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: | December 31 |
Date of reporting period: | December 31, 2021 |
Item 1.
Reports to Stockholders
Fidelity Flex® Funds
Fidelity Flex® Inflation-Protected Bond Index Fund
December 31, 2021
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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.
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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 COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, 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 December 31, 2021 | Past 1 year | Life of fundA |
Fidelity Flex® Inflation-Protected Bond Index Fund | 5.92% | 5.58% |
A From March 9, 2017
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity Flex® Inflation-Protected Bond Index Fund on March 9, 2017, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-22-000720/img770709642_740.jpg)
Period Ending Values | ||
$12,992 | Fidelity Flex® Inflation-Protected Bond Index Fund | |
$13,013 | Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) Index |
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a moderate decline in the year ending December 31, 2021, amid a broad risk-on and inflationary environment. The Bloomberg U.S. Aggregate Bond Index returned -1.54% for the full period. Longer-term bond yields rose early in the year, as a $1.9 trillion COVID-relief bill offered hopes for a robust economic recovery. This led to rising inflation expectations that persisted through early April. Many investors preferred the potential for higher returns in riskier assets as the worst economic fears related to the spread of COVID-19 retreated. Bond yields fell from May through early August in response to weaker-than-expected economic data. Then in the fourth quarter, rising inflation and tighter monetary policy increased short-term yields and decreased longer-term yields. By early December, U.S. Federal Reserve Chair Jerome Powell stated it was time to retire the term “transitory” in describing U.S. inflation. Also in December, the Fed accelerated its tapering plans and raised the prospects for three quarter-point interest-rate hikes in 2022. Within the Aggregate index, corporate bonds returned -2.92% for the period, edging the -3.30% return of U.S. Treasuries. Securitized segments of the market also posted negative returns, including commercial mortgage-backed securities (-2.42%). Outside the index, U.S. corporate high-yield bonds added roughly 5% and Treasury Inflation-Protected Securities (TIPS) rose 6%.Comments from Co-Portfolio Managers Brandon Bettencourt and Richard Munclinger: For the year, the fund returned 5.92%, nearly matching, net of fees, the 5.96% return of the benchmark, the Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) Index (Series-L). We attempt to hold all positions held by the index in the same relative proportions. TIPS outpaced all other major U.S. fixed-income investment-grade bond sectors for the year, reflecting rising inflation and elevated demand for inflation-protected assets. Inflation, as measured by CPI-U (the Consumer Price Index for all Urban Consumers) spiked in early 2021 as prices for airfares, restaurant meals and apparel recovered sharply after slipping in 2020 when the economy shut down during the depths of the COVID-19 pandemic. Inflation accelerated in the second quarter, with the June CPI-U coming in 5.4% higher than a year earlier amid disrupted supply chains and extraordinarily high demand for goods, as well as growing exuberance regarding the reopening of the economy. After stabilizing in July and cooling slightly in August, CPI-U accelerated again. For November, the final reading by year's end, inflation rose 6.8% from the same month a year earlier, its strongest surge since June 1982. Prices for a broad range of categories increased, including gasoline, food, shelter, and new and used cars and trucks.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)
Coupon Distribution as of December 31, 2021
% of fund's investments | |
0.01 - 0.99% | 79.7 |
1 - 1.99% | 6.8 |
2 - 2.99% | 8.1 |
3 - 3.99% | 3.8 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund's prospectus for more information.
Asset Allocation (% of fund's net assets)
As of December 31, 2021* | ||
U.S. Government and U.S. Government Agency Obligations | 99.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.4% |
* Inflation Protected Securities - 99.6%
Schedule of Investments December 31, 2021
Showing Percentage of Net Assets
U.S. Treasury Inflation-Protected Obligations - 99.6% | |||
Principal Amount | Value | ||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.125% 2/15/51 | $117,923 | $139,928 | |
0.25% 2/15/50 | 105,430 | 127,819 | |
0.625% 2/15/43 | 95,039 | 118,291 | |
0.75% 2/15/42 | 132,198 | 167,254 | |
0.75% 2/15/45 | 177,360 | 228,607 | |
0.875% 2/15/47 | 90,519 | 122,437 | |
1% 2/15/46 | 93,386 | 127,794 | |
1% 2/15/48 | 75,149 | 105,542 | |
1% 2/15/49 | 59,355 | 84,389 | |
1.375% 2/15/44 | 159,029 | 227,226 | |
1.75% 1/15/28 | 114,863 | 137,828 | |
2% 1/15/26 | 118,452 | 137,069 | |
2.125% 2/15/40 | 71,662 | 109,785 | |
2.125% 2/15/41 | 73,255 | 113,506 | |
2.375% 1/15/25 | 184,885 | 210,542 | |
2.375% 1/15/27 | 109,722 | 132,539 | |
2.5% 1/15/29 | 85,025 | 108,728 | |
3.375% 4/15/32 | 31,165 | 46,378 | |
3.625% 4/15/28 | 111,155 | 147,712 | |
3.875% 4/15/29 | 132,916 | 185,179 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 1/15/23 | 331,924 | 342,733 | |
0.125% 7/15/24 | 295,872 | 315,378 | |
0.125% 10/15/24 | 249,030 | 265,976 | |
0.125% 4/15/25 | 195,956 | 209,618 | |
0.125% 10/15/25 | 255,835 | 275,813 | |
0.125% 4/15/26 | 215,155 | 232,217 | |
0.125% 7/15/26 | 261,933 | 284,416 | |
0.125% 10/15/26 | 250,011 | 271,926 | |
0.125% 1/15/30 | 250,484 | 278,144 | |
0.125% 7/15/30 | 296,665 | 332,086 | |
0.125% 1/15/31 | 283,690 | 317,812 | |
0.125% 7/15/31 | 308,559 | 347,048 | |
0.25% 1/15/25 | 276,759 | 296,503 | |
0.25% 7/15/29 | 218,423 | 244,839 | |
0.375% 7/15/23 | 341,105 | 358,596 | |
0.375% 7/15/25 | 295,084 | 320,510 | |
0.375% 1/15/27 | 233,584 | 256,966 | |
0.375% 7/15/27 | 248,754 | 276,042 | |
0.5% 4/15/24 | 174,371 | 185,857 | |
0.5% 1/15/28 | 248,931 | 278,609 | |
0.625% 4/15/23 | 280,607 | 293,292 | |
0.625% 1/15/24 | 310,575 | 330,476 | |
0.625% 1/15/26 | 232,808 | 255,704 | |
0.75% 7/15/28 | 215,968 | 247,402 | |
0.875% 1/15/29 | 199,361 | 230,623 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | |||
(Cost $9,079,508) | 9,827,139 | ||
Shares | Value | ||
Money Market Funds - 1.5% | |||
Fidelity Cash Central Fund 0.08% (a) | |||
(Cost $151,621) | 151,591 | 151,621 | |
TOTAL INVESTMENT IN SECURITIES - 101.1% | |||
(Cost $9,231,129) | 9,978,760 | ||
NET OTHER ASSETS (LIABILITIES) - (1.1)% | (107,746) | ||
NET ASSETS - 100% | $9,871,014 |
Legend
(a) 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.
Affiliated Central Funds
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 | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $-- | $1,142,020 | $990,400 | $48 | $1 | $-- | $151,621 | 0.0% |
Total | $-- | $1,142,020 | $990,400 | $48 | $1 | $-- | $151,621 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of December 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: | ||||
U.S. Government and Government Agency Obligations | $9,827,139 | $-- | $9,827,139 | $-- |
Money Market Funds | 151,621 | 151,621 | -- | -- |
Total Investments in Securities: | $9,978,760 | $151,621 | $9,827,139 | $-- |
Other Information
The composition of credit quality ratings as a percentage of Total Net Assets is as follows (Unaudited):
U.S. Government and U.S. Government Agency Obligations | 99.6% |
Short-Term Investments and Net Other Assets | 0.4% |
100.0% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
December 31, 2021 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $9,079,508) | $9,827,139 | |
Fidelity Central Funds (cost $151,621) | 151,621 | |
Total Investment in Securities (cost $9,231,129) | $9,978,760 | |
Receivable for investments sold | 206,425 | |
Receivable for fund shares sold | 7,038 | |
Dividends receivable | 1 | |
Interest receivable | 21,344 | |
Distributions receivable from Fidelity Central Funds | 6 | |
Total assets | 10,213,574 | |
Liabilities | ||
Payable for investments purchased | $135,508 | |
Payable for fund shares redeemed | 207,052 | |
Total liabilities | 342,560 | |
Net Assets | $9,871,014 | |
Net Assets consist of: | ||
Paid in capital | $9,129,080 | |
Total accumulated earnings (loss) | 741,934 | |
Net Assets | $9,871,014 | |
Net Asset Value, offering price and redemption price per share ($9,871,014 ÷ 866,914 shares) | $11.39 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended December 31, 2021 | ||
Investment Income | ||
Interest | $477,258 | |
Income from Fidelity Central Funds | 48 | |
Total income | 477,306 | |
Expenses | ||
Independent trustees' fees and expenses | $26 | |
Total expenses before reductions | 26 | |
Expense reductions | (8) | |
Total expenses after reductions | 18 | |
Net investment income (loss) | 477,288 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 30,396 | |
Fidelity Central Funds | 1 | |
Total net realized gain (loss) | 30,397 | |
Change in net unrealized appreciation (depreciation) on investment securities | 33,268 | |
Net gain (loss) | 63,665 | |
Net increase (decrease) in net assets resulting from operations | $540,953 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended December 31, 2021 | Year ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $477,288 | $110,988 |
Net realized gain (loss) | 30,397 | 77,411 |
Change in net unrealized appreciation (depreciation) | 33,268 | 511,217 |
Net increase (decrease) in net assets resulting from operations | 540,953 | 699,616 |
Distributions to shareholders | (477,055) | (142,823) |
Share transactions | ||
Proceeds from sales of shares | 5,683,132 | 6,418,237 |
Reinvestment of distributions | 477,055 | 142,823 |
Cost of shares redeemed | (3,607,641) | (6,556,264) |
Net increase (decrease) in net assets resulting from share transactions | 2,552,546 | 4,796 |
Total increase (decrease) in net assets | 2,616,444 | 561,589 |
Net Assets | ||
Beginning of period | 7,254,570 | 6,692,981 |
End of period | $9,871,014 | $7,254,570 |
Other Information | ||
Shares | ||
Sold | 493,562 | 583,469 |
Issued in reinvestment of distributions | 42,105 | 12,745 |
Redeemed | (311,440) | (598,090) |
Net increase (decrease) | 224,227 | (1,876) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Flex Inflation-Protected Bond Index Fund
Years ended December 31, | 2021 | 2020 | 2019 | 2018 | 2017 A |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.29 | $10.38 | $9.77 | $10.19 | $10.00 |
Income from Investment Operations | |||||
Net investment income (loss)B | .609 | .172 | .247 | .310 | .208 |
Net realized and unrealized gain (loss) | .056 | .967 | .571 | (.449) | .126 |
Total from investment operations | .665 | 1.139 | .818 | (.139) | .334 |
Distributions from net investment income | (.565) | (.030) | (.046) | (.038) | (.018) |
Distributions from net realized gain | – | (.199) | (.162) | (.243) | (.126) |
Total distributions | (.565) | (.229) | (.208) | (.281) | (.144) |
Net asset value, end of period | $11.39 | $11.29 | $10.38 | $9.77 | $10.19 |
Total ReturnC,D | 5.92% | 10.99% | 8.38% | (1.35)% | 3.36% |
Ratios to Average Net AssetsE,F | |||||
Expenses before reductionsG | -% | -% | -% | -% | - %H |
Expenses net of fee waivers, if anyG | -% | -% | -% | -% | - %H |
Expenses net of all reductionsG | -% | -% | -% | -% | - %H |
Net investment income (loss) | 5.30% | 1.57% | 2.41% | 3.09% | 2.50%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $9,871 | $7,255 | $6,693 | $4,344 | $2,173 |
Portfolio turnover rateI | 28% | 73% | 40% | 47% | 42%H |
A For the period March 9, 2017 (commencement of operations) through December 31, 2017.
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 adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Amount represents less than .005%.
H Annualized
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 December 31, 2021
1. Organization.
Fidelity Flex Inflation-Protected Bond 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. The Fund is available only to certain fee-based accounts and advisory programs offered by Fidelity.
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% |
(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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 December 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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may result in negative Interest and may have a significant impact on the Fund's distributions.
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 December 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to market discount 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 | $744,688 |
Gross unrealized depreciation | (1,368) |
Net unrealized appreciation (depreciation) | $743,320 |
Tax Cost | $9,235,440 |
The tax-based components of distributable earnings as of period end were as follows:
Net unrealized appreciation (depreciation) on securities and other investments | $743,320 |
The tax character of distributions paid was as follows:
December 31, 2021 | December 31, 2020 | |
Ordinary Income | $477,055 | $ 94,723 |
Long-term Capital Gains | – | 48,100 |
Total | $477,055 | $ 142,823 |
4. 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 and the Fund does not pay any fees for these services. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
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. During the period there were no interfund trades.
5. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
6. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $8.
7. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
8. 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 Flex Inflation-Protected Bond Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Flex Inflation-Protected Bond Index Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the “Fund”) as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statement of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the four years in the period ended December 31, 2021 and for the period March 9, 2017 (commencement of operations) through December 31, 2017 (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 December 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 December 31, 2021 and the financial highlights for each of the four years in the period ended December 31, 2021 and for the period March 9, 2017 (commencement of operations) through December 31, 2017 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 December 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
February 11, 2022
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 314 funds.Mr. Chiel oversees 179 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 (for managed account clients) or 1-800-835-5092 (for retirement plan participants).
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 retirement, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career in 1983 as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
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), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-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); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (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.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
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 (July 1, 2021 to December 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value July 1, 2021 | Ending Account Value December 31, 2021 | Expenses Paid During Period-B July 1, 2021 to December 31, 2021 | |
Fidelity Flex Inflation-Protected Bond Index Fund | - %-C | |||
Actual | $1,000.00 | $1,041.60 | $--D | |
Hypothetical-E | $1,000.00 | $1,025.21 | $--D |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 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 Amount represents less than .005%.
D Amount represents less than $.005.
E 5% return per year before expenses
Distributions (Unaudited)
The fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2021, $26,643, or, if subsequently determined to be different, the net capital gain of such year.
A total of 99.99% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $101,104 of distributions paid in the calendar year 2020 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund designates 100% of the short-term capital gain dividends distributed in December 2020 as qualifying to be taxed as short-term capital gain dividends for nonresident alien shareholders.
The fund designates $222,857 of distributions paid in the calendar year 2020 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Flex Inflation-Protected Bond Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. The Board did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is available exclusively to certain fee-based accounts and advisor programs offered by Fidelity, including certain employer-sponsored plans and discretionary investment programs. The Board noted that there was a portfolio management change for the fund in October 2020.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board noted that the fund is available exclusively through certain Fidelity fee-based accounts and advisory programs. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR is indirectly compensated for its services out of Fidelity fee-based account and advisory program fees. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except Independent Trustee fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the continued waiver of money market fund fees; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.ZXF-ANN-0322
1.9881643.104
Fidelity® Inflation-Protected Bond Index Fund
December 31, 2021
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
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. © 2022 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 COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, 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 December 31, 2021 | Past 1 year | Past 5 years | Life of fundA |
Fidelity® Inflation-Protected Bond Index Fund | 5.93% | 5.26% | 2.80% |
A From May 16, 2012
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Inflation-Protected Bond Index Fund on May 16, 2012, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-22-000720/img770708163_740.jpg)
Period Ending Values | ||
$13,047 | Fidelity® Inflation-Protected Bond Index Fund | |
$13,112 | Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) Index |
Effective August 24, 2021, all Bloomberg Barclays Indices were re-branded as Bloomberg Indices.
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a moderate decline in the year ending December 31, 2021, amid a broad risk-on and inflationary environment. The Bloomberg U.S. Aggregate Bond Index returned -1.54% for the full period. Longer-term bond yields rose early in the year, as a $1.9 trillion COVID-relief bill offered hopes for a robust economic recovery. This led to rising inflation expectations that persisted through early April. Many investors preferred the potential for higher returns in riskier assets as the worst economic fears related to the spread of COVID-19 retreated. Bond yields fell from May through early August in response to weaker-than-expected economic data. Then in the fourth quarter, rising inflation and tighter monetary policy increased short-term yields and decreased longer-term yields. By early December, U.S. Federal Reserve Chair Jerome Powell stated it was time to retire the term “transitory” in describing U.S. inflation. Also in December, the Fed accelerated its tapering plans and raised the prospects for three quarter-point interest-rate hikes in 2022. Within the Aggregate index, corporate bonds returned -2.92% for the period, edging the -3.30% return of U.S. Treasuries. Securitized segments of the market also posted negative returns, including commercial mortgage-backed securities (-2.42%). Outside the index, U.S. corporate high-yield bonds added roughly 5% and Treasury Inflation-Protected Securities (TIPS) rose 6%.Comments from Co-Portfolio Managers Brandon Bettencourt and Richard Munclinger: For the year, the fund gained 5.93%, roughly in line, net of fees, with the 5.96% advance of the benchmark, the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) Index (Series-L). We attempt to hold all positions held by the index in the same relative proportions. TIPS outpaced all other major U.S. fixed-income investment-grade bond sectors for the year, reflecting rising inflation and elevated demand for inflation-protected assets. Inflation, as measured by CPI-U (the Consumer Price Index for all Urban Consumers) spiked in early 2021 as prices for airfares, restaurant meals and apparel recovered sharply after slipping in 2020 when the economy shut down during the depths of the COVID-19 pandemic. Inflation accelerated in the second quarter, with the June CPI-U coming in 5.4% higher than a year earlier amid disrupted supply chains and extraordinarily high demand for goods, as well as growing exuberance regarding the reopening of the economy. After stabilizing in July and cooling slightly in August, CPI-U accelerated again. For November, the final reading by year's end, inflation rose 6.8% from the same month a year earlier, its strongest surge since June 1982. Prices for a broad range of categories increased, including gasoline, food, shelter, and new and used cars and trucks.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)
Coupon Distribution as of December 31, 2021
% of fund's investments | |
0.01 - 0.99% | 80.6 |
1 - 1.99% | 6.7 |
2 - 2.99% | 8.4 |
3 - 3.99% | 4.0 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund's prospectus for more information.
Asset Allocation (% of fund's net assets)
As of December 31, 2021* | ||
U.S. Government and U.S. Government Agency Obligations | 99.5% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.5% |
* Inflation Protected Securities - 99.5%
Schedule of Investments December 31, 2021
Showing Percentage of Net Assets
U.S. Treasury Inflation-Protected Obligations - 99.5% | |||
Principal Amount | Value | ||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.125% 2/15/51 | $126,062,949 | $149,586,844 | |
0.25% 2/15/50 | 131,738,462 | 159,713,803 | |
0.625% 2/15/43 | 122,093,109 | 151,963,464 | |
0.75% 2/15/42 | 169,889,736 | 214,939,722 | |
0.75% 2/15/45 | 193,766,464 | 249,753,732 | |
0.875% 2/15/47 | 116,195,446 | 157,166,859 | |
1% 2/15/46 | 107,408,615 | 146,984,095 | |
1% 2/15/48 | 96,668,803 | 135,764,687 | |
1% 2/15/49 | 78,858,852 | 112,117,976 | |
1.375% 2/15/44 | 170,565,208 | 243,709,935 | |
1.75% 1/15/28 | 119,997,111 | 143,989,012 | |
2% 1/15/26 | 154,805,289 | 179,136,508 | |
2.125% 2/15/40 | 68,316,996 | 104,660,536 | |
2.125% 2/15/41 | 100,422,720 | 155,601,605 | |
2.375% 1/15/25 | 213,081,245 | 242,650,888 | |
2.375% 1/15/27 | 129,092,518 | 155,936,517 | |
2.5% 1/15/29 | 119,452,620 | 152,753,011 | |
3.375% 4/15/32 | 58,817,704 | 87,529,931 | |
3.625% 4/15/28 | 127,633,531 | 169,609,335 | |
3.875% 4/15/29 | 149,511,903 | 208,300,377 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 1/15/23 | 409,433,104 | 422,767,026 | |
0.125% 7/15/24 | 335,052,795 | 357,142,259 | |
0.125% 10/15/24 | 307,922,343 | 328,875,921 | |
0.125% 4/15/25 | 258,285,526 | 276,292,682 | |
0.125% 10/15/25 | 308,196,138 | 332,262,368 | |
0.125% 4/15/26 | 226,040,072 | 243,966,066 | |
0.125% 7/15/26 | 288,650,199 | 313,426,135 | |
0.125% 10/15/26 | 313,327,463 | 340,792,433 | |
0.125% 1/15/30 | 307,723,750 | 341,703,531 | |
0.125% 7/15/30 | 340,375,587 | 381,016,615 | |
0.125% 1/15/31 | 345,391,188 | 386,934,591 | |
0.125% 7/15/31 | 348,757,357 | 392,260,805 | |
0.25% 1/15/25 | 316,391,727 | 338,963,448 | |
0.25% 7/15/29 | 270,576,943 | 303,301,313 | |
0.375% 7/15/23 | 391,718,364 | 411,802,034 | |
0.375% 7/15/25 | 337,793,058 | 366,899,484 | |
0.375% 1/15/27 | 263,510,323 | 289,888,412 | |
0.375% 7/15/27 | 288,377,120 | 320,012,203 | |
0.5% 4/15/24 | 220,326,486 | 234,840,557 | |
0.5% 1/15/28 | 311,055,879 | 348,140,804 | |
0.625% 4/15/23 | 345,220,152 | 360,825,952 | |
0.625% 1/15/24 | 384,857,891 | 409,519,105 | |
0.625% 1/15/26 | 299,829,931 | 329,317,859 | |
0.75% 7/15/28 | 266,078,677 | 304,806,102 | |
0.875% 1/15/29 | 223,505,566 | 258,554,262 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | |||
(Cost $10,829,813,201) | 11,716,180,804 | ||
Shares | Value | ||
Money Market Funds - 0.4% | |||
Fidelity Cash Central Fund 0.08% (a) | |||
(Cost $42,519,434) | 42,510,931 | 42,519,434 | |
TOTAL INVESTMENT IN SECURITIES - 99.9% | |||
(Cost $10,872,332,635) | 11,758,700,238 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 13,136,511 | ||
NET ASSETS - 100% | $11,771,836,749 |
Legend
(a) 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.
Affiliated Central Funds
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 | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $22,046,060 | $929,604,593 | $909,130,897 | $15,382 | $(322) | $-- | $42,519,434 | 0.1% |
Fidelity Securities Lending Cash Central Fund 0.08% | -- | 1,335,826,917 | 1,335,826,917 | 94,802 | -- | -- | -- | 0.0% |
Total | $22,046,060 | $2,265,431,510 | $2,244,957,814 | $110,184 | $(322) | $-- | $42,519,434 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of December 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: | ||||
U.S. Government and Government Agency Obligations | $11,716,180,804 | $-- | $11,716,180,804 | $-- |
Money Market Funds | 42,519,434 | 42,519,434 | -- | -- |
Total Investments in Securities: | $11,758,700,238 | $42,519,434 | $11,716,180,804 | $-- |
Other Information
The composition of credit quality ratings as a percentage of Total Net Assets is as follows (Unaudited):
U.S. Government and U.S. Government Agency Obligations | 99.5% |
Short-Term Investments and Net Other Assets | 0.5% |
100.0% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
December 31, 2021 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $10,829,813,201) | $11,716,180,804 | |
Fidelity Central Funds (cost $42,519,434) | 42,519,434 | |
Total Investment in Securities (cost $10,872,332,635) | $11,758,700,238 | |
Receivable for investments sold | 84,751,337 | |
Receivable for fund shares sold | 69,485,985 | |
Interest receivable | 25,249,577 | |
Distributions receivable from Fidelity Central Funds | 13,040 | |
Other receivables | 8,504 | |
Total assets | 11,938,208,681 | |
Liabilities | ||
Payable for investments purchased | $151,361,341 | |
Payable for fund shares redeemed | 14,524,112 | |
Accrued management fee | 477,982 | |
Other payables and accrued expenses | 8,497 | |
Total liabilities | 166,371,932 | |
Net Assets | $11,771,836,749 | |
Net Assets consist of: | ||
Paid in capital | $10,894,511,103 | |
Total accumulated earnings (loss) | 877,325,646 | |
Net Assets | $11,771,836,749 | |
Net Asset Value, offering price and redemption price per share ($11,771,836,749 ÷ 1,055,119,481 shares) | $11.16 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended December 31, 2021 | ||
Investment Income | ||
Interest | $536,052,219 | |
Income from Fidelity Central Funds (including $94,802 from security lending) | 110,184 | |
Total income | 536,162,403 | |
Expenses | ||
Management fee | $5,036,512 | |
Independent trustees' fees and expenses | 29,237 | |
Total expenses before reductions | 5,065,749 | |
Expense reductions | (1) | |
Total expenses after reductions | 5,065,748 | |
Net investment income (loss) | 531,096,655 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 20,227,401 | |
Fidelity Central Funds | (322) | |
Total net realized gain (loss) | 20,227,079 | |
Change in net unrealized appreciation (depreciation) on investment securities | 33,076,734 | |
Net gain (loss) | 53,303,813 | |
Net increase (decrease) in net assets resulting from operations | $584,400,468 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended December 31, 2021 | Year ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $531,096,655 | $114,016,395 |
Net realized gain (loss) | 20,227,079 | 24,862,601 |
Change in net unrealized appreciation (depreciation) | 33,076,734 | 642,534,044 |
Net increase (decrease) in net assets resulting from operations | 584,400,468 | 781,413,040 |
Distributions to shareholders | (530,589,842) | (106,674,496) |
Share transactions | ||
Proceeds from sales of shares | 5,490,931,795 | 4,642,408,183 |
Reinvestment of distributions | 490,863,198 | 98,073,735 |
Cost of shares redeemed | (3,214,302,911) | (3,531,613,252) |
Net increase (decrease) in net assets resulting from share transactions | 2,767,492,082 | 1,208,868,666 |
Total increase (decrease) in net assets | 2,821,302,708 | 1,883,607,210 |
Net Assets | ||
Beginning of period | 8,950,534,041 | 7,066,926,831 |
End of period | $11,771,836,749 | $8,950,534,041 |
Other Information | ||
Shares | ||
Sold | 487,159,950 | 435,510,727 |
Issued in reinvestment of distributions | 44,221,970 | 8,973,221 |
Redeemed | (286,850,319) | (334,850,967) |
Net increase (decrease) | 244,531,601 | 109,632,981 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Inflation-Protected Bond Index Fund
Years ended December 31, | 2021 | 2020 | 2019 | 2018 | 2017 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.04 | $10.08 | $9.49 | $9.84 | $9.68 |
Income from Investment Operations | |||||
Net investment income (loss)A | .593 | .157 | .233 | .262 | .219 |
Net realized and unrealized gain (loss) | .058 | .940 | .555 | (.398) | .068 |
Total from investment operations | .651 | 1.097 | .788 | (.136) | .287 |
Distributions from net investment income | (.531) | (.027) | (.041) | (.031) | (.013) |
Distributions from net realized gain | – | (.110) | (.157) | (.183) | (.108) |
Tax return of capital | – | – | – | – | (.006) |
Total distributions | (.531) | (.137) | (.198) | (.214) | (.127) |
Net asset value, end of period | $11.16 | $11.04 | $10.08 | $9.49 | $9.84 |
Total ReturnB | 5.93% | 10.90% | 8.31% | (1.37)% | 2.98% |
Ratios to Average Net AssetsC,D | |||||
Expenses before reductions | .05% | .05% | .05% | .05% | .05% |
Expenses net of fee waivers, if any | .05% | .05% | .05% | .05% | .05% |
Expenses net of all reductions | .05% | .05% | .05% | .05% | .05% |
Net investment income (loss) | 5.27% | 1.47% | 2.34% | 2.71% | 2.22% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $11,771,837 | $8,950,534 | $7,066,927 | $4,929,939 | $1,441,076 |
Portfolio turnover rateE | 22% | 31% | 33% | 41%F,G | 33% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
D Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
E Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
F The portfolio turnover rate does not include the assets acquired in the merger.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended December 31, 2021
1. Organization.
Fidelity Inflation-Protected Bond 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% |
(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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds or comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-ended 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 December 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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may result in negative Interest and may have a significant impact on the Fund's distributions.
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.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Fidelity Inflation-Protected Bond Index Fund | $8,504 |
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 December 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to market discount, deferred Trustee compensation, 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 | $888,345,080 |
Gross unrealized depreciation | (4,109,008) |
Net unrealized appreciation (depreciation) | $884,236,072 |
Tax Cost | $10,874,464,166 |
The tax-based components of distributable earnings as of period end were as follows:
Capital loss carryforward | $(4,627,152) |
Net unrealized appreciation (depreciation) on securities and other investments | $884,236,072 |
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 | $(4,627,152) |
The tax character of distributions paid was as follows:
December 31, 2021 | December 31, 2020 | |
Ordinary Income | $530,589,842 | $ 106,674,496 |
4. 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 .05% 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.
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. During the period there were no interfund trades.
5. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
6. 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 Inflation-Protected Bond Index Fund | $9,588 | $– | $– |
7. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
9. 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 Inflation-Protected Bond Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Inflation-Protected Bond Index Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the “Fund”) as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statement of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (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 December 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 December 31, 2021 and the financial highlights for each of the five years in the period ended December 31, 2021 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 December 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
February 15, 2022
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 314 funds. Mr. Chiel oversees 179 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 retirement, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career in 1983 as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
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), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-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); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (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.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
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 (July 1, 2021 to December 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value July 1, 2021 | Ending Account Value December 31, 2021 | Expenses Paid During Period-B July 1, 2021 to December 31, 2021 | |
Fidelity Inflation-Protected Bond Index Fund | .05% | |||
Actual | $1,000.00 | $1,041.30 | $.26 | |
Hypothetical-C | $1,000.00 | $1,024.95 | $.26 |
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 184/ 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)
A total of 99.98% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $105,597,476 of distributions paid in the calendar year 2020 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund designates 98.52% of the short-term capital gain dividends distributed in December 2020 as qualifying to be taxed as short-term capital gain dividends for nonresident alien shareholders.
The fund designates $238,918,089 of distributions paid in the calendar year 2020 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Inflation-Protected Bond Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in October 2020.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against the securities market index the fund seeks to track and an appropriate peer group of funds with similar objectives (peer group). The Board also periodically considers the fund's tracking error versus its benchmark index.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to a fund's benchmark index, over appropriate time periods, taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and its benchmark index and peer group for the most recent one-, three-, and five-year periods. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.![](https://capedge.com/proxy/N-CSR/0001379491-22-000720/img774378600.jpg)
PIB-I-PIB-AI-ANN-0322
1.939238.109
Fidelity® International Bond Index Fund
December 31, 2021
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 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 COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, 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 December 31, 2021 | Past 1 year | Life of fundA |
Fidelity® International Bond Index Fund | (1.74)% | 0.60% |
A From October 10, 2019
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® International Bond Index Fund on October 10, 2019, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Global Aggregate ex-USD Float Adjusted RIC Diversified Index (Hedged USD) performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-22-000720/img770717646_740.jpg)
Period Ending Values | ||
$10,135 | Fidelity® International Bond Index Fund | |
$10,198 | Bloomberg Global Aggregate ex-USD Float Adjusted RIC Diversified Index (Hedged USD) |
Effective August 24, 2021, all Bloomberg Barclays Indices were re-branded as Bloomberg Indices.
Management's Discussion of Fund Performance
Market Recap: Global investment-grade bonds performed sluggishly in 2021, and corporate securities in most geographic regions posted negative returns in a risk-on environment. The Bloomberg Global Aggregate Credit Index (Hedged) returned -0.95% for the year. Global bond markets faced challenging conditions early in 2021, although the passage of a $1.9 trillion COVID-relief bill in the U.S. in March offered optimism for an eventual global economic recovery. The second quarter saw modestly brighter conditions, thanks partly to COVID-19 vaccination progress in many developed countries. The U.S. Federal Reserve and European Central Bank continued their aggressive intervention programs, which boosted liquidity, ensured access to capital at low rates for businesses and individuals, and helped maintain a stable market environment. Credit spreads rallied in the third quarter amid progress in fighting the pandemic and dovish global monetary policy. Then in the fourth quarter, the combination of the rise of the omicron variant of the coronavirus, as well as announcements by the U.S. Federal Reserve of accelerated plans to taper its bond-buying program and increased potential for interest-rate increases in 2022, led to higher bond yields.Comments from Co-Portfolio Managers Brandon Bettencourt, Michael Foggin, Andrew Lewis and Richard Munclinger: For 2021, the fund returned -1.74% nearly in line, net of fees, with the -1.47% result of the Bloomberg Barclays Global Aggregate ex-USD Float Adjusted RIC Diversified Index (USD Hedged), which is a multicurrency benchmark that includes fixed-rate sovereign, government-related, corporate and securitized bonds from developed and emerging-markets issuers, not including U.S. dollar-denominated debt. These results met our goal of producing monthly returns, before expenses, that closely match the index return. Given the large number of securities in the index (roughly 12,000) and the significant cost and liquidity challenges associated with full replication of the index, we use “stratified sampling techniques” in constructing the portfolio. This approach involves defining and maintaining an “optimal” subset of constituent securities that, in aggregate, mirrors the chief characteristics of the index – including maturity, duration, interest rate sensitivity, security structure and credit quality. International bond markets faced a choppy road in 2021, contending with rising inflation, an uneven economic recovery in the face of new coronavirus variants, and the beginning of tighter monetary policy by several large central banks. For the year, more credit-sensitive bonds generally generated positive returns, while interest-rate sensitive securities typically suffered losses.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)
Geographic Diversification (% of fund's net assets)
As of December 31, 2021 | ||
China | 14.0% | |
Japan | 13.1% | |
United States of America | 11.3% | |
France | 7.2% | |
Germany | 7.0% | |
Canada | 6.0% | |
Italy | 5.6% | |
United Kingdom | 4.5% | |
Spain | 3.9% | |
Other* | 27.4% |
* Includes Short-Term investments and Net Other Assets (Liabilities).
Percentages are based on country or territory of incorporation and include the effect of futures contracts, as applicable. Foreign currency contracts and other assets and liabilities are included within United States of America, as applicable.
Quality Diversification (% of fund's net assets)
As of December 31, 2021 | ||
AAA | 15.0% | |
AA,A | 32.1% | |
BBB | 13.7% | |
BB and Below | 0.1% | |
Not Rated | 34.0% | |
Short-Term Investments and Net Other Assets | 5.1% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of December 31, 2021* | ||
Corporate Bonds | 28.8% | |
Government Obligations | 62.5% | |
Supranational Obligations | 3.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.1% |
* Foreign Currency Contracts - (95.5)%
Schedule of Investments December 31, 2021
Showing Percentage of Net Assets
Nonconvertible Bonds - 28.8% | |||
Principal Amount(a) | Value | ||
Australia - 0.9% | |||
New South Wales Treasury Corp.: | |||
1% 2/8/24 | AUD | $1,099,000 | $802,486 |
1.25% 3/20/25 (Reg. S) | AUD | 803,000 | 584,610 |
2% 3/20/31 | AUD | 1,106,000 | 808,449 |
3% 4/20/29 (Reg. S) | AUD | 860,000 | 676,354 |
Western Australia Treasury Corp.: | |||
2.5% 7/23/24 | AUD | 1,531,000 | 1,155,645 |
3% 10/21/26 | AUD | 1,842,000 | 1,430,908 |
TOTAL AUSTRALIA | 5,458,452 | ||
Austria - 0.1% | |||
Autobahn Schnell AG 0.625% 9/15/22 (Reg. S) | EUR | 130,000 | 149,226 |
BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG 0.1% 5/12/31 | EUR | 300,000 | 335,629 |
OMV AG 2.375% 4/9/32 (Reg. S) | EUR | 76,000 | 100,443 |
TOTAL AUSTRIA | 585,298 | ||
Bailiwick of Jersey - 0.0% | |||
Heathrow Funding Ltd. 3.661% 1/13/33 | CAD | 215,000 | 175,129 |
Belgium - 0.1% | |||
Anheuser-Busch InBev SA NV: | |||
1.5% 4/18/30 (Reg. S) | EUR | 49,000 | 59,256 |
2% 3/17/28 (Reg. S) | EUR | 32,000 | 39,842 |
2.25% 5/24/29 (Reg. S) | GBP | 53,000 | 73,960 |
3.7% 4/2/40 (Reg. S) | EUR | 131,000 | 197,817 |
Belfius Bank SA/NV 0% 8/28/26 (Reg. S) | EUR | 100,000 | 112,323 |
KBC Groep NV 0.5% 12/3/29 (b) | EUR | 100,000 | 113,262 |
TOTAL BELGIUM | 596,460 | ||
Canada - 3.1% | |||
407 International, Inc.: | |||
2.84% 3/7/50 | CAD | 73,000 | 55,039 |
3.65% 9/8/44 | CAD | 295,000 | 254,944 |
Altalink LP 3.717% 12/3/46 | CAD | 338,000 | 301,102 |
Bank of Montreal 3.19% 3/1/28 | CAD | 65,000 | 54,951 |
Bank of Nova Scotia: | |||
0.25% 1/11/24 (Reg. S) | EUR | 797,000 | 917,253 |
1.375% 12/5/23 (Reg. S) | GBP | 134,000 | 181,877 |
3.1% 2/2/28 | CAD | 85,000 | 71,382 |
Bell Canada 4.45% 2/27/47 | CAD | 40,000 | 35,144 |
Canada Housing Trust No. 1 1.9% 9/15/26 (c) | CAD | 320,000 | 257,118 |
Canadian Imperial Bank of Commerce: | |||
0.01% 4/30/29 (Reg. S) | EUR | 3,019,000 | 3,390,263 |
1.7% 7/15/26 | CAD | 498,000 | 388,802 |
2.43% 6/9/23 | CAD | 91,000 | 73,033 |
Canadian National Railway Co. 3.6% 8/1/47 | CAD | 229,000 | 193,876 |
Choice Properties REIT 4.178% 3/8/28 | CAD | 128,000 | 110,385 |
CI Financial Corp. 3.759% 5/26/25 | CAD | 513,000 | 426,207 |
CU, Inc. 3.548% 11/22/47 | CAD | 280,000 | 239,652 |
Enbridge Gas, Inc. 3.65% 4/1/50 | CAD | 290,000 | 252,757 |
Enbridge Pipelines, Inc. 4.13% 8/9/46 | CAD | 285,000 | 234,173 |
EPCOR Utilities, Inc. 3.554% 11/27/47 | CAD | 571,000 | 488,371 |
Fairfax Financial Holdings Ltd. 4.7% 12/16/26 | CAD | 234,000 | 200,761 |
Greater Toronto Airports Authority 2.75% 10/17/39 | CAD | 516,000 | 400,513 |
Hydro One, Inc.: | |||
0.71% 1/16/23 | CAD | 127,000 | 100,008 |
1.69% 1/16/31 | CAD | 417,000 | 312,093 |
3.02% 4/5/29 | CAD | 30,000 | 25,083 |
Hydro-Quebec 5% 2/15/50 | CAD | 50,000 | 60,058 |
Inter Pipeline Ltd. 4.232% 6/1/27 | CAD | 1,526,000 | 1,288,429 |
Keyera Corp. 3.959% 5/29/30 | CAD | 991,000 | 829,762 |
Magna International, Inc. 1.9% 11/24/23 | EUR | 2,002,000 | 2,356,216 |
Manulife Bank of Canada 2.844% 1/12/23 | CAD | 549,000 | 441,557 |
North West Redwater Partnership/NWR Financing Co. Ltd. 4.35% 1/10/39 | CAD | 641,000 | 572,479 |
Pembina Pipeline Corp.: | |||
3.62% 4/3/29 | CAD | 80,000 | 66,380 |
4.74% 1/21/47 | CAD | 522,000 | 446,912 |
Royal Bank of Canada: | |||
0.25% 1/29/24 (Reg. S) | EUR | 779,000 | 896,518 |
0.625% 9/10/25 (Reg. S) | EUR | 756,000 | 882,525 |
2.609% 11/1/24 | CAD | 102,000 | 82,618 |
2.949% 5/1/23 | CAD | 284,000 | 229,881 |
Shaw Communications, Inc. 2.9% 12/9/30 | CAD | 1,048,000 | 815,575 |
TELUS Corp. 3.95% 2/16/50 | CAD | 33,000 | 26,682 |
The Toronto-Dominion Bank: | |||
1.943% 3/13/25 | CAD | 252,000 | 200,281 |
2.496% 12/2/24 | CAD | 60,000 | 48,498 |
TransCanada PipeLines Ltd.: | |||
3% 9/18/29 | CAD | 30,000 | 24,301 |
4.18% 7/3/48 | CAD | 33,000 | 26,924 |
4.35% 6/6/46 | CAD | 546,000 | 455,732 |
TOTAL CANADA | 18,716,115 | ||
China - 6.2% | |||
Agricultural Development Bank of China: | |||
2.99% 8/11/26 | CNY | 15,850,000 | 2,505,798 |
3.52% 5/24/31 | CNY | 26,100,000 | 4,222,838 |
China Development Bank: | |||
3.34% 7/14/25 | CNY | 49,780,000 | 7,985,891 |
3.48% 1/8/29 | CNY | 62,240,000 | 10,043,775 |
3.5% 11/4/46 | CNY | 820,000 | 130,313 |
3.68% 2/26/26 | CNY | 5,800,000 | 941,608 |
3.7% 10/20/30 | CNY | 17,030,000 | 2,788,409 |
3.8% 1/25/36 | CNY | 550,000 | 90,519 |
Export-Import Bank of China 3.22% 5/14/26 | CNY | 50,670,000 | 8,086,888 |
TOTAL CHINA | 36,796,039 | ||
Denmark - 0.1% | |||
KommuneKredit 0% 9/8/22 (Reg. S) | EUR | 406,000 | 463,997 |
Finland - 0.1% | |||
Nordea Mortgage Bank PLC 1% 11/5/24 (Reg. S) | EUR | 180,000 | 212,205 |
OP Mortgage Bank PLC 1% 11/28/24 (Reg. S) | EUR | 170,000 | 200,402 |
TOTAL FINLAND | 412,607 | ||
France - 2.0% | |||
Aeroports de Paris SA 2.125% 10/2/26 (Reg. S) | EUR | 500,000 | 616,259 |
AXA SA 3.375% 7/6/47 (Reg. S) (b) | EUR | 100,000 | 127,364 |
Banque Federative du Credit Mutuel SA: | |||
0.375% 1/13/22 (Reg. S) | EUR | 400,000 | 455,500 |
1.25% 5/26/27 (Reg. S) | EUR | 100,000 | 119,086 |
BNP Paribas SA: | |||
1.25% 7/13/31 (Reg. S) | GBP | 100,000 | 125,466 |
3.375% 1/23/26 (Reg. S) | GBP | 550,000 | 791,427 |
BPCE SA 0.25% 1/15/26 (Reg. S) | EUR | 100,000 | 113,632 |
Caisse d'Amort de la Dette Sociale: | |||
0% 2/25/28 (Reg. S) | EUR | 600,000 | 683,489 |
0% 11/25/30 (Reg. S) | EUR | 500,000 | 555,737 |
0% 5/25/31 (Reg. S) | EUR | 300,000 | 331,905 |
0.125% 10/25/23 (Reg. S) | EUR | 300,000 | 344,858 |
Caisse Francaise de Finance 0.125% 2/15/36 (Reg. S) | EUR | 900,000 | 972,704 |
Credit Agricole Home Loan SFH 1.5% 9/28/38 | EUR | 300,000 | 393,950 |
Credit Agricole SA 2.625% 3/17/27 (Reg. S) | EUR | 107,000 | 133,124 |
Dexia Credit Local SA: | |||
0.625% 2/3/24 (Reg. S) | EUR | 100,000 | 116,068 |
0.625% 1/17/26 (Reg. S) | EUR | 500,000 | 583,859 |
0.75% 1/25/23 (Reg. S) | EUR | 100,000 | 115,345 |
EDF SA 2% 12/9/49 (Reg. S) | EUR | 200,000 | 241,296 |
La Poste 1.375% 4/21/32 (Reg. S) | EUR | 400,000 | 484,468 |
Oseo SA: | |||
0.125% 11/25/23 (Reg. S) | EUR | 100,000 | 115,082 |
0.125% 3/25/25 (Reg. S) | EUR | 200,000 | 230,544 |
0.25% 3/29/30 (Reg. S) | EUR | 100,000 | 114,296 |
0.625% 5/25/26 (Reg. S) | EUR | 200,000 | 235,576 |
RCI Banque SA: | |||
0.75% 4/10/23 (Reg. S) | EUR | 41,000 | 46,983 |
1.625% 5/26/26 (Reg. S) | EUR | 37,000 | 43,687 |
RTE EdF Transport SA 0% 9/9/27 (Reg. S) | EUR | 100,000 | 111,693 |
Societe du Grand Paris EPIC: | |||
0% 11/25/30 (Reg. S) | EUR | 200,000 | 221,556 |
1.7% 5/25/50 (Reg. S) | EUR | 500,000 | 658,681 |
Societe Generale SFH 0.25% 9/11/23 (Reg. S) | EUR | 100,000 | 115,075 |
Societe Nationale des Chemins de Fer Francais 0.625% 4/17/30 (Reg. S) | EUR | 300,000 | 350,150 |
UNEDIC: | |||
0% 11/25/28 (Reg. S) | EUR | 200,000 | 227,336 |
0.25% 11/25/29 (Reg. S) | EUR | 600,000 | 689,570 |
0.25% 7/16/35 (Reg. S) | EUR | 400,000 | 437,656 |
0.875% 5/25/28 (Reg. S) | EUR | 400,000 | 480,780 |
1.25% 10/21/27 (Reg. S) | EUR | 100,000 | 122,795 |
1.5% 4/20/32 (Reg. S) | EUR | 100,000 | 127,221 |
TOTAL FRANCE | 11,634,218 | ||
Germany - 3.0% | |||
Bayer AG 1.375% 7/6/32 (Reg. S) | EUR | 300,000 | 349,264 |
Bremen Freie Hansestadt 0.4% 8/20/49 (Reg. S) | EUR | 29,000 | 31,390 |
Commerzbank AG: | |||
0.01% 3/11/30 | EUR | 53,000 | 59,481 |
0.5% 12/4/26 (Reg. S) | EUR | 58,000 | 66,593 |
1.25% 1/9/34 | EUR | 58,000 | 72,631 |
Daimler AG: | |||
0.375% 11/8/26 (Reg. S) | EUR | 23,000 | 26,469 |
1.125% 8/8/34 (Reg. S) | EUR | 27,000 | 31,808 |
1.5% 7/3/29 (Reg. S) | EUR | 44,000 | 54,298 |
Deutsche Bahn Finance BV 1.375% 7/7/25 (Reg. S) | GBP | 28,000 | 38,131 |
Deutsche Bank AG: | |||
1.625% 1/20/27 (Reg. S) | EUR | 300,000 | 355,536 |
2.625% 12/16/24 (Reg. S) | GBP | 200,000 | 276,117 |
Deutsche Borse AG 0.125% 2/22/31 (Reg. S) | EUR | 100,000 | 111,175 |
Deutsche Telekom AG 3.125% 2/6/34 (Reg. S) | GBP | 60,000 | 90,579 |
E.ON AG 0.25% 10/24/26 (Reg. S) | EUR | 69,000 | 78,745 |
KfW: | |||
0% 6/30/23 (Reg. S) | EUR | 173,000 | 198,732 |
0% 9/30/26 (Reg. S) | EUR | 273,000 | 314,254 |
0% 9/15/28 (Reg. S) | EUR | 442,000 | 506,373 |
0.01% 5/5/27 (Reg. S) | EUR | 38,000 | 43,672 |
0.05% 9/29/34 (Reg. S) | EUR | 934,000 | 1,028,204 |
0.125% 6/7/23 | EUR | 1,609,000 | 1,850,509 |
0.625% 2/22/27 | EUR | 283,000 | 335,619 |
0.875% 9/15/26 (Reg. S) | GBP | 43,000 | 57,736 |
1.25% 8/28/23 | NOK | 380,000 | 43,058 |
1.25% 12/29/23 (Reg. S) | GBP | 2,616,000 | 3,565,142 |
1.375% 12/9/24 (Reg. S) | GBP | 151,000 | 206,251 |
1.375% 2/2/28 | SEK | 310,000 | 35,425 |
1.5% 7/24/24 | AUD | 82,000 | 60,187 |
2.9% 6/6/22 | AUD | 364,000 | 267,853 |
3.2% 9/11/26 | AUD | 118,000 | 91,547 |
Land Niedersachsen 1.125% 9/12/33 (Reg. S) | EUR | 70,000 | 86,749 |
Land Nordrhein-Westfalen: | |||
0% 4/2/24 (Reg. S) | EUR | 2,385,000 | 2,736,062 |
0.2% 3/31/27 (Reg. S) | EUR | 1,513,000 | 1,745,374 |
0.2% 4/9/30 | EUR | 725,000 | 830,842 |
0.5% 11/25/39 (Reg. S) | EUR | 72,000 | 81,054 |
0.625% 7/21/31 (Reg. S) | EUR | 24,000 | 28,393 |
0.8% 7/30/49 (Reg. S) | EUR | 104,000 | 124,269 |
1.55% 6/16/48 (Reg. S) | EUR | 178,000 | 250,422 |
1.65% 2/22/38 (Reg. S) | EUR | 607,000 | 808,877 |
Landwirtschaftliche Rentenbank: | |||
0.05% 12/18/29 (Reg. S) | EUR | 42,000 | 47,739 |
0.875% 12/15/26 (Reg. S) | GBP | 19,000 | 25,400 |
2.6% 3/23/27 (Reg. S) | AUD | 60,000 | 45,276 |
NRW.BANK 1% 6/15/22 (Reg. S) | GBP | 300,000 | 407,243 |
UniCredit Bank AG: | |||
0.25% 1/15/32 (Reg. S) | EUR | 39,000 | 44,226 |
0.85% 5/22/34 (Reg. S) | EUR | 102,000 | 122,320 |
Volkswagen Financial Services AG: | |||
1.5% 10/1/24 (Reg. S) | EUR | 36,000 | 42,474 |
2.5% 4/6/23 | EUR | 35,000 | 41,152 |
3.375% 4/6/28 (Reg. S) | EUR | 32,000 | 42,307 |
TOTAL GERMANY | 17,756,958 | ||
Ireland - 0.3% | |||
Johnson Controls International PLC 1.375% 2/25/25 | EUR | 1,296,000 | 1,523,128 |
Italy - 0.2% | |||
Assicurazioni Generali SpA 5.5% 10/27/47 (Reg. S) (b) | EUR | 100,000 | 138,129 |
Intesa Sanpaolo SpA: | |||
0.875% 6/27/22 (Reg. S) | EUR | 100,000 | 114,532 |
2.125% 5/26/25 (Reg. S) | EUR | 323,000 | 389,226 |
Snam Rete Gas SpA 0% 5/12/24 (Reg. S) | EUR | 110,000 | 125,249 |
UniCredit SpA 2.2% 7/22/27 (Reg. S) (b) | EUR | 490,000 | 587,888 |
TOTAL ITALY | 1,355,024 | ||
Japan - 0.0% | |||
Takeda Pharmaceutical Co. Ltd. 2% 7/9/40 | EUR | 157,000 | 192,751 |
Luxembourg - 1.2% | |||
Becton Dickinson Euro Finance SARL 1.208% 6/4/26 | EUR | 1,553,000 | 1,828,046 |
CK Hutchison Group Telecom Finance SA 0.375% 10/17/23 (Reg. S) | EUR | 887,000 | 1,015,131 |
DH Europe Finance II SARL: | |||
0.2% 3/18/26 | EUR | 2,044,000 | 2,323,729 |
0.75% 9/18/31 | EUR | 456,000 | 516,321 |
1.35% 9/18/39 | EUR | 192,000 | 217,615 |
Medtronic Global Holdings SCA: | |||
0.25% 7/2/25 | EUR | 100,000 | 114,575 |
1.75% 7/2/49 (Reg. S) | EUR | 925,000 | 1,077,779 |
Nestle Finance International Ltd. 1.25% 11/2/29 (Reg. S) | EUR | 30,000 | 36,525 |
Whirlpool EMEA Finance SARL 0.5% 2/20/28 | EUR | 170,000 | 191,727 |
TOTAL LUXEMBOURG | 7,321,448 | ||
Mexico - 0.1% | |||
America Movil S.A.B. de CV: | |||
0.75% 6/26/27 | EUR | 100,000 | 115,051 |
1.5% 3/10/24 | EUR | 100,000 | 117,180 |
2.125% 3/10/28 | EUR | 200,000 | 248,165 |
Petroleos Mexicanos 4.75% 2/26/29 (Reg. S) | EUR | 100,000 | 112,199 |
TOTAL MEXICO | 592,595 | ||
Multi-National - 0.0% | |||
EUROFIMA 0.15% 10/10/34 (Reg. S) | EUR | 191,000 | 207,018 |
Netherlands - 1.4% | |||
ABN AMRO Bank NV: | |||
0.375% 1/14/35 (Reg. S) | EUR | 200,000 | 225,204 |
1.375% 1/12/37 (Reg. S) | EUR | 400,000 | 511,016 |
Airbus Group NV 2.375% 6/9/40 (Reg. S) | EUR | 166,000 | 210,899 |
Bank Nederlandse Gemeenten NV: | |||
0.75% 1/24/29 (Reg. S) | EUR | 1,784,000 | 2,127,366 |
1% 6/17/22 (Reg. S) | GBP | 262,000 | 355,659 |
2.25% 8/30/22 | EUR | 140,000 | 162,347 |
3.3% 7/17/28 (Reg. S) | AUD | 97,000 | 75,724 |
BAT Netherlands Finance BV 3.125% 4/7/28 (Reg. S) | EUR | 100,000 | 126,510 |
BMV Finance NV: | |||
0.125% 7/13/22 (Reg. S) | EUR | 457,000 | 521,829 |
0.625% 10/6/23 (Reg. S) | EUR | 32,000 | 36,962 |
1.5% 2/6/29 (Reg. S) | EUR | 86,000 | 106,557 |
Daimler International Finance BV: | |||
1.375% 6/26/26 (Reg. S) | EUR | 44,000 | 53,040 |
2.625% 4/7/25 (Reg. S) | EUR | 472,000 | 583,481 |
E.ON International Finance BV 1.5% 7/31/29 (Reg. S) | EUR | 34,000 | 41,603 |
ENEL Finance International NV 0.375% 6/17/27 (Reg. S) | EUR | 100,000 | 113,324 |
ING Groep NV: | |||
2.125% 5/26/31 (Reg. S) (b) | EUR | 400,000 | 476,494 |
3% 2/18/26 (Reg. S) | GBP | 100,000 | 142,433 |
JAB Holdings BV 2.5% 6/25/29 | EUR | 100,000 | 125,781 |
Nationale-Nederlanden Bank NV 1% 9/25/28 (Reg. S) | EUR | 700,000 | 841,941 |
Nederlandse Waterschapsbank NV: | |||
0.75% 10/4/41 (Reg. S) | EUR | 623,000 | 725,477 |
3.3% 5/2/29 (Reg. S) | AUD | 40,000 | 31,234 |
Rabobank Nederland 1.25% 3/23/26 (Reg. S) | EUR | 79,000 | 94,277 |
Schlumberger Finance BV 2% 5/6/32 (Reg. S) | EUR | 230,000 | 289,658 |
Siemens Financieringsmaatschappij NV: | |||
0.125% 9/5/29 (Reg. S) | EUR | 24,000 | 27,174 |
1.75% 2/28/39 (Reg. S) | EUR | 23,000 | 30,112 |
Volkswagen Financial Services AG 2.25% 4/12/25 (Reg. S) | GBP | 26,000 | 35,673 |
Volkswagen International Finance NV: | |||
1.125% 10/2/23 (Reg. S) | EUR | 100,000 | 116,130 |
1.625% 1/16/30 (Reg. S) | EUR | 45,000 | 54,880 |
4.125% 11/16/38 (Reg. S) | EUR | 200,000 | 315,339 |
TOTAL NETHERLANDS | 8,558,124 | ||
Norway - 0.5% | |||
DNB Naeringskreditt A/S 0.375% 11/14/23 (Reg. S) | EUR | 850,000 | 980,524 |
Equinor ASA 1.375% 5/22/32 (Reg. S) | EUR | 241,000 | 291,242 |
Kommunalbanken A/S 1.5% 12/15/23 (Reg. S) | GBP | 100,000 | 136,796 |
Sparebank 1 Boligkreditt A/S 0.01% 9/22/27 (Reg. S) | EUR | 838,000 | 951,357 |
Telenor ASA: | |||
0% 9/25/23 (Reg. S) | EUR | 253,000 | 288,919 |
0.75% 5/31/26 (Reg. S) | EUR | 100,000 | 116,316 |
1.125% 5/31/29 (Reg. S) | EUR | 157,000 | 186,498 |
TOTAL NORWAY | 2,951,652 | ||
Spain - 0.4% | |||
Abertis Infraestructuras SA 2.375% 9/27/27 (Reg. S) | EUR | 400,000 | 494,907 |
Banco Bilbao Vizcaya Argentaria SA 2.575% 2/22/29 (Reg. S) (b) | EUR | 100,000 | 118,242 |
Banco Santander SA: | |||
1.375% 1/5/26 (Reg. S) | EUR | 100,000 | 118,188 |
3.125% 1/19/27 (Reg. S) | EUR | 100,000 | 125,967 |
CaixaBank SA 2.375% 2/1/24 (Reg. S) | EUR | 800,000 | 953,087 |
Comunidad de Madrid 1.571% 4/30/29 (Reg. S) | EUR | 316,000 | 391,615 |
TOTAL SPAIN | 2,202,006 | ||
Sweden - 1.2% | |||
Kommuninvest I Sverige AB: | |||
0.75% 2/22/23 (Reg. S) | SEK | 990,000 | 110,538 |
1% 10/2/24 (Reg. S) | SEK | 8,080,000 | 909,585 |
1% 5/12/25 (Reg. S) | SEK | 9,970,000 | 1,125,804 |
1% 11/12/26 (Reg. S) | SEK | 6,710,000 | 754,261 |
Lansforsakringar Hypotek AB: | |||
1.25% 9/17/25 | SEK | 400,000 | 45,472 |
1.5% 9/16/26 (Reg. S) | SEK | 5,600,000 | 642,400 |
Nordea Hypotek AB 1% 9/17/25 | SEK | 1,700,000 | 191,536 |
Skandinaviska Enskilda Banken AB 0.75% 11/15/27 (Reg. S) | EUR | 100,000 | 118,419 |
Stadshypotek AB: | |||
1.5% 6/1/23 (Reg. S) | SEK | 5,000,000 | 565,273 |
1.5% 3/1/24 (Reg. S) | SEK | 1,000,000 | 113,890 |
1.5% 12/3/24 (Reg. S) | SEK | 8,000,000 | 915,207 |
Swedbank Hypotek AB: | |||
0.45% 8/23/23 (Reg. S) | EUR | 190,000 | 219,365 |
1% 9/18/24 (Reg. S) | SEK | 800,000 | 90,258 |
Swedish Covered Bond Corp. 2% 6/17/26 (Reg. S) | SEK | 11,000,000 | 1,289,704 |
TOTAL SWEDEN | 7,091,712 | ||
Switzerland - 0.3% | |||
Credit Suisse Group AG: | |||
0.65% 1/14/28 (Reg. S) (b) | EUR | 100,000 | 112,705 |
1.25% 7/17/25 (Reg. S) (b) | EUR | 100,000 | 116,309 |
3.25% 4/2/26 (Reg. S) (b) | EUR | 505,000 | 625,225 |
Pfandbrief Schweiz Hypo 0% 7/29/24 (Reg. S) | CHF | 40,000 | 44,354 |
Pfandbriefbank Schweizerischer Hypothekarinstitute AG: | |||
0.1% 12/3/31 (Reg. S) | CHF | 195,000 | 212,043 |
0.5% 11/24/28 (Reg. S) | CHF | 40,000 | 45,265 |
UBS Group AG 0.25% 1/29/26 (Reg. S) (b) | EUR | 669,000 | 762,406 |
TOTAL SWITZERLAND | 1,918,307 | ||
United Kingdom - 1.4% | |||
Amcor UK Finance PLC 1.125% 6/23/27 | EUR | 1,384,000 | 1,624,748 |
Barclays PLC: | |||
2% 2/7/28 (Reg. S) (b) | EUR | 335,000 | 388,129 |
3.25% 1/17/33 | GBP | 299,000 | 439,437 |
3.375% 4/2/25 (Reg. S) (b) | EUR | 701,000 | 855,497 |
BP Capital Markets PLC 1.637% 6/26/29 (Reg. S) | EUR | 100,000 | 121,056 |
HSBC Holdings PLC: | |||
1.5% 12/4/24 (Reg. S) (b) | EUR | 930,000 | 1,088,981 |
3% 7/22/28 (b) | GBP | 110,000 | 155,442 |
LCR Finance PLC 5.1% 3/7/51 | GBP | 93,000 | 236,380 |
Lloyds Bank PLC 0.125% 9/23/29 (Reg. S) | EUR | 100,000 | 112,759 |
Lloyds Banking Group PLC: | |||
0.5% 11/12/25 (Reg. S) (b) | EUR | 130,000 | 149,481 |
0.625% 1/15/24 (b) | EUR | 100,000 | 114,686 |
2.25% 10/16/24 | GBP | 100,000 | 137,864 |
3.5% 4/1/26 (Reg. S) (b) | EUR | 404,000 | 507,815 |
Nationwide Building Society 0.625% 3/25/27 (Reg. S) | EUR | 803,000 | 941,267 |
NatWest Group PLC: | |||
3 month EURIBOR + 1.080% 1.75% 3/2/26 (Reg. S) (b)(d) | EUR | 110,000 | 130,440 |
3.622% 8/14/30 (Reg. S) (b) | GBP | 411,000 | 578,827 |
Standard Chartered PLC 0.85% 1/27/28 (Reg. S) (b) | EUR | 107,000 | 122,842 |
Westpac Securities NZ Ltd. London Branch 0.01% 6/8/28 (Reg. S) | EUR | 768,000 | 862,748 |
TOTAL UNITED KINGDOM | 8,568,399 | ||
United States of America - 6.2% | |||
AbbVie, Inc. 1.5% 11/15/23 | EUR | 1,976,000 | 2,316,676 |
ACE INA Holdings, Inc. 1.55% 3/15/28 | EUR | 639,000 | 770,095 |
Air Products & Chemicals, Inc. 0.5% 5/5/28 | EUR | 1,223,000 | 1,405,195 |
Altria Group, Inc.: | |||
2.2% 6/15/27 | EUR | 398,000 | 481,942 |
3.125% 6/15/31 | EUR | 174,000 | 219,912 |
American Honda Finance Corp. 1.95% 10/18/24 | EUR | 1,294,000 | 1,553,274 |
Apple, Inc. 0.5% 11/15/31 | EUR | 911,000 | 1,038,756 |
AT&T, Inc.: | |||
0.25% 3/4/26 | EUR | 100,000 | 113,496 |
2.9% 12/4/26 | GBP | 2,720,000 | 3,871,762 |
Berkshire Hathaway, Inc. 2.15% 3/15/28 | EUR | 797,000 | 1,001,099 |
Citigroup, Inc. 2.75% 1/24/24 | GBP | 204,000 | 283,883 |
Comcast Corp. 1.875% 2/20/36 | GBP | 405,000 | 537,831 |
DXC Technology Co. 1.75% 1/15/26 | EUR | 914,000 | 1,078,970 |
FedEx Corp. 0.95% 5/4/33 | EUR | 371,000 | 406,658 |
Fidelity National Information Services, Inc. 1.5% 5/21/27 | EUR | 758,000 | 901,396 |
Fiserv, Inc.: | |||
0.375% 7/1/23 | EUR | 2,567,000 | 2,940,152 |
2.25% 7/1/25 | GBP | 925,000 | 1,284,063 |
Ford Motor Credit Co. LLC 2.33% 11/25/25 | EUR | 100,000 | 118,404 |
General Electric Co.: | |||
0.875% 5/17/25 | EUR | 2,219,000 | 2,582,270 |
2.125% 5/17/37 | EUR | 110,000 | 139,079 |
Goldman Sachs Group, Inc.: | |||
2% 11/1/28 (Reg. S) | EUR | 51,000 | 63,035 |
3.125% 7/25/29 (Reg. S) | GBP | 27,000 | 39,426 |
3.375% 3/27/25 (Reg. S) | EUR | 488,000 | 612,066 |
IBM Corp. 1.2% 2/11/40 | EUR | 272,000 | 312,163 |
Illinois Tool Works, Inc. 0.25% 12/5/24 | EUR | 2,734,000 | 3,132,393 |
Marsh & McLennan Companies, Inc. 1.349% 9/21/26 | EUR | 768,000 | 911,263 |
McKesson Corp. 3.125% 2/17/29 | GBP | 573,000 | 828,954 |
New York Life Global Funding 0.125% 7/23/30 (Reg. S) | CHF | 215,000 | 231,474 |
Philip Morris International, Inc.: | |||
1.45% 8/1/39 | EUR | 100,000 | 105,148 |
2% 5/9/36 | EUR | 210,000 | 243,950 |
PPG Industries, Inc. 0.875% 11/3/25 | EUR | 744,000 | 868,550 |
Procter & Gamble Co.: | |||
1.375% 5/3/25 | GBP | 221,000 | 301,730 |
1.8% 5/3/29 | GBP | 381,000 | 533,759 |
Prologis LP 2.25% 6/30/29 | GBP | 619,000 | 877,478 |
Public Storage 0.875% 1/24/32 | EUR | 245,000 | 270,692 |
Realty Income Corp. 1.75% 7/13/33 | GBP | 413,000 | 540,736 |
The Coca-Cola Co. 0.375% 3/15/33 | EUR | 906,000 | 982,015 |
The Dow Chemical Co. 1.875% 3/15/40 | EUR | 232,000 | 276,943 |
Thermo Fisher Scientific, Inc.: | |||
0.125% 3/1/25 | EUR | 100,000 | 113,967 |
1.875% 10/1/49 | EUR | 106,000 | 123,439 |
Verizon Communications, Inc.: | |||
1.375% 10/27/26 | EUR | 762,000 | 912,781 |
3.375% 10/27/36 | GBP | 486,000 | 750,414 |
VF Corp. 0.25% 2/25/28 | EUR | 606,000 | 675,629 |
Wells Fargo & Co. 2.125% 9/24/31 (Reg. S) | GBP | 110,000 | 148,030 |
TOTAL UNITED STATES OF AMERICA | 36,900,948 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $173,015,915) | 171,978,385 | ||
Government Obligations - 62.5% | |||
Australia - 1.8% | |||
Australian Commonwealth: | |||
0.25% 11/21/24 (Reg. S) | AUD | 2,993,000 | 2,136,427 |
0.25% 11/21/25 (Reg. S) | AUD | 811,000 | 568,201 |
1% 12/21/30 (Reg. S) | AUD | 1,482,000 | 1,021,124 |
1.25% 5/21/32 | AUD | 336,000 | 234,576 |
1.75% 11/21/32 (Reg. S) | AUD | 140,000 | 102,128 |
1.75% 6/21/51 (Reg. S) | AUD | 1,109,000 | 699,496 |
2.75% 11/21/28 | AUD | 729,000 | 573,141 |
2.75% 5/21/41(Reg. S) | AUD | 276,000 | 215,843 |
3% 3/21/47 | AUD | 468,000 | 380,193 |
3.25% 4/21/25 (Reg. S) | AUD | 56,000 | 43,581 |
Queensland Treasury Corp.: | |||
1.75% 8/21/31 (Reg. S) (c) | AUD | 2,111,000 | 1,504,105 |
3.25% 7/21/26 (Reg. S) (c) | AUD | 247,000 | 193,428 |
3.25% 7/21/28 (Reg. S) (c) | AUD | 154,000 | 122,379 |
3.5% 8/21/30 (Reg. S) (c) | AUD | 58,000 | 47,446 |
Treasury Corp. of Victoria: | |||
1% 11/20/23 | AUD | 2,134,000 | 1,558,691 |
1.25% 11/19/27 | AUD | 952,000 | 676,099 |
1.5% 11/20/30 | AUD | 1,347,000 | 942,433 |
TOTAL AUSTRALIA | 11,019,291 | ||
Austria - 1.4% | |||
Austrian Republic: | |||
0% 9/20/22 (Reg. S) (c) | EUR | 41,000 | 46,873 |
0% 4/20/23 (Reg. S) (c) | EUR | 156,000 | 179,023 |
0% 7/15/23 (Reg. S) (c) | EUR | 3,378,000 | 3,884,229 |
0% 7/15/24 (Reg. S) (c) | EUR | 549,000 | 634,042 |
0% 2/20/30 (Reg. S) (c) | EUR | 162,000 | 184,494 |
0% 10/20/40 (Reg. S) (c) | EUR | 170,000 | 176,791 |
0.5% 4/20/27 (Reg. S) (c) | EUR | 452,000 | 536,658 |
0.5% 2/20/29 (Reg. S) (c) | EUR | 677,000 | 803,961 |
0.75% 10/20/26 (Reg. S) (c) | EUR | 185,000 | 221,847 |
0.75% 2/20/28 (Reg. S) (c) | EUR | 65,000 | 78,414 |
0.75% 3/20/51 (Reg. S) (c) | EUR | 797,000 | 932,916 |
1.2% 10/20/25 (Reg. S) (c) | EUR | 77,000 | 93,346 |
1.5% 2/20/47 (Reg. S) (c) | EUR | 483,000 | 671,541 |
2.4% 5/23/34(Reg. S) (c) | EUR | 40,000 | 57,730 |
3.15% 6/20/44(Reg. S) (c) | EUR | 10,000 | 17,962 |
4.15% 3/15/37 (c) | EUR | 20,000 | 35,870 |
TOTAL AUSTRIA | 8,555,697 | ||
Belgium - 1.3% | |||
Belgian Kingdom: | |||
0% 10/22/31 (c) | EUR | 622,000 | 695,570 |
0.1% 6/22/30 (Reg. S) (c) | EUR | 175,000 | 200,652 |
0.2% 10/22/23 (Reg. S) (c) | EUR | 109,000 | 125,895 |
0.4% 6/22/40 (c) | EUR | 975,000 | 1,055,498 |
0.5% 10/22/24 (Reg. S) (c) | EUR | 544,000 | 638,118 |
0.8% 6/22/25 (Reg. S) (c) | EUR | 105,000 | 124,946 |
0.8% 6/22/27 (c) | EUR | 39,000 | 47,119 |
0.9% 6/22/29 (c) | EUR | 1,373,000 | 1,679,997 |
1% 6/22/26 (Reg. S) (c) | EUR | 161,000 | 194,791 |
1.25% 4/22/33 (Reg. S) (c) | EUR | 1,521,000 | 1,938,017 |
1.45% 6/22/37 (Reg. S) (c) | EUR | 84,000 | 108,753 |
1.6% 6/22/47 (c) | EUR | 208,000 | 276,277 |
1.7% 6/22/50 (c) | EUR | 23,000 | 31,292 |
1.9% 6/22/38(Reg. S) (c) | EUR | 101,000 | 139,759 |
2.25% 6/22/57 (Reg. S) (c) | EUR | 279,000 | 437,777 |
3.75% 6/22/45(Reg. S) | EUR | 20,000 | 37,315 |
4% 3/28/32 | EUR | 30,000 | 47,667 |
5.5% 3/28/28 | EUR | 40,000 | 62,230 |
Walloon Region 1.05% 6/22/40 (Reg. S) | EUR | 100,000 | 115,061 |
TOTAL BELGIUM | 7,956,734 | ||
Canada - 2.9% | |||
Alberta Province: | |||
0.5% 4/16/25 (Reg. S) | EUR | 100,000 | 116,089 |
2.05% 6/1/30 | CAD | 260,000 | 206,458 |
2.55% 12/15/22 | CAD | 160,000 | 128,624 |
3.05% 12/1/48 | CAD | 724,000 | 626,179 |
3.1% 6/1/50 | CAD | 231,000 | 202,943 |
British Columbia Province: | |||
2.3% 6/18/26 | CAD | 210,000 | 171,616 |
2.95% 6/18/50 | CAD | 700,000 | 613,689 |
Canada Housing Trust No. 1: | |||
1.75% 6/15/30 (c) | CAD | 730,000 | 575,967 |
1.8% 12/15/24 (c) | CAD | 305,000 | 244,477 |
2.35% 6/15/23 (c) | CAD | 585,000 | 471,899 |
2.55% 12/15/23 (c) | CAD | 1,800,000 | 1,463,180 |
Canadian Government: | |||
0.25% 3/1/26 | CAD | 121,000 | 91,922 |
0.5% 12/1/30 | CAD | 531,000 | 388,565 |
1% 6/1/27 | CAD | 58,000 | 45,240 |
1.25% 6/1/30 | CAD | 216,000 | 169,378 |
1.5% 9/1/24 | CAD | 288,000 | 230,234 |
1.75% 3/1/23 | CAD | 340,000 | 271,772 |
2% 6/1/28 | CAD | 50,000 | 41,269 |
2% 12/1/51 | CAD | 54,000 | 45,883 |
2.25% 3/1/24 (e) | CAD | 1,814,000 | 1,471,736 |
Manitoba Province 3.2% 3/5/50 | CAD | 256,000 | 229,266 |
New Brunswick Province 3.05% 8/14/50 | CAD | 227,000 | 197,672 |
Newfoundland Province: | |||
2.65% 10/17/50 | CAD | 167,000 | 127,159 |
3.3% 10/17/46 | CAD | 50,000 | 42,709 |
Ontario Province: | |||
0.375% 6/14/24 (Reg. S) | EUR | 100,000 | 115,456 |
0.375% 4/8/27 (Reg. S) | EUR | 283,000 | 326,730 |
1.75% 9/8/25 | CAD | 401,000 | 319,979 |
2.05% 6/2/30 | CAD | 59,000 | 47,031 |
2.3% 9/8/24 | CAD | 53,000 | 42,969 |
2.4% 6/2/26 | CAD | 49,000 | 40,115 |
2.6% 9/8/23 | CAD | 1,796,000 | 1,456,308 |
2.65% 12/2/50 | CAD | 49,000 | 40,261 |
2.7% 6/2/29 | CAD | 1,703,000 | 1,424,047 |
2.8% 6/2/48 | CAD | 1,522,000 | 1,279,168 |
2.9% 6/2/49 | CAD | 885,000 | 759,276 |
Quebec Province: | |||
1.5% 9/1/31 | CAD | 1,966,000 | 1,485,718 |
1.9% 9/1/30 | CAD | 131,000 | 103,387 |
2.3% 9/1/29 | CAD | 1,179,000 | 962,400 |
2.5% 9/1/26 | CAD | 423,000 | 348,546 |
3.1% 12/1/51 | CAD | 230,000 | 208,410 |
3.5% 12/1/45 | CAD | 130,000 | 122,642 |
Saskatchewan Province 3.1% 6/2/50 | CAD | 193,000 | 169,856 |
TOTAL CANADA | 17,426,225 | ||
Chile - 0.0% | |||
Chilean Republic: | |||
1.25% 1/29/40 | EUR | 114,000 | 126,648 |
1.875% 5/27/30 | EUR | 100,000 | 124,387 |
TOTAL CHILE | 251,035 | ||
China - 7.8% | |||
Peoples Republic of China: | |||
2.57% 5/20/23 | CNY | 8,410,000 | 1,326,136 |
2.68% 5/21/30 | CNY | 1,760,000 | 272,531 |
2.7% 11/3/26 | CNY | 20,270,000 | 3,193,663 |
2.84% 4/8/24 | CNY | 69,120,000 | 10,959,130 |
2.93% 12/10/22 | CNY | 30,290,000 | 4,796,424 |
3.02% 10/22/25 | CNY | 23,160,000 | 3,699,123 |
3.02% 5/27/31 | CNY | 2,210,000 | 352,736 |
3.25% 6/6/26 | CNY | 29,410,000 | 4,743,061 |
3.27% 11/19/30 | CNY | 51,460,000 | 8,365,669 |
3.81% 9/14/50 | CNY | 29,610,000 | 4,974,541 |
3.86% 7/22/49 | CNY | 22,330,000 | 3,789,256 |
TOTAL CHINA | 46,472,270 | ||
Colombia - 0.1% | |||
Colombian Republic: | |||
7% 6/30/32 | COP | 873,300,000 | 195,434 |
7.25% 10/18/34 | COP | 2,346,200,000 | 527,387 |
TOTAL COLOMBIA | 722,821 | ||
Croatia - 0.1% | |||
Croatia Republic: | |||
1.125% 6/19/29 (Reg. S) | EUR | 151,000 | 175,008 |
2.7% 6/15/28 | EUR | 200,000 | 255,821 |
TOTAL CROATIA | 430,829 | ||
Cyprus - 0.0% | |||
Republic of Cyprus: | |||
2.375% 9/25/28 (Reg. S) | EUR | 84,000 | 107,815 |
2.75% 6/27/24 (Reg. S) | EUR | 32,000 | 39,160 |
3.75% 7/26/23 (Reg. S) | EUR | 44,000 | 53,264 |
TOTAL CYPRUS | 200,239 | ||
Czech Republic - 0.4% | |||
Czech Republic: | |||
0.1% 4/17/22 | CZK | 7,310,000 | 330,588 |
0.45% 10/25/23 | CZK | 5,390,000 | 232,823 |
1.2% 3/13/31 | CZK | 5,250,000 | 206,479 |
1.25% 2/14/25 | CZK | 40,840,000 | 1,750,602 |
2% 10/13/33 | CZK | 2,230,000 | 93,522 |
TOTAL CZECH REPUBLIC | 2,614,014 | ||
Denmark - 0.3% | |||
Danish Kingdom: | |||
0% 11/15/31 (Reg. S) (c) | DKK | 822,000 | 125,065 |
0.25% 11/15/22 (Reg. S) (c) | DKK | 554,000 | 85,413 |
0.25% 11/15/52 (Reg. S) (c) | DKK | 2,674,000 | 399,889 |
0.5% 11/15/27 | DKK | 1,518,000 | 242,139 |
0.5% 11/15/29(Reg. S) (c) | DKK | 3,944,000 | 629,435 |
TOTAL DENMARK | 1,481,941 | ||
Finland - 0.3% | |||
Finnish Government: | |||
0% 9/15/23 (Reg. S) (c) | EUR | 209,000 | 240,272 |
0% 9/15/24 (c) | EUR | 84,000 | 97,096 |
0.125% 4/15/36 (Reg. S) (c) | EUR | 452,000 | 500,589 |
0.125% 4/15/52 (Reg. S) (c) | EUR | 184,000 | 187,905 |
0.5% 4/15/26 (Reg. S) (c) | EUR | 44,000 | 52,096 |
0.5% 9/15/28 (Reg. S) (c) | EUR | 400,000 | 476,348 |
1.125% 4/15/34 (Reg. S) (c) | EUR | 166,000 | 210,288 |
2.625% 7/4/42 (c) | EUR | 20,000 | 33,066 |
TOTAL FINLAND | 1,797,660 | ||
France - 5.2% | |||
French Government: | |||
0% 2/25/23 (Reg. S) | EUR | 455,000 | 521,989 |
0% 3/25/23 (Reg. S) | EUR | 292,000 | 335,082 |
0% 2/25/24 (Reg. S) | EUR | 2,310,000 | 2,661,210 |
0% 3/25/24(Reg. S) | EUR | 268,000 | 309,005 |
0% 3/25/25(Reg. S) | EUR | 1,463,000 | 1,691,084 |
0% 2/25/26 (Reg. S) | EUR | 2,423,000 | 2,801,051 |
0% 11/25/29 (Reg. S) | EUR | 2,377,000 | 2,708,542 |
0% 11/25/30 (Reg. S) | EUR | 839,000 | 946,369 |
0.25% 11/25/26(Reg. S) | EUR | 815,000 | 953,543 |
0.5% 5/25/25 | EUR | 182,000 | 213,970 |
0.5% 5/25/26 | EUR | 33,000 | 38,993 |
0.5% 5/25/29 (Reg. S) | EUR | 75,000 | 89,016 |
0.5% 5/25/40 (Reg. S) (c) | EUR | 2,834,000 | 3,151,977 |
0.75% 5/25/28 (Reg. S) | EUR | 32,000 | 38,604 |
0.75% 5/25/52 (Reg. S) (c) | EUR | 1,850,000 | 2,013,920 |
0.75% 5/25/53 (Reg. S) (c) | EUR | 1,018,000 | 1,094,391 |
1% 11/25/25(Reg. S) | EUR | 36,000 | 43,239 |
1% 5/25/27 | EUR | 3,126,000 | 3,806,512 |
1.25% 5/25/34(Reg. S) | EUR | 137,000 | 172,760 |
1.25% 5/25/36(Reg. S) (c) | EUR | 2,368,000 | 2,988,746 |
1.5% 5/25/31(Reg. S) | EUR | 2,633,000 | 3,382,817 |
1.5% 5/25/50 (Reg. S) (c) | EUR | 139,000 | 183,552 |
1.75% 6/25/39 (Reg. S) (c) | EUR | 567,000 | 779,605 |
1.75% 5/25/66 (c) | EUR | 33,000 | 47,105 |
2% 5/25/48 (c) | EUR | 124,000 | 181,536 |
4.75% 4/25/35 | EUR | 100,000 | 179,046 |
TOTAL FRANCE | 31,333,664 | ||
Germany - 4.0% | |||
German Federal Republic: | |||
0% 4/8/22(Reg. S) | EUR | 74,000 | 84,392 |
0% 4/14/23 (Reg. S) | EUR | 143,000 | 164,241 |
0% 10/18/24 (Reg. S) | EUR | 1,391,000 | 1,612,607 |
0% 10/10/25 (Reg. S) | EUR | 4,147,000 | 4,819,705 |
0% 8/15/26(Reg. S) | EUR | 57,000 | 66,399 |
0% 11/15/27 (Reg. S) | EUR | 3,093,000 | 3,608,997 |
0% 8/15/29(Reg. S) | EUR | 977,000 | 1,140,485 |
0% 2/15/30 (Reg. S) | EUR | 451,000 | 526,043 |
0% 8/15/30 (Reg. S) | EUR | 3,871,000 | 4,509,564 |
0% 5/15/35 (Reg. S) | EUR | 1,238,000 | 1,413,542 |
0% 8/15/50 | EUR | 941,000 | 1,025,459 |
0.25% 8/15/28 (Reg. S) | EUR | 760,000 | 902,205 |
0.25% 2/15/29 | EUR | 576,000 | 684,649 |
0.5% 2/15/26(Reg. S) | EUR | 888,000 | 1,054,163 |
0.5% 2/15/28 | EUR | 87,000 | 104,653 |
1.25% 8/15/48 (e) | EUR | 1,542,000 | 2,274,204 |
2.5% 7/4/44 | EUR | 20,000 | 35,559 |
4% 1/4/37 | EUR | 40,000 | 73,887 |
4.75% 7/4/40 | EUR | 20,000 | 43,179 |
TOTAL GERMANY | 24,143,933 | ||
Hungary - 0.3% | |||
Hungarian Republic: | |||
1% 11/26/25 | HUF | 30,380,000 | 83,210 |
1.5% 8/23/23 | HUF | 63,350,000 | 188,858 |
1.5% 4/22/26 | HUF | 43,280,000 | 118,867 |
1.625% 4/28/32 (Reg. S) | EUR | 246,000 | 291,627 |
2.5% 10/24/24 | HUF | 227,780,000 | 672,082 |
2.75% 12/22/26 | HUF | 30,520,000 | 87,430 |
3% 6/26/24 | HUF | 7,530,000 | 22,599 |
3% 8/21/30 | HUF | 64,320,000 | 177,260 |
TOTAL HUNGARY | 1,641,933 | ||
Indonesia - 0.7% | |||
Indonesian Republic: | |||
2.15% 7/18/24 (Reg. S) | EUR | 129,000 | 153,503 |
2.625% 6/14/23 | EUR | 100,000 | 117,678 |
5.5% 4/15/26 | IDR | 8,615,000,000 | 613,824 |
6.375% 4/15/42 | IDR | 900,000,000 | 56,895 |
6.5% 6/15/25 | IDR | 717,000,000 | 52,973 |
6.5% 2/15/31 | IDR | 1,409,000,000 | 99,552 |
7% 9/15/30 | IDR | 15,924,000,000 | 1,158,617 |
7.375% 5/15/48 | IDR | 11,560,000,000 | 825,280 |
7.5% 6/15/35 | IDR | 1,449,000,000 | 106,527 |
7.5% 4/15/40 | IDR | 7,008,000,000 | 511,253 |
8.125% 5/15/24 | IDR | 1,101,000,000 | 84,048 |
8.375% 4/15/39 | IDR | 1,794,000,000 | 141,796 |
TOTAL INDONESIA | 3,921,946 | ||
Ireland - 0.4% | |||
Irish Republic: | |||
0% 10/18/22 (Reg. S) | EUR | 40,000 | 45,730 |
0.2% 10/18/30 (Reg. S) | EUR | 86,000 | 98,524 |
0.4% 5/15/35 (Reg. S) | EUR | 355,000 | 398,141 |
0.9% 5/15/28 (Reg. S) | EUR | 32,000 | 38,786 |
1% 5/15/26(Reg. S) | EUR | 188,000 | 226,619 |
1.1% 5/15/29 (Reg. S) | EUR | 209,000 | 257,031 |
1.3% 5/15/33 | EUR | 570,000 | 716,046 |
1.5% 5/15/50 (Reg. S) | EUR | 310,000 | 406,052 |
3.4% 3/18/24 (Reg.S) | EUR | 28,000 | 34,681 |
TOTAL IRELAND | 2,221,610 | ||
Israel - 0.3% | |||
Israeli State: | |||
1% 3/31/30 | ILS | 1,067,000 | 342,623 |
1.5% 11/30/23 | ILS | 912,000 | 301,339 |
1.5% 1/16/29 (Reg. S) | EUR | 335,000 | 414,278 |
1.5% 5/31/37 | ILS | 1,208,000 | 372,168 |
3.75% 3/31/47 | ILS | 476,000 | 197,376 |
TOTAL ISRAEL | 1,627,784 | ||
Italy - 5.4% | |||
Italian Republic: | |||
0% 5/30/22 | EUR | 807,000 | 921,031 |
0% 1/15/24 (Reg. S) | EUR | 3,231,000 | 3,684,379 |
0.05% 1/15/23 | EUR | 652,000 | 746,192 |
0.35% 2/1/25 | EUR | 191,000 | 219,064 |
0.65% 10/15/23 (Reg. S) | EUR | 86,000 | 99,438 |
0.85% 1/15/27 (Reg. S) | EUR | 81,000 | 93,989 |
0.9% 4/1/31 | EUR | 82,000 | 91,815 |
0.95% 9/15/27 (Reg. S) | EUR | 1,361,000 | 1,581,632 |
0.95% 8/1/30 (Reg. S) | EUR | 142,000 | 161,110 |
1% 7/15/22 (Reg. S) | EUR | 335,000 | 384,606 |
1.35% 4/1/30 (Reg. S) | EUR | 1,231,000 | 1,448,068 |
1.45% 11/15/24 (Reg. S) | EUR | 245,000 | 289,927 |
1.45% 5/15/25 | EUR | 80,000 | 95,014 |
1.45% 3/1/36 (Reg. S) (c) | EUR | 886,000 | 1,009,518 |
1.6% 6/1/26 | EUR | 179,000 | 214,947 |
1.65% 3/1/32 (c) | EUR | 575,000 | 685,996 |
1.7% 9/1/51 (Reg. S) (c) | EUR | 513,000 | 547,248 |
1.75% 7/1/24(Reg. S) | EUR | 185,000 | 219,679 |
1.8% 3/1/41 (Reg. S) (c) | EUR | 715,000 | 822,094 |
2.05% 8/1/27 | EUR | 32,000 | 39,434 |
2.1% 7/15/26 | EUR | 1,186,000 | 1,455,835 |
2.2% 6/1/27 (Reg. S) | EUR | 1,612,000 | 2,001,170 |
2.25% 9/1/36 (Reg. S) (c) | EUR | 143,000 | 179,247 |
2.45% 9/1/33 (c) | EUR | 1,237,000 | 1,585,921 |
2.45% 9/1/50 (Reg. S) (c) | EUR | 77,000 | 96,421 |
2.5% 12/1/24 | EUR | 90,000 | 109,666 |
2.5% 11/15/25 | EUR | 2,793,000 | 3,456,476 |
2.7% 3/1/47 (c) | EUR | 116,000 | 153,075 |
2.95% 9/1/38 (c) | EUR | 433,000 | 590,710 |
3% 8/1/29 | EUR | 2,038,000 | 2,693,289 |
3.1% 3/1/40 (Reg. S) (c) | EUR | 1,208,000 | 1,682,464 |
3.35% 3/1/35 (c) | EUR | 1,868,000 | 2,616,471 |
3.45% 3/1/48 (c) | EUR | 261,000 | 390,400 |
3.75% 9/1/24 | EUR | 80,000 | 100,070 |
3.85% 9/1/49 (c) | EUR | 829,000 | 1,325,664 |
4.5% 3/1/26 (c) | EUR | 50,000 | 66,832 |
5% 3/1/25 (c) | EUR | 80,000 | 105,080 |
5% 8/1/34 (c) | EUR | 20,000 | 32,372 |
5% 8/1/39 (c) | EUR | 20,000 | 34,512 |
6.5% 11/1/27 | EUR | 50,000 | 76,235 |
TOTAL ITALY | 32,107,091 | ||
Japan - 13.1% | |||
Japan Government: | |||
, yield at date of purchase -0.1508% 5/1/22 | JPY | 71,650,000 | 623,286 |
0.1% 8/1/22 | JPY | 64,600,000 | 562,222 |
0.1% 9/20/22 | JPY | 31,100,000 | 270,735 |
0.1% 3/20/23 | JPY | 192,700,000 | 1,679,085 |
0.1% 6/20/23 | JPY | 15,350,000 | 133,824 |
0.1% 9/20/23 | JPY | 109,350,000 | 953,816 |
0.1% 12/20/23 | JPY | 66,450,000 | 579,951 |
0.1% 3/20/24 | JPY | 225,050,000 | 1,964,957 |
0.1% 6/20/24 | JPY | 180,200,000 | 1,573,958 |
0.1% 9/20/24 | JPY | 30,100,000 | 263,034 |
0.1% 12/20/24 | JPY | 4,300,000 | 37,594 |
0.1% 3/20/25 | JPY | 27,050,000 | 236,607 |
0.1% 9/20/25 | JPY | 15,500,000 | 135,710 |
0.1% 3/20/26 | JPY | 19,900,000 | 174,325 |
0.1% 6/20/26 | JPY | 121,400,000 | 1,063,915 |
0.1% 9/20/26 | JPY | 63,300,000 | 554,886 |
0.1% 12/20/26 | JPY | 115,900,000 | 1,016,682 |
0.1% 3/20/27 | JPY | 118,650,000 | 1,040,887 |
0.1% 6/20/27 | JPY | 32,450,000 | 284,738 |
0.1% 9/20/27 | JPY | 20,700,000 | 181,672 |
0.1% 12/20/27 | JPY | 18,800,000 | 165,080 |
0.1% 3/20/28 | JPY | 4,750,000 | 41,714 |
0.1% 6/20/28 | JPY | 30,400,000 | 267,006 |
0.1% 9/20/28 | JPY | 231,650,000 | 2,034,585 |
0.1% 12/20/28 | JPY | 69,800,000 | 613,291 |
0.1% 3/20/29 | JPY | 11,450,000 | 100,664 |
0.1% 6/20/29 | JPY | 3,900,000 | 34,283 |
0.1% 12/20/29 | JPY | 430,000,000 | 3,777,294 |
0.1% 3/20/30 | JPY | 15,400,000 | 135,212 |
0.1% 6/20/30 | JPY | 372,350,000 | 3,267,474 |
0.1% 9/20/30 | JPY | 210,300,000 | 1,843,375 |
0.1% 6/20/31 | JPY | 12,700,000 | 110,875 |
0.2% 6/20/36 | JPY | 339,550,000 | 2,917,833 |
0.3% 12/20/24 | JPY | 7,650,000 | 67,278 |
0.3% 12/20/25 | JPY | 1,213,000,000 | 10,707,153 |
0.3% 6/20/39 | JPY | 144,150,000 | 1,231,108 |
0.3% 9/20/39 | JPY | 56,150,000 | 478,644 |
0.3% 12/20/39 | JPY | 61,650,000 | 524,515 |
0.3% 6/20/46 | JPY | 128,650,000 | 1,048,425 |
0.4% 6/20/25 | JPY | 12,550,000 | 110,964 |
0.4% 9/20/25 | JPY | 44,650,000 | 395,267 |
0.4% 3/20/36 | JPY | 192,500,000 | 1,702,562 |
0.4% 3/20/40 | JPY | 51,800,000 | 447,818 |
0.4% 6/20/40 | JPY | 10,450,000 | 90,181 |
0.4% 9/20/40 | JPY | 89,750,000 | 773,108 |
0.4% 6/20/49 | JPY | 18,750,000 | 152,337 |
0.4% 9/20/49 | JPY | 5,450,000 | 44,204 |
0.4% 3/20/50 | JPY | 35,400,000 | 286,477 |
0.4% 3/20/56 | JPY | 497,100,000 | 3,917,293 |
0.5% 9/20/36 | JPY | 177,000,000 | 1,584,799 |
0.5% 12/20/38 | JPY | 15,550,000 | 137,703 |
0.5% 9/20/46 | JPY | 15,100,000 | 128,780 |
0.5% 3/20/49 | JPY | 10,450,000 | 87,334 |
0.5% 3/20/59 | JPY | 6,350,000 | 51,294 |
0.6% 12/20/36 | JPY | 12,050,000 | 109,288 |
0.6% 6/20/37 | JPY | 3,900,000 | 35,314 |
0.6% 12/20/37 | JPY | 6,700,000 | 60,557 |
0.6% 6/20/50 | JPY | 15,150,000 | 128,950 |
0.7% 9/20/38 | JPY | 1,033,250,000 | 9,453,568 |
0.7% 6/20/48 | JPY | 13,100,000 | 115,877 |
0.7% 12/20/48 | JPY | 10,800,000 | 95,120 |
0.8% 9/20/22 | JPY | 30,850,000 | 269,897 |
0.8% 9/20/47 | JPY | 10,200,000 | 92,666 |
0.9% 9/20/48 | JPY | 249,150,000 | 2,303,408 |
0.9% 3/20/57 | JPY | 122,600,000 | 1,128,276 |
1% 12/20/35 | JPY | 735,450,000 | 7,039,618 |
1.2% 3/20/35 | JPY | 19,650,000 | 192,265 |
1.4% 12/20/45 | JPY | 368,200,000 | 3,798,737 |
1.4% 3/20/55 | JPY | 5,500,000 | 57,562 |
1.6% 6/20/30 | JPY | 4,600,000 | 45,434 |
1.6% 3/20/33 | JPY | 4,300,000 | 43,395 |
1.6% 12/20/33 | JPY | 33,050,000 | 335,407 |
1.7% 12/20/22 | JPY | 28,850,000 | 255,128 |
TOTAL JAPAN | 78,168,281 | ||
Korea (South) - 2.1% | |||
Korean Republic: | |||
0.75% 3/10/23 | KRW | 1,632,970,000 | 1,362,213 |
1.125% 9/10/25 | KRW | 359,480,000 | 293,668 |
1.125% 9/10/39 | KRW | 321,370,000 | 222,440 |
1.25% 12/10/22 | KRW | 164,870,000 | 138,519 |
1.25% 3/10/26 | KRW | 629,860,000 | 514,241 |
1.375% 9/10/24 | KRW | 836,330,000 | 695,231 |
1.375% 12/10/29 | KRW | 41,420,000 | 32,634 |
1.375% 6/10/30 | KRW | 368,030,000 | 288,444 |
1.5% 12/10/26 | KRW | 32,000,000 | 26,214 |
1.5% 12/10/30 | KRW | 878,330,000 | 692,977 |
1.5% 9/10/40 | KRW | 1,830,630,000 | 1,341,022 |
1.625% 6/10/22 | KRW | 703,200,000 | 592,537 |
1.875% 3/10/22 | KRW | 28,940,000 | 24,382 |
1.875% 3/10/51 | KRW | 1,934,330,000 | 1,472,027 |
2% 9/10/22 | KRW | 672,950,000 | 568,756 |
2% 6/10/31 | KRW | 1,103,570,000 | 906,588 |
2% 3/10/49 | KRW | 381,850,000 | 299,712 |
2.125% 3/10/47 | KRW | 29,200,000 | 23,556 |
2.25% 9/10/23 | KRW | 448,940,000 | 381,460 |
2.375% 12/10/27 | KRW | 50,660,000 | 43,103 |
2.375% 12/10/28 | KRW | 514,930,000 | 437,818 |
2.375% 9/10/38 | KRW | 415,730,000 | 350,766 |
2.625% 6/10/28 | KRW | 940,310,000 | 811,013 |
2.625% 3/10/48 | KRW | 622,670,000 | 553,137 |
3% 3/10/23 | KRW | 160,920,000 | 137,794 |
3.375% 9/10/23 | KRW | 41,520,000 | 35,928 |
TOTAL KOREA (SOUTH) | 12,246,180 | ||
Latvia - 0.0% | |||
Latvian Republic 1.375% 9/23/25 (Reg. S) | EUR | 100,000 | 119,408 |
Lithuania - 0.0% | |||
Lithuanian Republic: | |||
0.5% 6/19/29 (Reg. S) | EUR | 32,000 | 37,122 |
2.125% 10/22/35 (Reg. S) | EUR | 57,000 | 78,256 |
TOTAL LITHUANIA | 115,378 | ||
Luxembourg - 0.0% | |||
Grand Duchy of Luxembourg 0% 4/28/25 (Reg. S) | EUR | 35,000 | 40,191 |
Malaysia - 0.6% | |||
Malaysian Government: | |||
3.478% 6/14/24 | MYR | 170,000 | 41,482 |
3.729% 3/31/22 | MYR | 1,277,000 | 307,801 |
3.757% 5/22/40 | MYR | 1,891,000 | 433,430 |
3.899% 11/16/27 | MYR | 3,032,000 | 750,802 |
3.9% 11/30/26 | MYR | 2,999,000 | 743,242 |
3.906% 7/15/26 | MYR | 171,000 | 42,352 |
4.059% 9/30/24 | MYR | 219,000 | 54,172 |
4.065% 6/15/50 | MYR | 833,000 | 195,256 |
4.119% 11/30/34 | MYR | 831,000 | 201,878 |
4.128% 8/15/25 | MYR | 405,000 | 100,557 |
4.724% 6/15/33 | MYR | 2,083,000 | 538,603 |
4.736% 3/15/46 | MYR | 90,000 | 23,015 |
4.921% 7/6/48 | MYR | 50,000 | 13,143 |
4.935% 9/30/43 | MYR | 150,000 | 39,444 |
TOTAL MALAYSIA | 3,485,177 | ||
Mexico - 0.6% | |||
United Mexican States: | |||
1.125% 1/17/30 | EUR | 100,000 | 110,527 |
2.875% 4/8/39 | EUR | 185,000 | 212,307 |
5.75% 3/5/26 | MXN | 26,769,000 | 1,232,194 |
6.75% 3/9/23 | MXN | 5,589,000 | 273,345 |
8% 9/5/24 | MXN | 17,600,000 | 874,471 |
8% 11/7/47 | MXN | 13,363,000 | 646,618 |
TOTAL MEXICO | 3,349,462 | ||
Netherlands - 1.3% | |||
Dutch Government: | |||
0% 1/15/24(Reg. S) (c) | EUR | 2,984,000 | 3,439,580 |
0% 1/15/27 (Reg. S) (c) | EUR | 35,000 | 40,598 |
0% 7/15/30 (Reg. S) (c) | EUR | 168,000 | 193,177 |
0% 1/15/52 (Reg. S) (c) | EUR | 625,000 | 649,839 |
0.25% 7/15/25 (c) | EUR | 91,000 | 106,328 |
0.25% 7/15/29(Reg. S) (c) | EUR | 836,000 | 984,090 |
0.5% 7/15/26(Reg. S) (c) | EUR | 714,000 | 848,255 |
0.5% 1/15/40 (Reg. S) (c) | EUR | 1,134,000 | 1,374,592 |
0.75% 7/15/27 (Reg. S) (c) | EUR | 106,000 | 128,248 |
2.5% 1/15/33 (c) | EUR | 80,000 | 116,112 |
4% 1/15/37 (c) | EUR | 30,000 | 54,067 |
TOTAL NETHERLANDS | 7,934,886 | ||
New Zealand - 0.3% | |||
New Zealand Government: | |||
0.5% 5/15/24 | NZD | 318,000 | 210,513 |
1.5% 5/15/31 | NZD | 962,000 | 614,077 |
1.75% 5/15/41 | NZD | 152,000 | 87,828 |
2.75% 4/15/25 | NZD | 485,000 | 338,730 |
2.75% 4/15/37 (Reg. S) | NZD | 410,000 | 285,285 |
TOTAL NEW ZEALAND | 1,536,433 | ||
Norway - 0.1% | |||
Kingdom of Norway: | |||
1.25% 9/17/31 (Reg. S) (c) | NOK | 1,465,000 | 159,666 |
1.375% 8/19/30 (Reg. S) (c) | NOK | 2,708,000 | 299,586 |
1.5% 2/19/26 (Reg. S) (c) | NOK | 1,153,000 | 130,376 |
1.75% 2/17/27 (Reg. S) (c) | NOK | 884,000 | 100,840 |
TOTAL NORWAY | 690,468 | ||
Peru - 0.1% | |||
Peruvian Republic: | |||
5.4% 8/12/34(Reg. S) | PEN | 550,000 | 125,634 |
5.94% 2/12/29 | PEN | 956,000 | 245,172 |
6.15% 8/12/32 | PEN | 684,000 | 172,182 |
TOTAL PERU | 542,988 | ||
Poland - 0.6% | |||
Polish Government: | |||
0% 2/10/25 (Reg. S) | EUR | 41,000 | 46,613 |
0.75% 4/25/25 | PLN | 830,000 | 187,273 |
1% 3/7/29 (Reg. S) | EUR | 309,000 | 372,025 |
1.25% 10/25/30 | PLN | 396,000 | 80,862 |
2% 3/8/49 (Reg. S) | EUR | 17,000 | 23,126 |
2.5% 1/25/23 | PLN | 2,241,000 | 551,208 |
2.5% 4/25/24 | PLN | 6,238,000 | 1,512,841 |
2.5% 7/25/27 | PLN | 2,445,000 | 563,251 |
4% 10/25/23 | PLN | 97,000 | 24,339 |
4% 4/25/47 | PLN | 96,000 | 23,424 |
TOTAL POLAND | 3,384,962 | ||
Portugal - 0.5% | |||
Portugal Obrigacoes Do Tesouro: | |||
0.475% 10/18/30 (Reg. S) (c) | EUR | 728,000 | 841,772 |
0.9% 10/12/35 (Reg. S) (c) | EUR | 254,000 | 294,292 |
1.95% 6/15/29 (Reg. S) (c) | EUR | 458,000 | 590,474 |
2.875% 10/15/25 (Reg. S) (c) | EUR | 22,000 | 28,118 |
2.875% 7/21/26(Reg. S) (c) | EUR | 333,000 | 433,262 |
4.125% 4/14/27 (Reg. S) (c) | EUR | 524,000 | 731,436 |
Portuguese Republic 2.25% 4/18/34 (c) | EUR | 260,000 | 351,721 |
TOTAL PORTUGAL | 3,271,075 | ||
Romania - 0.0% | |||
Romanian Republic: | |||
2.875% 5/26/28 (Reg. S) | EUR | 32,000 | 39,164 |
4.125% 3/11/39 | EUR | 35,000 | 42,430 |
TOTAL ROMANIA | 81,594 | ||
Russia - 0.6% | |||
Ministry of Finance of the Russian Federation: | |||
6.5% 2/28/24 | RUB | 52,875,000 | 678,282 |
7.05% 1/19/28 | RUB | 3,503,000 | 43,752 |
7.25% 5/10/34 | RUB | 7,600,000 | 93,302 |
7.4% 7/17/24 | RUB | 189,444,000 | 2,469,852 |
7.6% 7/20/22 | RUB | 4,237,000 | 56,337 |
7.65% 4/10/30 | RUB | 29,590,000 | 379,136 |
7.7% 3/23/33 | RUB | 2,462,000 | 31,438 |
TOTAL RUSSIA | 3,752,099 | ||
Saudi Arabia - 0.0% | |||
Kingdom of Saudi Arabia 2% 7/9/39 (Reg. S) | EUR | 163,000 | 195,260 |
Singapore - 0.4% | |||
Republic of Singapore: | |||
1.75% 2/1/23 | SGD | 1,010,000 | 758,687 |
2% 2/1/24 | SGD | 147,000 | 111,548 |
2.125% 6/1/26 | SGD | 271,000 | 208,227 |
2.25% 8/1/36 | SGD | 768,000 | 592,237 |
2.375% 7/1/39 | SGD | 191,000 | 148,972 |
2.625% 5/1/28 | SGD | 1,016,000 | 803,775 |
2.75% 3/1/46 | SGD | 20,000 | 16,526 |
TOTAL SINGAPORE | 2,639,972 | ||
Slovakia - 0.2% | |||
Slovakia Republic: | |||
0% 11/13/23 | EUR | 50,000 | 57,651 |
0.25% 5/14/25 (Reg. S) | EUR | 84,000 | 97,634 |
1% 10/9/30 (Reg. S) | EUR | 110,000 | 135,210 |
1.625% 1/21/31 (Reg. S) | EUR | 348,000 | 456,128 |
1.875% 3/9/37 (Reg. S) | EUR | 185,000 | 247,995 |
3% 2/28/23 (Reg. S) | EUR | 52,000 | 61,905 |
TOTAL SLOVAKIA | 1,056,523 | ||
Slovenia - 0.1% | |||
Republic of Slovenia: | |||
1.1875% 3/14/29 (Reg. S) | EUR | 110,000 | 134,187 |
1.25% 3/22/27 (Reg. S) | EUR | 84,000 | 102,744 |
1.75% 11/3/40 (Reg. S) | EUR | 89,000 | 117,097 |
2.125% 7/28/25 (Reg. S) | EUR | 64,000 | 79,507 |
2.25% 3/3/32 (Reg. S) | EUR | 230,000 | 310,652 |
TOTAL SLOVENIA | 744,187 | ||
Spain - 3.5% | |||
Spanish Kingdom: | |||
0% 4/30/23 | EUR | 32,000 | 36,719 |
0% 1/31/26 | EUR | 2,888,000 | 3,308,055 |
0.25% 7/30/24(Reg. S) (c) | EUR | 1,340,000 | 1,553,539 |
0.35% 7/30/23 | EUR | 179,000 | 206,761 |
0.45% 10/31/22 | EUR | 23,000 | 26,421 |
0.5% 4/30/30 (Reg. S) (c) | EUR | 143,000 | 164,784 |
0.6% 10/31/29 (Reg. S) (c) | EUR | 32,000 | 37,354 |
0.8% 7/30/27 (Reg. S) (c) | EUR | 85,000 | 100,891 |
0.85% 7/30/37 (Reg. S) (c) | EUR | 1,258,000 | 1,396,427 |
1% 10/31/50 (Reg. S) (c) | EUR | 1,011,000 | 1,044,761 |
1.2% 10/31/40 (Reg. S) (c) | EUR | 1,917,000 | 2,204,330 |
1.25% 10/31/30 (Reg. S) (c) | EUR | 1,376,000 | 1,678,563 |
1.3% 10/31/26 (c) | EUR | 150,000 | 182,610 |
1.4% 4/30/28 (Reg. S) (c) | EUR | 100,000 | 123,139 |
1.45% 10/31/27 (c) | EUR | 100,000 | 123,157 |
1.45% 4/30/29 (Reg. S) (c) | EUR | 2,826,000 | 3,502,527 |
1.5% 4/30/27 (Reg. S) (c) | EUR | 157,000 | 193,617 |
1.6% 4/30/25 (c) | EUR | 243,000 | 294,667 |
1.85% 7/30/35 (Reg. S) (c) | EUR | 480,000 | 616,495 |
1.95% 4/30/26 (Reg. S) (c) | EUR | 2,712,000 | 3,367,628 |
1.95% 7/30/30 (Reg. S) (c) | EUR | 26,000 | 33,523 |
2.15% 10/31/25 (Reg. S) (c) | EUR | 44,000 | 54,723 |
2.35% 7/30/33 (Reg. S) (c) | EUR | 164,000 | 221,595 |
2.7% 10/31/48 (c) | EUR | 189,000 | 282,492 |
5.15% 10/31/28 (c) | EUR | 80,000 | 122,127 |
TOTAL SPAIN | 20,876,905 | ||
Sweden - 0.9% | |||
Sweden Kingdom: | |||
0.125% 4/24/23 (Reg. S) | EUR | 4,900,000 | 5,625,511 |
0.75% 11/12/29 (c) | SEK | 265,000 | 30,668 |
TOTAL SWEDEN | 5,656,179 | ||
Switzerland - 0.9% | |||
Switzerland Confederation: | |||
0% 6/22/29 (Reg. S) | CHF | 4,219,000 | 4,714,890 |
0% 6/26/34 (Reg. S) | CHF | 24,000 | 26,496 |
0% 7/24/39 (Reg. S) | CHF | 383,000 | 418,949 |
1.25% 5/28/26 | CHF | 35,000 | 41,251 |
3.5% 4/8/33 | CHF | 45,000 | 69,367 |
TOTAL SWITZERLAND | 5,270,953 | ||
Thailand - 0.8% | |||
Kingdom of Thailand: | |||
1.45% 12/17/24 | THB | 5,595,000 | 170,475 |
1.6% 12/17/29 | THB | 4,153,000 | 122,787 |
1.6% 6/17/35 | THB | 9,848,000 | 271,068 |
2.125% 12/17/26 | THB | 60,807,000 | 1,893,764 |
2.4% 12/17/23 | THB | 34,533,000 | 1,068,730 |
2.875% 6/17/46 | THB | 9,832,000 | 293,054 |
3.3% 6/17/38 | THB | 13,193,000 | 432,743 |
3.4% 6/17/36 | THB | 3,260,000 | 108,315 |
3.65% 6/20/31 | THB | 2,464,000 | 84,922 |
3.775% 6/25/32 | THB | 1,580,000 | 55,220 |
3.85% 12/12/25 | THB | 1,091,000 | 36,176 |
TOTAL THAILAND | 4,537,254 | ||
United Kingdom - 3.1% | |||
United Kingdom, Great Britain and Northern Ireland: | |||
0.125% 1/31/23 (Reg. S) | GBP | 501,000 | 675,201 |
0.25% 7/31/31 (Reg. S) | GBP | 1,137,000 | 1,437,826 |
0.375% 10/22/30 (Reg. S) | GBP | 371,000 | 479,317 |
0.625% 6/7/25 | GBP | 34,000 | 45,939 |
0.625% 7/31/35 (Reg. S) | GBP | 2,162,000 | 2,735,728 |
0.625% 10/22/50 (Reg. S) | GBP | 2,045,000 | 2,432,231 |
0.875% 1/31/46 (Reg. S) | GBP | 1,057,000 | 1,333,664 |
1% 4/22/24(Reg. S) | GBP | 144,000 | 196,512 |
1.25% 7/22/27 | GBP | 42,000 | 58,356 |
1.25% 10/22/41 (Reg. S) | GBP | 2,468,076 | 3,372,047 |
1.5% 7/22/47 | GBP | 195,000 | 282,952 |
1.625% 10/22/28 | GBP | 509,000 | 726,945 |
1.625% 10/22/54 (Reg. S) | GBP | 694,000 | 1,073,444 |
1.75% 9/7/37 (Reg. S) | GBP | 227,000 | 332,994 |
1.75% 1/22/49(Reg. S) | GBP | 742,000 | 1,144,884 |
1.75% 7/22/57 (Reg. S) | GBP | 1,249,000 | 2,035,926 |
4.25% 9/7/39 | GBP | 13,000 | 26,327 |
4.25% 12/7/40 | GBP | 19,000 | 39,151 |
4.25% 12/7/55 | GBP | 30,000 | 77,002 |
TOTAL UNITED KINGDOM | 18,506,446 | ||
TOTAL GOVERNMENT OBLIGATIONS | |||
(Cost $381,884,367) | 374,128,978 | ||
Supranational Obligations - 3.6% | |||
African Development Bank: | |||
0.125% 10/7/26 | EUR | 41,000 | 47,070 |
0.875% 5/24/28 | EUR | 87,000 | 104,235 |
Asian Development Bank: | |||
0.2% 5/25/23 | EUR | 130,000 | 149,428 |
1.125% 12/15/25 | GBP | 32,000 | 43,386 |
1.375% 3/7/25 | GBP | 25,000 | 34,156 |
2.45% 1/17/24 | AUD | 65,000 | 48,727 |
3.3% 8/8/28 | AUD | 55,000 | 43,236 |
Council of Europe Development Bank: | |||
0% 4/9/27 (Reg. S) | EUR | 33,000 | 37,743 |
0.125% 5/25/23 | EUR | 23,000 | 26,417 |
0.375% 10/27/22 (Reg. S) | EUR | 49,000 | 56,218 |
0.625% 6/15/22 (Reg. S) | GBP | 188,000 | 254,798 |
European Financial Stability Facility: | |||
0% 11/17/22 (Reg. S) | EUR | 79,000 | 90,437 |
0% 10/13/27 (Reg. S) | EUR | 85,000 | 97,494 |
0.05% 10/17/29 (Reg. S) | EUR | 23,000 | 26,252 |
0.125% 10/17/23 (Reg. S) | EUR | 250,000 | 287,966 |
0.625% 10/16/26 (Reg. S) | EUR | 466,000 | 551,961 |
0.7% 1/20/50 (Reg. S) | EUR | 176,000 | 205,727 |
0.75% 5/3/27 (Reg. S) | EUR | 43,000 | 51,368 |
0.875% 4/10/35 (Reg. S) | EUR | 610,000 | 738,843 |
1.45% 9/5/40 (Reg. S) | EUR | 1,036,000 | 1,372,350 |
European Investment Bank: | |||
0% 6/17/27 | EUR | 215,000 | 247,000 |
0% 9/9/30 (Reg. S) | EUR | 109,000 | 123,289 |
0.05% 10/13/34 (Reg. S) | EUR | 1,538,000 | 1,684,667 |
0.125% 6/20/29 (Reg. S) | EUR | 578,000 | 664,760 |
0.375% 7/16/25 | EUR | 577,000 | 672,680 |
0.375% 4/14/26 (Reg. S) | EUR | 413,000 | 482,593 |
0.875% 12/15/23 (Reg. S) | GBP | 145,000 | 196,207 |
1% 9/21/26 (Reg. S) | GBP | 226,000 | 305,138 |
1% 4/14/32 | EUR | 736,000 | 908,304 |
1.375% 3/7/25 (Reg. S) | GBP | 504,000 | 688,449 |
1.5% 1/26/24 | NOK | 740,000 | 84,028 |
1.75% 7/30/24 (Reg. S) | CAD | 69,000 | 55,144 |
1.75% 11/12/26 (Reg. S) | SEK | 240,000 | 27,896 |
2.375% 1/18/23 (Reg. S) | CAD | 294,000 | 236,074 |
2.7% 1/12/23 | AUD | 72,000 | 53,586 |
3% 9/28/22 | EUR | 220,000 | 257,200 |
European Stability Mechanism: | |||
0% 1/17/22 (Reg. S) | EUR | 39,000 | 44,411 |
0.01% 3/4/30 | EUR | 35,000 | 39,668 |
0.75% 3/15/27 | EUR | 184,000 | 219,318 |
0.75% 9/5/28 (Reg. S) | EUR | 48,000 | 57,566 |
0.875% 7/18/42 (Reg. S) | EUR | 266,000 | 321,912 |
1.125% 5/3/32 (Reg. S) | EUR | 47,000 | 58,526 |
1.2% 5/23/33 (Reg. S) | EUR | 37,000 | 46,383 |
1.625% 11/17/36 (Reg. S) | EUR | 218,000 | 290,821 |
1.85% 12/1/55 (Reg. S) | EUR | 186,000 | 293,861 |
European Union: | |||
0% 11/4/25 (Reg. S) | EUR | 1,426,000 | 1,646,701 |
0% 10/4/30 (Reg. S) | EUR | 169,000 | 191,814 |
0% 7/4/35 (Reg. S) | EUR | 325,000 | 353,767 |
0.1% 10/4/40 (Reg. S) | EUR | 829,000 | 880,845 |
0.3% 11/4/50 (Reg. S) | EUR | 326,000 | 343,282 |
1.125% 4/4/36 (Reg. S) | EUR | 94,000 | 117,620 |
1.25% 4/4/33 (Reg. S) | EUR | 1,218,000 | 1,539,975 |
Inter-American Development Bank: | |||
1.25% 12/15/25 | GBP | 308,000 | 419,575 |
3.15% 6/26/29 | AUD | 120,000 | 93,513 |
International Bank for Reconstruction & Development: | |||
0% 1/15/27 | EUR | 1,427,000 | 1,631,788 |
0.01% 4/24/28 | EUR | 687,000 | 782,306 |
1% 12/19/22 | GBP | 19,000 | 25,839 |
1% 12/21/29 | GBP | 248,000 | 332,387 |
1.2% 8/8/34 | EUR | 23,000 | 28,764 |
1.8% 7/26/24 | CAD | 87,000 | 69,650 |
2.2% 2/27/24 | AUD | 207,000 | 154,502 |
2.25% 1/17/23 | CAD | 93,000 | 74,614 |
2.5% 8/3/23 | CAD | 68,000 | 54,928 |
2.8% 1/12/22 | AUD | 89,000 | 64,785 |
International Finance Corp.: | |||
1.375% 9/13/24 | CAD | 196,000 | 155,226 |
2.8% 8/15/22 | AUD | 469,000 | 346,615 |
3.15% 6/26/29 (Reg. S) | AUD | 90,000 | 70,252 |
Nordic Investment Bank 1.125% 12/15/23 (Reg. S) | GBP | 40,000 | 54,375 |
TOTAL SUPRANATIONAL OBLIGATIONS | |||
(Cost $22,259,383) | 21,760,416 | ||
Shares | Value | ||
Money Market Funds - 0.8% | |||
Fidelity Cash Central Fund 0.08% (f) | |||
(Cost $4,534,506) | 4,533,599 | 4,534,506 | |
TOTAL INVESTMENT IN SECURITIES - 95.7% | |||
(Cost $581,694,171) | 572,402,285 | ||
NET OTHER ASSETS (LIABILITIES) - 4.3% | 25,734,416 | ||
NET ASSETS - 100% | $598,136,701 |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
COP | 2,212,000,000 | USD | 553,000 | BNP Paribas | 1/3/22 | $(8,976) |
COP | 2,212,000,000 | USD | 549,746 | BNP Paribas | 1/3/22 | (5,722) |
DKK | 9,897,000 | USD | 1,507,493 | BNP Paribas | 1/3/22 | 7,651 |
PEN | 1,699,000 | USD | 428,921 | BNP Paribas | 1/3/22 | (3,267) |
PEN | 1,699,000 | USD | 426,360 | BNP Paribas | 1/3/22 | (705) |
SEK | 62,260,667 | USD | 6,839,224 | HSBC Bank USA | 1/3/22 | 50,915 |
USD | 558,233 | COP | 2,212,000,000 | BNP Paribas | 1/3/22 | 14,210 |
USD | 549,746 | COP | 2,212,000,000 | BNP Paribas | 1/3/22 | 5,722 |
USD | 1,277,143 | DKK | 8,431,000 | JPMorgan Chase Bank, N.A. | 1/3/22 | (13,570) |
USD | 223,333 | DKK | 1,466,000 | State Street Bank And Trust Co | 1/3/22 | (1,099) |
USD | 422,889 | PEN | 1,699,000 | BNP Paribas | 1/3/22 | (2,765) |
USD | 426,360 | PEN | 1,699,000 | BNP Paribas | 1/3/22 | 705 |
USD | 4,694,026 | SEK | 42,400,000 | Bank Of America N.A. | 1/3/22 | 1,788 |
USD | 2,188,015 | SEK | 19,861,000 | Bank Of America N.A. | 1/3/22 | (9,922) |
JPY | 9,023,776,267 | USD | 78,549,585 | Royal Bank Of Canada | 1/4/22 | (102,429) |
THB | 153,719,000 | USD | 4,588,627 | JPMorgan Chase Bank, N.A. | 1/4/22 | 13,050 |
USD | 21,810,053 | JPY | 2,458,800,000 | BNP Paribas | 1/4/22 | 434,760 |
USD | 57,375,337 | JPY | 6,591,250,000 | Goldman Sachs Bank USA | 1/4/22 | 75,067 |
USD | 2,792,704 | THB | 92,634,000 | JPMorgan Chase Bank, N.A. | 1/4/22 | 19,646 |
USD | 1,313,567 | THB | 44,348,000 | JPMorgan Chase Bank, N.A. | 1/4/22 | (14,018) |
USD | 495,780 | THB | 16,737,000 | JPMorgan Chase Bank, N.A. | 1/4/22 | (5,252) |
RUB | 136,469,000 | USD | 1,825,384 | BNP Paribas | 1/10/22 | (10,453) |
RUB | 289,367,000 | USD | 3,924,685 | JPMorgan Chase Bank, N.A. | 1/10/22 | (76,330) |
RUB | 152,898,000 | USD | 2,045,135 | JPMorgan Chase Bank, N.A. | 1/10/22 | (11,712) |
USD | 1,819,177 | RUB | 136,469,000 | BNP Paribas | 1/10/22 | 4,246 |
USD | 2,043,312 | RUB | 152,898,000 | JPMorgan Chase Bank, N.A. | 1/10/22 | 9,889 |
USD | 3,870,519 | RUB | 289,367,000 | JPMorgan Chase Bank, N.A. | 1/10/22 | 22,165 |
EUR | 2,765,000 | USD | 3,138,261 | Goldman Sachs Bank USA | 1/28/22 | 11,255 |
GBP | 725,000 | USD | 979,795 | State Street Bank And Trust Co | 1/28/22 | 1,471 |
USD | 17,891,129 | AUD | 24,732,000 | BNP Paribas | 1/28/22 | (104,043) |
USD | 27,180,096 | CAD | 34,784,000 | Royal Bank Of Canada | 1/28/22 | (317,528) |
USD | 5,813,992 | CHF | 5,331,000 | Royal Bank Of Canada | 1/28/22 | (40,236) |
USD | 84,008,411 | CNY | 537,343,000 | BNP Paribas | 1/28/22 | (335,045) |
USD | 747,414 | COP | 2,998,400,000 | BNP Paribas | 1/28/22 | 12,185 |
USD | 2,642,320 | CZK | 58,524,000 | HSBC Bank USA | 1/28/22 | (30,141) |
USD | 1,504,365 | DKK | 9,873,000 | BNP Paribas | 1/28/22 | (7,890) |
USD | 265,513,278 | EUR | 234,286,000 | JPMorgan Chase Bank, N.A. | 1/28/22 | (1,353,847) |
USD | 39,772,780 | GBP | 29,600,000 | BNP Paribas | 1/28/22 | (289,955) |
USD | 1,353,081 | HUF | 443,545,000 | Citibank NA | 1/28/22 | (10,810) |
USD | 3,753,138 | IDR | 53,339,600,000 | BNP Paribas | 1/28/22 | 17,393 |
USD | 1,236,781 | ILS | 3,853,000 | BNP Paribas | 1/28/22 | (2,663) |
USD | 78,481,073 | JPY | 9,014,650,000 | Royal Bank Of Canada | 1/28/22 | 97,988 |
USD | 12,386,053 | KRW | 14,709,800,000 | BNP Paribas | 1/28/22 | 19,995 |
USD | 3,066,670 | MXN | 63,789,000 | BNP Paribas | 1/28/22 | (35,756) |
USD | 3,490,548 | MYR | 14,624,000 | Goldman Sachs Bank USA | 1/28/22 | (15,903) |
USD | 832,696 | NOK | 7,370,000 | JPMorgan Chase Bank, N.A. | 1/28/22 | (3,815) |
USD | 1,529,696 | NZD | 2,245,000 | HSBC Bank USA | 1/28/22 | (7,416) |
USD | 557,474 | PEN | 2,212,000 | BNP Paribas | 1/28/22 | 3,296 |
USD | 3,021,148 | PLN | 12,304,000 | State Street Bank And Trust Co | 1/28/22 | (27,515) |
USD | 3,951,949 | RUB | 292,543,000 | JPMorgan Chase Bank, N.A. | 1/28/22 | 77,466 |
USD | 6,844,571 | SEK | 62,296,000 | HSBC Bank USA | 1/28/22 | (50,806) |
USD | 2,643,747 | SGD | 3,589,000 | HSBC Bank USA | 1/28/22 | (19,080) |
USD | 4,531,444 | THB | 151,894,000 | JPMorgan Chase Bank, N.A. | 1/28/22 | (14,811) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $(2,032,617) | |||||
Unrealized Appreciation | 900,863 | |||||
Unrealized Depreciation | (2,933,480) |
For the period, the average contract value for forward foreign currency contracts was $301,970,319. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively.
Currency Abbreviations
AUD – Australian dollar
CAD – Canadian dollar
CHF – Swiss franc
CNY – Chinese yuan
COP – Colombian peso
CZK – Czech koruna
DKK – Danish krone
EUR – European Monetary Unit
GBP – British pound
HUF – Hungarian forint
IDR – Indonesian rupiah
ILS – Israeli shekel
JPY – Japanese yen
KRW – Korean won
MXN – Mexican peso
MYR – Malyasian ringgit
NOK – Norwegian krone
NZD – New Zealand dollar
PEN – Peruvian new sol
PLN – Polish zloty
RUB – Russian ruble
SEK – Swedish krona
SGD – Singapore dollar
THB – Thai baht
Categorizations in the Schedule of Investments are based on country or territory of incorporation.
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $75,758,522 or 12.7% of net assets.
(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(e) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts. At period end, the value of securities pledged amounted to $2,088,911.
(f) 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.
Affiliated Central Funds
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 | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $5,482,134 | $397,397,527 | $398,345,137 | $2,020 | $(18) | $-- | $4,534,506 | 0.0% |
Total | $5,482,134 | $397,397,527 | $398,345,137 | $2,020 | $(18) | $-- | $4,534,506 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of December 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: | ||||
Corporate Bonds | $171,978,385 | $-- | $171,978,385 | $-- |
Government Obligations | 374,128,978 | -- | 374,128,978 | -- |
Supranational Obligations | 21,760,416 | -- | 21,760,416 | -- |
Money Market Funds | 4,534,506 | 4,534,506 | -- | -- |
Total Investments in Securities: | $572,402,285 | $4,534,506 | $567,867,779 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Forward Foreign Currency Contracts | $900,863 | $-- | $900,863 | $-- |
Total Assets | $900,863 | $-- | $900,863 | $-- |
Liabilities | ||||
Forward Foreign Currency Contracts | $(2,933,480) | $-- | $(2,933,480) | $-- |
Total Liabilities | $(2,933,480) | $-- | $(2,933,480) | $-- |
Total Derivative Instruments: | $(2,032,617) | $-- | $(2,032,617) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of December 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 | |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts(a) | $900,863 | $(2,933,480) |
Total Foreign Exchange Risk | 900,863 | (2,933,480) |
Total Value of Derivatives | $900,863 | $(2,933,480) |
(a) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.
Counterparty | Value of Derivative Assets | Value of Derivative Liabilities | Collateral Received(a) | Collateral Pledged(b) | Net(b) |
Bank of America, N.A. | $ 1,788 | $(9,922) | $-- | $-- | $(8,134 ) |
BNP Paribas | 520,163 | (807,240) | -- | (730,073) | (287,077 ) |
Citibank, N.A. | -- | (10,810 ) | -- | -- | (10,810 ) |
Goldman Sachs Bank USA | 86,322 | (15,903) | -- | -- | 70,419 |
HSBC Bank USA | 50,915 | (107,443) | -- | -- | (56,528) |
JPMorgan Chase Bank, N.A. | 142,216 | (1,493,355) | -- | (1,358,837) | (1,351,139 ) |
Royal Bank of Canada | 97,988 | (460,193) | -- | -- | (362,205 ) |
State Street Bank And Trust Co | 1,471 | (28,614) | -- | -- | (27,143 ) |
Total | $900,863 | $(2,933,480) |
(a) Reflects collateral received from or pledged to an individual counterparty, excluding any excess or initial collateral amounts.
(b) Net represents the receivable / (payable) that would be due from / (to) the counterparty in an event of default. Netting may be allowed across transactions traded under the same legal agreement with the same legal entity. Please refer to Derivative Instruments - Risk Exposures and the Use of Derivative Instruments section in the accompanying Notes to Financial Statements.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
December 31, 2021 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $577,159,665) | $567,867,779 | |
Fidelity Central Funds (cost $4,534,506) | 4,534,506 | |
Total Investment in Securities (cost $581,694,171) | $572,402,285 | |
Foreign currency held at value (cost $846,063) | 843,070 | |
Unrealized appreciation on forward foreign currency contracts | 900,863 | |
Receivable for fund shares sold | 24,415,381 | |
Interest receivable | 3,367,633 | |
Distributions receivable from Fidelity Central Funds | 535 | |
Total assets | 601,929,767 | |
Liabilities | ||
Payable to custodian bank | $38,038 | |
Payable for investments purchased | 615,106 | |
Unrealized depreciation on forward foreign currency contracts | 2,933,480 | |
Payable for fund shares redeemed | 177,695 | |
Accrued management fee | 28,747 | |
Total liabilities | 3,793,066 | |
Net Assets | $598,136,701 | |
Net Assets consist of: | ||
Paid in capital | $602,227,113 | |
Total accumulated earnings (loss) | (4,090,412) | |
Net Assets | $598,136,701 | |
Net Asset Value, offering price and redemption price per share ($598,136,701 ÷ 59,956,977 shares) | $9.98 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended December 31, 2021 | ||
Investment Income | ||
Interest | $2,282,390 | |
Income from Fidelity Central Funds | 2,020 | |
Total income | 2,284,410 | |
Expenses | ||
Management fee | $160,447 | |
Independent trustees' fees and expenses | 685 | |
Interest | 46 | |
Total expenses | 161,178 | |
Net investment income (loss) | 2,123,232 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (53,183) | |
Fidelity Central Funds | (18) | |
Forward foreign currency contracts | 11,230,609 | |
Foreign currency transactions | 980,873 | |
Total net realized gain (loss) | 12,158,281 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of increase in deferred foreign taxes of $9) | (21,003,999) | |
Forward foreign currency contracts | 2,265,727 | |
Assets and liabilities in foreign currencies | (43,129) | |
Total change in net unrealized appreciation (depreciation) | (18,781,401) | |
Net gain (loss) | (6,623,120) | |
Net increase (decrease) in net assets resulting from operations | $(4,499,888) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended December 31, 2021 | Year ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $2,123,232 | $456,355 |
Net realized gain (loss) | 12,158,281 | (4,873,829) |
Change in net unrealized appreciation (depreciation) | (18,781,401) | 7,580,478 |
Net increase (decrease) in net assets resulting from operations | (4,499,888) | 3,163,004 |
Distributions to shareholders | (1,876,795) | (804,372) |
Share transactions | ||
Proceeds from sales of shares | 471,380,646 | 183,921,925 |
Reinvestment of distributions | 1,778,510 | 741,140 |
Cost of shares redeemed | (53,277,335) | (18,511,624) |
Net increase (decrease) in net assets resulting from share transactions | 419,881,821 | 166,151,441 |
Total increase (decrease) in net assets | 413,505,138 | 168,510,073 |
Net Assets | ||
Beginning of period | 184,631,563 | 16,121,490 |
End of period | $598,136,701 | $184,631,563 |
Other Information | ||
Shares | ||
Sold | 47,006,798 | 18,178,523 |
Issued in reinvestment of distributions | 177,570 | 72,797 |
Redeemed | (5,284,680) | (1,827,610) |
Net increase (decrease) | 41,899,688 | 16,423,710 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity International Bond Index Fund
Years ended December 31, | 2021 | 2020 | 2019 A |
Selected Per–Share Data | |||
Net asset value, beginning of period | $10.22 | $9.87 | $10.00 |
Income from Investment Operations | |||
Net investment income (loss)B | .079 | .054 | .010 |
Net realized and unrealized gain (loss) | (.257) | .372 | (.123) |
Total from investment operations | (.178) | .426 | (.113) |
Distributions from net investment income | (.062) | (.076) | (.009) |
Distributions from net realized gain | – | – | (.008) |
Total distributions | (.062) | (.076) | (.017) |
Net asset value, end of period | $9.98 | $10.22 | $9.87 |
Total ReturnC | (1.74)% | 4.33% | (1.13)% |
Ratios to Average Net AssetsD,E | |||
Expenses before reductions | .06% | .06% | .06%F |
Expenses net of fee waivers, if any | .06% | .06% | .06%F |
Expenses net of all reductions | .06% | .06% | .06%F |
Net investment income (loss) | .79% | .54% | .45%F |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $598,137 | $184,632 | $16,121 |
Portfolio turnover rateG | 18% | 5% | 3%H |
A For the period October 10, 2019 (commencement of operations) through December 31, 2019.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D 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 adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Annualized
G Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
H Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended December 31, 2021
1. Organization.
Fidelity International Bond Index Fund (the Fund) is a non-diversified fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. 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% |
(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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, foreign government and government agency obligations, and supranational obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 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 December 31, 2021 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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 December 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to foreign currency transactions, market discount, capital loss carryforwards and losses deferred due to 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 | $5,719,642 |
Gross unrealized depreciation | (9,323,312) |
Net unrealized appreciation (depreciation) | $(3,603,670) |
Tax Cost | $581,606,501 |
The fund intends to elect to defer to its next fiscal year $409,142 of ordinary losses recognized during the period November 1, 2021 to December 31, 2021.
The tax-based components of distributable earnings as of period end were as follows:
Capital loss carryforward | $(63,073) |
Net unrealized appreciation (depreciation) on securities and other investments | $(3,618,188) |
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 | $(34,533) |
Long-term | (28,540) |
Total capital loss carryforward | $(63,073) |
The tax character of distributions paid was as follows:
December 31, 2021 | December 31, 2020 | |
Ordinary Income | $1,876,795 | $ 804,372 |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
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 forward foreign currency 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, to facilitate transactions in foreign-denominated securities 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:
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. A summary of the Fund's derivatives inclusive of potential netting arrangements is presented at the end of the Schedule of Investments.
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.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
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 International Bond Index Fund | 459,336,573 | 51,479,322 |
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 .06% 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 miscellaneous expenses such as proxy and shareholder meeting expenses.
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 International Bond Index Fund | Borrower | $5,754,000 | .29% | $46 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Fidelity Multi-Asset Index Fund | |
Fidelity International Bond Index Fund | 44% |
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 International Bond Index Fund | 58% |
9. Risks of Investing in European Countries.
There continues to be uncertainty surrounding the sovereign debt of many European countries. If there is a default or debt restructuring by any European country, or if more countries leave the European Monetary Union or the European Monetary Union dissolves, there may be wide-ranging effects on global markets. Such events could significantly affect the value or liquidity of the Fund's investments in the region or with exposure to the region.
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 International Bond Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity International Bond Index Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the “Fund”) as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statement of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the two years in the period ended December 31, 2021 and for the period October 10, 2019 (commencement of operations) through December 31, 2019 (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 December 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 December 31, 2021 and the financial highlights for each of the two years in the period ended December 31, 2021 and for the period October 10, 2019 (commencement of operations) through December 31, 2019 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 December 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
February 15, 2022
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 286 funds. Mr. Chiel oversees 179 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 retirement, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career in 1983 as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
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), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-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); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (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).
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.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
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 (July 1, 2021 to December 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value July 1, 2021 | Ending Account Value December 31, 2021 | Expenses Paid During Period-B July 1, 2021 to December 31, 2021 | |
Fidelity International Bond Index Fund | .06% | |||
Actual | $1,000.00 | $998.70 | $.30 | |
Hypothetical-C | $1,000.00 | $1,024.90 | $.31 |
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 184/ 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)
A total of 0.02% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $475,297 of distributions paid in the calendar year 2020 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity International Bond Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in October 2020.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against the securities market index the fund seeks to track and an appropriate peer group of funds with similar objectives (peer group). The Board also periodically considers the fund's tracking error versus its benchmark index.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to a fund's benchmark index, over appropriate time periods, taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net calendar year total return information for the fund and its benchmark index for the most recent one-year period. No performance peer group information was considered by the Board due to the fact that the peer group does not distinguish between passively-managed and actively-managed funds. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods of the fund's operations shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.![](https://capedge.com/proxy/N-CSR/0001379491-22-000720/img775128209.jpg)
IBI-ANN-0322
1.9896131.102
Fidelity® SAI Municipal Income 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.
December 31, 2021
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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. © 2022 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 COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, 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 December 31, 2021 | Past 1 year | Life of fundA |
Fidelity® SAI Municipal Income Fund | 2.33% | 5.46% |
A From October 2, 2018
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI Municipal Income Fund on October 2, 2018, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Municipal Bond Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-22-000720/img770711904_740.jpg)
Period Ending Values | ||
$11,887 | Fidelity® SAI Municipal Income Fund | |
$11,678 | Bloomberg Municipal Bond Index |
Effective August 24, 2021, all Bloomberg Barclays Indices were re-branded as Bloomberg Indices.
Management's Discussion of Fund Performance
Market Recap: Tax-exempt municipal bonds posted a modest gain in 2021, driven by robust investor demand and an improved fiscal outlook for many municipal issuers. The Bloomberg Municipal Bond Index rose 1.52% for the 12 months. The muni market rallied early in 2021 amid economic optimism due to the rollout of COVID-19 vaccination programs and an easing of credit concerns that had been triggered by the economic shutdowns caused by COVID-19. Also, investor demand for tax-exempt munis increased due to the Biden administration’s plan to push for higher tax rates on upper-income tax brackets. Tax collection took less of a hit than originally feared, and a large aid package from the U.S. Congress for muni issuers helped fill budget gaps. In February, the municipal market declined, reflecting investor concerns that stimulus-induced inflation could diminish real bond returns over time. Munis then gained from March through July, propelled by better-than-expected tax revenue from many state and local governments and reduced inflation expectations. Munis lost slight ground in August and September, then gained in the fourth quarter, partly due to newfound clarity regarding infrastructure investment due to the passage of the Infrastructure Investment and Jobs Act (IIJA), which earmarked $550 for new infrastructure spending. Notably, by period end, the Fed had accelerated its plans to tighten monetary policy, heralding a swifter end to its pandemic-era bond-buying program and the prospects for three quarter-point rate hikes in 2022.Comments from Co-Portfolio Managers Cormac Cullen, Michael Maka and Elizah McLaughlin: For the fiscal year, the fund gained 2.33%, outpacing, net of fees, the 1.69% advance of the Bloomberg 3+ Year Municipal Bond Index. We continued to focus on longer-term objectives and sought to generate attractive tax-exempt income and competitive risk-adjusted returns over time. The fund's larger-than-benchmark exposure to bonds issued by Illinois and related entities, including the Chicago Board of Education and the Metropolitan Pier and Exposition Authority, helped versus the index. Overweighting lower-quality investment-grade bonds in the health care and higher-education segments also contributed to the fund's relative performance, as did exposure to other lower-quality investment-grade munis. These securities (rated BBB and A) produced better total returns than the index, benefiting from the comparatively high income they generated and better-than-average price performance as credit spreads tightened. Conversely, yield-curve positioning slightly detracted on a relative basis. The fund had more exposure than the index to shorter-term bonds, which lagged longer-term securities as the yield curve flattened. Differences in the way fund holdings and index components were priced modestly detracted from the fund's relative result as well.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Top Five States as of December 31, 2021
% of fund's net assets | |
Illinois | 13.1 |
Pennsylvania | 7.7 |
New York | 7.7 |
Massachusetts | 6.0 |
Texas | 5.9 |
Top Five Sectors as of December 31, 2021
% of fund's net assets | |
General Obligations | 25.9 |
Transportation | 23.3 |
Health Care | 14.5 |
Education | 8.8 |
Special Tax | 5.4 |
Quality Diversification (% of fund's net assets)
As of December 31, 2021 | ||
AAA | 8.2% | |
AA,A | 72.5% | |
BBB | 13.2% | |
BB and Below | 1.8% | |
Not Rated | 1.7% | |
Short-Term Investments and Net Other Assets | 2.6% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Schedule of Investments December 31, 2021
Showing Percentage of Net Assets
Municipal Bonds - 97.4% | |||
Principal Amount | Value | ||
Alabama - 0.4% | |||
Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/43 | 535,000 | 661,782 | |
Jefferson County Gen. Oblig. Series 2018 A: | |||
5% 4/1/25 | $530,000 | $605,565 | |
5% 4/1/26 | 500,000 | 590,538 | |
Lower Alabama Gas District Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (a) | 7,080,000 | 7,851,390 | |
Montgomery Med. Clinic Facilities Series 2015, 5% 3/1/33 | 860,000 | 967,799 | |
TOTAL ALABAMA | 10,677,074 | ||
Alaska - 0.3% | |||
Alaska Hsg. Fin. Corp. Series 2021 A: | |||
4% 6/1/26 | 600,000 | 686,316 | |
4% 12/1/29 | 980,000 | 1,184,842 | |
5% 12/1/28 | 1,365,000 | 1,721,410 | |
5% 6/1/29 | 1,025,000 | 1,306,656 | |
Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2022 A, 3% 6/1/51 (b) | 880,000 | 954,417 | |
Alaska Int'l. Arpts. Revs. Series 2016 B, 5% 10/1/35 | 2,305,000 | 2,660,291 | |
TOTAL ALASKA | 8,513,932 | ||
Arizona - 1.3% | |||
Arizona Health Facilities Auth. Rev.: | |||
(Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 0.898%, tender 1/1/37 (a)(c) | 515,000 | 516,562 | |
(Scottsdale Lincoln Hospitals Proj.) Series 2014 A, 5% 12/1/39 | 775,000 | 868,340 | |
Arizona Indl. Dev. Auth. Hosp. Rev. Series 2021 A, 5% 2/1/29 | 1,400,000 | 1,773,189 | |
Arizona Indl. Dev. Auth. Rev. (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018: | |||
5% 5/1/48 | 190,000 | 199,834 | |
5% 5/1/51 | 190,000 | 199,221 | |
Arizona State Univ. Revs. Series 2021 C: | |||
5% 7/1/37 | 1,165,000 | 1,539,536 | |
5% 7/1/38 | 1,875,000 | 2,473,220 | |
Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.): | |||
Series 2007, 2.7%, tender 8/14/23 (a)(d) | 1,255,000 | 1,297,852 | |
Series 2019, 5%, tender 6/3/24 (a)(d) | 6,455,000 | 7,123,082 | |
Glendale Gen. Oblig. Series 2017: | |||
5% 7/1/30 | 435,000 | 529,724 | |
5% 7/1/31 | 645,000 | 783,244 | |
Glendale Indl. Dev. Auth. (Terraces of Phoenix Proj.) Series 2018 A: | |||
5% 7/1/38 | 50,000 | 53,433 | |
5% 7/1/48 | 60,000 | 63,629 | |
Maricopa County Indl. Dev. Auth.: | |||
(Creighton Univ. Proj.) Series 2020, 5% 7/1/47 | 600,000 | 744,214 | |
Series 2021 A, 4% 9/1/51 | 1,000,000 | 1,157,572 | |
Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016: | |||
5.75% 1/1/36 (e) | 845,000 | 841,783 | |
6% 1/1/48 (e) | 1,350,000 | 1,337,712 | |
Maricopa County Rev. Series 2016 A, 5% 1/1/33 | 1,035,000 | 1,240,569 | |
Phoenix Civic Impt. Board Arpt. Rev.: | |||
Series 2013, 5% 7/1/22 (d) | 170,000 | 174,021 | |
Series 2017 A: | |||
5% 7/1/33 (d) | 190,000 | 228,366 | |
5% 7/1/36 (d) | 300,000 | 360,662 | |
5% 7/1/37 (d) | 225,000 | 270,502 | |
Series 2017 B: | |||
5% 7/1/29 | 430,000 | 524,695 | |
5% 7/1/33 | 600,000 | 729,704 | |
5% 7/1/36 | 690,000 | 840,182 | |
5% 7/1/37 | 430,000 | 523,346 | |
Series 2019 B, 5% 7/1/35 (d) | 2,450,000 | 3,044,070 | |
Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2021 A, 5% 7/1/45 | 1,400,000 | 1,827,287 | |
Salt Verde Finl. Corp. Sr. Gas Rev. Series 2007: | |||
5.25% 12/1/22 | 260,000 | 270,923 | |
5.5% 12/1/29 | 1,530,000 | 1,980,885 | |
TOTAL ARIZONA | 33,517,359 | ||
California - 5.0% | |||
ABC Unified School District Series 1997 C, 0% 8/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 675,000 | 626,602 | |
California Gen. Oblig.: | |||
Series 2004, 5.25% 12/1/33 | 30,000 | 30,116 | |
Series 2016, 5% 9/1/29 | 380,000 | 454,002 | |
Series 2017: | |||
5% 11/1/27 | 2,000,000 | 2,484,389 | |
5% 8/1/30 | 2,465,000 | 3,020,650 | |
Series 2020, 4% 11/1/37 | 1,950,000 | 2,370,314 | |
Series 2021: | |||
5% 9/1/32 | 9,770,000 | 13,219,254 | |
5% 10/1/41 | 23,215,000 | 30,443,872 | |
California Hsg. Fin. Agcy. Series 2021 1, 3.5% 11/20/35 | 727,112 | 829,418 | |
California Pub. Fin. Auth. Univ. Hsg. Rev.: | |||
(Claremont Colleges Proj.) Series 2017 A, 5% 7/1/27 (e) | 100,000 | 90,038 | |
(NCCD - Claremont Properties LLC - Claremont Colleges Proj.) Series 2017 A, 5% 7/1/47 (e) | 100,000 | 88,956 | |
California Pub. Works Board Lease Rev.: | |||
(Coalinga State Hosp. Proj.) Series 2013 E, 5% 6/1/26 | 415,000 | 441,400 | |
(Various Cap. Projs.): | |||
Series 2021 B, 4% 5/1/46 | 5,735,000 | 6,797,903 | |
Series 2022 C: | |||
5% 8/1/31 (b) | 640,000 | 815,947 | |
5% 8/1/34 (b) | 1,190,000 | 1,505,633 | |
California Statewide Cmntys. Dev. Auth. Rev. Series 2015, 5% 2/1/45 | 660,000 | 690,659 | |
Folsom Cordova Union School District No. 4 Series A, 0% 10/1/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 315,000 | 266,279 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2017 A1: | |||
5% 6/1/22 (Escrowed to Maturity) | 570,000 | 581,226 | |
5% 6/1/23 (Escrowed to Maturity) | 655,000 | 698,685 | |
5% 6/1/24 (Escrowed to Maturity) | 365,000 | 405,672 | |
Kern Cmnty. College District Gen. Oblig. Series 2006: | |||
0% 11/1/28 (FSA Insured) | 850,000 | 779,092 | |
0% 11/1/30 (FSA Insured) | 860,000 | 751,901 | |
Long Beach Unified School District Series 2009, 5.5% 8/1/29 | 30,000 | 30,122 | |
Los Angeles Dept. of Wtr. & Pwr. Rev.: | |||
Series 2021 B, 5% 7/1/51 | 6,795,000 | 8,736,114 | |
Series B, 5% 7/1/50 | 4,890,000 | 6,237,529 | |
Los Angeles Hbr. Dept. Rev. Series 2019 A, 5% 8/1/25 (d) | 875,000 | 1,004,885 | |
Monrovia Unified School District Series B, 0% 8/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 780,000 | 701,128 | |
Mount Diablo Unified School District Series 2022 B: | |||
4% 8/1/31 (b) | 965,000 | 1,179,368 | |
4% 8/1/32 (b) | 1,355,000 | 1,643,775 | |
Oakland Unified School District Alameda County Series 2015 A, 5% 8/1/29 | 300,000 | 345,795 | |
Poway Unified School District: | |||
(District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32 | 1,015,000 | 849,642 | |
Series 2011, 0% 8/1/46 | 200,000 | 102,268 | |
Series B: | |||
0% 8/1/37 | 1,345,000 | 991,812 | |
0% 8/1/39 | 4,095,000 | 2,849,059 | |
0% 8/1/41 | 675,000 | 440,991 | |
Poway Unified School District Pub. Fing. Series 2015 A: | |||
5% 9/1/24 | 170,000 | 188,216 | |
5% 9/1/26 | 220,000 | 250,262 | |
5% 9/1/29 | 455,000 | 512,487 | |
5% 9/1/31 | 205,000 | 231,785 | |
Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 860,000 | 810,689 | |
San Diego Unified School District: | |||
Series 2008 C, 0% 7/1/34 | 620,000 | 497,764 | |
Series 2008 E, 0% 7/1/47 (f) | 1,495,000 | 1,555,975 | |
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.: | |||
Series 2019 A: | |||
5% 1/1/35 (d) | 1,220,000 | 1,506,987 | |
5% 5/1/49 (d) | 13,485,000 | 16,500,404 | |
Series 2019 B, 5% 5/1/49 | 930,000 | 1,146,593 | |
Series 2019 E, 5% 5/1/50 (d) | 1,350,000 | 1,651,679 | |
Series A, 5% 5/1/44 (d) | 600,000 | 656,432 | |
San Jose Fing. Auth. Lease Rev. (Civic Ctr. Proj.) Series 2013 A: | |||
5% 6/1/27 (Pre-Refunded to 6/1/23 @ 100) | 795,000 | 848,023 | |
5% 6/1/31 (Pre-Refunded to 6/1/23 @ 100) | 995,000 | 1,061,362 | |
San Marcos Unified School District Series 2010 B, 0% 8/1/47 | 3,665,000 | 1,994,919 | |
San Mateo County Cmnty. College District Series A, 0% 9/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 935,000 | 902,992 | |
Union Elementary School District Series B, 0% 9/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 260,000 | 259,475 | |
Univ. of California Regents Med. Ctr. Pool Rev. Series 2013 J, 5% 5/15/48 | 515,000 | 546,186 | |
Washington Township Health Care District Gen. Oblig.: | |||
Series 2013 A, 5.5% 8/1/38 | 775,000 | 868,205 | |
Series 2013 B, 5.5% 8/1/38 | 170,000 | 190,445 | |
West Contra Costa Unified School District Series 2012, 5% 8/1/26 (Pre-Refunded to 8/1/22 @ 100) | 345,000 | 354,611 | |
TOTAL CALIFORNIA | 125,039,987 | ||
Colorado - 3.1% | |||
Arkansas River Pwr. Auth. Rev. Series 2018 A: | |||
5% 10/1/38 | 430,000 | 510,110 | |
5% 10/1/43 | 540,000 | 635,237 | |
Colorado Health Facilities Auth.: | |||
(Parkview Med. Ctr., Inc. Proj.) Series 2016: | |||
4% 9/1/35 | 285,000 | 316,789 | |
4% 9/1/36 | 225,000 | 249,830 | |
5% 9/1/46 | 1,255,000 | 1,439,769 | |
Series 2019 A: | |||
5% 11/1/25 | 1,845,000 | 2,147,086 | |
5% 11/15/39 | 2,390,000 | 3,045,923 | |
Series 2019 A1, 4% 8/1/44 | 890,000 | 1,021,919 | |
Series 2019 A2, 5% 8/1/44 | 15,610,000 | 19,168,932 | |
Colorado Hsg. & Fin. Auth.: | |||
Series 2019 F, 4.25% 11/1/49 | 625,000 | 691,305 | |
Series 2019 H, 4.25% 11/1/49 | 330,000 | 365,609 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2021 B, 5% 11/1/28 | 3,500,000 | 4,439,748 | |
Denver City & County Arpt. Rev.: | |||
Series 2017 A: | |||
5% 11/15/23 (d) | 390,000 | 423,134 | |
5% 11/15/26 (d) | 595,000 | 710,456 | |
5% 11/15/27 (d) | 505,000 | 617,538 | |
Series 2018 A: | |||
5% 12/1/30 (d) | 1,335,000 | 1,731,786 | |
5% 12/1/34 (d) | 880,000 | 1,197,288 | |
5% 12/1/36 (d) | 860,000 | 1,057,715 | |
5% 12/1/37 (d) | 1,720,000 | 2,112,952 | |
Denver City & County Board Wtr. Rev.: | |||
Series 2020 A: | |||
5% 9/15/45 | 5,270,000 | 6,787,129 | |
5% 9/15/46 | 8,085,000 | 10,400,132 | |
Series 2020 B: | |||
5% 9/15/28 | 2,620,000 | 3,336,618 | |
5% 9/15/29 | 4,870,000 | 6,349,004 | |
E-470 Pub. Hwy. Auth. Rev. Series 2020 A: | |||
5% 9/1/36 | 2,400,000 | 3,087,297 | |
5% 9/1/40 | 2,800,000 | 3,111,282 | |
Univ. of Colorado Enterprise Sys. Rev. Bonds: | |||
Series 2021 C3A, 2%, tender 10/15/25 (a) | 1,045,000 | 1,097,458 | |
Series 2021 C3B, 2%, tender 10/15/26 (a) | 885,000 | 932,885 | |
Vauxmont Metropolitan District: | |||
Series 2019, 5% 12/15/32 (FSA Insured) | 160,000 | 182,753 | |
Series 2020, 5% 12/1/33 (FSA Insured) | 255,000 | 324,597 | |
TOTAL COLORADO | 77,492,281 | ||
Connecticut - 2.1% | |||
Connecticut Gen. Oblig.: | |||
Series 2014 C, 5% 6/15/25 | 290,000 | 334,352 | |
Series 2015 B, 5% 6/15/32 | 495,000 | 567,454 | |
Series 2016 B, 5% 5/15/26 | 1,235,000 | 1,465,946 | |
Series 2018 F: | |||
5% 9/15/23 | 450,000 | 485,628 | |
5% 9/15/24 | 560,000 | 628,807 | |
5% 9/15/25 | 560,000 | 651,195 | |
Series 2021 D: | |||
5% 7/15/24 | 1,140,000 | 1,271,902 | |
5% 7/15/25 | 1,885,000 | 2,179,564 | |
5% 7/15/26 | 1,885,000 | 2,249,068 | |
5% 7/15/27 | 2,510,000 | 3,081,386 | |
5% 7/15/28 | 2,895,000 | 3,639,807 | |
Connecticut Health & Edl. Facilities Auth. Rev.: | |||
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1: | |||
5% 7/1/26 | 85,000 | 100,263 | |
5% 7/1/27 | 60,000 | 72,685 | |
5% 7/1/28 | 110,000 | 133,152 | |
5% 7/1/29 | 70,000 | 84,290 | |
Series 2016 K, 4% 7/1/46 | 1,520,000 | 1,669,260 | |
Series 2019 A: | |||
5% 7/1/26 (e) | 1,195,000 | 1,280,150 | |
5% 7/1/27 (e) | 695,000 | 750,260 | |
5% 7/1/49 (e) | 1,430,000 | 1,502,354 | |
Series 2019 Q-1: | |||
5% 11/1/22 | 810,000 | 841,970 | |
5% 11/1/26 | 870,000 | 1,044,542 | |
Series 2020 A, 4% 7/1/40 | 1,330,000 | 1,548,308 | |
Series 2021 G: | |||
4% 3/1/46 | 1,040,000 | 1,225,745 | |
4% 3/1/51 | 1,675,000 | 1,958,699 | |
Series 2022 M, 4% 7/1/39 (b) | 1,985,000 | 2,307,972 | |
Series K1: | |||
5% 7/1/27 | 85,000 | 101,217 | |
5% 7/1/29 | 220,000 | 265,750 | |
5% 7/1/30 | 170,000 | 204,295 | |
5% 7/1/31 | 1,400,000 | 1,676,025 | |
5% 7/1/33 | 275,000 | 327,562 | |
5% 7/1/34 | 1,970,000 | 2,341,887 | |
Series K3, 5% 7/1/43 | 2,060,000 | 2,416,273 | |
Connecticut Hsg. Fin. Auth.: | |||
Series 2021 B1, 3% 11/15/49 | 1,535,000 | 1,653,522 | |
Series C: | |||
5% 5/15/23 (d) | 250,000 | 264,680 | |
5% 11/15/23 (d) | 1,195,000 | 1,288,147 | |
5% 5/15/24 (d) | 2,150,000 | 2,356,979 | |
5% 11/15/24 (d) | 1,000,000 | 1,115,100 | |
5% 11/15/25 (d) | 890,000 | 1,020,851 | |
Connecticut State Revolving Fund Gen. Rev. Series 2017 A, 5% 5/1/35 | 650,000 | 785,039 | |
Hbr. Point Infrastructure Impt. District Series 2017: | |||
5% 4/1/30 (e) | 785,000 | 911,190 | |
5% 4/1/39 (e) | 1,010,000 | 1,153,156 | |
New Britain Gen. Oblig. Series 2017 C, 5% 3/1/29 (FSA Insured) | 185,000 | 221,021 | |
Stratford Gen. Oblig. Series 2019, 5% 1/1/23 | 1,770,000 | 1,850,655 | |
Univ. of Connecticut Gen. Oblig. Series 2019 A, 5% 11/1/25 | 890,000 | 1,039,400 | |
TOTAL CONNECTICUT | 52,067,508 | ||
Delaware - 0.1% | |||
Delaware Gen. Oblig.: | |||
Series 2019, 5% 2/1/30 | 1,000,000 | 1,276,133 | |
Series 2020 A, 5% 1/1/31 | 1,000,000 | 1,301,161 | |
TOTAL DELAWARE | 2,577,294 | ||
District Of Columbia - 1.7% | |||
District of Columbia Gen. Oblig.: | |||
Series 2021 D: | |||
4% 2/1/27 | 1,300,000 | 1,517,298 | |
5% 2/1/28 | 1,300,000 | 1,624,564 | |
5% 2/1/29 | 1,725,000 | 2,210,522 | |
Series 2021 E: | |||
5% 2/1/27 | 4,375,000 | 5,324,369 | |
5% 2/1/28 | 2,850,000 | 3,561,544 | |
5% 2/1/29 | 3,650,000 | 4,677,336 | |
District of Columbia Rev. Series 2018, 5% 10/1/48 | 7,155,000 | 8,590,793 | |
Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. (Dulles Metrorail and Cap. Impt. Projs.) Series 2019 A: | |||
5% 10/1/31 | 715,000 | 891,369 | |
5% 10/1/32 | 900,000 | 1,121,286 | |
Metropolitan Washington DC Arpts. Auth. Sys. Rev.: | |||
Series 2017 A: | |||
5% 10/1/28 (d) | 1,145,000 | 1,392,655 | |
5% 10/1/30 (d) | 1,420,000 | 1,719,201 | |
5% 10/1/31 (d) | 250,000 | 302,363 | |
5% 10/1/32 (d) | 385,000 | 465,381 | |
5% 10/1/33 (d) | 190,000 | 229,635 | |
5% 10/1/35 (d) | 430,000 | 519,797 | |
5% 10/1/42 (d) | 860,000 | 1,040,305 | |
Series 2019 A, 5% 10/1/25 (d) | 610,000 | 705,248 | |
Series 2020 A: | |||
5% 10/1/25 (d) | 3,050,000 | 3,526,238 | |
5% 10/1/26 (d) | 2,215,000 | 2,639,200 | |
5% 10/1/27 (d) | 765,000 | 934,232 | |
5% 10/1/28 (d) | 385,000 | 481,679 | |
TOTAL DISTRICT OF COLUMBIA | 43,475,015 | ||
Florida - 5.5% | |||
Brevard County School Board Ctfs. of Prtn. Series 2015 C, 5% 7/1/28 | 300,000 | 344,057 | |
Broward County Arpt. Sys. Rev.: | |||
Series 2012 P-1, 5% 10/1/22 (d) | 165,000 | 170,761 | |
Series 2012 Q1, 5% 10/1/25 | 900,000 | 931,561 | |
Series 2015 C, 5% 10/1/24 (d) | 435,000 | 486,235 | |
Series 2017: | |||
5% 10/1/25 (d) | 45,000 | 52,026 | |
5% 10/1/26 (d) | 170,000 | 202,295 | |
5% 10/1/27 (d) | 170,000 | 207,289 | |
5% 10/1/29 (d) | 460,000 | 557,812 | |
5% 10/1/30 (d) | 125,000 | 151,338 | |
5% 10/1/32 (d) | 600,000 | 725,268 | |
5% 10/1/33 (d) | 225,000 | 271,936 | |
5% 10/1/34 (d) | 220,000 | 265,936 | |
5% 10/1/35 (d) | 260,000 | 313,975 | |
5% 10/1/36 (d) | 345,000 | 416,121 | |
5% 10/1/37 (d) | 385,000 | 462,959 | |
5% 10/1/42 (d) | 2,230,000 | 2,675,605 | |
5% 10/1/47 (d) | 1,035,000 | 1,241,597 | |
Series 2019 A, 5% 10/1/49 (d) | 2,400,000 | 2,939,871 | |
Series A: | |||
5% 10/1/28 (d) | 515,000 | 594,176 | |
5% 10/1/30 (d) | 600,000 | 688,891 | |
5% 10/1/31 (d) | 515,000 | 590,070 | |
5% 10/1/32 (d) | 480,000 | 549,968 | |
Series C, 5% 10/1/23 (d) | 245,000 | 264,568 | |
Broward County School Board Ctfs. of Prtn.: | |||
(Broward County School District Proj.) Series 2016 A, 5% 7/1/28 | 115,000 | 136,711 | |
Series 2012 A: | |||
5% 7/1/24 | 375,000 | 383,870 | |
5% 7/1/27 | 980,000 | 1,001,999 | |
Series 2015 A: | |||
5% 7/1/24 | 385,000 | 427,882 | |
5% 7/1/27 | 170,000 | 196,048 | |
Series 2015 B, 5% 7/1/24 | 475,000 | 527,907 | |
Series 2016, 5% 7/1/32 | 380,000 | 445,854 | |
Cap. Projs. Fin. Auth. Student Hsg. Rev. (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A, 5% 10/1/30 | 750,000 | 930,289 | |
Duval County School Board Ctfs. of Prtn.: | |||
Series 2015 B: | |||
5% 7/1/28 | 355,000 | 405,943 | |
5% 7/1/32 | 2,105,000 | 2,400,819 | |
Series 2016 A, 5% 7/1/33 | 230,000 | 269,638 | |
Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A, 4% 8/15/45 | 730,000 | 820,063 | |
Florida Keys Aqueduct Auth. Wtr. Rev. Series 2021 B, 5% 9/1/25 | 1,465,000 | 1,701,348 | |
Florida Mid-Bay Bridge Auth. Rev.: | |||
Series 2015 A, 5% 10/1/35 | 1,100,000 | 1,241,166 | |
Series 2015 C: | |||
5% 10/1/30 | 565,000 | 636,416 | |
5% 10/1/40 | 345,000 | 384,808 | |
Florida Muni. Pwr. Agcy. Rev.: | |||
(Requirements Pwr. Supply Proj.) Series 2016 A: | |||
5% 10/1/30 | 375,000 | 447,710 | |
5% 10/1/31 | 410,000 | 488,647 | |
(St. Lucie Proj.) Series 2012 A, 5% 10/1/26 | 635,000 | 657,399 | |
Series 2015 B: | |||
5% 10/1/28 | 170,000 | 196,526 | |
5% 10/1/30 | 310,000 | 358,618 | |
Greater Orlando Aviation Auth. Arpt. Facilities Rev.: | |||
Series 2016 A, 5% 10/1/46 (d) | 170,000 | 200,470 | |
Series 2016: | |||
5% 10/1/22 (d) | 170,000 | 175,858 | |
5% 10/1/24 (d) | 515,000 | 575,658 | |
5% 10/1/26 (d) | 295,000 | 351,042 | |
5% 10/1/27 (d) | 170,000 | 207,289 | |
Series 2017 A: | |||
5% 10/1/25 (d) | 55,000 | 63,588 | |
5% 10/1/25 (Escrowed to Maturity) (d) | 115,000 | 133,558 | |
5% 10/1/27 (d) | 80,000 | 97,498 | |
5% 10/1/27 (Escrowed to Maturity) (d) | 265,000 | 326,283 | |
5% 10/1/29 (Pre-Refunded to 10/1/27 @ 100) (d) | 515,000 | 634,098 | |
5% 10/1/30 (Pre-Refunded to 10/1/27 @ 100) (d) | 555,000 | 683,348 | |
5% 10/1/31 (d) | 1,485,000 | 1,796,034 | |
5% 10/1/32 (d) | 1,165,000 | 1,408,229 | |
5% 10/1/34 (d) | 1,035,000 | 1,251,110 | |
5% 10/1/35 (d) | 1,365,000 | 1,648,370 | |
5% 10/1/36 (d) | 1,290,000 | 1,555,932 | |
5% 10/1/37 (d) | 1,075,000 | 1,292,677 | |
Series 2019 A, 5% 10/1/54 (d) | 8,380,000 | 10,208,419 | |
Halifax Hosp. Med. Ctr. Rev. Series 2015: | |||
4% 6/1/27 | 240,000 | 264,834 | |
5% 6/1/24 | 45,000 | 49,750 | |
Hillsborough County Port District Series 2018 B, 5% 6/1/38 (d) | 530,000 | 634,379 | |
Jacksonville Sales Tax Rev. Series 2012, 5% 10/1/25 | 170,000 | 176,105 | |
Lake County School Board Ctfs. of Prtn. Series 2014 A: | |||
5% 6/1/27 (Pre-Refunded to 6/1/24 @ 100) | 170,000 | 188,769 | |
5% 6/1/28 (Pre-Refunded to 6/1/24 @ 100) | 170,000 | 188,769 | |
5% 6/1/30 (Pre-Refunded to 6/1/24 @ 100) | 385,000 | 427,507 | |
Miami-Dade County Aviation Rev.: | |||
Series 2012 A: | |||
5% 10/1/22 (d) | 170,000 | 176,053 | |
5% 10/1/23 (d) | 1,325,000 | 1,370,149 | |
5% 10/1/24 (d) | 1,560,000 | 1,613,635 | |
Series 2014 A: | |||
5% 10/1/28 (d) | 860,000 | 958,551 | |
5% 10/1/33 (d) | 1,445,000 | 1,606,829 | |
5% 10/1/36 (d) | 2,730,000 | 3,034,165 | |
5% 10/1/37 | 2,225,000 | 2,483,838 | |
Series 2015 A: | |||
5% 10/1/29 (d) | 275,000 | 315,086 | |
5% 10/1/31 (d) | 230,000 | 263,162 | |
5% 10/1/35 (d) | 945,000 | 1,050,833 | |
Series 2016 A: | |||
5% 10/1/29 | 250,000 | 298,360 | |
5% 10/1/31 | 300,000 | 357,085 | |
Series 2017 B, 5% 10/1/40 (d) | 2,975,000 | 3,542,681 | |
Series 2020 A, 4% 10/1/39 | 1,675,000 | 1,984,461 | |
Miami-Dade County Cap. Asset Acquisition Series 2012 A, 5% 10/1/26 (Pre-Refunded to 10/1/22 @ 100) | 645,000 | 668,112 | |
Miami-Dade County Expressway Auth.: | |||
Series 2014 A, 5% 7/1/44 | 600,000 | 657,722 | |
Series 2014 B: | |||
5% 7/1/26 | 430,000 | 477,101 | |
5% 7/1/27 | 300,000 | 332,308 | |
5% 7/1/28 | 170,000 | 188,263 | |
Series 2016 A: | |||
5% 7/1/32 | 740,000 | 872,163 | |
5% 7/1/33 | 630,000 | 740,997 | |
Miami-Dade County Gen. Oblig. (Bldg. Better Cmntys. Prog.) Series 2016 A: | |||
5% 7/1/24 | 8,545,000 | 9,519,348 | |
5% 7/1/25 | 8,975,000 | 10,367,039 | |
Miami-Dade County School Board Ctfs. of Prtn.: | |||
Series 2015 A: | |||
5% 5/1/27 (FSA Insured) | 135,000 | 154,214 | |
5% 5/1/29 | 700,000 | 796,651 | |
Series 2016 A: | |||
5% 5/1/30 | 1,295,000 | 1,512,957 | |
5% 5/1/32 | 1,720,000 | 2,007,104 | |
Miami-Dade County Wtr. & Swr. Rev. Series 2021, 5% 10/1/32 | 700,000 | 931,070 | |
Orange County Health Facilities Auth.: | |||
Series 2012 A, 5% 10/1/42 (Pre-Refunded to 4/1/22 @ 100) | 2,075,000 | 2,099,149 | |
Series 2016 A, 5% 10/1/44 | 395,000 | 463,015 | |
Orange County School Board Ctfs. of Prtn. Series 2015 C, 5% 8/1/30 (Pre-Refunded to 8/1/25 @ 100) | 1,720,000 | 1,994,745 | |
Palm Beach County Arpt. Sys. Rev. Series 2016: | |||
5% 10/1/23 (d) | 230,000 | 248,370 | |
5% 10/1/24 (d) | 235,000 | 262,679 | |
5% 10/1/27 (d) | 170,000 | 201,735 | |
5% 10/1/29 (d) | 180,000 | 213,252 | |
5% 10/1/30 (d) | 320,000 | 379,585 | |
5% 10/1/31 (d) | 225,000 | 266,548 | |
5% 10/1/32 (d) | 345,000 | 408,164 | |
5% 10/1/33 (d) | 740,000 | 874,999 | |
5% 10/1/34 (d) | 775,000 | 916,905 | |
5% 10/1/35 (d) | 815,000 | 963,833 | |
Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014, 5% 12/1/22 (Escrowed to Maturity) | 115,000 | 120,006 | |
Palm Beach County School Board Ctfs. of Prtn. Series 2015 D: | |||
5% 8/1/28 | 810,000 | 932,715 | |
5% 8/1/29 | 1,030,000 | 1,185,256 | |
Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (a) | 1,465,000 | 1,464,402 | |
South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015: | |||
5% 10/1/29 | 860,000 | 1,007,844 | |
5% 10/1/32 | 1,080,000 | 1,261,731 | |
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017: | |||
4% 8/15/33 | 430,000 | 490,321 | |
5% 8/15/26 | 585,000 | 697,702 | |
5% 8/15/27 | 385,000 | 472,015 | |
5% 8/15/28 | 260,000 | 317,607 | |
5% 8/15/30 | 560,000 | 682,909 | |
5% 8/15/31 | 540,000 | 658,063 | |
5% 8/15/32 | 400,000 | 486,893 | |
5% 8/15/34 | 1,115,000 | 1,356,573 | |
5% 8/15/35 | 740,000 | 899,378 | |
5% 8/15/42 | 1,135,000 | 1,374,712 | |
5% 8/15/47 | 1,685,000 | 2,024,246 | |
Tallahassee Health Facilities Rev.: | |||
(Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/41 | 190,000 | 216,496 | |
Series 2015 A, 5% 12/1/40 | 380,000 | 427,307 | |
Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 B, 5% 7/1/50 | 4,500,000 | 5,582,244 | |
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.): | |||
Series 2012 A: | |||
5% 9/1/22 | 395,000 | 407,287 | |
5% 9/1/25 | 70,000 | 72,111 | |
Series 2020 A: | |||
0% 9/1/37 | 800,000 | 507,324 | |
0% 9/1/49 | 2,600,000 | 958,274 | |
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A: | |||
5% 10/15/44 | 225,000 | 275,943 | |
5% 10/15/49 | 420,000 | 512,199 | |
Volusia County School Board Ctfs. of Prtn.: | |||
(Florida Master Lease Prog.) Series 2016 A: | |||
5% 8/1/29 (Build America Mutual Assurance Insured) | 170,000 | 198,160 | |
5% 8/1/32 (Build America Mutual Assurance Insured) | 860,000 | 997,580 | |
(Master Lease Prog.) Series 2014 B: | |||
5% 8/1/25 | 305,000 | 339,874 | |
5% 8/1/26 | 60,000 | 66,811 | |
TOTAL FLORIDA | 137,270,449 | ||
Georgia - 4.7% | |||
Atlanta Arpt. Rev.: | |||
Series 2014 C, 5% 1/1/29 (d) | 585,000 | 634,007 | |
Series 2019 B, 5% 7/1/25 (d) | 470,000 | 539,022 | |
Atlanta Wtr. & Wastewtr. Rev.: | |||
Series 2015, 5% 11/1/27 | 170,000 | 194,990 | |
Series 2018 B, 5% 11/1/47 | 1,630,000 | 1,992,609 | |
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Vogtle Proj.): | |||
Series 1994, 2.25%, tender 5/25/23 (a) | 2,815,000 | 2,884,787 | |
Series 2013 1st, 2.925%, tender 3/12/24 (a) | 5,290,000 | 5,561,833 | |
Columbus Med. Ctr. Hosp. Auth. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 B, 5%, tender 7/1/29 (a) | 1,700,000 | 2,127,141 | |
Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 | 5,000,000 | 6,215,492 | |
DeKalb County Wtr. & Swr. Rev. Series 2011 A, 5.25% 10/1/36 | 515,000 | 520,555 | |
Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (a) | 900,000 | 982,155 | |
Fulton County Dev. Auth. Rev. Series 2019, 4% 6/15/49 | 375,000 | 432,947 | |
Georgia Muni. Elec. Auth. Pwr. Rev. Series 2021 A: | |||
4% 1/1/35 (FSA Insured) | 1,100,000 | 1,285,633 | |
4% 1/1/37 (FSA Insured) | 655,000 | 762,057 | |
4% 1/1/39 (FSA Insured) | 1,000,000 | 1,159,454 | |
4% 1/1/39 (FSA Insured) | 610,000 | 710,222 | |
4% 1/1/40 (FSA Insured) | 710,000 | 820,248 | |
4% 1/1/41 (FSA Insured) | 510,000 | 591,664 | |
5% 1/1/31 (FSA Insured) | 520,000 | 661,984 | |
5% 1/1/33 (FSA Insured) | 1,000,000 | 1,260,966 | |
5% 1/1/33 (FSA Insured) | 590,000 | 746,505 | |
5% 1/1/34 (FSA Insured) | 885,000 | 1,113,558 | |
5% 1/1/34 (FSA Insured) | 620,000 | 782,777 | |
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.) Series S, 5% 10/1/22 | 590,000 | 610,825 | |
Georgia Road & Thruway Auth. Rev. Series 2020: | |||
5% 6/1/31 | 2,000,000 | 2,612,093 | |
5% 6/1/32 | 3,000,000 | 3,907,976 | |
Glynn-Brunswick Memorial Hosp. Auth. Rev. (Southeast Georgia Health Sys. Proj.) Series 2017: | |||
4% 8/1/43 | 385,000 | 415,960 | |
5% 8/1/39 | 355,000 | 402,534 | |
5% 8/1/43 | 470,000 | 557,024 | |
Hosp. Auth. of Savannah Auth. Rev. Series 2019 A: | |||
4% 7/1/36 | 1,410,000 | 1,635,510 | |
4% 7/1/43 | 1,475,000 | 1,690,016 | |
Main Street Natural Gas, Inc. Bonds: | |||
Series 2018 C, 4%, tender 12/1/23 (a) | 4,415,000 | 4,688,948 | |
Series 2021 A, 4%, tender 9/1/27 (a) | 50,000,000 | 57,785,835 | |
Private Colleges & Univs. Auth. Rev.: | |||
(Savannah College Art & Design, Inc. Proj.) Series 2014, 5% 4/1/24 (Escrowed to Maturity) | 865,000 | 954,209 | |
(The Savannah College of Art & Design Projs.) Series 2021: | |||
4% 4/1/37 | 1,000,000 | 1,187,881 | |
5% 4/1/30 | 550,000 | 706,254 | |
5% 4/1/36 | 560,000 | 723,183 | |
(The Savannah College of Art and Design Projs.) Series 2014: | |||
5% 4/1/25 (Pre-Refunded to 4/1/24 @ 100) | 600,000 | 661,879 | |
5% 4/1/30 (Pre-Refunded to 4/1/24 @ 100) | 345,000 | 380,581 | |
5% 4/1/44 (Pre-Refunded to 4/1/24 @ 100) | 1,155,000 | 1,274,117 | |
Series 2020 B: | |||
4% 9/1/37 | 1,345,000 | 1,617,604 | |
4% 9/1/38 | 1,750,000 | 2,101,008 | |
5% 9/1/25 | 1,240,000 | 1,438,579 | |
5% 9/1/32 | 1,265,000 | 1,661,492 | |
TOTAL GEORGIA | 118,994,114 | ||
Hawaii - 1.4% | |||
Hawaii Arpts. Sys. Rev.: | |||
Series 2015 A: | |||
5% 7/1/41 (d) | 1,290,000 | 1,462,707 | |
5% 7/1/45 (d) | 1,000,000 | 1,133,881 | |
Series 2018 A: | |||
5% 7/1/29 (d) | 220,000 | 271,086 | |
5% 7/1/30 (d) | 260,000 | 317,995 | |
5% 7/1/31 (d) | 250,000 | 305,464 | |
5% 7/1/32 (d) | 260,000 | 317,231 | |
5% 7/1/33 (d) | 260,000 | 317,337 | |
5% 7/1/48 (d) | 14,200,000 | 17,133,716 | |
Hawaii Gen. Oblig. Series 2020 A, 4% 7/1/36 (d) | 210,000 | 250,497 | |
Honolulu City & County Gen. Oblig.: | |||
(Honolulu Rail Transit Proj.) Series 2020 B, 5% 3/1/29 | 6,400,000 | 8,191,616 | |
Series 2022 A: | |||
5% 11/1/24 (b) | 855,000 | 934,317 | |
5% 11/1/25 (b) | 380,000 | 429,425 | |
5% 11/1/27 (b) | 1,525,000 | 1,818,214 | |
State of Hawaii Dept. of Trans. Series 2013: | |||
5% 8/1/22 (d) | 270,000 | 277,315 | |
5.25% 8/1/24 (d) | 345,000 | 370,261 | |
5.25% 8/1/25 (d) | 430,000 | 461,343 | |
TOTAL HAWAII | 33,992,405 | ||
Idaho - 0.0% | |||
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series 2019 A, 4% 1/1/50 | 160,000 | 176,000 | |
Illinois - 13.1% | |||
Boone & Winnebago County Cmnty. Unit School District 200 Series 2002, 0% 1/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 335,000 | 335,000 | |
Chicago Board of Ed.: | |||
Series 2011 A: | |||
5% 12/1/41 | 995,000 | 999,934 | |
5.25% 12/1/41 | 615,000 | 618,137 | |
5.5% 12/1/39 | 1,360,000 | 1,367,202 | |
Series 2012 A, 5% 12/1/42 | 1,585,000 | 1,637,766 | |
Series 2015 C, 5.25% 12/1/39 | 295,000 | 324,951 | |
Series 2016 B, 6.5% 12/1/46 | 140,000 | 171,588 | |
Series 2017 A, 7% 12/1/46 (e) | 480,000 | 618,004 | |
Series 2017 C: | |||
5% 12/1/22 | 455,000 | 473,717 | |
5% 12/1/23 | 390,000 | 422,456 | |
5% 12/1/24 | 990,000 | 1,108,366 | |
5% 12/1/25 | 565,000 | 650,950 | |
5% 12/1/26 | 165,000 | 194,760 | |
5% 12/1/30 | 440,000 | 524,641 | |
Series 2017 D: | |||
5% 12/1/23 | 510,000 | 552,442 | |
5% 12/1/24 | 215,000 | 240,706 | |
5% 12/1/31 | 515,000 | 612,650 | |
Series 2018 A: | |||
5% 12/1/25 | 170,000 | 195,861 | |
5% 12/1/26 | 170,000 | 200,662 | |
5% 12/1/28 | 815,000 | 999,980 | |
5% 12/1/30 | 1,185,000 | 1,443,994 | |
5% 12/1/32 | 200,000 | 242,594 | |
5% 12/1/35 | 170,000 | 205,369 | |
Series 2018 C, 5% 12/1/46 | 1,315,000 | 1,562,729 | |
Series 2019 A: | |||
5% 12/1/28 | 570,000 | 699,372 | |
5% 12/1/30 | 1,155,000 | 1,438,113 | |
5% 12/1/31 | 655,000 | 813,126 | |
5% 12/1/33 | 1,545,000 | 1,909,662 | |
Chicago Gen. Oblig.: | |||
Series 2017 A, 6% 1/1/38 | 1,000,000 | 1,217,972 | |
Series 2020 A: | |||
5% 1/1/29 | 2,965,000 | 3,622,180 | |
5% 1/1/30 | 5,100,000 | 6,312,736 | |
Chicago Midway Arpt. Rev.: | |||
Series 2013 A: | |||
5.375% 1/1/33 (d) | 4,500,000 | 4,706,547 | |
5.5% 1/1/29 (d) | 800,000 | 839,179 | |
Series 2014 A: | |||
5% 1/1/27 (d) | 1,780,000 | 1,934,301 | |
5% 1/1/28 (d) | 3,295,000 | 3,580,629 | |
5% 1/1/33 (d) | 925,000 | 1,001,722 | |
5% 1/1/34 (d) | 450,000 | 486,858 | |
Series 2016 A: | |||
4% 1/1/33 (d) | 1,280,000 | 1,410,867 | |
5% 1/1/28 (d) | 345,000 | 398,355 | |
Series 2016 B: | |||
4% 1/1/35 | 270,000 | 300,386 | |
5% 1/1/36 | 345,000 | 400,988 | |
5% 1/1/37 | 465,000 | 539,677 | |
5% 1/1/46 | 1,220,000 | 1,413,142 | |
Chicago O'Hare Int'l. Arpt. Rev.: | |||
Series 2013 B, 5% 1/1/27 | 1,080,000 | 1,129,655 | |
Series 2013 D, 5% 1/1/27 | 550,000 | 575,287 | |
Series 2015 A: | |||
5% 1/1/31 (d) | 1,040,000 | 1,161,363 | |
5% 1/1/32 (d) | 2,100,000 | 2,344,400 | |
Series 2015 C: | |||
5% 1/1/24 (d) | 245,000 | 266,340 | |
5% 1/1/46 (d) | 410,000 | 456,431 | |
Series 2016 B, 5% 1/1/34 | 1,050,000 | 1,220,149 | |
Series 2016 C: | |||
5% 1/1/33 | 470,000 | 546,194 | |
5% 1/1/34 | 545,000 | 633,316 | |
Series 2016 G: | |||
5% 1/1/37 (d) | 345,000 | 406,586 | |
5% 1/1/42 (d) | 345,000 | 405,243 | |
5.25% 1/1/29 (d) | 60,000 | 71,973 | |
5.25% 1/1/31 (d) | 70,000 | 83,472 | |
Series 2017 A, 5% 1/1/31 | 610,000 | 729,841 | |
Series 2017 B: | |||
5% 1/1/35 | 360,000 | 430,141 | |
5% 1/1/37 | 1,470,000 | 1,751,230 | |
Series 2017 C: | |||
5% 1/1/30 | 105,000 | 125,749 | |
5% 1/1/31 | 105,000 | 125,628 | |
5% 1/1/32 | 110,000 | 131,650 | |
Series 2017 D: | |||
5% 1/1/28 (d) | 515,000 | 612,156 | |
5% 1/1/29 (d) | 430,000 | 510,604 | |
5% 1/1/32 (d) | 465,000 | 550,288 | |
5% 1/1/34 (d) | 700,000 | 828,452 | |
5% 1/1/35 (d) | 515,000 | 608,724 | |
5% 1/1/36 (d) | 640,000 | 755,249 | |
5% 1/1/37 (d) | 345,000 | 406,586 | |
Series 2018 A: | |||
5% 1/1/37 (d) | 3,500,000 | 4,272,441 | |
5% 1/1/39 (d) | 3,420,000 | 4,162,315 | |
5% 1/1/48 (d) | 570,000 | 683,409 | |
5% 1/1/53 (d) | 975,000 | 1,164,299 | |
Chicago O'Hare Int'l. Arpt. Spl. Facilities Rev. Series 2018: | |||
5% 7/1/38 (d) | 455,000 | 538,357 | |
5% 7/1/48 (d) | 3,875,000 | 4,563,199 | |
Chicago Transit Auth.: | |||
Series 2014, 5.25% 12/1/49 | 3,100,000 | 3,474,625 | |
Series 2017, 5% 12/1/46 | 705,000 | 833,467 | |
Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017: | |||
5% 6/1/22 | 350,000 | 356,630 | |
5% 6/1/23 | 310,000 | 329,812 | |
5% 6/1/24 | 50,000 | 55,329 | |
5% 6/1/25 | 50,000 | 57,350 | |
5% 6/1/26 | 40,000 | 47,374 | |
Cook County Forest Preservation District Series 2012 A, 5% 11/15/22 | 345,000 | 359,188 | |
Cook County Gen. Oblig.: | |||
Series 2012 C, 5% 11/15/24 | 1,910,000 | 1,985,884 | |
Series 2016 A: | |||
5% 11/15/26 | 980,000 | 1,179,490 | |
5% 11/15/27 | 480,000 | 575,245 | |
5% 11/15/28 | 630,000 | 751,168 | |
5% 11/15/29 | 780,000 | 928,788 | |
5% 11/15/30 | 860,000 | 1,022,415 | |
Series 2021 A, 5% 11/15/33 | 1,875,000 | 2,443,308 | |
Series 2021 B: | |||
4% 11/15/25 | 735,000 | 828,424 | |
4% 11/15/26 | 375,000 | 431,704 | |
4% 11/15/27 | 380,000 | 444,790 | |
4% 11/15/28 | 190,000 | 225,161 | |
Illinois Fin. Auth. Series 2020 A, 4% 5/15/50 | 6,000,000 | 6,851,060 | |
Illinois Fin. Auth. Rev.: | |||
(Bradley Univ. Proj.) Series 2017 C: | |||
5% 8/1/29 | 210,000 | 250,005 | |
5% 8/1/30 | 155,000 | 183,726 | |
5% 8/1/32 | 210,000 | 247,582 | |
(Depaul Univ. Proj.) Series 2016 A: | |||
4% 10/1/34 | 170,000 | 192,018 | |
5% 10/1/29 | 170,000 | 201,318 | |
5% 10/1/30 | 170,000 | 201,221 | |
5% 10/1/35 | 345,000 | 406,776 | |
(OSF Healthcare Sys.) Series 2018 A: | |||
4.125% 5/15/47 | 5,390,000 | 6,164,803 | |
5% 5/15/43 | 7,175,000 | 8,737,500 | |
(Presence Health Proj.) Series 2016 C: | |||
3.625% 2/15/32 | 200,000 | 223,390 | |
4% 2/15/33 | 45,000 | 51,321 | |
5% 2/15/26 | 525,000 | 618,493 | |
5% 2/15/29 | 1,060,000 | 1,277,216 | |
5% 2/15/36 | 240,000 | 287,001 | |
(Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C, 5% 8/1/46 | 170,000 | 196,398 | |
(Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34 | 85,000 | 96,403 | |
Series 2012 A: | |||
5% 5/15/22 | 375,000 | 381,448 | |
5% 5/15/23 (Pre-Refunded to 5/15/22 @ 100) | 50,000 | 50,885 | |
Series 2012: | |||
4% 9/1/32 (Pre-Refunded to 9/1/22 @ 100) | 1,510,000 | 1,548,165 | |
5% 9/1/32 (Pre-Refunded to 9/1/22 @ 100) | 325,000 | 335,352 | |
5% 9/1/38 (Pre-Refunded to 9/1/22 @ 100) | 4,520,000 | 4,663,970 | |
5% 11/15/43 (Pre-Refunded to 11/15/22 @ 100) | 900,000 | 936,962 | |
Series 2013: | |||
5% 11/15/24 | 85,000 | 88,374 | |
5% 11/15/27 | 15,000 | 15,582 | |
5% 11/15/28 | 495,000 | 513,683 | |
5% 11/15/29 | 240,000 | 249,165 | |
Series 2015 A: | |||
5% 10/1/35 | 3,010,000 | 3,465,535 | |
5% 11/15/45 | 555,000 | 636,371 | |
Series 2015 B, 5% 11/15/27 | 545,000 | 622,599 | |
Series 2015 C: | |||
4.125% 8/15/37 | 150,000 | 163,712 | |
5% 8/15/35 | 1,285,000 | 1,466,701 | |
5% 8/15/44 | 6,275,000 | 7,140,707 | |
Series 2016 A: | |||
5% 8/15/22 (Escrowed to Maturity) | 170,000 | 174,981 | |
5% 8/15/25 (Escrowed to Maturity) | 410,000 | 474,597 | |
5% 7/1/28 | 210,000 | 248,624 | |
5% 2/15/29 | 885,000 | 1,032,317 | |
5% 2/15/30 | 935,000 | 1,086,280 | |
5% 7/1/30 | 120,000 | 140,911 | |
5% 2/15/31 | 755,000 | 874,914 | |
5% 7/1/31 | 215,000 | 252,466 | |
5% 2/15/32 | 730,000 | 844,628 | |
5% 7/1/33 | 110,000 | 129,063 | |
5% 7/1/34 | 860,000 | 1,009,037 | |
5% 8/15/34 (Pre-Refunded to 8/15/26 @ 100) | 110,000 | 131,471 | |
5% 8/15/35 (Pre-Refunded to 8/15/26 @ 100) | 90,000 | 107,567 | |
5% 7/1/36 | 445,000 | 522,118 | |
5% 8/15/36 (Pre-Refunded to 8/15/26 @ 100) | 350,000 | 418,316 | |
5.25% 8/15/31 (Pre-Refunded to 8/15/26 @ 100) | 105,000 | 126,685 | |
Series 2016 B: | |||
5% 8/15/31 | 1,270,000 | 1,526,364 | |
5% 8/15/32 | 1,040,000 | 1,248,614 | |
5% 8/15/34 | 1,295,000 | 1,553,372 | |
5% 8/15/36 | 1,805,000 | 2,161,471 | |
Series 2016 C: | |||
3.75% 2/15/34 | 250,000 | 280,140 | |
4% 2/15/36 | 1,070,000 | 1,212,712 | |
4% 2/15/41 | 2,940,000 | 3,311,829 | |
4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) | 135,000 | 156,407 | |
5% 2/15/24 | 115,000 | 126,214 | |
5% 2/15/30 | 1,335,000 | 1,606,649 | |
5% 2/15/31 | 4,825,000 | 5,799,383 | |
5% 2/15/32 | 760,000 | 912,587 | |
5% 2/15/34 | 605,000 | 725,510 | |
5% 2/15/41 | 1,190,000 | 1,419,075 | |
Series 2016: | |||
4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) | 5,000 | 5,793 | |
5% 5/15/29 | 215,000 | 251,139 | |
5% 12/1/29 | 295,000 | 349,133 | |
5% 5/15/30 | 455,000 | 529,446 | |
5% 12/1/46 | 805,000 | 937,504 | |
Series 2017 A, 5% 8/1/42 | 150,000 | 174,236 | |
Series 2017: | |||
5% 1/1/29 | 575,000 | 692,083 | |
5% 7/1/34 | 965,000 | 1,154,276 | |
5% 7/1/35 | 810,000 | 967,891 | |
Series 2018 A: | |||
4.25% 1/1/44 | 530,000 | 605,368 | |
5% 1/1/38 | 2,140,000 | 2,573,267 | |
5% 1/1/44 | 3,200,000 | 3,815,142 | |
Series 2019, 4% 9/1/35 | 490,000 | 560,753 | |
Illinois Gen. Oblig.: | |||
Series 2012 A, 4% 1/1/23 | 435,000 | 436,195 | |
Series 2012: | |||
5% 3/1/23 | 885,000 | 891,510 | |
5% 8/1/23 | 790,000 | 846,121 | |
Series 2013: | |||
5.5% 7/1/24 | 170,000 | 182,908 | |
5.5% 7/1/25 | 900,000 | 968,336 | |
Series 2014: | |||
5% 2/1/22 | 180,000 | 180,647 | |
5% 2/1/23 | 760,000 | 797,616 | |
5% 2/1/25 | 625,000 | 681,214 | |
5% 2/1/26 | 470,000 | 512,170 | |
5% 4/1/28 | 395,000 | 432,429 | |
5% 5/1/28 | 370,000 | 406,263 | |
5% 2/1/39 | 2,950,000 | 3,195,522 | |
5.25% 2/1/31 | 75,000 | 82,001 | |
Series 2016: | |||
5% 2/1/23 | 310,000 | 325,343 | |
5% 2/1/24 | 3,175,000 | 3,465,664 | |
5% 6/1/25 | 1,515,000 | 1,730,543 | |
5% 11/1/25 | 515,000 | 595,191 | |
5% 6/1/26 | 205,000 | 240,769 | |
5% 2/1/27 | 1,160,000 | 1,384,252 | |
Series 2017 C, 5% 11/1/29 | 1,450,000 | 1,741,891 | |
Series 2017 D: | |||
5% 11/1/25 | 7,545,000 | 8,719,839 | |
5% 11/1/27 | 3,570,000 | 4,320,905 | |
Series 2019 B: | |||
5% 9/1/22 | 970,000 | 999,925 | |
5% 9/1/23 | 990,000 | 1,063,850 | |
5% 9/1/24 | 990,000 | 1,103,585 | |
Series 2021 A: | |||
5% 3/1/34 | 3,530,000 | 4,508,528 | |
5% 3/1/46 | 7,365,000 | 9,145,160 | |
Illinois Hsg. Dev. Auth. Series 2021, 3% 4/1/51 | 3,485,000 | 3,759,675 | |
Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Series 2019, 2.9% 7/1/35 | 1,506,125 | 1,607,704 | |
Illinois Hsg. Dev. Auth. Rev. Series D, 3.75% 4/1/50 | 375,000 | 410,772 | |
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A, 5% 2/1/31 | 700,000 | 805,246 | |
Illinois Toll Hwy. Auth. Toll Hwy. Rev.: | |||
Series 2015 A, 5% 1/1/37 | 1,505,000 | 1,715,385 | |
Series 2016 A: | |||
5% 12/1/31 | 1,210,000 | 1,406,882 | |
5% 12/1/32 | 1,775,000 | 2,061,538 | |
Series 2019 A, 5% 1/1/44 | 470,000 | 583,130 | |
Series A: | |||
5% 1/1/40 | 1,140,000 | 1,461,558 | |
5% 1/1/41 | 3,000,000 | 3,837,625 | |
5% 1/1/45 | 10,130,000 | 12,845,917 | |
Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016: | |||
5% 2/1/34 | 1,205,000 | 1,398,296 | |
5% 2/1/35 | 860,000 | 996,459 | |
5% 2/1/36 | 1,480,000 | 1,712,269 | |
McHenry & Kane Counties Cmnty. Consolidated School District #158 Series 2004, 0% 1/1/24 (FSA Insured) | 880,000 | 864,844 | |
Metropolitan Pier & Exposition: | |||
(McCormick Place Expansion Proj.): | |||
Series 1996 A, 0% 6/15/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,085,000 | 1,072,261 | |
Series 2010 B1: | |||
0% 6/15/43 (FSA Insured) | 10,730,000 | 6,267,173 | |
0% 6/15/45 (FSA Insured) | 5,250,000 | 2,876,422 | |
0% 6/15/47 (FSA Insured) | 625,000 | 322,878 | |
Series 2012 B, 0% 12/15/51 | 2,255,000 | 927,283 | |
Series A: | |||
0% 6/15/22 (Escrowed to Maturity) | 220,000 | 219,656 | |
0% 12/15/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 590,000 | 571,477 | |
Series 1994, 0% 6/15/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,145,000 | 1,029,771 | |
Series 1996 A, 0% 6/15/24 | 525,000 | 512,302 | |
Series 2017 B: | |||
5% 12/15/25 | 170,000 | 197,016 | |
5% 12/15/26 | 570,000 | 679,475 | |
5% 12/15/27 | 60,000 | 73,293 | |
5% 12/15/31 | 115,000 | 137,876 | |
5% 12/15/34 | 70,000 | 83,295 | |
Series 2020 A, 5% 6/15/50 | 1,900,000 | 2,280,054 | |
Series 2020 B, 5% 6/15/42 | 2,305,000 | 2,834,964 | |
Series 2022 A: | |||
0% 12/15/36 (b) | 215,000 | 148,021 | |
0% 12/15/39 (b) | 1,750,000 | 1,085,290 | |
0% 12/15/40 (b) | 1,470,000 | 879,772 | |
0% 12/15/41 (b) | 1,100,000 | 636,065 | |
4% 6/15/52 (b) | 20,000,000 | 22,691,666 | |
Northern Illinois Univ. Revs. Series 2020 B, 5% 4/1/34 (Build America Mutual Assurance Insured) | 1,350,000 | 1,703,231 | |
Railsplitter Tobacco Settlement Auth. Rev. Series 2017: | |||
5% 6/1/27 | 4,130,000 | 4,844,623 | |
5% 6/1/28 | 475,000 | 554,326 | |
Univ. of Illinois Rev.: | |||
Series 2013: | |||
6% 10/1/42 | 945,000 | 1,026,897 | |
6.25% 10/1/38 | 935,000 | 1,021,255 | |
Series 2018 A, 5% 4/1/30 | 715,000 | 882,931 | |
Will County Cmnty. Unit School District #365-U Series 2007 B, 0% 11/1/26 (FSA Insured) | 1,060,000 | 1,010,314 | |
Will County Illinois Series 2016: | |||
5% 11/15/31 (Pre-Refunded to 11/15/25 @ 100) | 280,000 | 327,710 | |
5% 11/15/32 (Pre-Refunded to 11/15/25 @ 100) | 215,000 | 251,634 | |
5% 11/15/33 (Pre-Refunded to 11/15/25 @ 100) | 260,000 | 304,302 | |
5% 11/15/34 (Pre-Refunded to 11/15/25 @ 100) | 260,000 | 304,302 | |
TOTAL ILLINOIS | 330,190,137 | ||
Indiana - 0.7% | |||
Indiana Fin. Auth. Envir. Facilities Rev. Bonds (Indianapolis Pwr. & Lt. Co. Proj.): | |||
Series 2020 A, 0.75%, tender 4/1/26 (a) | 300,000 | 298,643 | |
Series 2020 B, 0.95%, tender 4/1/26 (a)(d) | 475,000 | 472,077 | |
Indiana Fin. Auth. Rev.: | |||
Series 2012, 5% 3/1/30 (Pre-Refunded to 3/1/22 @ 100) | 785,000 | 790,990 | |
Series 2015 A, 5.25% 2/1/32 | 1,215,000 | 1,407,721 | |
Series 2016: | |||
5% 9/1/22 | 50,000 | 51,579 | |
5% 9/1/23 | 75,000 | 80,822 | |
5% 9/1/24 | 115,000 | 128,906 | |
5% 9/1/26 | 225,000 | 269,503 | |
5% 9/1/27 | 110,000 | 130,351 | |
5% 9/1/28 | 530,000 | 625,102 | |
5% 9/1/29 | 260,000 | 306,029 | |
5% 9/1/30 | 240,000 | 281,956 | |
Indiana Fin. Auth. Wastewtr. Util. Rev.: | |||
(CWA Auth. Proj.): | |||
Series 2012 A, 5% 10/1/26 | 440,000 | 455,228 | |
Series 2015 A, 5% 10/1/30 | 830,000 | 931,764 | |
Series 2021 2, 5% 10/1/41 | 1,750,000 | 2,303,812 | |
Indiana Hsg. & Cmnty. Dev. Auth.: | |||
(Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (e) | 610,000 | 635,613 | |
Series 2021 B: | |||
3% 7/1/50 | 560,000 | 602,710 | |
5% 1/1/23 | 500,000 | 523,398 | |
Indianapolis Local Pub. Impt.: | |||
(Courthouse and Jail Proj.) Series 2019 A, 5% 2/1/49 | 1,150,000 | 1,414,392 | |
Series 2016: | |||
4% 1/1/32 (d) | 170,000 | 190,176 | |
4% 1/1/33 (d) | 170,000 | 190,280 | |
4% 1/1/34 (d) | 215,000 | 240,333 | |
4% 1/1/35 (d) | 480,000 | 535,480 | |
5% 1/1/26 (d) | 180,000 | 209,365 | |
Lake Central Multi-District School Bldg. Corp. Series 2012 B, 5% 1/15/30 (Pre-Refunded to 1/15/23 @ 100) | 370,000 | 388,348 | |
Purdue Univ. Rev. Series 2018 DD: | |||
5% 7/1/34 | 205,000 | 254,151 | |
5% 7/1/35 | 405,000 | 501,460 | |
5% 7/1/36 | 440,000 | 543,939 | |
5% 7/1/37 | 410,000 | 506,001 | |
Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.): | |||
Series 2019, 5% 4/1/43 | 1,685,000 | 2,029,350 | |
Series 2020, 4% 4/1/37 | 830,000 | 937,975 | |
Whiting Envir. Facilities Rev. Bonds (BP Products North America, Inc. Proj.) Series 2015, 5%, tender 11/1/22 (a)(d) | 300,000 | 311,532 | |
TOTAL INDIANA | 18,548,986 | ||
Iowa - 0.4% | |||
Iowa Fin. Auth. Rev. Series A: | |||
5% 5/15/43 | 240,000 | 272,907 | |
5% 5/15/48 | 280,000 | 316,729 | |
Iowa Student Ln. Liquidity Corp. Student Ln. Rev. Series 2019 B: | |||
5% 12/1/22 (d) | 400,000 | 416,797 | |
5% 12/1/29 (d) | 1,050,000 | 1,302,803 | |
Tobacco Settlement Auth. Tobacco Settlement Rev.: | |||
Series 2021 A2: | |||
4% 6/1/34 | 1,000,000 | 1,201,732 | |
4% 6/1/36 | 1,000,000 | 1,194,778 | |
4% 6/1/39 | 1,000,000 | 1,184,858 | |
5% 6/1/32 | 900,000 | 1,179,112 | |
Series 2021 B1, 4% 6/1/49 | 1,475,000 | 1,695,445 | |
TOTAL IOWA | 8,765,161 | ||
Kansas - 0.1% | |||
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A: | |||
5% 9/1/40 | 775,000 | 889,186 | |
5% 9/1/45 | 1,170,000 | 1,335,755 | |
TOTAL KANSAS | 2,224,941 | ||
Kentucky - 1.1% | |||
Kenton County Arpt. Board Arpt. Rev. Series 2016: | |||
5% 1/1/22 | 125,000 | 125,000 | |
5% 1/1/23 | 75,000 | 78,540 | |
5% 1/1/28 | 275,000 | 320,581 | |
5% 1/1/31 | 260,000 | 302,707 | |
5% 1/1/32 | 260,000 | 302,447 | |
Kentucky Econ. Dev. Fin. Auth. Series 2019 A2, 5% 8/1/49 | 3,160,000 | 3,856,622 | |
Kentucky State Property & Buildings Commission Rev.: | |||
(Proj. No. 119) Series 2018: | |||
5% 5/1/26 | 175,000 | 207,227 | |
5% 5/1/27 | 505,000 | 614,204 | |
5% 5/1/29 | 935,000 | 1,156,262 | |
5% 5/1/32 | 245,000 | 302,178 | |
5% 5/1/33 | 190,000 | 235,061 | |
5% 5/1/34 | 215,000 | 265,783 | |
5% 5/1/35 | 130,000 | 159,685 | |
5% 5/1/36 | 110,000 | 134,890 | |
Series B, 5% 8/1/23 | 1,205,000 | 1,293,065 | |
Kentucky, Inc. Pub. Energy: | |||
Bonds Series A, 4%, tender 6/1/26 (a) | 9,405,000 | 10,630,137 | |
Series A, 4% 6/1/24 | 500,000 | 540,216 | |
Louisville & Jefferson County: | |||
Bonds: | |||
Series 2020 B, 5%, tender 10/1/23 (a) | 1,270,000 | 1,371,845 | |
Series 2020 C, 5%, tender 10/1/26 (a) | 435,000 | 520,723 | |
Series 2020 D, 5%, tender 10/1/29 (a) | 525,000 | 670,836 | |
Series 2013 A: | |||
5.5% 10/1/33 | 585,000 | 633,906 | |
5.75% 10/1/38 | 1,510,000 | 1,641,381 | |
Series 2020 A, 5% 10/1/37 | 1,220,000 | 1,528,399 | |
TOTAL KENTUCKY | 26,891,695 | ||
Louisiana - 0.6% | |||
Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 5% 7/1/47 | 500,000 | 592,431 | |
Louisiana Pub. Facilities Auth. Rev. (Tulane Univ. of Louisiana Proj.) Series 2016 A: | |||
5% 12/15/24 | 260,000 | 293,735 | |
5% 12/15/25 | 535,000 | 625,289 | |
5% 12/15/26 | 215,000 | 258,934 | |
5% 12/15/28 | 345,000 | 412,496 | |
5% 12/15/29 | 245,000 | 292,138 | |
5% 12/15/30 | 480,000 | 571,764 | |
New Orleans Aviation Board Rev.: | |||
(North Term. Proj.): | |||
Series 2015 B: | |||
5% 1/1/27 (d) | 240,000 | 269,899 | |
5% 1/1/29 (d) | 895,000 | 1,004,517 | |
5% 1/1/30 (d) | 1,205,000 | 1,349,409 | |
5% 1/1/31 (d) | 430,000 | 480,179 | |
5% 1/1/40 (d) | 4,600,000 | 5,129,581 | |
Series 2017 B: | |||
5% 1/1/27 (d) | 70,000 | 83,616 | |
5% 1/1/28 (d) | 40,000 | 47,610 | |
5% 1/1/32 (d) | 70,000 | 82,839 | |
5% 1/1/33 (d) | 120,000 | 142,159 | |
5% 1/1/34 (d) | 35,000 | 41,423 | |
5% 1/1/35 (d) | 70,000 | 82,739 | |
5% 1/1/37 (d) | 1,000,000 | 1,181,163 | |
Series 2017 D2: | |||
5% 1/1/27 (d) | 85,000 | 101,534 | |
5% 1/1/28 (d) | 125,000 | 148,782 | |
5% 1/1/31 (d) | 110,000 | 129,844 | |
5% 1/1/33 (d) | 175,000 | 207,315 | |
5% 1/1/34 (d) | 210,000 | 248,536 | |
5% 1/1/36 (d) | 160,000 | 189,152 | |
5% 1/1/37 (d) | 265,000 | 313,008 | |
TOTAL LOUISIANA | 14,280,092 | ||
Maine - 0.5% | |||
Maine Health & Higher Edl. Facilities Auth. Rev.: | |||
(Eastern Maine Healthcare Systems Proj.) Series 2013, 5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) | 800,000 | 856,008 | |
Series 2013, 5% 7/1/25 (Pre-Refunded to 7/1/23 @ 100) | 305,000 | 326,353 | |
Series 2016 A: | |||
4% 7/1/41 | 405,000 | 444,998 | |
4% 7/1/46 | 555,000 | 606,481 | |
5% 7/1/41 | 1,790,000 | 2,058,919 | |
5% 7/1/46 | 4,775,000 | 5,462,793 | |
Series 2017 B: | |||
4% 7/1/25 | 75,000 | 83,571 | |
4% 7/1/31 | 120,000 | 136,087 | |
4% 7/1/32 | 85,000 | 96,227 | |
4% 7/1/34 | 175,000 | 197,629 | |
5% 7/1/26 | 55,000 | 65,089 | |
5% 7/1/28 | 90,000 | 108,729 | |
5% 7/1/29 | 70,000 | 84,290 | |
5% 7/1/33 | 170,000 | 203,328 | |
5% 7/1/35 | 130,000 | 155,276 | |
Maine Tpk. Auth. Tpk. Rev. Series 2015: | |||
5% 7/1/32 | 180,000 | 206,770 | |
5% 7/1/36 | 450,000 | 514,743 | |
5% 7/1/38 | 115,000 | 131,119 | |
TOTAL MAINE | 11,738,410 | ||
Maryland - 2.5% | |||
Anne Arundel County Gen. Oblig. Series 2021: | |||
5% 10/1/26 | 2,230,000 | 2,688,195 | |
5% 4/1/27 | 2,490,000 | 3,044,660 | |
5% 4/1/27 | 8,780,000 | 10,735,788 | |
5% 4/1/28 | 2,495,000 | 3,133,351 | |
5% 4/1/28 | 4,220,000 | 5,299,696 | |
Baltimore Proj. Rev.: | |||
(Wtr. Proj.) Series 2020 A, 4% 7/1/45 | 2,000,000 | 2,368,785 | |
(Wtr. Projs.) Series 2020 A, 5% 7/1/50 | 2,200,000 | 2,788,221 | |
City of Westminster Series 2016: | |||
5% 11/1/27 | 445,000 | 528,323 | |
5% 11/1/28 | 475,000 | 561,313 | |
5% 11/1/29 | 500,000 | 588,290 | |
5% 11/1/30 | 530,000 | 621,199 | |
Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25 | 495,000 | 495,270 | |
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev. Series 2019 B, 4% 9/1/49 | 700,000 | 764,357 | |
Maryland Dept. of Trans. Series 2021 B: | |||
4% 8/1/51 (d) | 1,800,000 | 2,097,004 | |
5% 8/1/46 (d) | 4,000,000 | 5,069,255 | |
Maryland Econ. Dev. Auth. Rev. (Ports America Chesapeake LLC. Proj.) Series 2017 A: | |||
5% 6/1/30 | 215,000 | 261,865 | |
5% 6/1/35 | 345,000 | 415,544 | |
Maryland Gen. Oblig.: | |||
Series 2021 2A, 5% 8/1/28 | 5,720,000 | 7,249,536 | |
Series 2022 2C, 4% 3/1/29 (b) | 4,290,000 | 5,120,878 | |
Maryland Health & Higher Edl. Series 2021 A: | |||
5% 6/1/29 | 180,000 | 224,103 | |
5% 6/1/33 | 450,000 | 576,855 | |
Maryland Health & Higher Edl. Facilities Auth. Rev.: | |||
(Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 | 550,000 | 663,249 | |
Series 2015, 5% 7/1/24 | 130,000 | 144,617 | |
Series 2016 A: | |||
4% 7/1/42 | 295,000 | 322,231 | |
5% 7/1/35 | 120,000 | 139,892 | |
Prince Georges County Ctfs. of Prtn. Series 2021: | |||
5% 10/1/27 | 2,460,000 | 3,042,891 | |
5% 10/1/28 | 3,600,000 | 4,562,835 | |
TOTAL MARYLAND | 63,508,203 | ||
Massachusetts - 6.0% | |||
Massachusetts Bay Trans. Auth. Sales Tax Rev. Series 2021 A1, 5% 7/1/34 | 3,740,000 | 4,985,402 | |
Massachusetts Commonwealth Trans. Fund Rev.: | |||
(Rail Enhancement Prog.) Series 2021 B, 5% 6/1/37 | 5,115,000 | 6,358,420 | |
Series 2021 A, 5% 6/1/51 | 8,150,000 | 10,300,202 | |
Massachusetts Dev. Fin. Agcy. Rev.: | |||
(Lesley Univ. Proj.) Series 2016, 5% 7/1/39 | 285,000 | 333,105 | |
(Partners Healthcare Sys., Inc. Proj.): | |||
Series 2017 S: | |||
5% 7/1/30 | 670,000 | 825,302 | |
5% 7/1/34 | 725,000 | 890,610 | |
Series 2017, 4% 7/1/41 | 1,720,000 | 1,965,891 | |
(Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L, 4% 7/1/44 | 170,000 | 190,319 | |
(Wentworth Institute of Technology Proj.) Series 2017: | |||
5% 10/1/27 | 175,000 | 207,132 | |
5% 10/1/28 | 180,000 | 212,601 | |
5% 10/1/29 | 190,000 | 223,363 | |
5% 10/1/31 | 210,000 | 245,484 | |
5% 10/1/32 | 220,000 | 256,834 | |
Series 2016: | |||
5% 10/1/29 | 170,000 | 202,448 | |
5% 10/1/30 | 260,000 | 309,744 | |
5% 7/1/31 | 290,000 | 338,720 | |
5% 10/1/31 | 280,000 | 333,279 | |
5% 10/1/43 | 1,500,000 | 1,736,190 | |
Series 2019, 5% 9/1/59 | 4,040,000 | 4,948,112 | |
Series 2020 A: | |||
4% 7/1/45 | 3,170,000 | 3,632,853 | |
5% 10/15/26 | 10,750,000 | 12,974,147 | |
5% 10/15/28 | 1,500,000 | 1,913,154 | |
5% 10/15/29 | 5,000,000 | 6,530,369 | |
5% 10/15/30 | 5,000,000 | 6,684,646 | |
Series 2021 V, 5% 7/1/55 | 5,435,000 | 8,938,815 | |
Series BB1, 5% 10/1/46 | 70,000 | 83,512 | |
Series J2, 5% 7/1/53 | 7,000,000 | 8,428,658 | |
Series M: | |||
4% 10/1/50 | 3,170,000 | 3,616,709 | |
5% 10/1/45 | 2,390,000 | 2,940,250 | |
Massachusetts Edl. Fing. Auth. Rev.: | |||
Series 2016 J, 5% 7/1/22 (d) | 955,000 | 977,109 | |
Series 2016, 5% 7/1/24 (d) | 1,400,000 | 1,535,776 | |
Series 2019 B, 5% 7/1/27 (d) | 675,000 | 802,603 | |
Massachusetts Gen. Oblig.: | |||
Series 2017 A: | |||
5% 4/1/36 | 365,000 | 443,413 | |
5% 4/1/42 | 1,380,000 | 1,669,116 | |
Series 2019 A, 5% 1/1/49 | 1,000,000 | 1,240,815 | |
Series 2019 C, 5% 5/1/49 | 1,560,000 | 1,952,670 | |
Series E: | |||
5% 11/1/45 | 1,345,000 | 1,724,708 | |
5% 11/1/50 | 11,920,000 | 15,200,763 | |
Massachusetts Health & Edl. Facilities Auth. Rev. (Blood Research Institute Proj.) Series A, 6.5% 2/1/22 | 55,000 | 55,243 | |
Massachusetts Hsg. Fin. Auth. Series 2021 223, 3% 6/1/47 | 2,875,000 | 3,104,403 | |
Massachusetts Port Auth. Rev.: | |||
Series 2016 A: | |||
5% 7/1/33 | 360,000 | 426,392 | |
5% 7/1/34 | 185,000 | 219,162 | |
5% 7/1/38 | 270,000 | 319,949 | |
Series 2016 B, 5% 7/1/43 (d) | 1,480,000 | 1,732,781 | |
Series 2019 A, 5% 7/1/40 (d) | 500,000 | 618,505 | |
Series 2021 E: | |||
5% 7/1/37 (d) | 4,100,000 | 5,320,777 | |
5% 7/1/41 (d) | 6,955,000 | 8,954,369 | |
5% 7/1/46 (d) | 1,325,000 | 1,688,265 | |
5% 7/1/51 (d) | 9,000,000 | 11,413,107 | |
Massachusetts Port Auth. Spl. Facilities Rev. (Bosfuel Proj.) Series 2019 A, 5% 7/1/49 (d) | 1,485,000 | 1,809,030 | |
TOTAL MASSACHUSETTS | 151,815,227 | ||
Michigan - 1.5% | |||
Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (FSA Insured) | 405,000 | 445,226 | |
Detroit Gen. Oblig. Series 2021 A, 5% 4/1/46 | 550,000 | 672,525 | |
Detroit School District School Bldg. and Site Impt. Series 2012 A, 5% 5/1/23 | 690,000 | 700,564 | |
Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2018 A: | |||
5% 7/1/43 | 420,000 | 510,519 | |
5% 7/1/48 | 1,815,000 | 2,193,707 | |
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016, 5% 5/15/28 | 405,000 | 478,816 | |
Michigan Bldg. Auth. Rev. Series 2015 I: | |||
5% 4/15/30 | 820,000 | 950,205 | |
5% 4/15/30 (Pre-Refunded to 10/15/25 @ 100) | 40,000 | 46,765 | |
Michigan Fin. Auth. Rev.: | |||
(Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018, 5% 11/1/43 | 535,000 | 653,975 | |
(Trinity Health Proj.) Series 2017, 5% 12/1/42 | 445,000 | 543,186 | |
Series 2012, 5% 11/15/42 | 1,785,000 | 1,851,899 | |
Series 2015 A, 5% 8/1/32 | 570,000 | 633,155 | |
Series 2015 MI, 5% 12/1/24 | 765,000 | 865,414 | |
Series 2016, 5% 11/15/41 | 325,000 | 382,972 | |
Series 2020 A, 4% 6/1/49 | 765,000 | 873,505 | |
Series 2021: | |||
4% 9/1/39 | 600,000 | 701,182 | |
4% 9/1/40 | 600,000 | 699,928 | |
4% 9/1/41 | 500,000 | 581,861 | |
Series MI, 5.5% 12/1/27 | 820,000 | 952,828 | |
Michigan Hosp. Fin. Auth. Rev.: | |||
Series 2008 C: | |||
5% 12/1/32 | 230,000 | 282,836 | |
5% 12/1/32 (Pre-Refunded to 12/1/27 @ 100) | 25,000 | 30,948 | |
Series 2012 A, 5% 6/1/26 | 345,000 | 351,622 | |
Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series A, 3.5% 12/1/50 | 645,000 | 702,326 | |
Oakland Univ. Rev. Series 2019: | |||
5% 3/1/40 | 1,020,000 | 1,266,376 | |
5% 3/1/41 | 1,075,000 | 1,333,033 | |
5% 3/1/44 | 2,100,000 | 2,590,586 | |
5% 3/1/50 | 3,400,000 | 4,182,105 | |
Portage Pub. Schools Series 2016: | |||
5% 11/1/30 | 490,000 | 577,939 | |
5% 11/1/31 | 435,000 | 512,662 | |
5% 11/1/36 | 45,000 | 52,720 | |
Univ. of Michigan Rev.: | |||
Series 2017 A, 5% 4/1/24 | 1,085,000 | 1,198,186 | |
Series 2020 A, 4% 4/1/45 | 1,500,000 | 1,785,495 | |
Wayne County Arpt. Auth. Rev.: | |||
Series 2015 F, 5% 12/1/27 (d) | 1,205,000 | 1,398,493 | |
Series 2015 G, 5% 12/1/28 (d) | 945,000 | 1,094,371 | |
Series 2017 A: | |||
4% 12/1/33 (FSA Insured) | 255,000 | 292,318 | |
4% 12/1/34 (FSA Insured) | 210,000 | 240,374 | |
4% 12/1/35 (FSA Insured) | 205,000 | 233,933 | |
4% 12/1/36 (FSA Insured) | 215,000 | 245,073 | |
5% 12/1/31 | 65,000 | 79,049 | |
5% 12/1/32 | 65,000 | 78,933 | |
5% 12/1/34 | 120,000 | 146,872 | |
5% 12/1/35 | 110,000 | 134,580 | |
5% 12/1/37 | 75,000 | 91,278 | |
Series 2017 B: | |||
5% 12/1/29 (d) | 105,000 | 127,495 | |
5% 12/1/30 (d) | 120,000 | 145,141 | |
5% 12/1/31 (d) | 140,000 | 169,370 | |
5% 12/1/32 (d) | 90,000 | 109,463 | |
5% 12/1/32 (d) | 110,000 | 133,579 | |
5% 12/1/34 (d) | 105,000 | 127,374 | |
5% 12/1/35 (d) | 110,000 | 133,456 | |
5% 12/1/37 (d) | 145,000 | 174,999 | |
5% 12/1/42 (d) | 170,000 | 204,704 | |
Series 2018 B, 5% 12/1/48 (d) | 1,000,000 | 1,216,201 | |
Series 2018 D, 5% 12/1/29 (d) | 800,000 | 994,403 | |
TOTAL MICHIGAN | 37,176,525 | ||
Minnesota - 0.1% | |||
Maple Grove Health Care Sys. Rev.: | |||
Series 2015, 5% 9/1/29 | 485,000 | 550,549 | |
Series 2017, 5% 5/1/25 | 140,000 | 159,677 | |
Minnesota Higher Ed. Facilities Auth. Rev. Series 2018 A: | |||
5% 10/1/30 | 130,000 | 159,424 | |
5% 10/1/45 | 285,000 | 340,001 | |
Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 | 205,000 | 224,589 | |
Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (a)(e) | 1,255,000 | 1,345,521 | |
TOTAL MINNESOTA | 2,779,761 | ||
Mississippi - 0.1% | |||
Mississippi Home Corp. Series 2021 B: | |||
3% 6/1/51 | 1,455,000 | 1,570,416 | |
5% 6/1/27 | 720,000 | 874,223 | |
TOTAL MISSISSIPPI | 2,444,639 | ||
Missouri - 0.3% | |||
Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A: | |||
5% 3/1/30 | 120,000 | 140,899 | |
5% 3/1/31 | 130,000 | 152,171 | |
5% 3/1/36 | 260,000 | 302,254 | |
Kansas City Indl. Dev. Auth. (Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2019 B, 5% 3/1/38 (d) | 500,000 | 613,446 | |
Kansas City Spl. Oblig. (Downtown Streetcar Proj.) Series 2014 A: | |||
5% 9/1/26 | 205,000 | 205,731 | |
5% 9/1/27 | 85,000 | 85,302 | |
5% 9/1/28 | 170,000 | 170,603 | |
5% 9/1/29 | 170,000 | 170,602 | |
5% 9/1/30 | 240,000 | 240,848 | |
Missouri Health & Edl. Facilities Rev. Series 2015 B: | |||
3.125% 2/1/27 | 170,000 | 182,862 | |
3.25% 2/1/28 | 170,000 | 183,004 | |
4% 2/1/40 | 140,000 | 153,384 | |
5% 2/1/29 | 215,000 | 245,605 | |
5% 2/1/31 | 445,000 | 504,813 | |
5% 2/1/33 | 495,000 | 558,747 | |
5% 2/1/36 | 465,000 | 521,417 | |
Missouri Hsg. Dev. Commission Single Family Mtg. Rev.: | |||
Series 2019, 4% 5/1/50 | 175,000 | 192,212 | |
Series 2021 A, 3% 5/1/52 | 2,650,000 | 2,856,279 | |
Saint Louis Arpt. Rev. Series 2012, 5% 7/1/32 (d) | 605,000 | 618,551 | |
Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A, 5.125% 9/1/48 | 255,000 | 284,761 | |
TOTAL MISSOURI | 8,383,491 | ||
Montana - 0.0% | |||
Montana Board Hsg. Single Family: | |||
Series 2017 B, 4% 12/1/48 (d) | 165,000 | 172,617 | |
Series 2019 B, 4% 6/1/50 | 100,000 | 111,387 | |
TOTAL MONTANA | 284,004 | ||
Nebraska - 0.4% | |||
Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (a) | 5,825,000 | 6,466,482 | |
Douglas County Neb Edl. Facilities Rev. (Creighton Univ. Proj.) Series 2017: | |||
4% 7/1/34 | 170,000 | 194,294 | |
5% 7/1/36 | 120,000 | 144,619 | |
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.: | |||
Series 2019 B, 4% 9/1/49 (d) | 530,000 | 574,467 | |
Series 2019 E, 3.75% 9/1/49 (d) | 595,000 | 634,327 | |
Nebraska Pub. Pwr. District Rev. Series 2016 B: | |||
5% 1/1/37 | 425,000 | 493,616 | |
5% 1/1/40 | 195,000 | 225,805 | |
Omaha Arpt. Auth. Arpt. Rev. Series 2017 A: | |||
5% 12/15/22 (d) | 130,000 | 135,879 | |
5% 12/15/23 (d) | 130,000 | 141,218 | |
5% 12/15/25 (d) | 70,000 | 81,456 | |
5% 12/15/26 (d) | 250,000 | 299,606 | |
5% 12/15/27 (d) | 170,000 | 203,019 | |
5% 12/15/30 (d) | 260,000 | 309,982 | |
5% 12/15/31 (d) | 135,000 | 160,776 | |
5% 12/15/33 (d) | 140,000 | 166,513 | |
5% 12/15/35 (d) | 345,000 | 410,605 | |
5% 12/15/36 (d) | 85,000 | 101,209 | |
TOTAL NEBRASKA | 10,743,873 | ||
Nevada - 0.6% | |||
Clark County Arpt. Rev.: | |||
Series 2014 A2, 5% 7/1/30 | 485,000 | 537,615 | |
Series 2019 A, 5% 7/1/26 | 1,935,000 | 2,303,149 | |
Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev. (Clark County Arpt. Rev. Proj.) Series 2017 B, 5% 7/1/22 (d) | 385,000 | 393,874 | |
Clark County Poll. Cont. Rev. Bonds Series 2017, 1.65%, tender 3/31/23 (a) | 1,035,000 | 1,050,589 | |
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig. Series 2016 B, 5% 6/1/36 | 780,000 | 919,328 | |
Nevada Hsg. Division Single Family Mtg. Rev.: | |||
Series 2019 B, 4% 10/1/49 | 305,000 | 333,722 | |
Series 2021 B, 3% 10/1/51 | 8,635,000 | 9,402,103 | |
TOTAL NEVADA | 14,940,380 | ||
New Hampshire - 0.8% | |||
Nat'l. Fin. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2021 B, 5% 8/15/26 | 655,000 | 777,584 | |
Nat'l. Finnance Auth. Series 2020 1, 4.125% 1/20/34 | 1,470,078 | 1,750,148 | |
New Hampshire Health & Ed. Facilities Auth.: | |||
(Concord Hosp.) Series 2017, 5% 10/1/42 | 515,000 | 613,829 | |
(Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A: | |||
5% 8/1/28 | 210,000 | 259,044 | |
5% 8/1/29 | 185,000 | 226,891 | |
5% 8/1/30 | 170,000 | 208,295 | |
(Partners Healthcare Sys., Inc. Proj.) Series 2017: | |||
5% 7/1/30 | 440,000 | 541,989 | |
5% 7/1/32 | 660,000 | 811,590 | |
5% 7/1/33 | 600,000 | 737,646 | |
5% 7/1/34 | 920,000 | 1,130,153 | |
5% 7/1/35 | 965,000 | 1,183,388 | |
5% 7/1/36 | 1,015,000 | 1,242,219 | |
5% 7/1/37 | 890,000 | 1,087,530 | |
Series 2017, 5% 7/1/44 | 2,265,000 | 2,620,506 | |
New Hampshire Health & Ed. Facilities Auth. Rev.: | |||
(Covenant Health Sys., Inc. Proj.) Series 2012, 5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) | 65,000 | 66,502 | |
Series 2012: | |||
4% 7/1/32 | 475,000 | 480,428 | |
5% 7/1/24 | 170,000 | 173,601 | |
5% 7/1/25 | 205,000 | 209,245 | |
5% 7/1/27 | 85,000 | 86,663 | |
Series 2016: | |||
4% 10/1/38 | 415,000 | 458,322 | |
5% 10/1/22 | 185,000 | 191,502 | |
5% 10/1/24 | 365,000 | 408,309 | |
5% 10/1/25 | 360,000 | 416,501 | |
5% 10/1/29 | 1,150,000 | 1,356,011 | |
5% 10/1/31 | 895,000 | 1,049,381 | |
5% 10/1/33 | 695,000 | 813,004 | |
5% 10/1/38 | 1,285,000 | 1,496,561 | |
TOTAL NEW HAMPSHIRE | 20,396,842 | ||
New Jersey - 4.4% | |||
Atlantic County Impt. Auth. (Atlantic City Campus Proj.) Series 2016 A: | |||
5% 7/1/28 (FSA Insured) | 180,000 | 210,935 | |
5% 7/1/30 (FSA Insured) | 435,000 | 507,261 | |
5% 7/1/32 (FSA Insured) | 215,000 | 249,692 | |
5% 7/1/33 (FSA Insured) | 225,000 | 260,879 | |
New Jersey Econ. Dev. Auth.: | |||
(White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (e) | 260,000 | 266,015 | |
Series A: | |||
5% 11/1/31 | 2,265,000 | 2,854,056 | |
5% 11/1/36 | 2,530,000 | 3,141,958 | |
New Jersey Econ. Dev. Auth. Rev.: | |||
(Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (e) | 230,000 | 236,674 | |
(New Jersey Gen. Oblig. Proj.): | |||
Series 2015 XX, 5% 6/15/25 | 2,265,000 | 2,592,878 | |
Series 2017 B, 5% 11/1/23 | 3,100,000 | 3,354,050 | |
Series 2013 NN: | |||
5% 3/1/27 | 13,685,000 | 14,395,581 | |
5% 3/1/29 | 430,000 | 452,224 | |
Series 2013: | |||
5% 3/1/24 | 3,100,000 | 3,262,013 | |
5% 3/1/25 | 380,000 | 399,828 | |
Series 2014 PP, 5% 6/15/26 | 1,100,000 | 1,217,118 | |
Series 2014 RR, 5% 6/15/32 | 245,000 | 270,899 | |
Series 2014 UU, 5% 6/15/30 (Pre-Refunded to 6/15/24 @ 100) | 305,000 | 337,635 | |
Series 2015 XX: | |||
5% 6/15/26 | 275,000 | 314,131 | |
5.25% 6/15/27 | 2,925,000 | 3,372,181 | |
Series 2016 AAA: | |||
5.5% 6/15/31 (Pre-Refunded to 12/15/26 @ 100) | 345,000 | 422,433 | |
5.5% 6/15/32 (Pre-Refunded to 12/15/26 @ 100) | 860,000 | 1,053,021 | |
Series LLL, 5% 6/15/44 | 1,140,000 | 1,394,628 | |
New Jersey Econ. Dev. Auth. Wtr. Facilities Rev. Bonds (New Jersey-American Wtr. Co., Inc.) Series 2020, 1.2%, tender 6/1/23 (a)(d) | 8,000,000 | 8,059,022 | |
New Jersey Edl. Facility Series 2016 A: | |||
5% 7/1/31 | 360,000 | 423,243 | |
5% 7/1/32 | 415,000 | 487,805 | |
New Jersey Gen. Oblig. Series 2020 A: | |||
4% 6/1/30 | 985,000 | 1,194,585 | |
4% 6/1/31 | 370,000 | 455,333 | |
4% 6/1/32 | 250,000 | 312,085 | |
5% 6/1/29 | 1,110,000 | 1,409,593 | |
New Jersey Health Care Facilities Fing. Auth. Rev.: | |||
Series 2016 A: | |||
5% 7/1/22 | 60,000 | 61,329 | |
5% 7/1/23 | 200,000 | 213,101 | |
5% 7/1/24 | 330,000 | 365,019 | |
5% 7/1/25 | 345,000 | 394,894 | |
5% 7/1/26 | 190,000 | 224,209 | |
5% 7/1/26 | 60,000 | 70,803 | |
5% 7/1/27 | 130,000 | 155,370 | |
5% 7/1/27 | 85,000 | 100,141 | |
5% 7/1/28 | 65,000 | 77,526 | |
5% 7/1/29 | 120,000 | 140,899 | |
5% 7/1/29 | 85,000 | 99,803 | |
5% 7/1/30 | 170,000 | 201,929 | |
5% 7/1/30 | 145,000 | 169,827 | |
Series 2016: | |||
4% 7/1/48 | 500,000 | 549,237 | |
5% 7/1/41 | 625,000 | 721,248 | |
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.: | |||
Series 2017 1A: | |||
5% 12/1/22 (d) | 210,000 | 218,720 | |
5% 12/1/23 (d) | 350,000 | 379,636 | |
5% 12/1/26 (d) | 915,000 | 1,086,171 | |
Series 2018 B: | |||
5% 12/1/25 (d) | 725,000 | 839,597 | |
5% 12/1/26 (d) | 1,045,000 | 1,240,491 | |
Series 2019 A: | |||
5% 12/1/23 | 310,000 | 336,745 | |
5% 12/1/24 | 180,000 | 202,678 | |
5% 12/1/25 | 330,000 | 382,852 | |
Series 2020: | |||
5% 12/1/24 (d) | 1,450,000 | 1,630,443 | |
5% 12/1/24 (d) | 690,000 | 775,866 | |
5% 12/1/27 (d) | 570,000 | 690,488 | |
5% 12/1/28 (d) | 1,000,000 | 1,234,850 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2015 E, 5% 1/1/34 | 795,000 | 893,789 | |
Series D, 5% 1/1/28 | 840,000 | 989,474 | |
New Jersey Trans. Trust Fund Auth.: | |||
(Trans. Prog.) Series 2019 AA, 5.25% 6/15/43 | 4,970,000 | 6,099,540 | |
Series 2005 B, 5.25% 12/15/22 (AMBAC Insured) | 70,000 | 73,269 | |
Series 2010 A, 0% 12/15/27 | 2,350,000 | 2,151,488 | |
Series 2014 AA, 5% 6/15/24 | 1,720,000 | 1,903,129 | |
Series 2014 BB2, 5% 6/15/33 | 4,365,000 | 5,667,797 | |
Series 2016 A: | |||
5% 6/15/27 | 465,000 | 548,928 | |
5% 6/15/28 | 1,905,000 | 2,238,180 | |
5% 6/15/29 | 385,000 | 451,484 | |
Series 2016 A-2, 5% 6/15/23 | 925,000 | 986,230 | |
Series 2022 A: | |||
4% 6/15/40 (b) | 750,000 | 869,882 | |
4% 6/15/41 (b) | 3,225,000 | 3,728,918 | |
Series 2022 AA: | |||
5% 6/15/29 (b) | 1,000,000 | 1,240,593 | |
5% 6/15/30 (b) | 5,530,000 | 6,991,728 | |
Series AA: | |||
4% 6/15/36 | 950,000 | 1,112,194 | |
4% 6/15/45 | 2,105,000 | 2,416,302 | |
5% 6/15/29 | 385,000 | 393,132 | |
5% 6/15/38 | 1,070,000 | 1,352,550 | |
5% 6/15/45 | 470,000 | 583,674 | |
Series BB, 5% 6/15/33 | 4,300,000 | 5,301,825 | |
TOTAL NEW JERSEY | 111,465,734 | ||
New Mexico - 0.4% | |||
New Mexico Edl. Assistance Foundation Series 2021 1A: | |||
5% 9/1/23 (d) | 1,810,000 | 1,946,736 | |
5% 9/1/24 (d) | 1,000,000 | 1,116,686 | |
5% 9/1/26 (d) | 3,225,000 | 3,826,989 | |
5% 9/1/27 (d) | 1,520,000 | 1,846,920 | |
5% 9/1/29 (d) | 600,000 | 756,753 | |
New Mexico Mtg. Fin. Auth. Series 2019 D, 3.75% 1/1/50 | 435,000 | 475,138 | |
Santa Fe Retirement Fac.: | |||
Series 2019 A: | |||
2.25% 5/15/24 | 35,000 | 35,027 | |
5% 5/15/34 | 65,000 | 73,659 | |
5% 5/15/39 | 50,000 | 56,326 | |
5% 5/15/44 | 50,000 | 55,993 | |
5% 5/15/49 | 100,000 | 111,676 | |
Series 2019 B1, 2.625% 5/15/25 | 55,000 | 55,055 | |
TOTAL NEW MEXICO | 10,356,958 | ||
New York - 7.7% | |||
Dorm. Auth. New York Univ. Rev.: | |||
(Fordham Univ. Proj.) Series 2017: | |||
4% 7/1/33 | 215,000 | 246,524 | |
4% 7/1/34 | 215,000 | 246,216 | |
Series 2017: | |||
5% 12/1/22 (e) | 300,000 | 312,542 | |
5% 12/1/23 (e) | 200,000 | 216,775 | |
5% 12/1/24 (e) | 200,000 | 224,950 | |
5% 12/1/25 (e) | 200,000 | 232,535 | |
Long Island Pwr. Auth. Elec. Sys. Rev. Bonds Series 2021 B, 1.5%, tender 9/1/26 (a) | 2,140,000 | 2,192,797 | |
MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 | 4,420,000 | 4,697,414 | |
New York City Gen. Oblig.: | |||
Series 2012 E, 5% 8/1/24 | 860,000 | 863,178 | |
Series 2015 C, 5% 8/1/27 | 120,000 | 136,308 | |
Series 2016 C and D, 5% 8/1/28 | 450,000 | 528,096 | |
Series 2016 E, 5% 8/1/28 | 755,000 | 901,672 | |
Series 2022 A1, 5% 8/1/47 | 26,515,000 | 34,128,663 | |
Series A, 5% 8/1/26 | 1,000,000 | 1,196,764 | |
New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds: | |||
Series 2021 C2, 0.7%, tender 7/1/25 (a) | 1,210,000 | 1,212,470 | |
Series 2021 K2, 0.9%, tender 1/1/26 (a) | 8,300,000 | 8,294,852 | |
Series 2021, 0.6%, tender 7/1/25 (a) | 1,710,000 | 1,688,191 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | |||
Series 2012 EE, 5.25% 6/15/30 | 1,240,000 | 1,268,184 | |
Series 2020 GG1, 5% 6/15/50 | 770,000 | 976,256 | |
Series GG 1, 5% 6/15/48 | 17,930,000 | 22,756,534 | |
New York City Transitional Fin. Auth. Bldg. Aid Rev.: | |||
Series 2015 S1, 5% 7/15/43 | 860,000 | 968,671 | |
Series 2015 S2, 5% 7/15/35 | 305,000 | 351,503 | |
New York City Transitional Fin. Auth. Rev.: | |||
Series 2018 A2, 5% 8/1/39 | 2,000,000 | 2,422,908 | |
Series 2018 B, 5% 8/1/45 | 6,335,000 | 7,651,680 | |
Series 2022 A1, 5% 11/1/27 | 6,455,000 | 8,001,734 | |
New York City Trust Cultural Resources Rev. Series 2021, 5% 7/1/31 | 3,400,000 | 4,573,334 | |
New York Dorm. Auth. Mental Health Svcs. Facilities Impt. Rev. Series 2012 A, 5% 5/15/23 | 965,000 | 981,812 | |
New York Dorm. Auth. Rev. Series 2022: | |||
4% 7/1/36 (b) | 1,510,000 | 1,783,689 | |
4% 7/1/38 (b) | 485,000 | 570,522 | |
4% 7/1/40 (b) | 800,000 | 937,519 | |
5% 7/1/34 (b) | 1,000,000 | 1,280,461 | |
5% 7/1/35 (b) | 1,000,000 | 1,278,248 | |
5% 7/1/37 (b) | 1,650,000 | 2,099,867 | |
5% 7/1/39 (b) | 500,000 | 633,913 | |
5% 7/1/41 (b) | 890,000 | 1,123,906 | |
New York Dorm. Auth. Sales Tax Rev. Series 2016 A, 5% 3/15/34 | 1,170,000 | 1,393,475 | |
New York Metropolitan Trans. Auth. Rev.: | |||
Series 2014 B, 5% 11/15/44 | 1,720,000 | 1,862,616 | |
Series 2015 A1: | |||
5% 11/15/29 | 495,000 | 559,101 | |
5% 11/15/45 | 1,280,000 | 1,421,969 | |
Series 2017 C1, 5% 11/15/30 | 3,370,000 | 4,072,967 | |
Series 2017 D, 5% 11/15/30 | 7,220,000 | 8,726,060 | |
Series 2020 A, 4% 2/1/22 | 1,550,000 | 1,554,420 | |
Series 2020 D, 4% 11/15/46 | 11,710,000 | 13,351,798 | |
New York State Hsg. Fin. Agcy. Rev.: | |||
Bonds Series 2021 J2: | |||
1%, tender 11/1/26 (a) | 1,205,000 | 1,205,047 | |
1.1%, tender 5/1/27 (a) | 4,460,000 | 4,460,103 | |
Series J, 0.75% 5/1/25 | 1,410,000 | 1,411,836 | |
New York State Mtg. Agcy. Homeowner Mtg. Series 221, 3.5% 10/1/32 (d) | 220,000 | 236,641 | |
New York State Urban Dev. Corp. Series 2020 E: | |||
4% 3/15/44 | 8,700,000 | 10,166,588 | |
4% 3/15/45 | 7,000,000 | 8,155,502 | |
New York State Urban Eev Corp. Series 2019 A, 5% 3/15/37 | 4,475,000 | 5,700,729 | |
New York Trans. Dev. Corp. (Laguardia Arpt. Term. Redev. Proj.) Series 2016 A, 5% 7/1/41 (d) | 740,000 | 813,114 | |
New York Urban Dev. Corp. Rev.: | |||
(New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34 | 1,085,000 | 1,304,700 | |
Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32 | 930,000 | 1,120,933 | |
Onondaga Civic Dev. Corp. (Le Moyne College Proj.) Series 2018, 5% 1/1/43 | 170,000 | 201,905 | |
Rockland County Gen. Oblig. Series 2014 A: | |||
4% 3/1/23 (FSA Insured) | 195,000 | 203,564 | |
4% 3/1/24 (FSA Insured) | 235,000 | 253,488 | |
Schenectady County Cap. Resources Corp. Rev. (Union College Proj.) Series 2017, 5% 1/1/40 | 2,680,000 | 3,186,767 | |
Suffolk County Econ. Dev. Corp. Rev. Series 2021: | |||
4.625% 11/1/31 (e) | 250,000 | 256,900 | |
5.375% 11/1/54 (e) | 885,000 | 914,762 | |
Triborough Bridge & Tunnel Auth. Series 2021 A1, 5% 5/15/51 | 1,800,000 | 2,315,846 | |
Triborough Bridge & Tunnel Auth. Revs. Series 2015 A, 5.25% 11/15/45 | 860,000 | 987,724 | |
TOTAL NEW YORK | 192,819,243 | ||
New York And New Jersey - 0.1% | |||
Port Auth. of New York & New Jersey Series 194, 5.25% 10/15/55 | 1,175,000 | 1,366,290 | |
North Carolina - 0.4% | |||
Charlotte Int'l. Arpt. Rev.: | |||
Series 2017 A: | |||
5% 7/1/30 | 265,000 | 322,230 | |
5% 7/1/33 | 260,000 | 316,205 | |
5% 7/1/37 | 605,000 | 737,060 | |
Series 2017 B: | |||
5% 7/1/22 (d) | 25,000 | 25,591 | |
5% 7/1/23 (d) | 30,000 | 32,096 | |
5% 7/1/24 (d) | 35,000 | 38,769 | |
5% 7/1/25 (d) | 15,000 | 17,203 | |
5% 7/1/26 (d) | 15,000 | 17,744 | |
5% 7/1/27 (d) | 35,000 | 42,504 | |
5% 7/1/28 (d) | 30,000 | 36,350 | |
5% 7/1/29 (d) | 40,000 | 48,213 | |
5% 7/1/30 (d) | 45,000 | 54,130 | |
5% 7/1/31 (d) | 85,000 | 102,109 | |
5% 7/1/32 (d) | 85,000 | 102,184 | |
5% 7/1/33 (d) | 90,000 | 108,173 | |
5% 7/1/34 (d) | 95,000 | 114,603 | |
5% 7/1/35 (d) | 65,000 | 78,134 | |
5% 7/1/36 (d) | 55,000 | 66,121 | |
5% 7/1/37 (d) | 65,000 | 78,145 | |
5% 7/1/42 (d) | 205,000 | 246,052 | |
Series 2017 C, 4% 7/1/32 | 250,000 | 286,716 | |
Nash Health Care Sys. Health Care Facilities Rev. Series 2012, 5% 11/1/41 | 935,000 | 942,726 | |
New Hanover County Hosp. Rev. Series 2017: | |||
5% 10/1/27 (Escrowed to Maturity) | 70,000 | 86,144 | |
5% 10/1/47 (Pre-Refunded to 10/1/27 @ 100) | 565,000 | 695,305 | |
North Carolina Med. Care Cmnty. Health Series 2012 A, 5% 11/15/26 (Pre-Refunded to 5/15/22 @ 100) | 225,000 | 228,955 | |
North Carolina Med. Care Commission Health Care Facilities Rev. Bonds: | |||
Series 2019 B, 2.2%, tender 12/1/22 (a) | 1,725,000 | 1,737,990 | |
Series 2019 C, 2.55%, tender 6/1/26 (a) | 2,980,000 | 3,159,315 | |
TOTAL NORTH CAROLINA | 9,720,767 | ||
North Dakota - 0.6% | |||
Grand Forks Health Care Sys. Rev. Series 2021: | |||
4% 12/1/35 (FSA Insured) | 1,800,000 | 2,146,156 | |
4% 12/1/36 (FSA Insured) | 1,140,000 | 1,356,876 | |
4% 12/1/37 (FSA Insured) | 1,375,000 | 1,632,545 | |
4% 12/1/38 (FSA Insured) | 1,250,000 | 1,481,232 | |
5% 12/1/33 (FSA Insured) | 1,875,000 | 2,443,051 | |
5% 12/1/34 (FSA Insured) | 2,250,000 | 2,924,992 | |
North Dakota Hsg. Fin. Agcy.: | |||
Series 2021 A, 3% 1/1/52 | 895,000 | 964,809 | |
Series 2021 B, 3% 7/1/52 | 2,780,000 | 3,017,961 | |
TOTAL NORTH DAKOTA | 15,967,622 | ||
Ohio - 3.9% | |||
Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46 | 2,435,000 | 2,873,153 | |
Allen County Hosp. Facilities Rev.: | |||
(Mercy Health) Series 2017 A: | |||
5% 8/1/25 | 515,000 | 595,000 | |
5% 8/1/26 | 345,000 | 411,163 | |
5% 8/1/27 | 430,000 | 526,404 | |
5% 8/1/28 | 490,000 | 605,738 | |
5% 8/1/29 | 905,000 | 1,111,120 | |
5% 8/1/30 | 730,000 | 892,045 | |
Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) | 630,000 | 639,751 | |
Series 2020 A, 4% 12/1/40 | 4,000,000 | 4,671,256 | |
American Muni. Pwr., Inc. Rev.: | |||
(Greenup Hydroelectric Proj.) Series 2016, 5% 2/15/46 | 2,115,000 | 2,437,564 | |
Series 2012 B, 5% 2/15/42 | 335,000 | 336,840 | |
Buckeye Tobacco Settlement Fing. Auth. Series 2020 A2: | |||
5% 6/1/32 | 2,335,000 | 2,975,994 | |
5% 6/1/33 | 7,750,000 | 9,843,444 | |
Chillicothe Hosp. Facilities Rev. (Adena Health Sys. Oblig. Group Proj.) Series 2017, 5% 12/1/47 | 1,000,000 | 1,195,149 | |
Columbus City School District Series 2016 A, 5% 12/1/29 | 360,000 | 426,364 | |
Franklin County Convention Facilities Authorities (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019: | |||
5% 12/1/46 | 1,100,000 | 1,355,735 | |
5% 12/1/51 | 1,650,000 | 2,025,342 | |
Franklin County Hosp. Facilities Rev. (Ohiohealth Corp. Proj.) Series 2015, 5% 5/15/40 | 1,150,000 | 1,305,098 | |
Hamilton County Convention Facilities Auth. Rev. Series 2014: | |||
5% 12/1/25 | 620,000 | 669,410 | |
5% 12/1/26 | 115,000 | 124,028 | |
Lake County Hosp. Facilities Rev. Series 2015: | |||
5% 8/15/29 (Pre-Refunded to 8/15/25 @ 100) | 240,000 | 277,589 | |
5% 8/15/30 (Pre-Refunded to 8/15/25 @ 100) | 260,000 | 300,721 | |
Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (a) | 2,325,000 | 2,617,071 | |
Montgomery County Hosp. Rev. (Kettering Health Network Obligated Group Proj.) Series 2021, 5% 8/1/30 | 1,400,000 | 1,832,249 | |
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013: | |||
5% 2/15/33 | 765,000 | 795,299 | |
5% 2/15/44 | 915,000 | 947,640 | |
5% 2/15/48 | 2,340,000 | 2,421,037 | |
Ohio Gen. Oblig.: | |||
Series 2021 A: | |||
5% 3/1/29 | 665,000 | 853,281 | |
5% 3/1/29 | 890,000 | 1,141,985 | |
5% 3/1/30 | 810,000 | 1,062,451 | |
5% 3/1/30 | 1,210,000 | 1,587,118 | |
Series 2021 B: | |||
5% 2/1/29 | 1,615,000 | 2,068,287 | |
5% 2/1/30 | 1,345,000 | 1,760,814 | |
Series 2021 C: | |||
5% 3/15/29 | 2,020,000 | 2,594,200 | |
5% 3/15/30 | 2,020,000 | 2,651,912 | |
Ohio Higher Edl. Facility Commission Rev. (Univ. of Dayton Proj.) Series 2018 B, 5% 12/1/36 | 1,175,000 | 1,438,567 | |
Ohio Hosp. Facilities Rev. Series 2021 B: | |||
5% 1/1/24 | 1,065,000 | 1,162,886 | |
5% 1/1/25 | 1,195,000 | 1,355,669 | |
5% 1/1/26 | 1,405,000 | 1,648,116 | |
5% 1/1/27 | 3,250,000 | 3,927,994 | |
Ohio Hosp. Rev. Series 2020 A, 4% 1/15/50 | 255,000 | 290,077 | |
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 | 145,000 | 160,589 | |
Ohio Major New State Infrastructure Rev. Series 2021 1A: | |||
5% 12/15/29 | 2,000,000 | 2,601,938 | |
5% 12/15/30 | 1,800,000 | 2,391,785 | |
Ohio Tpk. Commission Tpk. Rev.: | |||
(Infrastructure Proj.) Series 2005 A, 0% 2/15/42 | 450,000 | 267,169 | |
Series A, 5% 2/15/51 | 16,340,000 | 20,970,679 | |
Scioto County Hosp. Facilities Rev.: | |||
Series 2016: | |||
5% 2/15/29 | 380,000 | 442,919 | |
5% 2/15/34 | 75,000 | 86,880 | |
Series 2019, 5% 2/15/29 | 935,000 | 1,083,869 | |
Univ. of Akron Gen. Receipts Series 2016 A, 5% 1/1/35 | 775,000 | 908,969 | |
Wood County Hosp. Facilities Rev. (Wood County Hosp. Proj.) Series 2012: | |||
5% 12/1/32 (Pre-Refunded to 12/1/22 @ 100) | 90,000 | 93,940 | |
5% 12/1/32 (Pre-Refunded to 12/1/22 @ 100) | 40,000 | 41,751 | |
5% 12/1/42 (Pre-Refunded to 12/1/22 @ 100) | 115,000 | 120,034 | |
5% 12/1/42 (Pre-Refunded to 12/1/22 @ 100) | 55,000 | 57,408 | |
TOTAL OHIO | 96,983,491 | ||
Oklahoma - 0.1% | |||
Oklahoma City Arpt. Trust Series 33, 5% 7/1/47 (d) | 390,000 | 470,585 | |
Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015: | |||
5% 10/1/28 | 220,000 | 254,858 | |
5% 10/1/29 | 240,000 | 278,037 | |
5% 10/1/36 | 170,000 | 196,703 | |
5% 10/1/39 | 345,000 | 398,099 | |
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B: | |||
5% 8/15/22 | 85,000 | 87,270 | |
5% 8/15/23 | 45,000 | 48,071 | |
Oklahoma Dev. Fin. Auth. Rev. (Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/44 | 615,000 | 720,936 | |
TOTAL OKLAHOMA | 2,454,559 | ||
Oregon - 0.2% | |||
Oregon State Hsg. & Cmnty. Svcs. Dept.: | |||
(Single Family Mtg. Prog.) Series A, 3.5% 1/1/51 | 895,000 | 976,500 | |
Series 2019 A, 4% 7/1/50 | 1,725,000 | 1,888,593 | |
Port of Portland Arpt. Rev. Series 2020 27A, 5% 7/1/45 (d) | 1,090,000 | 1,352,607 | |
TOTAL OREGON | 4,217,700 | ||
Pennsylvania - 7.7% | |||
Allegheny County Arpt. Auth. Rev. Series 2021 A: | |||
5% 1/1/51 (d) | 9,290,000 | 11,547,656 | |
5% 1/1/56 (d) | 5,635,000 | 6,962,684 | |
Allegheny County Indl. Dev. Auth. Rev. Series 2021: | |||
3.5% 12/1/31 | 750,000 | 718,957 | |
4% 12/1/41 | 1,145,000 | 1,086,093 | |
4.25% 12/1/50 | 1,275,000 | 1,207,898 | |
Bucks County Indl. Dev. Auth. Hosp. Rev. Series 2021: | |||
5% 7/1/32 | 505,000 | 641,057 | |
5% 7/1/34 | 60,000 | 75,872 | |
5% 7/1/38 | 1,350,000 | 1,693,398 | |
Butler County Hosp. Auth. Hosp. Rev. (Butler Health Sys. Proj.) Series 2015 A, 5% 7/1/35 | 2,485,000 | 2,791,690 | |
Cap. Region Wtr. Wtr. Rev. Series 2018: | |||
5% 7/15/27 | 170,000 | 206,848 | |
5% 7/15/29 | 270,000 | 340,496 | |
5% 7/15/32 | 170,000 | 212,184 | |
Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.) Series 2018 A, 5% 11/15/23 | 225,000 | 244,028 | |
Commonwealth Fing. Auth. Rev. Series 2020 A: | |||
5% 6/1/26 | 1,750,000 | 2,076,787 | |
5% 6/1/28 | 945,000 | 1,179,880 | |
Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A: | |||
5% 6/1/23 | 85,000 | 90,644 | |
5% 6/1/28 | 185,000 | 219,315 | |
5% 6/1/29 | 200,000 | 236,944 | |
Delaware County Auth. Rev.: | |||
(Cabrini College) Series 2017, 5% 7/1/47 | 2,775,000 | 3,012,731 | |
Series 2017: | |||
5% 7/1/28 | 355,000 | 397,255 | |
5% 7/1/29 | 1,365,000 | 1,521,067 | |
Doylestown Hosp. Auth. Hosp. Rev.: | |||
Series 2016 A, 5% 7/1/46 | 250,000 | 280,934 | |
Series 2019, 5% 7/1/49 | 970,000 | 1,132,894 | |
Dubois Hosp. Auth. Hosp. Rev. (Penn Highlands Healthcare Proj.) Series 2018: | |||
4% 7/15/33 | 430,000 | 489,326 | |
4% 7/15/35 | 445,000 | 505,097 | |
4% 7/15/37 | 860,000 | 973,157 | |
5% 7/15/25 | 70,000 | 80,039 | |
5% 7/15/26 | 215,000 | 253,258 | |
5% 7/15/27 | 365,000 | 441,270 | |
5% 7/15/28 | 270,000 | 330,741 | |
5% 7/15/29 | 285,000 | 347,126 | |
5% 7/15/30 | 380,000 | 460,632 | |
5% 7/15/31 | 260,000 | 314,228 | |
5% 7/15/32 | 270,000 | 325,718 | |
5% 7/15/34 | 295,000 | 354,944 | |
5% 7/15/36 | 865,000 | 1,038,059 | |
5% 7/15/38 | 1,035,000 | 1,238,578 | |
5% 7/15/43 | 1,205,000 | 1,431,776 | |
Lehigh County Gen. Purp. Auth. Rev. (Muhlenberg College Proj.) Series 2017, 5% 2/1/39 | 445,000 | 530,556 | |
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) | 1,725,000 | 1,739,978 | |
Monroe County Hosp. Auth. Rev. Series 2016: | |||
5% 7/1/26 | 170,000 | 201,267 | |
5% 7/1/27 | 170,000 | 200,282 | |
5% 7/1/28 | 170,000 | 199,744 | |
5% 7/1/34 | 635,000 | 740,035 | |
5% 7/1/36 | 345,000 | 400,914 | |
Montgomery County Higher Ed. & Health Auth. Hosp. Rev. (Abington Memorial Hosp. Proj.) Series 1993 A, 6% 6/1/22 (AMBAC Insured) | 335,000 | 342,880 | |
Montgomery County Higher Ed. & Health Auth. Rev.: | |||
Series 2014 A: | |||
5% 10/1/22 | 240,000 | 247,339 | |
5% 10/1/23 | 70,000 | 74,867 | |
5% 10/1/24 | 200,000 | 221,191 | |
5% 10/1/25 | 180,000 | 199,064 | |
5% 10/1/27 | 85,000 | 93,435 | |
Series 2016 A: | |||
5% 10/1/28 | 260,000 | 301,341 | |
5% 10/1/29 | 450,000 | 519,123 | |
5% 10/1/31 | 785,000 | 900,495 | |
5% 10/1/36 | 1,410,000 | 1,608,921 | |
5% 10/1/40 | 690,000 | 783,954 | |
Northampton County Gen. Purp. Auth. Hosp. Rev.: | |||
(St. Luke's Univ. Health Network Proj.): | |||
Series 2016 A, 5% 8/15/36 | 130,000 | 152,517 | |
Series 2018 A, 4% 8/15/48 | 2,190,000 | 2,475,577 | |
Series 2016 A, 5% 8/15/46 | 5,165,000 | 6,010,775 | |
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds Series 2011, 2.15%, tender 7/1/24 (a)(d) | 3,185,000 | 3,297,271 | |
Pennsylvania Higher Edl. Facilities Auth. Rev.: | |||
(Drexel Univ. Proj.): | |||
Series 2016, 5% 5/1/35 | 600,000 | 701,736 | |
Series 2017: | |||
5% 5/1/35 | 215,000 | 261,161 | |
5% 5/1/37 | 270,000 | 327,292 | |
5% 5/1/41 | 1,220,000 | 1,477,259 | |
Series 2016: | |||
5% 5/1/28 | 85,000 | 100,109 | |
5% 5/1/32 | 215,000 | 252,188 | |
5% 5/1/33 | 295,000 | 345,682 | |
Series 2018 A, 5% 2/15/48 | 325,000 | 396,030 | |
Pennsylvania Hsg. Fin. Agcy.: | |||
Series 2020 13 2A, 3.5% 4/1/51 | 485,000 | 516,241 | |
Series 2021 134B, 5% 4/1/27 (d) | 1,340,000 | 1,599,554 | |
Series 2021 137, 3% 10/1/51 | 4,000,000 | 4,347,762 | |
Pennsylvania Tpk. Commission Tpk. Rev.: | |||
Series 2021 B, 5% 12/1/46 | 9,000,000 | 11,465,316 | |
Series 2021 C: | |||
5% 12/1/27 | 750,000 | 925,360 | |
5% 12/1/28 | 725,000 | 916,507 | |
Philadelphia Arpt. Rev.: | |||
Series 2017 A: | |||
5% 7/1/25 | 170,000 | 196,048 | |
5% 7/1/26 | 170,000 | 202,178 | |
5% 7/1/27 | 140,000 | 171,189 | |
Series 2017 B: | |||
5% 7/1/22 (d) | 380,000 | 388,683 | |
5% 7/1/22 | 50,000 | 51,170 | |
5% 7/1/23 (d) | 260,000 | 277,596 | |
5% 7/1/23 | 85,000 | 90,898 | |
5% 7/1/25 (d) | 600,000 | 686,995 | |
5% 7/1/26 (d) | 515,000 | 606,729 | |
5% 7/1/27 (d) | 430,000 | 520,139 | |
5% 7/1/28 (d) | 515,000 | 620,036 | |
5% 7/1/29 (d) | 385,000 | 465,191 | |
5% 7/1/32 (d) | 515,000 | 618,207 | |
5% 7/1/33 (d) | 385,000 | 462,741 | |
5% 7/1/34 (d) | 690,000 | 828,309 | |
5% 7/1/37 (d) | 775,000 | 926,263 | |
5% 7/1/42 (d) | 2,325,000 | 2,768,796 | |
5% 7/1/47 (d) | 3,975,000 | 4,709,830 | |
Series 2021: | |||
5% 7/1/26 (d) | 12,830,000 | 15,115,218 | |
5% 7/1/27 (d) | 17,680,000 | 21,386,193 | |
5% 7/1/28 (d) | 1,875,000 | 2,321,833 | |
5% 7/1/34 (d) | 3,750,000 | 4,881,804 | |
5% 7/1/35 (d) | 2,015,000 | 2,618,511 | |
5% 7/1/51 (d) | 3,400,000 | 4,281,336 | |
Philadelphia Auth. for Indl. Dev. Series 2017, 5% 11/1/47 | 1,360,000 | 1,559,720 | |
Philadelphia School District: | |||
Series 2016 D: | |||
5% 9/1/25 | 1,515,000 | 1,755,229 | |
5% 9/1/26 | 1,580,000 | 1,886,893 | |
5% 9/1/27 | 1,670,000 | 1,986,775 | |
5% 9/1/28 | 1,395,000 | 1,657,502 | |
Series 2016 F: | |||
5% 9/1/28 | 2,410,000 | 2,863,498 | |
5% 9/1/29 | 1,565,000 | 1,853,983 | |
Series 2018 A: | |||
5% 9/1/36 | 325,000 | 399,922 | |
5% 9/1/37 | 190,000 | 233,263 | |
5% 9/1/38 | 300,000 | 368,024 | |
Series 2018 B, 5% 9/1/43 | 440,000 | 536,202 | |
Series 2019 A: | |||
4% 9/1/35 | 1,310,000 | 1,537,705 | |
5% 9/1/30 | 1,365,000 | 1,743,881 | |
5% 9/1/31 | 1,085,000 | 1,381,370 | |
5% 9/1/34 | 625,000 | 794,060 | |
Series F, 5% 9/1/30 | 1,170,000 | 1,384,870 | |
Philadelphia Wtr. & Wastewtr. Rev. Series 2018 A, 5% 10/1/34 | 3,590,000 | 4,504,504 | |
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. Series 2019 A, 5% 9/1/38 (FSA Insured) | 680,000 | 858,934 | |
Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 A: | |||
4% 6/1/44 | 475,000 | 547,509 | |
4% 6/1/49 | 1,135,000 | 1,296,818 | |
5% 6/1/44 | 830,000 | 1,028,332 | |
5% 6/1/49 | 1,325,000 | 1,632,742 | |
State Pub. School Bldg. Auth. Lease Rev. (Philadelphia School District Proj.) Series 2015 A, 5% 6/1/26 | 220,000 | 251,777 | |
Union County Hosp. Auth. Rev. Series 2018 B: | |||
5% 8/1/43 | 960,000 | 1,112,171 | |
5% 8/1/48 | 4,165,000 | 4,823,619 | |
TOTAL PENNSYLVANIA | 194,530,180 | ||
Rhode Island - 0.4% | |||
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.: | |||
Series 2016 B: | |||
5% 9/1/31 | 135,000 | 152,934 | |
5% 9/1/36 | 1,210,000 | 1,365,725 | |
Series 2016: | |||
5% 5/15/22 | 1,300,000 | 1,321,627 | |
5% 5/15/39 | 1,085,000 | 1,228,853 | |
Rhode Island Hsg. & Mtg. Fin. Corp.: | |||
Series 2019 70, 4% 10/1/49 | 365,000 | 397,776 | |
Series 2021 74, 3% 4/1/49 | 2,180,000 | 2,346,797 | |
Rhode Island Hsg. & Mtg. Fin. Corp. Rev. Series 72 A, 3.5% 10/1/50 | 725,000 | 786,742 | |
Rhode Island Student Ln. Auth. Student Ln. Rev. Series A: | |||
3.5% 12/1/34 (d) | 285,000 | 293,859 | |
5% 12/1/24 (d) | 765,000 | 857,842 | |
5% 12/1/28 (d) | 1,700,000 | 2,097,985 | |
TOTAL RHODE ISLAND | 10,850,140 | ||
South Carolina - 1.8% | |||
Charleston County Arpt. District Series 2019, 5% 7/1/43 | 500,000 | 622,248 | |
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015: | |||
5% 12/1/25 | 470,000 | 537,486 | |
5% 12/1/26 | 240,000 | 273,504 | |
5% 12/1/28 | 975,000 | 1,104,692 | |
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 | 520,000 | 578,366 | |
South Carolina Jobs-Econ. Dev. Auth. Series 2019 C, 5% 7/1/33 | 1,245,000 | 1,553,623 | |
South Carolina Ports Auth. Ports Rev. Series 2015, 5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d) | 190,000 | 220,910 | |
South Carolina Pub. Svc. Auth. Rev.: | |||
Series 2013 E, 5.5% 12/1/53 | 6,965,000 | 7,606,045 | |
Series 2014 A: | |||
5% 12/1/49 | 2,330,000 | 2,566,152 | |
5.5% 12/1/54 | 2,700,000 | 3,005,542 | |
Series 2014 C, 5% 12/1/46 | 810,000 | 908,874 | |
Series 2015 A, 5% 12/1/50 | 1,075,000 | 1,223,483 | |
Series 2015 C, 5% 12/1/22 | 1,455,000 | 1,517,874 | |
Series 2015 E, 5.25% 12/1/55 | 1,290,000 | 1,503,962 | |
Series 2016 A: | |||
5% 12/1/29 | 515,000 | 605,828 | |
5% 12/1/38 | 50,000 | 58,536 | |
Series 2016 B: | |||
5% 12/1/31 | 190,000 | 226,820 | |
5% 12/1/41 | 2,600,000 | 3,086,404 | |
Series A, 5% 12/1/23 | 1,305,000 | 1,419,420 | |
Spartanburg County Reg'l. Health: | |||
Series 2012 A, 5% 4/15/37 | 1,390,000 | 1,408,381 | |
Series 2017 A: | |||
4% 4/15/43 | 3,225,000 | 3,666,468 | |
4% 4/15/48 | 2,250,000 | 2,553,711 | |
5% 4/15/48 | 7,705,000 | 9,252,598 | |
TOTAL SOUTH CAROLINA | 45,500,927 | ||
South Dakota - 0.0% | |||
South Dakota Health & Edl. Facilities Auth. Rev.: | |||
(Avera Health Proj.) Series 2017, 5% 7/1/31 | 115,000 | 139,237 | |
Series 2017: | |||
5% 7/1/26 | 50,000 | 59,318 | |
5% 7/1/28 | 50,000 | 60,702 | |
5% 7/1/29 | 100,000 | 121,305 | |
TOTAL SOUTH DAKOTA | 380,562 | ||
Tennessee - 1.7% | |||
Greeneville Health & Edl. Facilities Board Series 2018 A: | |||
5% 7/1/23 | 170,000 | 181,743 | |
5% 7/1/24 | 255,000 | 272,179 | |
5% 7/1/25 | 255,000 | 271,981 | |
Jackson Hosp. Rev. Series 2018 A: | |||
5% 4/1/41 | 1,905,000 | 2,308,306 | |
5% 4/1/41 (Pre-Refunded to 10/1/28 @ 100) | 95,000 | 119,488 | |
Memphis-Shelby County Arpt. Auth. Arpt. Rev. Series 2018, 5% 7/1/37 (d) | 800,000 | 968,429 | |
Metropolitan Nashville Arpt. Auth. Rev.: | |||
Series 2015 B, 4% 7/1/25 (d) | 440,000 | 489,475 | |
Series 2019 B: | |||
5% 7/1/38 (d) | 3,290,000 | 4,139,538 | |
5% 7/1/54(d) | 1,020,000 | 1,256,140 | |
Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series 2021 C: | |||
5% 1/1/27 | 10,250,000 | 12,410,698 | |
5% 1/1/30 | 12,000,000 | 15,593,987 | |
Tennessee Hsg. Dev. Agcy. Residential: | |||
Series 2021 1, 3% 7/1/51 | 2,865,000 | 3,084,807 | |
Series 2021 3A, 3% 1/1/52 | 1,165,000 | 1,264,231 | |
TOTAL TENNESSEE | 42,361,002 | ||
Texas - 5.9% | |||
Austin Arpt. Sys. Rev.: | |||
Series 2014: | |||
5% 11/15/26 (d) | 170,000 | 190,543 | |
5% 11/15/27 (d) | 215,000 | 240,721 | |
5% 11/15/28 (d) | 260,000 | 291,104 | |
5% 11/15/39 (d) | 1,960,000 | 2,185,597 | |
5% 11/15/44 (d) | 4,795,000 | 5,346,906 | |
Series 2017 B: | |||
5% 11/15/28 (d) | 170,000 | 202,072 | |
5% 11/15/30 (d) | 265,000 | 315,324 | |
5% 11/15/32 (d) | 210,000 | 249,269 | |
5% 11/15/35 (d) | 215,000 | 255,227 | |
5% 11/15/36 (d) | 360,000 | 426,953 | |
5% 11/15/37 (d) | 245,000 | 290,188 | |
5% 11/15/41 (d) | 980,000 | 1,155,598 | |
Austin Cmnty. College District Rev. (Convention Ctr. Proj.) Series 2002, 0% 2/1/22 (AMBAC Insured) | 500,000 | 499,876 | |
Central Reg'l. Mobility Auth.: | |||
Series 2015 A: | |||
5% 1/1/28 | 225,000 | 256,348 | |
5% 1/1/30 (Pre-Refunded to 7/1/25 @ 100) | 285,000 | 328,989 | |
5% 1/1/31 (Pre-Refunded to 7/1/25 @ 100) | 80,000 | 92,348 | |
5% 1/1/32 (Pre-Refunded to 7/1/25 @ 100) | 170,000 | 196,239 | |
5% 1/1/40 (Pre-Refunded to 7/1/25 @ 100) | 1,000,000 | 1,154,349 | |
5% 1/1/45 (Pre-Refunded to 7/1/25 @ 100) | 1,205,000 | 1,390,991 | |
Series 2021 C, 5% 1/1/27 | 3,595,000 | 4,173,806 | |
Corpus Christi Util. Sys. Rev. Series 2012, 5% 7/15/23 | 275,000 | 281,880 | |
Dallas Area Rapid Transit Sales Tax Rev. Series 2016 A, 5% 12/1/33 (Pre-Refunded to 12/1/25 @ 100) | 450,000 | 527,380 | |
Dallas Wtrwks. & Swr. Sys. Rev. Series 2017, 5% 10/1/46 | 2,000,000 | 2,418,085 | |
El Paso Independent School District Series 2020: | |||
5% 8/15/25 | 750,000 | 869,677 | |
5% 8/15/26 | 1,300,000 | 1,557,643 | |
Fort Bend Independent School District Bonds Series 2021 B, 0.72%, tender 8/1/26 (a) | 2,085,000 | 2,079,388 | |
Grand Parkway Trans. Corp. Series 2018 A, 5% 10/1/38 | 550,000 | 682,458 | |
Harris County Cultural Ed. Facilities Fin. Corp. Med. Facilities Rev. (Baylor College of Medicine Proj.) Series 2012 A, 5% 11/15/37 (Pre-Refunded to 11/15/22 @ 100) | 940,000 | 978,764 | |
Harris County Cultural Ed. Facilities Fin. Corp. Rev. (Texas Childrens Hosp., Proj.) Series 2015-1 5% 10/1/29 | 230,000 | 264,258 | |
Harris County Flood Cont. District Series 2021 A: | |||
5% 10/1/27 | 1,600,000 | 1,975,064 | |
5% 10/1/28 | 1,700,000 | 2,149,591 | |
5% 10/1/29 | 1,700,000 | 2,197,889 | |
Harris County Gen. Oblig. Series 2002: | |||
0% 8/15/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 515,000 | 504,595 | |
0% 8/15/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 860,000 | 801,979 | |
Harris County Toll Road Rev. Series 2018 A, 5% 8/15/43 | 2,000,000 | 2,446,313 | |
Houston Arpt. Sys. Rev.: | |||
Series 2012 A, 5% 7/1/23 (Pre-Refunded to 7/1/22 @ 100) (d) | 865,000 | 885,199 | |
Series 2018 A, 5% 7/1/41 (d) | 3,000,000 | 3,637,562 | |
Series 2018 C: | |||
5% 7/1/29 (d) | 345,000 | 427,052 | |
5% 7/1/30 (d) | 365,000 | 450,753 | |
5% 7/1/31 (d) | 260,000 | 320,039 | |
5% 7/1/32 (d) | 300,000 | 369,591 | |
Houston Gen. Oblig. Series 2017 A: | |||
5% 3/1/29 | 655,000 | 789,836 | |
5% 3/1/31 | 800,000 | 960,615 | |
5% 3/1/32 | 340,000 | 407,872 | |
Houston Util. Sys. Rev.: | |||
Series 2014 C, 5% 5/15/28 | 515,000 | 568,800 | |
Series 2016 B, 5% 11/15/33 | 480,000 | 574,153 | |
Series 2020 C: | |||
4% 11/15/43 | 3,500,000 | 4,209,832 | |
4% 11/15/49 | 3,500,000 | 4,177,020 | |
5% 11/15/45 | 3,500,000 | 4,482,157 | |
Irving Hosp. Auth. Hosp. Rev. Series 2017 A: | |||
5% 10/15/28 | 80,000 | 92,881 | |
5% 10/15/30 | 325,000 | 376,424 | |
5% 10/15/32 | 170,000 | 196,824 | |
5% 10/15/36 | 115,000 | 133,191 | |
5% 10/15/37 | 195,000 | 225,665 | |
5% 10/15/38 | 275,000 | 318,332 | |
5% 10/15/44 | 270,000 | 312,651 | |
Love Field Arpt. Modernization Rev.: | |||
Series 2015: | |||
5% 11/1/26 (d) | 170,000 | 196,717 | |
5% 11/1/27 (d) | 370,000 | 427,391 | |
5% 11/1/28 (d) | 570,000 | 657,714 | |
5% 11/1/29 (d) | 345,000 | 397,808 | |
5% 11/1/32 (d) | 635,000 | 730,646 | |
Series 2017: | |||
5% 11/1/22 (d) | 130,000 | 135,076 | |
5% 11/1/23 (d) | 190,000 | 205,971 | |
5% 11/1/24 (d) | 170,000 | 190,590 | |
5% 11/1/25 (d) | 170,000 | 196,717 | |
5% 11/1/26 (d) | 170,000 | 202,592 | |
5% 11/1/27 (d) | 170,000 | 201,919 | |
5% 11/1/28 (d) | 300,000 | 355,444 | |
5% 11/1/29 (d) | 215,000 | 254,627 | |
5% 11/1/30 (d) | 170,000 | 201,264 | |
5% 11/1/31 (d) | 385,000 | 455,645 | |
5% 11/1/32 (d) | 445,000 | 526,437 | |
5% 11/1/33 (d) | 170,000 | 200,914 | |
5% 11/1/34 (d) | 170,000 | 201,552 | |
5% 11/1/36 (d) | 170,000 | 201,370 | |
Lower Colorado River Auth. Rev.: | |||
(LCRA Transmission Svcs. Corp. Proj.) Series 2020: | |||
5% 5/15/25 | 1,000,000 | 1,146,343 | |
5% 5/15/26 | 1,260,000 | 1,490,843 | |
5% 5/15/27 | 1,500,000 | 1,827,108 | |
Series 2015 D: | |||
5% 5/15/28 | 380,000 | 434,789 | |
5% 5/15/30 | 860,000 | 983,686 | |
New Hope Cultural Ed. Facilities Fin. Corp. (Childrens Med. Ctr. of Dallas) Series 2017 A: | |||
5% 8/15/27 | 130,000 | 159,382 | |
5% 8/15/29 | 345,000 | 420,852 | |
5% 8/15/47 | 395,000 | 474,289 | |
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A: | |||
5% 4/1/27 | 125,000 | 145,723 | |
5% 4/1/30 | 590,000 | 683,331 | |
North Texas Tollway Auth. Rev.: | |||
(Sr. Lien Proj.) Series 2017 A: | |||
5% 1/1/31 | 170,000 | 197,487 | |
5% 1/1/33 | 205,000 | 245,717 | |
5% 1/1/34 | 260,000 | 311,477 | |
5% 1/1/34 | 515,000 | 723,064 | |
5% 1/1/35 | 380,000 | 454,857 | |
5% 1/1/36 | 1,035,000 | 1,238,555 | |
5% 1/1/37 | 1,375,000 | 1,644,714 | |
5% 1/1/38 | 560,000 | 585,575 | |
(Sub Lien Proj.) Series 2017 B: | |||
5% 1/1/26 | 155,000 | 162,095 | |
5% 1/1/30 | 75,000 | 87,067 | |
5% 1/1/31 | 100,000 | 115,998 | |
Series 2008 I, 6.2% 1/1/42 (Pre-Refunded to 1/1/25 @ 100) | 1,430,000 | 1,674,399 | |
Series 2015 A, 5% 1/1/32 | 575,000 | 646,634 | |
Series 2015 B, 5% 1/1/40 | 1,720,000 | 1,797,673 | |
Series 2016 A, 5% 1/1/36 | 215,000 | 249,707 | |
Series 2017 A, 5% 1/1/39 | 5,620,000 | 6,874,808 | |
Series 2018: | |||
4% 1/1/37 | 2,125,000 | 2,448,681 | |
4% 1/1/38 | 4,365,000 | 5,009,984 | |
San Antonio Independent School District Series 2016, 5% 8/15/31 | 745,000 | 885,543 | |
San Antonio Wtr. Sys. Rev. Series 2020 A, 5% 5/15/50 | 2,130,000 | 2,683,866 | |
Southwest Higher Ed. Auth. Rev. (Southern Methodist Univ., TX. Proj.) Series 2017: | |||
5% 10/1/29 | 75,000 | 91,601 | |
5% 10/1/30 | 120,000 | 146,328 | |
5% 10/1/31 | 110,000 | 133,858 | |
5% 10/1/39 | 215,000 | 261,596 | |
5% 10/1/40 | 170,000 | 206,612 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Scott & White Healthcare Proj.) Series 2013 A, 5% 8/15/43 (Pre-Refunded to 8/15/23 @ 100) | 690,000 | 742,134 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A: | |||
4% 2/15/35 | 860,000 | 967,265 | |
5% 2/15/25 | 145,000 | 165,026 | |
Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Series 2019, 2.95% 7/1/36 | 1,096,132 | 1,199,564 | |
Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev.: | |||
Series 2019 A, 4% 3/1/50 | 1,080,000 | 1,203,712 | |
Series A, 3.5% 3/1/51 | 1,105,000 | 1,217,395 | |
Texas Private Activity Bond Surface Trans. Corp.: | |||
(LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A: | |||
4% 6/30/36 | 710,000 | 832,970 | |
4% 6/30/39 | 1,800,000 | 2,097,354 | |
4% 6/30/40 | 1,500,000 | 1,744,852 | |
Series 2013, 6.75% 6/30/43 (d) | 2,580,000 | 2,842,766 | |
Texas State Univ. Sys. Fing. Rev. Series 2017 A, 5% 3/15/31 | 560,000 | 673,831 | |
Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (a) | 10,120,000 | 10,051,201 | |
Texas Wtr. Dev. Board Rev.: | |||
Series 2018 A, 5% 10/15/43 | 2,000,000 | 2,463,462 | |
Series 2020, 5% 8/1/30 | 1,000,000 | 1,320,203 | |
Univ. of Houston Univ. Revs. Series 2017 A: | |||
5% 2/15/32 | 1,065,000 | 1,247,237 | |
5% 2/15/33 | 690,000 | 807,271 | |
5% 2/15/34 | 860,000 | 1,006,069 | |
5% 2/15/36 | 515,000 | 601,087 | |
Univ. of North Texas Univ. Rev. Series 2017 A, 5% 4/15/32 | 360,000 | 435,721 | |
Univ. of Texas Board of Regents Sys. Rev. Series 2020 C: | |||
5% 8/15/28 | 4,000,000 | 5,068,644 | |
5% 8/15/31 | 3,000,000 | 4,065,622 | |
Univ. of Texas Permanent Univ. Fund Rev. Series 2016 B, 5% 7/1/29 | 350,000 | 416,761 | |
Weatherford Independent School District Series 2002, 0% 2/15/33 | 1,200,000 | 1,011,607 | |
TOTAL TEXAS | 147,660,251 | ||
Utah - 0.8% | |||
Salt Lake City Arpt. Rev.: | |||
Series 2017 A: | |||
5% 7/1/22 (d) | 345,000 | 353,056 | |
5% 7/1/24 (d) | 300,000 | 332,308 | |
5% 7/1/25 (d) | 345,000 | 395,665 | |
5% 7/1/27 (d) | 730,000 | 883,895 | |
5% 7/1/29 (d) | 640,000 | 771,030 | |
5% 7/1/30 (d) | 475,000 | 569,697 | |
5% 7/1/31 (d) | 905,000 | 1,084,501 | |
5% 7/1/33 (d) | 690,000 | 826,891 | |
5% 7/1/35 (d) | 690,000 | 826,584 | |
5% 7/1/36 (d) | 930,000 | 1,114,219 | |
5% 7/1/37 (d) | 2,345,000 | 2,810,949 | |
5% 7/1/42 (d) | 4,220,000 | 5,032,904 | |
Series 2018 A: | |||
5% 7/1/33 (d) | 1,655,000 | 2,019,970 | |
5.25% 7/1/48 (d) | 1,215,000 | 1,484,656 | |
Utah Associated Muni. Pwr. Sys. Rev. (Payson Pwr. Proj.) Series 2012 A, 5% 9/1/22 | 545,000 | 561,732 | |
Utah County Hosp. Rev. Series 2020 A, 5% 5/15/50 | 1,000,000 | 1,253,819 | |
TOTAL UTAH | 20,321,876 | ||
Vermont - 0.4% | |||
Vermont Edl. & Health Bldg. Fin. Agcy. Rev.: | |||
(Champlain College Proj.) Series 2016 A: | |||
5% 10/15/41 | 790,000 | 885,766 | |
5% 10/15/46 | 980,000 | 1,092,573 | |
(Middlebury College Proj.) Series 2020, 5% 11/1/49 | 2,125,000 | 2,667,591 | |
Vermont Hsg. Fin. Agcy. Series 2021 B, 3% 11/1/51 | 1,305,000 | 1,418,361 | |
Vermont Student Assistant Corp. Ed. Ln. Rev.: | |||
Series 2019 A: | |||
5% 6/15/27 (d) | 1,000,000 | 1,186,143 | |
5% 6/15/29 (d) | 1,700,000 | 2,072,465 | |
Series 2020 A, 5% 6/15/28 (d) | 1,000,000 | 1,205,988 | |
TOTAL VERMONT | 10,528,887 | ||
Virginia - 2.1% | |||
Arlington County Series 2021: | |||
5% 6/15/26 | 2,800,000 | 3,348,526 | |
5% 6/15/28 | 4,560,000 | 5,760,464 | |
Fredericksburg Econ. Dev. Auth. Rev. Series 2014: | |||
5% 6/15/25 | 805,000 | 892,728 | |
5% 6/15/30 | 215,000 | 236,382 | |
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.: | |||
(Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29 | 110,000 | 117,668 | |
Series 2016: | |||
4% 6/15/37 | 125,000 | 137,967 | |
5% 6/15/27 | 260,000 | 307,177 | |
5% 6/15/30 | 110,000 | 128,459 | |
5% 6/15/33 | 75,000 | 87,166 | |
5% 6/15/34 | 140,000 | 162,546 | |
5% 6/15/35 | 380,000 | 440,784 | |
Virginia College Bldg. Auth. Edl. Facilities Rev.: | |||
(21St Century Collage and Equip. Programs) Series 2021 A: | |||
4% 2/1/34 | 8,150,000 | 9,993,612 | |
4% 2/1/35 | 7,495,000 | 9,170,756 | |
Series 2015 A: | |||
5% 1/1/35 (Pre-Refunded to 1/1/25 @ 100) | 170,000 | 192,966 | |
5% 1/1/40 (Pre-Refunded to 1/1/25 @ 100) | 385,000 | 437,010 | |
Virginia Commonwealth Trans. Board Rev. (Virginia Gen. Oblig. Proj.) Series 2017 A, 5% 5/15/32 | 150,000 | 185,213 | |
Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2021 A1: | |||
5% 8/1/26 | 6,610,000 | 7,900,706 | |
5% 8/1/27 | 7,060,000 | 8,686,034 | |
Virginia Small Bus. Fing. Auth. (95 Express Lane LLC Proj.) Series 2012: | |||
5% 7/1/34 (d) | 1,035,000 | 1,042,249 | |
5% 1/1/40 (d) | 205,000 | 205,705 | |
Winchester Econ. Dev. Auth. Series 2015: | |||
5% 1/1/31 | 430,000 | 495,320 | |
5% 1/1/34 | 260,000 | 299,258 | |
5% 1/1/35 | 260,000 | 299,055 | |
5% 1/1/44 | 170,000 | 195,604 | |
Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.2%, tender 5/31/24 (a) | 820,000 | 833,390 | |
TOTAL VIRGINIA | 51,556,745 | ||
Washington - 2.6% | |||
King County Hsg. Auth. Rev. Series 2021: | |||
4% 6/1/26 | 565,000 | 638,394 | |
4% 6/1/28 | 360,000 | 420,596 | |
Port of Seattle Rev.: | |||
Series 2015 B, 5% 3/1/25 | 295,000 | 330,005 | |
Series 2016 B: | |||
5% 10/1/28 (d) | 600,000 | 702,874 | |
5% 10/1/30 (d) | 345,000 | 402,426 | |
Series 2019 A, 4% 4/1/44 (d) | 625,000 | 707,496 | |
Series 2019: | |||
5% 4/1/35 (d) | 7,500,000 | 9,304,070 | |
5% 4/1/44 (d) | 1,500,000 | 1,832,419 | |
Series 2021 C: | |||
5% 8/1/24 (d) | 1,955,000 | 2,175,871 | |
5% 8/1/25 (d) | 1,585,000 | 1,823,914 | |
5% 8/1/26 (d) | 2,175,000 | 2,579,170 | |
5% 8/1/27 (d) | 1,345,000 | 1,634,280 | |
5% 8/1/28 (d) | 3,755,000 | 4,658,586 | |
Port of Seattle Spl. Facility Rev. Series 2013: | |||
5% 6/1/22 (d) | 170,000 | 173,270 | |
5% 6/1/24 (d) | 270,000 | 286,348 | |
Seattle Hsg. Auth. Rev. (Northgate Plaza Proj.) Series 2021, 1% 6/1/26 | 875,000 | 876,078 | |
Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. Series 2013 B: | |||
5% 12/1/25 (Pre-Refunded to 6/1/23 @ 100) | 965,000 | 1,029,644 | |
5% 12/1/27 (Pre-Refunded to 6/1/23 @ 100) | 710,000 | 757,562 | |
Washington Gen. Oblig.: | |||
Series 2015 C: | |||
5% 2/1/33 | 580,000 | 656,157 | |
5% 2/1/34 | 715,000 | 808,182 | |
Series 2017 D, 5% 2/1/33 | 610,000 | 732,733 | |
Series 2018 C, 5% 8/1/30 | 1,150,000 | 1,410,716 | |
Series 2021 E, 5% 2/1/46 | 13,180,000 | 17,016,859 | |
Series R-2017 A, 5% 8/1/30 | 350,000 | 417,470 | |
Washington Health Care Facilities Auth. Rev.: | |||
(Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B: | |||
5% 7/1/25 | 140,000 | 161,031 | |
5% 7/1/27 | 265,000 | 323,558 | |
5% 7/1/28 | 325,000 | 402,421 | |
5% 7/1/29 | 125,000 | 153,902 | |
5% 7/1/30 | 150,000 | 183,791 | |
5% 7/1/31 | 180,000 | 219,879 | |
5% 7/1/32 | 345,000 | 420,654 | |
5% 7/1/33 | 490,000 | 596,685 | |
5% 7/1/34 | 115,000 | 139,852 | |
5% 7/1/42 | 1,650,000 | 1,984,047 | |
(Providence Health Systems Proj.) Series 2012 A, 5% 10/1/25 | 885,000 | 916,441 | |
Series 2015: | |||
5% 1/1/25 | 345,000 | 389,184 | |
5% 1/1/27 | 400,000 | 456,658 | |
Series 2017, 4% 8/15/42 | 2,055,000 | 2,251,702 | |
Series 2019 A2, 5% 8/1/44 | 1,165,000 | 1,430,609 | |
Washington Higher Ed. Facilities Auth. Rev. (Whitworth Univ. Proj.) Series 2016 A: | |||
5% 10/1/27 | 370,000 | 435,869 | |
5% 10/1/28 | 380,000 | 446,706 | |
5% 10/1/35 | 390,000 | 451,421 | |
5% 10/1/36 | 590,000 | 682,232 | |
5% 10/1/40 | 580,000 | 667,774 | |
TOTAL WASHINGTON | 64,089,536 | ||
West Virginia - 0.2% | |||
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 A: | |||
5% 1/1/31 | 280,000 | 344,822 | |
5% 1/1/32 | 230,000 | 282,504 | |
West Virginia Parkways Auth. Series 2021: | |||
5% 6/1/25 | 1,000,000 | 1,150,654 | |
5% 6/1/26 | 1,000,000 | 1,188,173 | |
5% 6/1/27 | 1,000,000 | 1,221,883 | |
5% 6/1/28 | 1,500,000 | 1,877,056 | |
TOTAL WEST VIRGINIA | 6,065,092 | ||
Wisconsin - 1.6% | |||
Pub. Fin. Auth. Sr Liv Rev. (Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A: | |||
5% 5/15/25 (e) | 145,000 | 157,648 | |
5% 5/15/28 (e) | 230,000 | 251,019 | |
5.25% 5/15/37 (e) | 70,000 | 76,410 | |
5.25% 5/15/42 (e) | 85,000 | 92,640 | |
5.25% 5/15/47 (e) | 85,000 | 92,640 | |
5.25% 5/15/52 (e) | 160,000 | 174,380 | |
Pub. Fin. Auth. Edl. Facilities Series 2018 A: | |||
5.25% 10/1/43 | 1,595,000 | 1,841,653 | |
5.25% 10/1/48 | 1,595,000 | 1,833,191 | |
Pub. Fin. Auth. Hosp. Rev. Series 2019 A, 5% 10/1/44 | 2,350,000 | 2,858,295 | |
Pub. Fin. Auth. Wisconsin Retirement Facility Rev. Series 2018: | |||
5% 10/1/43 (e) | 150,000 | 164,844 | |
5% 10/1/48 (e) | 200,000 | 219,115 | |
5% 10/1/53 (e) | 310,000 | 339,048 | |
Roseman Univ. of Health: | |||
(Roseman Univ. of Health Sciences Proj.) Series 2020, 5% 4/1/40 (e) | 325,000 | 387,031 | |
Series 2021 A, 4.5% 6/1/56 (e) | 6,365,000 | 6,492,322 | |
Series 2021 B, 6.5% 6/1/56 (e) | 1,870,000 | 1,917,504 | |
Wisconsin Gen. Oblig. Series 2021 A, 5% 5/1/36 | 6,260,000 | 7,784,061 | |
Wisconsin Health & Edl. Facilities: | |||
(Ascension Health Cr. Group Proj.) Series 2016 A, 5% 11/15/36 | 860,000 | 1,009,058 | |
Series 2014: | |||
4% 5/1/33 | 605,000 | 637,899 | |
5% 5/1/22 | 135,000 | 136,981 | |
Series 2016 A: | |||
5% 2/15/28 | 410,000 | 475,071 | |
5% 2/15/29 | 530,000 | 611,714 | |
5% 2/15/30 | 585,000 | 672,500 | |
Series 2017 A: | |||
5% 9/1/29 (Pre-Refunded to 9/1/27 @ 100) | 1,000,000 | 1,223,697 | |
5% 9/1/31 (Pre-Refunded to 9/1/27 @ 100) | 170,000 | 208,028 | |
5% 9/1/33 (Pre-Refunded to 9/1/27 @ 100) | 295,000 | 360,990 | |
5% 9/1/35 (Pre-Refunded to 9/1/27 @ 100) | 325,000 | 397,701 | |
Series 2018, 5% 4/1/34 | 2,000,000 | 2,490,953 | |
Series 2019 A: | |||
2.25% 11/1/26 | 305,000 | 306,018 | |
5% 11/1/26 | 355,000 | 401,647 | |
5% 11/1/46 | 1,015,000 | 1,129,450 | |
Series 2019 B1, 2.825% 11/1/28 | 345,000 | 345,086 | |
Series 2019 B2, 2.55% 11/1/27 | 220,000 | 220,634 | |
Series 2019: | |||
5% 10/1/30 | 405,000 | 511,882 | |
5% 10/1/32 | 850,000 | 1,068,559 | |
Wisconsin Health & Edl. Facilities Auth. Rev. Series 2012: | |||
4% 10/1/23 | 430,000 | 441,406 | |
5% 6/1/27 | 385,000 | 392,325 | |
Wisconsin Hsg. & Econ. Dev. Auth. Series 2021 C, 3% 9/1/52 | 1,505,000 | 1,633,524 | |
Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C: | |||
0.61%, tender 5/1/24 (a) | 270,000 | 269,922 | |
0.81%, tender 5/1/25 (a) | 900,000 | 899,569 | |
TOTAL WISCONSIN | 40,526,415 | ||
TOTAL MUNICIPAL BONDS | |||
(Cost $2,340,651,362) | 2,448,629,762 | ||
Municipal Notes - 0.1% | |||
New York - 0.1% | |||
New York Metropolitan Trans. Auth. Rev. BAN Series 2019 B, 5% 5/15/22 | |||
(Cost $1,006,940) | 1,000,000 | 1,017,401 | |
Shares | Value | ||
Money Market Funds - 3.9% | |||
Fidelity Municipal Cash Central Fund 0.11% (g)(h) | |||
(Cost $98,398,597) | 98,388,784 | 98,408,440 | |
TOTAL INVESTMENT IN SECURITIES - 101.4% | |||
(Cost $2,440,056,899) | 2,548,055,603 | ||
NET OTHER ASSETS (LIABILITIES) - (1.4)% | (34,949,759) | ||
NET ASSETS - 100% | $2,513,105,844 |
Security Type Abbreviations
BAN – BOND ANTICIPATION NOTE
Categorizations in the Schedule of Investments are based on country or territory of incorporation.
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $23,580,491 or 0.9% of net assets.
(f) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.
(g) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund.
(h) 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.
Affiliated Central Funds
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 | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Municipal Cash Central Fund 0.11% | $60,565,934 | $621,295,971 | $583,470,000 | $110,468 | $6,623 | $9,912 | $98,408,440 | 7.2% |
Total | $60,565,934 | $621,295,971 | $583,470,000 | $110,468 | $6,623 | $9,912 | $98,408,440 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of December 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: | ||||
Municipal Securities | $2,449,647,163 | $-- | $2,449,647,163 | $-- |
Money Market Funds | 98,408,440 | 98,408,440 | -- | -- |
Total Investments in Securities: | $2,548,055,603 | $98,408,440 | $2,449,647,163 | $-- |
Other Information
The distribution of municipal securities by revenue source, as a percentage of total Net Assets, is as follows (Unaudited):
General Obligations | 25.9% |
Transportation | 23.3% |
Health Care | 14.5% |
Education | 8.8% |
Special Tax | 5.4% |
Others* (Individually Less Than 5%) | 22.1% |
100.0% |
* Includes net other assets
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
December 31, 2021 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,341,658,302) | $2,449,647,163 | |
Fidelity Central Funds (cost $98,398,597) | 98,408,440 | |
Total Investment in Securities (cost $2,440,056,899) | $2,548,055,603 | |
Cash | 781,925 | |
Receivable for fund shares sold | 4,863,516 | |
Interest receivable | 28,062,805 | |
Distributions receivable from Fidelity Central Funds | 9,920 | |
Prepaid expenses | 2,093 | |
Other receivables | 710 | |
Total assets | 2,581,776,572 | |
Liabilities | ||
Payable for investments purchased on a delayed delivery basis | $64,308,215 | |
Payable for fund shares redeemed | 492,235 | |
Distributions payable | 3,040,999 | |
Accrued management fee | 737,033 | |
Other payables and accrued expenses | 92,246 | |
Total liabilities | 68,670,728 | |
Net Assets | $2,513,105,844 | |
Net Assets consist of: | ||
Paid in capital | $2,405,000,696 | |
Total accumulated earnings (loss) | 108,105,148 | |
Net Assets | $2,513,105,844 | |
Net Asset Value, offering price and redemption price per share ($2,513,105,844 ÷ 230,948,268 shares) | $10.88 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended December 31, 2021 | ||
Investment Income | ||
Interest | $47,473,691 | |
Income from Fidelity Central Funds | 105,504 | |
Total income | 47,579,195 | |
Expenses | ||
Management fee | $7,403,170 | |
Custodian fees and expenses | 21,381 | |
Independent trustees' fees and expenses | 6,085 | |
Registration fees | 155,093 | |
Audit | 61,216 | |
Legal | 1,901 | |
Miscellaneous | 7,984 | |
Total expenses before reductions | 7,656,830 | |
Expense reductions | (20,598) | |
Total expenses after reductions | 7,636,232 | |
Net investment income (loss) | 39,942,963 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 3,781,475 | |
Fidelity Central Funds | 6,623 | |
Capital gain distributions from Fidelity Central Funds | 4,964 | |
Total net realized gain (loss) | 3,793,062 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 2,176,017 | |
Fidelity Central Funds | 9,912 | |
Total change in net unrealized appreciation (depreciation) | 2,185,929 | |
Net gain (loss) | 5,978,991 | |
Net increase (decrease) in net assets resulting from operations | $45,921,954 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended December 31, 2021 | Year ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $39,942,963 | $34,698,790 |
Net realized gain (loss) | 3,793,062 | 5,457,528 |
Change in net unrealized appreciation (depreciation) | 2,185,929 | 26,177,645 |
Net increase (decrease) in net assets resulting from operations | 45,921,954 | 66,333,963 |
Distributions to shareholders | (43,142,512) | (39,065,679) |
Share transactions | ||
Proceeds from sales of shares | 1,513,803,032 | 1,032,251,933 |
Reinvestment of distributions | 2,644,935 | 9,223,573 |
Cost of shares redeemed | (592,173,845) | (741,424,799) |
Net increase (decrease) in net assets resulting from share transactions | 924,274,122 | 300,050,707 |
Total increase (decrease) in net assets | 927,053,564 | 327,318,991 |
Net Assets | ||
Beginning of period | 1,586,052,280 | 1,258,733,289 |
End of period | $2,513,105,844 | $1,586,052,280 |
Other Information | ||
Shares | ||
Sold | 138,993,500 | 97,905,584 |
Issued in reinvestment of distributions | 243,126 | 867,075 |
Redeemed | (54,481,538) | (70,190,690) |
Net increase (decrease) | 84,755,088 | 28,581,969 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Municipal Income Fund
Years ended December 31, | 2021 | 2020 | 2019 | 2018 A |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $10.85 | $10.70 | $10.20 | $10.00 |
Income from Investment Operations | ||||
Net investment income (loss)B | .203 | .265 | .296 | .074 |
Net realized and unrealized gain (loss) | .048 | .183 | .564 | .193 |
Total from investment operations | .251 | .448 | .860 | .267 |
Distributions from net investment income | (.207) | (.266) | (.296) | (.066) |
Distributions from net realized gain | (.014) | (.032) | (.064) | (.001) |
Total distributions | (.221) | (.298) | (.360) | (.067) |
Net asset value, end of period | $10.88 | $10.85 | $10.70 | $10.20 |
Total ReturnC,D | 2.33% | 4.27% | 8.51% | 2.67% |
Ratios to Average Net AssetsE,F | ||||
Expenses before reductions | .36% | .37% | .44% | .59%G,H |
Expenses net of fee waivers, if any | .36% | .36% | .36% | .36%G |
Expenses net of all reductions | .36% | .36% | .36% | .36%G |
Net investment income (loss) | 1.87% | 2.49% | 2.80% | 2.90%G |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $2,513,106 | $1,586,052 | $1,258,733 | $1,108,493 |
Portfolio turnover rateI | 4% | 17% | 21% | 7%J,K |
A For the period October 2, 2018 (commencement of operations) through December 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 adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Annualized
H Audit fees are not annualized.
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J Portfolio turnover rate excludes securities received or delivered in-kind.
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended December 31, 2021
1. Organization.
Fidelity SAI Municipal Income 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% |
(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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Municipal securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of December 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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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 December 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to market discount and losses deferred due to 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 | $111,156,458 |
Gross unrealized depreciation | (3,044,614) |
Net unrealized appreciation (depreciation) | $108,111,844 |
Tax Cost | $2,439,943,759 |
The tax-based components of distributable earnings as of period end were as follows:
Net unrealized appreciation (depreciation) on securities and other investments | $108,111,844 |
The tax character of distributions paid was as follows:
December 31, 2021 | December 31, 2020 | |
Tax-exempt Income | $ 39,905,156 | $ 34,666,467 |
Long-term Capital Gains | 3,237,356 | 4,399,212 |
Total | $43,142,512 | $ 39,065,679 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4. 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 Municipal Income Fund | 1,047,529,734 | 89,318,250 |
5. 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 the sum of an individual fund fee rate that is based on an annual rate of .25% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .35% of the Fund's average net assets.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
6. 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 Municipal Income Fund | $3,373 |
7. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,597.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $19,001.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
9. 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 Municipal Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity SAI Municipal Income Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the “Fund”) as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statement of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the three years in the period ended December 31, 2021 and for the period October 2, 2018 (commencement of operations) through December 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 December 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 December 31, 2021 and the financial highlights for each of the three years in the period ended December 31, 2021 and for the period October 2, 2018 (commencement of operations) through December 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 December 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
February 14, 2022
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 286 funds. Mr. Chiel oversees 179 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 retirement, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career in 1983 as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
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), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-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); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (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.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
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 (July 1, 2021 to December 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value July 1, 2021 | Ending Account Value December 31, 2021 | Expenses Paid During Period-B July 1, 2021 to December 31, 2021 | |
Fidelity SAI Municipal Income Fund | .36% | |||
Actual | $1,000.00 | $1,003.60 | $1.82 | |
Hypothetical-C | $1,000.00 | $1,023.39 | $1.84 |
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 184/ 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 hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2021, $3,561,405, or, if subsequently determined to be different, the net capital gain of such year.
During fiscal year ended 2021, 100% of the fund's income dividends was free from federal income tax, and 19.27% of the fund's income dividends was subject to the federal alternative minimum tax.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI Municipal Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to appropriate peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-year period. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.![](https://capedge.com/proxy/N-CSR/0001379491-22-000720/img774393326.jpg)
SIM-ANN-0322
1.9887613.103
Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund
Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund
December 31, 2021
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Contents
Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund | |
Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund | |
Board Approval of Investment Advisory Contracts and Management Fees |
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. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds 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 Funds nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund
Investment Summary (Unaudited)
Coupon Distribution as of December 31, 2021
% of fund's investments | |
0.01 - 0.99% | 94.1 |
2 - 2.99% | 5.3 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund’s prospectus for more information.
Asset Allocation (% of fund's net assets)
As of December 31, 2021* | ||
U.S. Government and U.S. Government Agency Obligations | 98.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.3% |
* Inflation Protected Securities – 98.7%
Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund
Schedule of Investments December 31, 2021
Showing Percentage of Net Assets
U.S. Treasury Inflation-Protected Obligations - 98.7% | |||
Principal Amount | Value | ||
U.S. Treasury Inflation-Indexed Bonds: | |||
2% 1/15/26 | $76,383,263 | $88,388,653 | |
2.375% 1/15/25 | 117,624,469 | 133,947,414 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 1/15/22 | 223,667,537 | 224,070,259 | |
0.125% 4/15/22 | 181,874,066 | 184,487,701 | |
0.125% 7/15/22 | 174,159,403 | 178,417,799 | |
0.125% 1/15/23 | 298,040,396 | 307,746,615 | |
0.125% 7/15/24 | 229,573,297 | 244,708,677 | |
0.125% 10/15/24 | 181,513,758 | 193,865,452 | |
0.125% 4/15/25 | 140,777,755 | 150,592,501 | |
0.125% 10/15/25 | 204,762,393 | 220,751,753 | |
0.125% 4/15/26 | 170,805,531 | 184,351,178 | |
0.125% 7/15/26 | 217,091,480 | 235,725,261 | |
0.125% 10/15/26 | 169,019,535 | 183,835,078 | |
0.25% 1/15/25 | 240,129,759 | 257,260,870 | |
0.375% 7/15/23 | 248,009,063 | 260,724,658 | |
0.375% 7/15/25 | 235,439,375 | 255,726,348 | |
0.375% 1/15/27 | 251,904 | 277,121 | |
0.5% 4/15/24 | 130,987,252 | 139,616,075 | |
0.625% 4/15/23 | 220,324,296 | 230,284,135 | |
0.625% 1/15/24 | 257,589,791 | 274,095,823 | |
0.625% 1/15/26 | 178,376,675 | 195,919,815 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | |||
(Cost $4,149,889,354) | 4,144,793,186 | ||
Shares | Value | ||
Money Market Funds - 0.6% | |||
Fidelity Cash Central Fund 0.08% (a) | |||
(Cost $25,579,301) | 25,574,186 | 25,579,301 | |
TOTAL INVESTMENT IN SECURITIES - 99.3% | |||
(Cost $4,175,468,655) | 4,170,372,487 | ||
NET OTHER ASSETS (LIABILITIES) - 0.7% | 29,615,981 | ||
NET ASSETS - 100% | $4,199,988,468 |
Legend
(a) 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.
Affiliated Central Funds
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 | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $-- | $530,243,770 | $504,664,469 | $7,594 | $-- | $-- | $25,579,301 | 0.0% |
Total | $-- | $530,243,770 | $504,664,469 | $7,594 | $-- | $-- | $25,579,301 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of December 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: | ||||
U.S. Government and Government Agency Obligations | $4,144,793,186 | $-- | $4,144,793,186 | $-- |
Money Market Funds | 25,579,301 | 25,579,301 | -- | -- |
Total Investments in Securities: | $4,170,372,487 | $25,579,301 | $4,144,793,186 | $-- |
Other Information
The composition of credit quality ratings as a percentage of Total Net Assets is as follows (Unaudited):
U.S. Government and U.S. Government Agency Obligations | 98.7% |
Short-Term Investments and Net Other Assets | 1.3% |
100.0% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
See accompanying notes which are an integral part of the financial statements.
Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund
Financial Statements
Statement of Assets and Liabilities
December 31, 2021 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $4,149,889,354) | $4,144,793,186 | |
Fidelity Central Funds (cost $25,579,301) | 25,579,301 | |
Total Investment in Securities (cost $4,175,468,655) | $4,170,372,487 | |
Receivable for investments sold | 3,129,311 | |
Receivable for fund shares sold | 214,976,715 | |
Interest receivable | 5,668,914 | |
Distributions receivable from Fidelity Central Funds | 2,531 | |
Total assets | 4,394,149,958 | |
Liabilities | ||
Payable for investments purchased | $131,058,356 | |
Payable for fund shares redeemed | 63,099,753 | |
Other payables and accrued expenses | 3,381 | |
Total liabilities | 194,161,490 | |
Net Assets | $4,199,988,468 | |
Net Assets consist of: | ||
Paid in capital | $4,205,679,436 | |
Total accumulated earnings (loss) | (5,690,968) | |
Net Assets | $4,199,988,468 | |
Net Asset Value, offering price and redemption price per share ($4,199,988,468 ÷ 417,849,164 shares) | $10.05 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
For the period August 13, 2021 (commencement of operations) through December 31, 2021 | ||
Investment Income | ||
Interest | $23,410,415 | |
Income from Fidelity Central Funds | 7,594 | |
Total income | 23,418,009 | |
Expenses | ||
Custodian fees and expenses | $3,380 | |
Independent trustees' fees and expenses | 1,043 | |
Total expenses | 4,423 | |
Net investment income (loss) | 23,413,586 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 68,661 | |
Total net realized gain (loss) | 68,661 | |
Change in net unrealized appreciation (depreciation) on investment securities | (5,096,168) | |
Net gain (loss) | (5,027,507) | |
Net increase (decrease) in net assets resulting from operations | $18,386,079 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
For the period August 13, 2021 (commencement of operations) through December 31, 2021 | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $23,413,586 |
Net realized gain (loss) | 68,661 |
Change in net unrealized appreciation (depreciation) | (5,096,168) |
Net increase (decrease) in net assets resulting from operations | 18,386,079 |
Distributions to shareholders | (24,077,069) |
Distributions to shareholders from tax return of capital | (3,584,592) |
Total distributions | (27,661,661) |
Share transactions | |
Proceeds from sales of shares | 5,237,160,550 |
Reinvestment of distributions | 27,661,661 |
Cost of shares redeemed | (1,055,558,161) |
Net increase (decrease) in net assets resulting from share transactions | 4,209,264,050 |
Total increase (decrease) in net assets | 4,199,988,468 |
Net Assets | |
Beginning of period | – |
End of period | $4,199,988,468 |
Other Information | |
Shares | |
Sold | 519,739,470 |
Issued in reinvestment of distributions | 2,768,935 |
Redeemed | (104,659,241) |
Net increase (decrease) | 417,849,164 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund
Years ended December 31, | 2021 A |
Selected Per–Share Data | |
Net asset value, beginning of period | $10.00 |
Income from Investment Operations | |
Net investment income (loss)B | .127 |
Net realized and unrealized gain (loss) | .005C |
Total from investment operations | .132 |
Distributions from net investment income | (.071) |
Distributions from tax return of capital | (.011) |
Total distributions | (.082) |
Net asset value, end of period | $10.05 |
Total ReturnD | 1.33% |
Ratios to Average Net AssetsE,F | |
Expenses before reductionsG | - %H |
Expenses net of fee waivers, if anyG | - %H |
Expenses net of all reductionsG | - %H |
Net investment income (loss) | 3.33%H |
Supplemental Data | |
Net assets, end of period (000 omitted) | $4,199,988 |
Portfolio turnover rateI | 33%J |
A For the period August 13, 2021 (commencement of operations) through December 31, 2021.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
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 adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Amount represents less than .005%.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund
Investment Summary (Unaudited)
Coupon Distribution as of December 31, 2021
% of fund's investments | |
0.01 - 0.99% | 72.7 |
1 - 1.99% | 11.6 |
2 - 2.99% | 8.8 |
3 - 3.99% | 6.9 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund’s prospectus for more information.
Asset Allocation (% of fund's net assets)
As of December 31, 2021* | ||
U.S. Government and U.S. Government Agency Obligations | 99.5% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.5% |
* Inflation Protected Securities – 99.5%
Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund
Schedule of Investments December 31, 2021
Showing Percentage of Net Assets
U.S. Treasury Inflation-Protected Obligations - 99.5% | |||
Principal Amount | Value | ||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.125% 2/15/51 | $155,060,338 | $183,995,272 | |
0.25% 2/15/50 | 132,140,819 | 160,201,603 | |
0.625% 2/15/43 | 178,524,840 | 222,201,346 | |
0.75% 2/15/42 | 171,496,926 | 216,973,094 | |
0.75% 2/15/45 | 254,337,864 | 327,826,754 | |
0.875% 2/15/47 | 127,608,860 | 172,604,730 | |
1% 2/15/46 | 113,590,742 | 155,444,071 | |
1% 2/15/48 | 129,139,992 | 181,368,238 | |
1% 2/15/49 | 99,151,729 | 140,969,477 | |
1.375% 2/15/44 | 148,485,166 | 212,161,147 | |
1.75% 1/15/28 | 117,056,232 | 140,460,142 | |
2.125% 2/15/40 | 81,437,556 | 124,761,021 | |
2.125% 2/15/41 | 135,721,603 | 210,296,030 | |
2.375% 1/15/27 | 129,997,865 | 157,030,125 | |
2.5% 1/15/29 | 110,996,353 | 141,939,348 | |
3.375% 4/15/32 | 66,512,343 | 98,980,755 | |
3.625% 4/15/28 | 109,512,839 | 145,529,154 | |
3.875% 4/15/29 | 179,448,942 | 250,008,740 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 1/15/30 | 306,173,542 | 339,982,144 | |
0.125% 7/15/30 | 380,801,573 | 426,269,486 | |
0.125% 1/15/31 | 415,944,933 | 465,974,490 | |
0.125% 7/15/31 | 405,137,387 | 455,673,591 | |
0.25% 7/15/29 | 385,277,462 | 431,874,050 | |
0.375% 1/15/27 | 292,825,812 | 322,138,460 | |
0.375% 7/15/27 | 429,190,880 | 476,273,288 | |
0.5% 1/15/28 | 357,407,471 | 400,018,557 | |
0.75% 7/15/28 | 295,798,584 | 338,851,706 | |
0.875% 1/15/29 | 246,422,330 | 285,064,685 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | |||
(Cost $7,138,279,273) | 7,184,871,504 | ||
Shares | Value | ||
Money Market Funds - 0.0% | |||
Fidelity Cash Central Fund 0.08% (a) | |||
(Cost $7,435) | 7,434 | 7,435 | |
TOTAL INVESTMENT IN SECURITIES - 99.5% | |||
(Cost $7,138,286,708) | 7,184,878,939 | ||
NET OTHER ASSETS (LIABILITIES) - 0.5% | 33,375,181 | ||
NET ASSETS - 100% | $7,218,254,120 |
Legend
(a) 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.
Affiliated Central Funds
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 | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $-- | $432,814,955 | $432,807,520 | $3,009 | $-- | $-- | $7,435 | 0.0% |
Total | $-- | $432,814,955 | $432,807,520 | $3,009 | $-- | $-- | $7,435 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of December 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: | ||||
U.S. Government and Government Agency Obligations | $7,184,871,504 | $-- | $7,184,871,504 | $-- |
Money Market Funds | 7,435 | 7,435 | -- | -- |
Total Investments in Securities: | $7,184,878,939 | $7,435 | $7,184,871,504 | $-- |
Other Information
The composition of credit quality ratings as a percentage of Total Net Assets is as follows (Unaudited):
U.S. Government and U.S. Government Agency Obligations | 99.5% |
Short-Term Investments and Net Other Assets | 0.5% |
100.0% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
See accompanying notes which are an integral part of the financial statements.
Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund
Financial Statements
Statement of Assets and Liabilities
December 31, 2021 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $7,138,279,273) | $7,184,871,504 | |
Fidelity Central Funds (cost $7,435) | 7,435 | |
Total Investment in Securities (cost $7,138,286,708) | $7,184,878,939 | |
Receivable for fund shares sold | 285,010,134 | |
Interest receivable | 17,518,545 | |
Distributions receivable from Fidelity Central Funds | 1,224 | |
Total assets | 7,487,408,842 | |
Liabilities | ||
Payable for investments purchased | $190,134,497 | |
Payable for fund shares redeemed | 52,634,550 | |
Notes payable to affiliates | 26,380,000 | |
Other payables and accrued expenses | 5,675 | |
Total liabilities | 269,154,722 | |
Net Assets | $7,218,254,120 | |
Net Assets consist of: | ||
Paid in capital | $7,173,612,357 | |
Total accumulated earnings (loss) | 44,641,763 | |
Net Assets | $7,218,254,120 | |
Net Asset Value, offering price and redemption price per share ($7,218,254,120 ÷ 712,780,446 shares) | $10.13 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
For the period August 13, 2021 (commencement of operations) through December 31, 2021 | ||
Investment Income | ||
Interest | $45,635,364 | |
Income from Fidelity Central Funds | 3,009 | |
Total income | 45,638,373 | |
Expenses | ||
Custodian fees and expenses | $5,445 | |
Independent trustees' fees and expenses | 1,623 | |
Interest | 231 | |
Total expenses | 7,299 | |
Net investment income (loss) | 45,631,074 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (477,904) | |
Total net realized gain (loss) | (477,904) | |
Change in net unrealized appreciation (depreciation) on investment securities | 46,592,231 | |
Net gain (loss) | 46,114,327 | |
Net increase (decrease) in net assets resulting from operations | $91,745,401 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
For the period August 13, 2021 (commencement of operations) through December 31, 2021 | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $45,631,074 |
Net realized gain (loss) | (477,904) |
Change in net unrealized appreciation (depreciation) | 46,592,231 |
Net increase (decrease) in net assets resulting from operations | 91,745,401 |
Distributions to shareholders | (47,103,637) |
Share transactions | |
Proceeds from sales of shares | 7,482,341,659 |
Reinvestment of distributions | 47,103,637 |
Cost of shares redeemed | (355,832,940) |
Net increase (decrease) in net assets resulting from share transactions | 7,173,612,356 |
Total increase (decrease) in net assets | 7,218,254,120 |
Net Assets | |
Beginning of period | – |
End of period | $7,218,254,120 |
Other Information | |
Shares | |
Sold | 743,342,521 |
Issued in reinvestment of distributions | 4,734,034 |
Redeemed | (35,296,109) |
Net increase (decrease) | 712,780,446 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund
Years ended December 31, | 2021 A |
Selected Per–Share Data | |
Net asset value, beginning of period | $10.00 |
Income from Investment Operations | |
Net investment income (loss)B | .158 |
Net realized and unrealized gain (loss) | .061 |
Total from investment operations | .219 |
Distributions from net investment income | (.089) |
Total distributions | (.089) |
Net asset value, end of period | $10.13 |
Total ReturnC | 2.21% |
Ratios to Average Net AssetsD,E | |
Expenses before reductionsF | - %G |
Expenses net of fee waivers, if anyF | - %G |
Expenses net of all reductionsF | - %G |
Net investment income (loss) | 4.16%G |
Supplemental Data | |
Net assets, end of period (000 omitted) | $7,218,254 |
Portfolio turnover rateH | 31%I |
A For the period August 13, 2021 (commencement of operations) through December 31, 2021.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
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 adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount represents less than .005%.
G Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended December 31, 2021
1. Organization.
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund (the Funds) are funds of Fidelity Salem Street Trust (the Trust). 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. Each Fund is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds and Fidelity managed 529 plans.
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% |
(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.
Each 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. Each 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 each 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 each Fund's investments to the Fair Value Committee (the Committee) established by each Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, each Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees each 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 each Fund's investments and ratifies the fair value determinations of the Committee.
Each 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 each Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 December 31, 2021 is included at the end of each Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may have a significant impact on the Funds' distributions.
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, each 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 December 31, 2021, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each 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. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to 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 for each Fund:
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | $4,176,063,455 | $6,405,133 | $(12,096,101) | $(5,690,968) |
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | 7,140,254,878 | 62,865,662 | (18,241,601) | 44,624,061 |
The tax-based components of distributable earnings as of period end were as follows for each Fund:
Undistributed ordinary income | Net unrealized appreciation (depreciation) on securities and other investments | |
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | $– | $(5,690,968) |
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | 17,703 | 44,624,061 |
For the period ended December 31, 2021, the Fund's distributions exceeded the aggregate amount of taxable income and net realized gains resulting in a return of capital for tax purposes. This was due to reductions in taxable income available for distribution after certain distributions had been made.
The tax character of distributions paid was as follows:
December 31, 2021 | |||
Ordinary Income | Tax Return of Capital | Total | |
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | $24,077,069 | $3,584,592 | $27,661,661 |
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | 47,103,637 | – | 47,103,637 |
4. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Funds with investment management related services for which the Funds do not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Funds, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), each 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 each Fund to borrow from, or lend money to, other participating affiliated funds. At period end, Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund had no interfund loans outstanding. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable to affiliates" in the their 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 Series 5+ Year Inflation-Protected Bond Index Fund | Borrower | $26,380,000 | .32% | $231 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | 190,953,834 | – | – |
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | 170,273,131 | – | – |
Affiliated Exchanges In-Kind. Shares that were exchanged for investments, including accrued interest and cash, if any, are shown in the table below. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets.
Shares | Total Proceeds ($) | |
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | 333,742,519 | 3,362,635,876 |
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | 333,474,551 | 3,349,047,218 |
5. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Funds.
6. 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 Funds' performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund (two of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the “Funds”) as of December 31, 2021, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period August 13, 2021 (commencement of operations) through December 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations, changes in each of their net assets and each of their financial highlights for the period August 13, 2021 (commencement of operations) through December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ 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 Funds 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 December 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
February 16, 2022
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 funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, oversee management of the risks associated with such activities and contractual arrangements, and review each fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 286 funds. Mr. Chiel oversees 179 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 funds 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.
Each 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 each 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 funds, 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 funds. 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 funds' 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, each fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the funds' 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 funds' 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 funds are carried out by or through FMR, its affiliates, and other service providers, the funds' 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 funds' 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 funds' Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the funds' 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 each 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 retirement, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career in 1983 as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
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 each 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), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-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); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (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).
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.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
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 actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 13, 2021 to December 31, 2021). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (July 1, 2021 to December 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value | Ending Account Value December 31, 2021 | Expenses Paid During Period | |
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | - %-B | |||
Actual | $1,000.00 | $1,013.30 | $-C,D | |
Hypothetical-E | $1,000.00 | $1,025.21 | $-D,F | |
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | - %-B | |||
Actual | $1,000.00 | $1,022.10 | $-C,D | |
Hypothetical-E | $1,000.00 | $1,025.21 | $-D,F |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Amount represents less than .005%.
C Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 141/365 (to reflect the period August 13, 2021 to December 31, 2021.
D Amount represents less than $.005.
E 5% return per year before expenses
F Hypothetical expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Distributions (Unaudited)
The Board of Trustees of each fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
Pay Date | Record Date | Capital Gains | |
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | 02/14/22 | 02/11/22 | $0.000 |
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | 02/14/22 | 02/11/22 | $0.001 |
A percentage of the dividends distributed during the fiscal year for the following funds were derived from interest on U.S. Government securities which is generally exempt from state income tax:
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | 99.97% |
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | 99.99% |
The funds will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund
Fidelity Series 5+ Year Inflation-Protected Bond Index FundAt its May 2021 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements with affiliates of FMR (together, the Advisory Contracts) for each fund. FMR and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.Nature, Extent, and Quality of Services Provided. The Board considered staffing as it relates to the funds, including the backgrounds of investment personnel of Fidelity, and also considered the funds' investment objectives, strategies, and related investment philosophies, and the purpose of Series funds generally. The Board considered the structure of the investment personnel compensation programs, and whether these structures provide appropriate incentives to act in the best interests of each fund.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operationscapabilities and resources, which are integral parts of the investment management process.Administrative Services. The Board considered the nature, extent, quality, and cost of advisory and administrative services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors.Investment Performance. Each fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contracts. The Board considered the Investment Advisers' strength in fundamental, research-driven security selection, which the Board is familiar with through its supervision of other Fidelity funds. The Board also took into consideration the fact that it oversees funds managed by Fidelity that have similar investment objectives and policies as the funds.Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to each fund under the Advisory Contracts should benefit the shareholders of each fund.Competitiveness of Management Fee and Total Expense Ratio ..The Board considered that each fund will not pay FMR a management fee for investment advisory services. In reviewing the Advisory Contracts, the Board also considered the projected total expense ratio of the fund. The Board noted that FMR undertakes to pay all operating expenses of each fund, with certain exceptions. The Board also noted that each fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.The Board also noted that FMR has contractually agreed to reimburse each fund to the extent that total operating expenses, with certain exceptions, as a percentage of their average net assets, exceed 0.003% through April 30, 2025.Based on its review, the Board considered that each fund will not pay a management fee and concluded that each fund's projected total expense ratio was reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.Costs of the Services and Profitability. Each fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved the Advisory Contracts. The Board also noted that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of each fund are not relevant to approval of the Advisory Contracts because each fund pays no advisory fees and FMR bears all expenses of each fund, with certain exceptions. In connection with its future renewal of each fund's Advisory Contracts, the Board will consider the level of Fidelity's profits in respect of all the Fidelity funds.Economies of Scale. The Board concluded that because each fund will pay no advisory fees and FMR will bear all expenses of each fund, with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to approve each fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board received information explaining that each fund is offered exclusively to other Fidelity funds and Fidelity managed 529 plans, which use each fund to gain exposure to a specific type of investment. The Board also noted that those Fidelity funds investing in each fund will benefit from investing in one centralized fund as each fund may deliver more uniform asset class performance and offer additional opportunities to generate returns and diversify the investing funds' fixed income allocations.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that each fund's Advisory Contracts should be approved.SYI-ANN-0322
1.9901939.100
Fidelity® Series Inflation-Protected Bond Index Fund
December 31, 2021
![Fidelity Investments](https://capedge.com/proxy/N-CSR/0001379491-22-000720/fid_sun.jpg)
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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.
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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. © 2022 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 COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, 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 December 31, 2021 | Past 1 year | Past 5 years | Past 10 years |
Fidelity® Series Inflation-Protected Bond Index Fund | 5.60% | 4.41% | 2.43% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Series Inflation-Protected Bond Index Fund on December 31, 2011.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 1-10 Year Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-22-000720/img770707902_740.jpg)
Period Ending Values | ||
$12,711 | Fidelity® Series Inflation-Protected Bond Index Fund | |
$12,883 | Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 1-10 Year Index |
Effective August 24, 2021, all Bloomberg Barclays Indices were re-branded as Bloomberg Indices.
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a moderate decline in the year ending December 31, 2021, amid a broad risk-on and inflationary environment. The Bloomberg U.S. Aggregate Bond Index returned -1.54% for the full period. Longer-term bond yields rose early in the year, as a $1.9 trillion COVID-relief bill offered hopes for a robust economic recovery. This led to rising inflation expectations that persisted through early April. Many investors preferred the potential for higher returns in riskier assets as the worst economic fears related to the spread of COVID-19 retreated. Bond yields fell from May through early August in response to weaker-than-expected economic data. Then in the fourth quarter, rising inflation and tighter monetary policy increased short-term yields and decreased longer-term yields. By early December, U.S. Federal Reserve Chair Jerome Powell stated it was time to retire the term “transitory” in describing U.S. inflation. Also in December, the Fed accelerated its tapering plans and raised the prospects for three quarter-point interest-rate hikes in 2022. Within the Aggregate index, corporate bonds returned -2.92% for the period, edging the -3.30% return of U.S. Treasuries. Securitized segments of the market also posted negative returns, including commercial mortgage-backed securities (-2.42%). Outside the index, U.S. corporate high-yield bonds added roughly 5% and Treasury Inflation-Protected Securities (TIPS) rose 6%.Comments from Co-Portfolio Managers Brandon Bettencourt and Richard Munclinger: For the year, the fund returned 5.60%, roughly in line, net of fees, with the 5.69% return of the benchmark, the Bloomberg Barclays U.S. 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index (Series-L). We attempt to hold all positions held by the index in the same relative proportions. TIPS generated the bulk of their one-year gains from April 2020 through the end of the period. TIPS outpaced all other major U.S. fixed-income investment-grade bond sectors for the year, reflecting rising inflation and elevated demand for inflation-protected assets. Inflation, as measured by CPI-U (the Consumer Price Index for all Urban Consumers) spiked in early 2021 as prices for airfares, restaurant meals and apparel recovered sharply after slipping in 2020 when the economy shut down during the depths of the COVID-19 pandemic. Inflation accelerated in the second quarter, with the June CPI-U coming in 5.4% higher than a year earlier amid disrupted supply chains and extraordinarily high demand for goods, as well as growing exuberance regarding the reopening of the economy. After stabilizing in July and cooling slightly in August, CPI-U accelerated again. For November, the final reading by year's end, inflation rose 6.8% from the same month a year earlier, its strongest surge since June 1982. Prices for a broad range of categories increased, including gasoline, food, shelter, and new and used cars and trucks.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)
Coupon Distribution as of December 31, 2021
% of fund's investments | |
0.01 - 0.99% | 86.2 |
1 - 1.99% | 1.8 |
2 - 2.99% | 8.4 |
3 - 3.99% | 3.0 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund's prospectus for more information.
Asset Allocation (% of fund's net assets)
As of December 31, 2021* | ||
U.S. Government and U.S. Government Agency Obligations | 99.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.2% |
* Inflation Protected Securities - 99.8%
Schedule of Investments December 31, 2021
Showing Percentage of Net Assets
U.S. Treasury Inflation-Protected Obligations - 99.8% | |||
Principal Amount | Value | ||
U.S. Treasury Inflation-Indexed Bonds: | |||
1.75% 1/15/28 | $79,477,672 | $95,368,225 | |
2% 1/15/26 | 92,956,753 | 107,567,049 | |
2.375% 1/15/25 | 136,819,624 | 155,806,313 | |
2.375% 1/15/27 | 73,411,006 | 88,676,375 | |
2.5% 1/15/29 | 74,268,318 | 94,972,460 | |
3.625% 4/15/28 | 34,002,205 | 45,184,767 | |
3.875% 4/15/29 | 82,780,708 | 115,330,301 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 1/15/23 | 244,887,451 | 252,862,647 | |
0.125% 7/15/24 | 221,138,619 | 235,717,914 | |
0.125% 10/15/24 | 195,670,064 | 208,985,070 | |
0.125% 4/15/25 | 98,198,035 | 105,044,208 | |
0.125% 10/15/25 | 201,936,693 | 217,705,401 | |
0.125% 4/15/26 | 138,233,638 | 149,196,187 | |
0.125% 7/15/26 | 148,256,634 | 160,982,060 | |
0.125% 10/15/26 | 128,462,094 | 139,722,542 | |
0.125% 1/15/30 | 175,432,552 | 194,804,342 | |
0.125% 7/15/30 | 137,711,877 | 154,154,749 | |
0.125% 1/15/31 | 210,439,774 | 235,751,319 | |
0.125% 7/15/31 | 189,453,800 | 213,085,970 | |
0.25% 1/15/25 | 159,233,652 | 170,593,549 | |
0.25% 7/15/29 | 171,382,265 | 192,109,740 | |
0.375% 7/15/23 | 201,459,488 | 211,788,455 | |
0.375% 7/15/25 | 157,170,497 | 170,713,319 | |
0.375% 1/15/27 | 165,666,532 | 182,250,195 | |
0.375% 7/15/27 | 196,301,053 | 217,835,356 | |
0.5% 4/15/24 | 70,881,182 | 75,550,500 | |
0.5% 1/15/28 | 157,226,724 | 175,971,720 | |
0.625% 4/15/23 | 209,806,209 | 219,290,574 | |
0.625% 1/15/24 | 205,185,628 | 218,333,667 | |
0.625% 1/15/26 | 153,678,540 | 168,792,647 | |
0.75% 7/15/28 | 150,372,462 | 172,258,989 | |
0.875% 1/15/29 | 106,654,729 | 123,379,633 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | |||
(Cost $4,962,833,360) | 5,269,786,243 | ||
Shares | Value | ||
Money Market Funds - 0.5% | |||
Fidelity Cash Central Fund 0.08% (a) | |||
(Cost $27,059,739) | 27,054,328 | 27,059,739 | |
TOTAL INVESTMENT IN SECURITIES - 100.3% | |||
(Cost $4,989,893,099) | 5,296,845,982 | ||
NET OTHER ASSETS (LIABILITIES) - (0.3)% | (13,590,832) | ||
NET ASSETS - 100% | $5,283,255,150 |
Legend
(a) 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.
Affiliated Central Funds
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 | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $5,997,078 | $540,625,478 | $519,562,818 | $6,233 | $1 | $-- | $27,059,739 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.08% | -- | 1,490,237,707 | 1,490,237,707 | 144,122 | -- | -- | -- | 0.0% |
Total | $5,997,078 | $2,030,863,185 | $2,009,800,525 | $150,355 | $1 | $-- | $27,059,739 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of December 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: | ||||
U.S. Government and Government Agency Obligations | $5,269,786,243 | $-- | $5,269,786,243 | $-- |
Money Market Funds | 27,059,739 | 27,059,739 | -- | -- |
Total Investments in Securities: | $5,296,845,982 | $27,059,739 | $5,269,786,243 | $-- |
Other Information
The composition of credit quality ratings as a percentage of Total Net Assets is as follows (Unaudited):
U.S. Government and U.S. Government Agency Obligations | 99.8% |
Short-Term Investments and Net Other Assets | 0.2% |
100.0% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
December 31, 2021 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $4,962,833,360) | $5,269,786,243 | |
Fidelity Central Funds (cost $27,059,739) | 27,059,739 | |
Total Investment in Securities (cost $4,989,893,099) | $5,296,845,982 | |
Receivable for investments sold | 315,270,725 | |
Receivable for fund shares sold | 47,306 | |
Interest receivable | 11,362,702 | |
Distributions receivable from Fidelity Central Funds | 3,879 | |
Total assets | 5,623,530,594 | |
Liabilities | ||
Payable for investments purchased | $73,273,476 | |
Payable for fund shares redeemed | 266,938,914 | |
Other payables and accrued expenses | 63,054 | |
Total liabilities | 340,275,444 | |
Net Assets | $5,283,255,150 | |
Net Assets consist of: | ||
Paid in capital | $4,875,912,654 | |
Total accumulated earnings (loss) | 407,342,496 | |
Net Assets | $5,283,255,150 | |
Net Asset Value, offering price and redemption price per share ($5,283,255,150 ÷ 499,165,123 shares) | $10.58 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended December 31, 2021 | ||
Investment Income | ||
Interest | $746,471,443 | |
Income from Fidelity Central Funds (including $144,122 from security lending) | 150,355 | |
Total income | 746,621,798 | |
Expenses | ||
Custodian fees and expenses | $132,670 | |
Independent trustees' fees and expenses | 44,140 | |
Total expenses before reductions | 176,810 | |
Expense reductions | (4) | |
Total expenses after reductions | 176,806 | |
Net investment income (loss) | 746,444,992 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 185,341,619 | |
Redemptions in-kind with affiliated entities | 515,199,199 | |
Fidelity Central Funds | 1 | |
Total net realized gain (loss) | 700,540,819 | |
Change in net unrealized appreciation (depreciation) on investment securities | (658,486,483) | |
Net gain (loss) | 42,054,336 | |
Net increase (decrease) in net assets resulting from operations | $788,499,328 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended December 31, 2021 | Year ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $746,444,992 | $177,553,048 |
Net realized gain (loss) | 700,540,819 | 47,932,741 |
Change in net unrealized appreciation (depreciation) | (658,486,483) | 783,249,374 |
Net increase (decrease) in net assets resulting from operations | 788,499,328 | 1,008,735,163 |
Distributions to shareholders | (459,784,188) | (193,742,564) |
Share transactions | ||
Proceeds from sales of shares | 2,463,859,625 | 3,761,473,787 |
Reinvestment of distributions | 459,781,287 | 193,742,376 |
Cost of shares redeemed | (12,391,952,134) | (3,019,937,841) |
Net increase (decrease) in net assets resulting from share transactions | (9,468,311,222) | 935,278,322 |
Total increase (decrease) in net assets | (9,139,596,082) | 1,750,270,921 |
Net Assets | ||
Beginning of period | 14,422,851,232 | 12,672,580,311 |
End of period | $5,283,255,150 | $14,422,851,232 |
Other Information | ||
Shares | ||
Sold | 226,616,795 | 357,405,408 |
Issued in reinvestment of distributions | 43,872,154 | 18,172,152 |
Redeemed | (1,115,285,932) | (292,816,898) |
Net increase (decrease) | (844,796,983) | 82,760,662 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series Inflation-Protected Bond Index Fund
Years ended December 31, | 2021 | 2020 | 2019 | 2018 | 2017 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.73 | $10.05 | $9.54 | $9.76 | $9.77 |
Income from Investment Operations | |||||
Net investment income (loss)A | .584 | .146 | .222 | .258 | .217 |
Net realized and unrealized gain (loss) | .010 | .683 | .434 | (.300) | (.024) |
Total from investment operations | .594 | .829 | .656 | (.042) | .193 |
Distributions from net investment income | (.744) | (.017) | (.039) | (.030) | (.010) |
Distributions from net realized gain | – | (.132) | (.107) | (.148) | (.193) |
Total distributions | (.744) | (.149) | (.146) | (.178) | (.203) |
Net asset value, end of period | $10.58 | $10.73 | $10.05 | $9.54 | $9.76 |
Total ReturnB | 5.60% | 8.26% | 6.89% | (.42)% | 1.99% |
Ratios to Average Net AssetsC,D | |||||
Expenses before reductions | - %E | - %E | - %E | - %E | .06% |
Expenses net of fee waivers, if any | - %E | - %E | - %E | - %E | .06% |
Expenses net of all reductions | - %E | - %E | - %E | - %E | .06% |
Net investment income (loss) | 5.30% | 1.40% | 2.23% | 2.67% | 2.21% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $5,283,255 | $14,422,851 | $12,672,580 | $5,760,801 | $2,402,297 |
Portfolio turnover rateF | 29%G | 40% | 18% | 25%G | 25% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
D Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
E Amount represents less than .005%.
F Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended December 31, 2021
1. Organization.
Fidelity Series Inflation-Protected Bond 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 only to certain other Fidelity funds and Fidelity managed 529 plans. 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% |
(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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 December 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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may result in negative Interest and may have a significant impact on the Fund's distributions.
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 December 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to market discount, redemptions in kind 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 | $308,446,207 |
Gross unrealized depreciation | (674,638) |
Net unrealized appreciation (depreciation) | $307,771,569 |
Tax Cost | $4,989,074,413 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed long-term capital gain | $99,570,928 |
Net unrealized appreciation (depreciation) on securities and other investments | $307,771,569 |
The tax character of distributions paid was as follows:
December 31, 2021 | December 31, 2020 | |
Ordinary Income | $459,784,188 | $ 180,603,104 |
Long-term Capital Gains | – | 13,139,460 |
Total | $459,784,188 | $ 193,742,564 |
4. 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 does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
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. Interfund trades during the period are noted in the table below.
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Series Inflation-Protected Bond Index Fund | – | 361,226,964 | 6,771,157 |
Affiliated Redemptions In-Kind. Shares that were redeemed in-kind for investments, including accrued interest and cash, if any, are shown in the table below. The net realized gain or loss on investments delivered through in-kind redemptions is included in the accompanying Statement of Operations. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets. There was no gain or loss for federal income tax purposes.
Shares | Total net realized gain or loss ($) | Total Proceeds ($) | |
Fidelity Series Inflation-Protected Bond Index Fund | 605,201,479 | 515,199,199 | 6,711,683,094 |
5. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
6. 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 Series Inflation-Protected Bond Index Fund | $14,666 | $– | $– |
7. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $4.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
9. 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 Series Inflation-Protected Bond Index Fund
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Series Inflation-Protected Bond Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of December 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 December 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 December 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
February 11, 2022
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 286 funds. Mr. Chiel oversees 179 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 retirement, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career in 1983 as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
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), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-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); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (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.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
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 (July 1, 2021 to December 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value July 1, 2021 | Ending Account Value December 31, 2021 | Expenses Paid During Period-B July 1, 2021 to December 31, 2021 | |
Fidelity Series Inflation-Protected Bond Index Fund | - %-C | |||
Actual | $1,000.00 | $1,031.00 | $--D | |
Hypothetical-E | $1,000.00 | $1,025.21 | $--D |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 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 Amount represents less than .005%.
D Amount represents less than $.005.
E 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity Series Inflation-Protected Bond Index Fund voted to pay on February 14, 2022, to shareholders of record at the opening of business on February 11, 2022, a distribution of $0.258 per share derived from capital gains realized from sales of portfolio securities.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2021, $168,039,709, or, if subsequently determined to be different, the net capital gain of such year.
A total of 99.98% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $327,079,998 of distributions paid in the calendar year 2020 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Series Inflation-Protected Bond Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies and 529 plans. The Board noted that there was a portfolio management change for the fund in October 2020.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through April 30, 2024.Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the continued waiver of money market fund fees; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.SIB-S-ANN-0322
1.899329.112
Item 2.
Code of Ethics
As of the end of the period, December 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 Series Inflation-Protected Bond Index Fund (the “Fund”):
Services Billed by Deloitte Entities
December 31, 2021 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Series Inflation-Protected Bond Index Fund | $42,400 | $- | $11,200 | $1,000 |
December 31, 2020 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Series Inflation-Protected Bond Index Fund | $47,300 | $- | $9,800 | $1,100 |
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 Flex Inflation-Protected
Bond Index Fund, Fidelity Inflation-Protected Bond Index Fund, Fidelity International Bond Index Fund, Fidelity SAI Municipal Income Fund, Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund (the “Funds”):
Services Billed by PwC
December 31, 2021 FeesA,B
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Flex Inflation-Protected Bond Index Fund | $34,100 | $3,100 | $5,100 | $1,300 |
Fidelity Inflation-Protected Bond Index Fund | $34,000 | $3,100 | $5,100 | $1,300 |
Fidelity International Bond Index Fund | $72,900 | $6,700 | $13,900 | $2,900 |
Fidelity SAI Municipal Income Fund | $48,900 | $4,300 | $5,100 | $1,800 |
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | $20,700 | $900 | $5,100 | $400 |
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | $20,700 | $900 | $5,100 | $400 |
December 31, 2020 FeesA,B
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Flex Inflation-Protected Bond Index Fund | $34,700 | $3,000 | $5,100 | $1,600 |
Fidelity Inflation-Protected Bond Index Fund | $34,500 | $3,000 | $5,100 | $1,600 |
Fidelity International Bond Index Fund | $73,700 | $6,400 | $11,700 | $3,500 |
Fidelity SAI Municipal Income Fund | $49,600 | $4,100 | $5,100 | $2,300 |
Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | $- | $- | $- | $- |
Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | $- | $- | $- | $- |
A Amounts may reflect rounding
B Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund commenced operations on August 13, 2021.
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
December 31, 2021A | December 31, 2020A | |
Audit-Related Fees | $- | $- |
Tax Fees | $- | $- |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
Services Billed by PwC
December 31, 2021A,B | December 31, 2020A,B | |
Audit-Related Fees | $8,522,600 | $9,377,400 |
Tax Fees | $354,200 | $30,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
B May include amounts billed prior to the Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund’s commencement of operations.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities and PwC for services rendered to the 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 | December 31, 2021A,B | December 31, 2020A,B |
Deloitte Entities | $533,800 | $512,500 |
PwC | $14,186,000 | $14,594,800 |
A Amounts may reflect rounding.
B May include amounts billed prior to the Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund’s commencement of operations.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in 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: | February 18, 2022 |
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: | February 18, 2022 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | February 18, 2022 |