companies & Distributors - 0.6% | |||
| AerCap Holdings NV (a)(b) | 78,943 | 4,183,979 | |
| United Rentals, Inc. (a) | 42,108 | 13,876,691 | |
| WESCO International, Inc. (a) | 26,666 | 2,838,596 | |
| 20,899,266 | |||
| TOTAL INDUSTRIALS | 109,970,088 | ||
| INFORMATION TECHNOLOGY - 17.5% | |||
| Communications Equipment - 1.7% | |||
| Cisco Systems, Inc. | 958,926 | 53,095,733 | |
| Juniper Networks, Inc. | 197,905 | 5,569,047 | |
| Lumentum Holdings, Inc. (a) | 45,832 | 3,849,430 | |
| 62,514,210 | |||
| Electronic Equipment & Components - 0.7% | |||
| Arrow Electronics, Inc. (a) | 44,786 | 5,310,276 | |
| Flex Ltd. (a) | 296,333 | 5,325,104 | |
| II-VI, Inc. (a)(b) | 63,334 | 4,421,347 | |
| Jabil, Inc. | 80,866 | 4,814,762 | |
| SYNNEX Corp. | 25,048 | 2,994,238 | |
| Vontier Corp. | 101,928 | 3,297,371 | |
| 26,163,098 | |||
| IT Services - 3.8% | |||
| Alliance Data Systems Corp. | 30,026 | 2,799,925 | |
| Amdocs Ltd. | 77,083 | 5,943,870 | |
| DXC Technology Co. (a) | 153,864 | 6,151,483 | |
| Fidelity National Information Services, Inc. | 253,450 | 37,776,723 | |
| IBM Corp. | 539,551 | 76,055,109 | |
| The Western Union Co. | 247,126 | 5,735,794 | |
| 134,462,904 | |||
| Semiconductors & Semiconductor Equipment - 5.0% | |||
| First Solar, Inc. (a) | 51,357 | 4,418,756 | |
| Intel Corp. | 2,273,402 | 122,127,155 | |
| Micron Technology, Inc. | 677,164 | 52,534,383 | |
| 179,080,294 | |||
| Software - 2.3% | |||
| j2 Global, Inc. (a)(b) | 25,624 | 3,619,902 | |
| Microsoft Corp. | 250,761 | 71,444,317 | |
| VMware, Inc. Class A (a)(b) | 48,835 | 7,507,893 | |
| 82,572,112 | |||
| Technology Hardware, Storage & Peripherals - 4.0% | |||
| Apple, Inc. | 564,080 | 82,276,709 | |
| Dell Technologies, Inc. (a) | 150,853 | 14,575,417 | |
| Hewlett Packard Enterprise Co. | 788,581 | 11,434,425 | |
| HP, Inc. | 725,374 | 20,941,547 | |
| NCR Corp. (a) | 79,044 | 3,509,554 | |
| Western Digital Corp. (a) | 185,051 | 12,015,361 | |
| 144,753,013 | |||
| TOTAL INFORMATION TECHNOLOGY | 629,545,631 | ||
| MATERIALS - 6.3% | |||
| Chemicals - 3.2% | |||
| CF Industries Holdings, Inc. | 129,534 | 6,120,482 | |
| Corteva, Inc. | 445,096 | 19,041,207 | |
| Dow, Inc. | 451,067 | 28,038,325 | |
| DuPont de Nemours, Inc. | 321,332 | 24,115,967 | |
| Eastman Chemical Co. | 82,435 | 9,292,073 | |
| Huntsman Corp. | 120,478 | 3,181,824 | |
| LyondellBasell Industries NV Class A | 155,462 | 15,442,040 | |
| The Chemours Co. LLC | 99,952 | 3,323,404 | |
| The Mosaic Co. | 208,693 | 6,517,482 | |
| 115,072,804 | |||
| Containers & Packaging - 1.0% | |||
| Berry Global Group, Inc. (a) | 81,459 | 5,236,999 | |
| Graphic Packaging Holding Co. | 171,615 | 3,289,860 | |
| International Paper Co. | 236,550 | 13,663,128 | |
| Sonoco Products Co. | 58,615 | 3,739,051 | |
| WestRock Co. | 160,693 | 7,907,703 | |
| 33,836,741 | |||
| Metals & Mining - 2.0% | |||
| Alcoa Corp. (a) | 112,753 | 4,527,033 | |
| Newmont Corp. | 483,779 | 30,390,997 | |
| Nucor Corp. | 180,696 | 18,795,998 | |
| Reliance Steel & Aluminum Co. | 38,470 | 6,045,561 | |
| Steel Dynamics, Inc. | 121,167 | 7,809,213 | |
| United States Steel Corp. (b) | 162,834 | 4,311,844 | |
| 71,880,646 | |||
| Paper & Forest Products - 0.1% | |||
| Louisiana-Pacific Corp. | 61,745 | 3,423,143 | |
| TOTAL MATERIALS | 224,213,334 | ||
| UTILITIES - 1.7% | |||
| Electric Utilities - 1.4% | |||
| Evergy, Inc. | 138,443 | 9,029,252 | |
| Exelon Corp. | 590,064 | 27,614,995 | |
| NRG Energy, Inc. (b) | 147,794 | 6,095,025 | |
| PG&E Corp. (a) | 899,025 | 7,902,430 | |
| 50,641,702 | |||
| Gas Utilities - 0.2% | |||
| UGI Corp. | 126,024 | 5,795,844 | |
| Multi-Utilities - 0.1% | |||
| MDU Resources Group, Inc. | 121,491 | 3,853,695 | |
| TOTAL UTILITIES | 60,291,241 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $2,972,471,277) | 3,577,651,741 | ||
| Money Market Funds - 3.2% | |||
| Fidelity Cash Central Fund 0.06% (c) | 72,611,636 | 72,626,158 | |
| Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) | 42,912,921 | 42,917,213 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $115,543,371) | 115,543,371 | ||
| TOTAL INVESTMENT IN SECURITIES - 102.9% | |||
| (Cost $3,088,014,648) | 3,693,195,112 | ||
| NET OTHER ASSETS (LIABILITIES) - (2.9)% | (103,935,112) | ||
| NET ASSETS - 100% | $3,589,260,000 |
| 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) | 53 | Sept. 2021 | $11,632,175 | $369,779 | $369,779 |
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) 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 | $6,181 |
| Fidelity Securities Lending Cash Central Fund | 144,201 |
| Total | $150,382 |
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.
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
| Fidelity Cash Central Fund 0.06% | $8,346,573 | $926,765,096 | $862,484,877 | $(467) | $(167) | $72,626,158 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 0.06% | 22,683,129 | 302,843,588 | 282,609,504 | -- | -- | 42,917,213 | 0.1% |
| Total | $31,029,702 | $1,229,608,684 | $1,145,094,381 | $(467) | $(167) | $115,543,371 |
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2021, 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 | $435,559,088 | $435,559,088 | $-- | $-- |
| Consumer Discretionary | 244,479,141 | 244,479,141 | -- | -- |
| Consumer Staples | 147,991,294 | 147,991,294 | -- | -- |
| Energy | 147,037,328 | 147,037,328 | -- | -- |
| Financials | 764,508,323 | 764,508,323 | -- | -- |
| Health Care | 814,056,273 | 814,056,273 | -- | -- |
| Industrials | 109,970,088 | 109,970,088 | -- | -- |
| Information Technology | 629,545,631 | 629,545,631 | -- | -- |
| Materials | 224,213,334 | 224,213,334 | -- | -- |
| Utilities | 60,291,241 | 60,291,241 | -- | -- |
| Money Market Funds | 115,543,371 | 115,543,371 | -- | -- |
| Total Investments in Securities: | $3,693,195,112 | $3,693,195,112 | $-- | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $369,779 | $369,779 | $-- | $-- |
| Total Assets | $369,779 | $369,779 | $-- | $-- |
| Total Derivative Instruments: | $369,779 | $369,779 | $-- | $-- |
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, 2021. 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) | $369,779 | $0 |
| Total Equity Risk | 369,779 | 0 |
| Total Value of Derivatives | $369,779 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| July 31, 2021 | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $42,012,222) — See accompanying schedule: Unaffiliated issuers (cost $2,972,471,277) | $3,577,651,741 | |
| Fidelity Central Funds (cost $115,543,371) | 115,543,371 | |
| Total Investment in Securities (cost $3,088,014,648) | $3,693,195,112 | |
| Segregated cash with brokers for derivative instruments | 506,000 | |
| Cash | 1 | |
| Receivable for fund shares sold | 274,373 | |
| Dividends receivable | 9,418,233 | |
| Distributions receivable from Fidelity Central Funds | 16,856 | |
| Prepaid expenses | 2,553 | |
| Total assets | 3,703,413,128 | |
| Liabilities | ||
| Payable for investments purchased | $70,607,958 | |
| Payable for fund shares redeemed | 241,664 | |
| Accrued management fee | 283,391 | |
| Payable for daily variation margin on futures contracts | 50,851 | |
| Other payables and accrued expenses | 52,422 | |
| Collateral on securities loaned | 42,916,842 | |
| Total liabilities | 114,153,128 | |
| Net Assets | $3,589,260,000 | |
| Net Assets consist of: | ||
| Paid in capital | $2,973,924,109 | |
| Total accumulated earnings (loss) | 615,335,891 | |
| Net Assets | $3,589,260,000 | |
| Net Asset Value, offering price and redemption price per share ($3,589,260,000 ÷ 293,801,553 shares) | $12.22 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Year ended July 31, 2021 | ||
| Investment Income | ||
| Dividends | $81,543,552 | |
| Interest | 496 | |
| Income from Fidelity Central Funds (including $144,201 from security lending) | 150,382 | |
| Total income | 81,694,430 | |
| Expenses | ||
| Management fee | $2,726,850 | |
| Custodian fees and expenses | 33,819 | |
| Independent trustees' fees and expenses | 7,364 | |
| Registration fees | 34,624 | |
| Audit | 50,529 | |
| Legal | 5,239 | |
| Interest | 5,033 | |
| Miscellaneous | 11,565 | |
| Total expenses | 2,875,023 | |
| Net investment income (loss) | 78,819,407 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 103,856,177 | |
| Fidelity Central Funds | (467) | |
| Futures contracts | 2,813,076 | |
| Total net realized gain (loss) | 106,668,786 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 705,381,087 | |
| Fidelity Central Funds | (167) | |
| Futures contracts | (105,817) | |
| Total change in net unrealized appreciation (depreciation) | 705,275,103 | |
| Net gain (loss) | 811,943,889 | |
| Net increase (decrease) in net assets resulting from operations | $890,763,296 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Year ended July 31, 2021 | Year ended July 31, 2020 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $78,819,407 | $61,622,376 |
| Net realized gain (loss) | 106,668,786 | (89,124,858) |
| Change in net unrealized appreciation (depreciation) | 705,275,103 | (108,080,086) |
| Net increase (decrease) in net assets resulting from operations | 890,763,296 | (135,582,568) |
| Distributions to shareholders | (64,578,607) | (47,902,133) |
| Share transactions | ||
| Proceeds from sales of shares | 1,195,629,628 | 1,249,352,947 |
| Reinvestment of distributions | 62,975,816 | 31,571,367 |
| Cost of shares redeemed | (777,831,052) | (603,278,266) |
| Net increase (decrease) in net assets resulting from share transactions | 480,774,392 | 677,646,048 |
| Total increase (decrease) in net assets | 1,306,959,081 | 494,161,347 |
| Net Assets | ||
| Beginning of period | 2,282,300,919 | 1,788,139,572 |
| End of period | $3,589,260,000 | $2,282,300,919 |
| Other Information | ||
| Shares | ||
| Sold | 107,213,421 | 144,603,376 |
| Issued in reinvestment of distributions | 6,773,175 | 3,017,446 |
| Redeemed | (79,062,982) | (66,443,904) |
| Net increase (decrease) | 34,923,614 | 81,176,918 |
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, | 2021 | 2020 | 2019 | 2018 A |
| Selected Per–Share Data | ||||
| Net asset value, beginning of period | $8.82 | $10.06 | $10.36 | $10.00 |
| Income from Investment Operations | ||||
| Net investment income (loss)B | .31 | .29 | .25 | .14 |
| Net realized and unrealized gain (loss) | 3.35 | (1.27) | (.22) | .23 |
| Total from investment operations | 3.66 | (.98) | .03 | .37 |
| Distributions from net investment income | (.26) | (.26) | (.19) | (.01) |
| Distributions from net realized gain | – | – | (.14) | – |
| Total distributions | (.26) | (.26) | (.33) | (.01) |
| Net asset value, end of period | $12.22 | $8.82 | $10.06 | $10.36 |
| Total ReturnC,D | 42.39% | (10.13)% | .62% | 3.67% |
| Ratios to Average Net AssetsE,F | ||||
| Expenses before reductions | .11% | .11% | .21% | .28%G |
| Expenses net of fee waivers, if any | .11% | .11% | .15% | .15%G |
| Expenses net of all reductions | .11% | .11% | .15% | .15%G |
| Net investment income (loss) | 2.89% | 3.12% | 2.61% | 2.20%G |
| Supplemental Data | ||||
| Net assets, end of period (000 omitted) | $3,589,260 | $2,282,301 | $1,788,140 | $1,958,157 |
| Portfolio turnover rateH | 80% | 82% | 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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended July 31, 2021
1. Organization.
Fidelity SAI U.S. Value Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% to .01% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has 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, 2021 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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, 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, 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 | $618,219,293 |
| Gross unrealized depreciation | (77,391,399) |
| Net unrealized appreciation (depreciation) | $540,827,894 |
| Tax Cost | $3,152,367,218 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $74,507,997 |
| Net unrealized appreciation (depreciation) on securities and other investments | $540,827,894 |
The tax character of distributions paid was as follows:
| July 31, 2021 | July 31, 2020 | |
| Ordinary Income | $64,578,607 | $ 47,902,133 |
| Total | $64,578,607 | $ 47,902,133 |
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 and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity SAI U.S. Value Index Fund | 2,668,807,779 | 2,171,025,162 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
| Fidelity SAI U.S. Value Index Fund | Borrower | $19,657,103 | .32% | $5,033 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Fidelity SAI U.S. Value Index Fund | $5,029 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Fidelity SAI U.S. Value Index Fund | $15,528 | $– | $– |
9. Other.
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.
In addition, at the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| Strategic Advisers Fidelity U.S. Total Stock Fund | |
| Fidelity SAI U.S. Value Index Fund | 68% |
10. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
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, 2021, the related statement of operations for the year ended July 31, 2021, the statement of changes in net assets for each of the two years in the period ended July 31, 2021, including the related notes, and the financial highlights for each of the three years in the period ended July 31, 2021 and for the period December 19, 2017 (commencement of operations) to July 31, 2018 (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, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended July 31, 2021 and the financial highlights for each of the three years in the period ended July 31, 2021 and for the period December 19, 2017 (commencement of operations) to 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, 2021 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/ PricewaterhouseCoopers LLP
Boston, Massachusetts
September 13, 2021
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 283 funds. Mr. Chiel oversees 176 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 Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
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 and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and 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 her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. 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. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for 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
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
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).
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present) and 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).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jamie Pagliocco (1964)
Year of Election or Appointment: 2020
Vice President
Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.
Kenneth B. Robins (1969)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
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 FIMM, LLC (2021-present) and 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 LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During Period-B February 1, 2021 to July 31, 2021 | |
| Fidelity SAI U.S. Value Index Fund | .10% | |||
| Actual | $1,000.00 | $1,194.50 | $.54 | |
| Hypothetical-C | $1,000.00 | $1,024.30 | $.50 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity SAI U.S. Value Index Fund voted to pay on September 13, 2021, to shareholders of record at the opening of business on September 10, 2021, a distribution of $0.091 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.164 per share from net investment income.
The fund designates 100%, and 98% 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 the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
USV-ANN-0921
1.9885515.103
Item 2.
Code of Ethics
As of the end of the period, July 31, 2021, 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, 2021 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Real Estate Index Fund | $34,500 | $- | $8,100 | $900 |
Fidelity SAI Real Estate Index Fund | $36,200 | $- | $9,200 | $900 |
Fidelity SAI Small-Mid Cap 500 Index Fund | $40,000 | $- | $6,900 | $1,000 |
Fidelity SAI U.S. Large Cap Index Fund | $37,900 | $- | $8,500 | $1,000 |
Fidelity SAI U.S. Momentum Index Fund | $39,200 | $- | $6,900 | $1,000 |
Fidelity SAI U.S. Quality Index Fund | $39,500 | $- | $6,900 | $1,000 |
July 31, 2020 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Real Estate Index Fund | $35,500 | $- | $8,600 | $800 |
Fidelity SAI Real Estate Index Fund | $37,400 | $- | $8,100 | $800 |
Fidelity SAI Small-Mid Cap 500 Index Fund | $40,700 | $- | $7,400 | $900 |
Fidelity SAI U.S. Large Cap Index Fund | $38,600 | $- | $9,100 | $900 |
Fidelity SAI U.S. Momentum Index Fund | $40,200 | $- | $7,200 | $900 |
Fidelity SAI U.S. Quality Index Fund | $40,200 | $- | $7,400 | $900 |
A Amounts 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(s)”):
Services Billed by PwC
July 31, 2021 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity SAI U.S. Value Index Fund | $35,500 | $3,500 | $9,000 | $1,700 |
July 31, 2020 Fees A
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity SAI U.S. Value Index Fund | $38,000 | $3,500 | $9,000 | $1,900 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by Deloitte Entities and PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose
role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
July 31, 2021A | July 31, 2020A | |
Audit-Related Fees | $- | $- |
Tax Fees | $- | $3,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
Services Billed by PwC
July 31, 2021A | July 31, 2020 A | |
Audit-Related Fees | $8,959,700 | $8,940,200 |
Tax Fees | $11,200 | $20,800 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities and PwC for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | July 31, 2021A | July 31, 2020A |
Deloitte Entities | $573,900 | $557,600 |
PwC | $14,287,800 | $14,256,600 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
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) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Salem Street Trust
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | September 21, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | September 21, 2021 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | September 21, 2021 |