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: | January 31 |
Date of reporting period: | January 31, 2022 |
Item 1.
Reports to Stockholders
Fidelity® Tax-Free Bond Fund
January 31, 2022
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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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 January 31, 2022 | Past 1 year | Past 5 years | Past 10 years |
Fidelity® Tax-Free Bond Fund | (1.16)% | 3.97% | 3.70% |
$25,000 Over 10 Years
Let's say hypothetically that $25,000 was invested in Fidelity® Tax-Free Bond Fund on January 31, 2012.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg 3+ Year Non-AMT Municipal Bond Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-22-001092/img780529888_740.jpg)
Period Ending Values | ||
$35,961 | Fidelity® Tax-Free Bond Fund | |
$35,125 | Bloomberg 3+ Year Non-AMT 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 declined modestly for the 12 months ending January 31, 2022, as expectations for higher policy interest rates, failure to pass the income-tax increases included in the Build Back Better legislation, and the perceived richness of municipals relative to Treasury bonds caused shareholder flows to turn negative in the final month of the period. The Bloomberg Municipal Bond Index returned -1.89% for the 12 months. In 2021, the muni market benefited from an improved fiscal outlook for many municipal issuers, economic optimism partly due to COVID-19 vaccination programs and strong demand for tax-exempt munis amid expectations for higher tax rates on upper-income tax brackets. In February 2021, the municipal market returned -1.59%, reflecting investor concerns that stimulus-induced inflation could diminish real bond returns over time. Munis then gained from March through July 2021, 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 rose in the fourth quarter, partly driven by newfound clarity regarding infrastructure investment due to the passage of the Infrastructure Investment and Jobs Act (IIJA), which earmarked $550 for new infrastructure spending and limited new tax-exempt bond issuance. Then, in January 2022, the muni market experienced rate volatility and shareholder outflows that more than erased its 2021 gain, as munis returned -2.74% for the month. Muni credit fundamentals remained solid overall for the 12 months and, for most issuers, the risk of credit-rating downgrades appeared low.Comments from Co-Portfolio Managers Cormac Cullen, Michael Maka and Elizah McLaughlin: For the fiscal year, the fund returned -1.16%, outperforming, net of fees, the -2.08% result of the benchmark, 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. Versus the benchmark, overweighted exposure to bonds issued by Illinois and the Metropolitan Pier and Exposition Authority, contributed. These securities were among the muni market's best performers, boosted by strong demand for higher-yielding investment-grade securities and improving credit fundamentals. Overweighting lower-rated investment-grade bonds in the health care and higher education segments also helped as bonds in each segment rallied the past 12 months and produced better total returns than the benchmark. They benefited from the comparatively high income they produced and better-than-average price performance as credit spreads tightened. Differences in the way fund holdings and benchmark components were priced contributed to the fund's relative result as well. Conversely, yield-curve positioning slightly detracted. The fund held more exposure to shorter-term bonds than the benchmark, and these bonds lagged longer-term securities as the yield curve flattened.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 January 31, 2022
% of fund's net assets | |
Illinois | 15.7 |
New York | 8.3 |
Florida | 6.6 |
Texas | 6.1 |
New Jersey | 5.6 |
Top Five Sectors as of January 31, 2022
% of fund's net assets | |
General Obligations | 27.8 |
Health Care | 20.9 |
Transportation | 17.7 |
Special Tax | 7.3 |
Education | 7.2 |
Quality Diversification (% of fund's net assets)
As of January 31, 2022 | ||
AAA | 4.4% | |
AA,A | 74.7% | |
BBB | 16.0% | |
BB and Below | 2.3% | |
Not Rated | 2.2% | |
Short-Term Investments and Net Other Assets | 0.4% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Schedule of Investments January 31, 2022
Showing Percentage of Net Assets
Municipal Bonds - 99.7% | |||
Principal Amount | Value | ||
Alabama - 1.6% | |||
Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/43 | 1,800,000 | 2,122,238 | |
Homewood Edl. Bldg. Auth. Rev. Series 2019 A: | |||
4% 12/1/33 | $285,000 | $320,911 | |
4% 12/1/35 | 930,000 | 1,039,026 | |
4% 12/1/37 | 1,250,000 | 1,391,972 | |
4% 12/1/38 | 240,000 | 266,792 | |
4% 12/1/39 | 1,700,000 | 1,887,206 | |
4% 12/1/41 | 4,070,000 | 4,505,145 | |
4% 12/1/44 | 2,400,000 | 2,640,177 | |
4% 12/1/49 | 560,000 | 612,039 | |
Lower Alabama Gas District Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (a) | 24,380,000 | 26,417,268 | |
Montgomery Med. Clinic Facilities Series 2015: | |||
5% 3/1/26 | 60,000 | 67,337 | |
5% 3/1/27 | 115,000 | 128,540 | |
5% 3/1/28 | 125,000 | 139,217 | |
5% 3/1/29 | 105,000 | 116,561 | |
5% 3/1/30 | 125,000 | 138,413 | |
5% 3/1/36 | 2,450,000 | 2,698,643 | |
Southeast Energy Auth. Rev. Bonds: | |||
(Proj. No. 2) Series 2021 B1: | |||
4% 6/1/29 | 1,335,000 | 1,512,009 | |
4% 6/1/30 | 1,010,000 | 1,151,920 | |
4% 6/1/31 | 875,000 | 1,005,559 | |
Bonds (Proj. No. 2) Series 2021 B1, 4%, tender 12/1/31 (a) | 21,345,000 | 24,419,835 | |
TOTAL ALABAMA | 72,580,808 | ||
Alaska - 0.2% | |||
Alaska Gen. Oblig. Series 2016 A, 5% 8/1/31 | 4,340,000 | 4,862,754 | |
Alaska Int'l. Arpts. Revs. Series 2016 B: | |||
5% 10/1/31 | 1,685,000 | 1,892,390 | |
5% 10/1/33 | 2,200,000 | 2,470,777 | |
TOTAL ALASKA | 9,225,921 | ||
Arizona - 2.4% | |||
Arizona Board of Regents Ctfs. of Prtn. (Univ. of Arizona Univ. Revs.) Series 2018 B: | |||
5% 6/1/26 | 1,100,000 | 1,266,205 | |
5% 6/1/27 | 500,000 | 588,033 | |
5% 6/1/29 | 1,725,000 | 2,069,497 | |
5% 6/1/30 | 1,470,000 | 1,757,171 | |
Arizona Health Facilities Auth. Rev. (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 0.954%, tender 1/1/37 (a)(b) | 1,000,000 | 986,746 | |
Arizona Indl. Dev. Auth. Hosp. Rev. Series 2021 A: | |||
4% 2/1/38 | 1,500,000 | 1,737,366 | |
4% 2/1/39 | 1,500,000 | 1,734,446 | |
Arizona Indl. Dev. Auth. Lease Rev. Series 2020 A: | |||
4% 9/1/37 | 410,000 | 471,913 | |
4% 9/1/38 | 445,000 | 510,850 | |
4% 9/1/39 | 400,000 | 456,491 | |
4% 9/1/40 | 435,000 | 494,859 | |
4% 9/1/46 | 1,000,000 | 1,118,554 | |
5% 9/1/31 | 195,000 | 243,008 | |
5% 9/1/32 | 300,000 | 373,342 | |
5% 9/1/33 | 415,000 | 515,852 | |
5% 9/1/34 | 350,000 | 433,613 | |
Arizona Indl. Dev. Auth. Rev. (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018: | |||
5% 5/1/37 | 1,090,000 | 1,134,373 | |
5% 5/1/43 | 1,000,000 | 1,031,456 | |
Arizona State Univ. Revs. Series 2021 C: | |||
5% 7/1/32 | 1,220,000 | 1,560,590 | |
5% 7/1/34 | 1,250,000 | 1,594,026 | |
5% 7/1/35 | 1,000,000 | 1,273,337 | |
Glendale Gen. Oblig. Series 2017, 5% 7/1/24 | 3,475,000 | 3,805,992 | |
Glendale Indl. Dev. Auth. (Terraces of Phoenix Proj.) Series 2018 A: | |||
5% 7/1/38 | 155,000 | 163,266 | |
5% 7/1/48 | 200,000 | 208,554 | |
Maricopa County Indl. Dev. Auth. (Creighton Univ. Proj.) Series 2020, 5% 7/1/47 | 2,000,000 | 2,394,184 | |
Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016: | |||
5.75% 1/1/36 (c) | 1,735,000 | 1,659,698 | |
6% 1/1/48 (c) | 3,485,000 | 3,267,779 | |
Maricopa County Unified School District #48 Scottsdale Series 2017 B: | |||
5% 7/1/29 | 1,150,000 | 1,358,268 | |
5% 7/1/30 | 1,500,000 | 1,767,380 | |
5% 7/1/31 | 800,000 | 942,603 | |
5% 7/1/32 | 3,250,000 | 3,831,173 | |
Phoenix Civic Impt. Board Arpt. Rev.: | |||
Series 2015 A, 5% 7/1/45 | 3,170,000 | 3,528,175 | |
Series 2017 B: | |||
5% 7/1/30 | 4,000,000 | 4,724,540 | |
5% 7/1/34 | 2,000,000 | 2,365,251 | |
5% 7/1/35 | 2,000,000 | 2,363,083 | |
Series 2019 A, 5% 7/1/44 | 5,615,000 | 6,706,776 | |
Phoenix Civic Impt. Corp. Series 2019 A: | |||
5% 7/1/30 | 1,100,000 | 1,324,347 | |
5% 7/1/32 | 355,000 | 425,397 | |
5% 7/1/36 | 595,000 | 710,603 | |
5% 7/1/37 | 520,000 | 620,662 | |
5% 7/1/38 | 830,000 | 982,821 | |
5% 7/1/45 | 7,200,000 | 8,407,492 | |
Phoenix Civic Impt. Corp. District Rev. (Plaza Expansion Proj.) Series 2005 B, 5.5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 5,000,000 | 7,062,604 | |
Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2020 A, 5% 7/1/44 | 8,430,000 | 10,335,497 | |
Phoenix IDA Student Hsg. Rev. (Downtown Phoenix Student Hsg. II LLC Arizona State Univ. Proj.) Series 2019 A: | |||
5% 7/1/49 | 1,125,000 | 1,291,260 | |
5% 7/1/54 | 3,530,000 | 4,038,973 | |
Pima County Swr. Sys. Rev. Series 2012 A, 5% 7/1/27 | 1,000,000 | 1,018,326 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2020 A, 4% 1/1/45 | 5,800,000 | 6,661,017 | |
Salt Verde Finl. Corp. Sr. Gas Rev. Series 2007, 5.25% 12/1/23 | 2,500,000 | 2,675,422 | |
TOTAL ARIZONA | 105,992,871 | ||
California - 5.1% | |||
California Gen. Oblig.: | |||
Series 2004: | |||
5.25% 12/1/33 | 35,000 | 35,140 | |
5.5% 4/1/30 | 5,000 | 5,021 | |
Series 2017, 5% 11/1/29 | 6,225,000 | 7,414,133 | |
Series 2020: | |||
4% 11/1/37 | 8,715,000 | 10,061,792 | |
4% 11/1/38 | 8,000,000 | 9,204,676 | |
4% 11/1/39 | 3,500,000 | 4,020,996 | |
4% 11/1/40 | 2,500,000 | 2,860,728 | |
Series 2021: | |||
5% 9/1/31 | 17,210,000 | 22,212,062 | |
5% 9/1/32 | 6,055,000 | 7,803,006 | |
California Hsg. Fin. Agcy. Series 2021 1, 3.5% 11/20/35 | 1,818,019 | 1,975,827 | |
California Muni. Fin. Auth. Student Hsg. (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018: | |||
5% 5/15/35 | 2,140,000 | 2,518,693 | |
5% 5/15/38 | 3,000,000 | 3,512,303 | |
5% 5/15/43 | 4,000,000 | 4,644,845 | |
California Pub. Fin. Auth. Univ. Hsg. Rev.: | |||
(Claremont Colleges Proj.) Series 2017 A, 5% 7/1/27 (c) | 340,000 | 301,886 | |
(NCCD - Claremont Properties LLC - Claremont Colleges Proj.) Series 2017 A, 5% 7/1/47 (c) | 280,000 | 238,604 | |
California Pub. Works Board Lease Rev.: | |||
(Coalinga State Hosp. Proj.) Series 2013 E, 5% 6/1/26 | 5,265,000 | 5,543,788 | |
(Various Cap. Projs.) Series 2022 C: | |||
5% 8/1/29 (d) | 1,250,000 | 1,484,649 | |
5% 8/1/32 (d) | 2,320,000 | 2,833,266 | |
California Statewide Cmntys. Dev. Auth. Series 2016: | |||
5% 5/15/25 | 1,000,000 | 1,122,410 | |
5% 5/15/26 | 1,000,000 | 1,154,648 | |
5% 5/15/27 | 1,000,000 | 1,153,744 | |
5% 5/15/28 | 1,000,000 | 1,151,937 | |
5% 5/15/32 | 1,250,000 | 1,429,807 | |
5% 5/15/33 | 1,500,000 | 1,714,434 | |
5% 5/15/40 | 1,000,000 | 1,136,718 | |
California Statewide Cmntys. Dev. Auth. Rev. Series 2015, 5% 2/1/45 | 2,275,000 | 2,345,057 | |
Carlsbad Unified School District Series 2009 B, 6% 5/1/34 (Pre-Refunded to 5/1/24 @ 100) | 1,450,000 | 1,607,694 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2017 A1: | |||
5% 6/1/22 (Escrowed to Maturity) | 1,555,000 | 1,578,425 | |
5% 6/1/23 (Escrowed to Maturity) | 1,780,000 | 1,878,644 | |
5% 6/1/24 (Escrowed to Maturity) | 1,000,000 | 1,087,865 | |
Los Angeles Dept. of Wtr. & Pwr. Rev.: | |||
Series 2021 B, 5% 7/1/51 | 14,995,000 | 18,372,009 | |
Series 2021 C, 5% 7/1/51 | 19,000,000 | 23,495,144 | |
Mount Diablo Unified School District Series 2022 B: | |||
4% 8/1/29 (d) | 1,905,000 | 2,184,822 | |
4% 8/1/32 (d) | 1,165,000 | 1,355,483 | |
4% 8/1/33 (d) | 1,510,000 | 1,756,016 | |
Poway Unified School District: | |||
(District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32 | 1,300,000 | 1,031,275 | |
Series B: | |||
0% 8/1/33 | 4,350,000 | 3,361,592 | |
0% 8/1/37 | 8,000,000 | 5,502,117 | |
0% 8/1/38 | 4,225,000 | 2,806,228 | |
0% 8/1/39 | 7,220,000 | 4,645,740 | |
0% 8/1/41 | 4,900,000 | 2,939,306 | |
Poway Unified School District Pub. Fing. Series 2015 A: | |||
5% 9/1/27 | 1,050,000 | 1,160,215 | |
5% 9/1/30 | 1,370,000 | 1,515,647 | |
Riverside Swr. Rev. Series 2015 A: | |||
5% 8/1/30 | 2,880,000 | 3,236,335 | |
5% 8/1/31 | 1,630,000 | 1,831,081 | |
Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,600,000 | 1,458,175 | |
Sacramento County Arpt. Sys. Rev. Series 2016 B, 5% 7/1/41 | 1,770,000 | 2,032,099 | |
San Diego Cmnty. College District Series 2011, 0% 8/1/35 | 3,000,000 | 2,239,637 | |
San Diego Unified School District: | |||
Series 2008 C: | |||
0% 7/1/34 | 1,300,000 | 982,635 | |
0% 7/1/37 | 5,105,000 | 3,523,474 | |
Series 2008 E, 0% 7/1/47 (e) | 2,600,000 | 2,489,751 | |
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.: | |||
Series 2019 B, 5% 5/1/49 | 2,930,000 | 3,497,007 | |
Series 2022 B, 5% 5/1/52 (d) | 15,830,000 | 19,573,972 | |
San Jose Fing. Auth. Lease Rev. (Civic Ctr. Proj.) Series 2013 A: | |||
5% 6/1/24 (Pre-Refunded to 6/1/23 @ 100) | 1,000,000 | 1,055,418 | |
5% 6/1/27 (Pre-Refunded to 6/1/23 @ 100) | 1,000,000 | 1,055,418 | |
San Marcos Unified School District Series 2010 B, 0% 8/1/47 | 3,700,000 | 1,795,806 | |
Santa Rosa Wastewtr. Rev. Series 2002 B, 0% 9/1/25 (AMBAC Insured) | 1,700,000 | 1,608,937 | |
Tobacco Securitization Auth. Southern California Tobacco Settlement Series 2019 A1: | |||
5% 6/1/27 | 1,000,000 | 1,183,218 | |
5% 6/1/28 | 1,510,000 | 1,823,330 | |
5% 6/1/29 | 1,000,000 | 1,229,280 | |
Univ. of California Revs. Series 2017 AV, 5% 5/15/36 | 1,610,000 | 1,886,208 | |
Washington Township Health Care District Gen. Oblig. Series 2013 B, 5.5% 8/1/38 | 2,000,000 | 2,198,684 | |
Yuba City Unified School District Series A, 0% 9/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,000,000 | 994,444 | |
TOTAL CALIFORNIA | 229,853,301 | ||
Colorado - 0.5% | |||
Arkansas River Pwr. Auth. Rev. Series 2018 A: | |||
5% 10/1/38 | 1,450,000 | 1,669,687 | |
5% 10/1/43 | 5,810,000 | 6,639,949 | |
Colorado Health Facilities Auth.: | |||
(Parkview Episcopal Med. Ctr., Co. Proj.) Series 2017: | |||
5% 9/1/23 | 270,000 | 286,565 | |
5% 9/1/24 | 225,000 | 246,084 | |
5% 9/1/25 | 260,000 | 292,540 | |
5% 9/1/28 | 2,200,000 | 2,583,305 | |
(Parkview Med. Ctr., Inc. Proj.) Series 2016, 5% 9/1/46 | 3,700,000 | 4,156,078 | |
Series 2019 A, 4% 11/1/39 | 2,980,000 | 3,381,481 | |
Series 2019 A2, 4% 8/1/49 | 2,900,000 | 3,157,145 | |
Colorado Hsg. & Fin. Auth. Series 2019 H, 4.25% 11/1/49 | 1,020,000 | 1,102,637 | |
TOTAL COLORADO | 23,515,471 | ||
Connecticut - 2.6% | |||
Connecticut Gen. Oblig.: | |||
Series 2015 B, 5% 6/15/32 | 1,550,000 | 1,727,462 | |
Series 2016 E: | |||
5% 10/15/26 | 2,030,000 | 2,371,431 | |
5% 10/15/29 | 2,930,000 | 3,387,996 | |
Series 2018 F: | |||
5% 9/15/27 | 1,000,000 | 1,192,438 | |
5% 9/15/28 | 4,500,000 | 5,467,853 | |
Series 2020 A: | |||
4% 1/15/33 | 8,435,000 | 9,762,775 | |
4% 1/15/34 | 7,005,000 | 8,081,898 | |
5% 1/15/40 | 2,765,000 | 3,383,687 | |
Connecticut Health & Edl. Facilities Auth. Rev.: | |||
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1: | |||
5% 7/1/34 | 1,050,000 | 1,215,678 | |
5% 7/1/35 | 1,200,000 | 1,388,077 | |
5% 7/1/36 | 400,000 | 462,375 | |
5% 7/1/37 | 1,555,000 | 1,795,805 | |
5% 7/1/42 | 3,780,000 | 4,341,029 | |
Bonds Series 2020 B: | |||
5%, tender 1/1/25 (a) | 4,450,000 | 4,909,307 | |
5%, tender 1/1/27 (a) | 4,710,000 | 5,462,077 | |
Series 2016 K, 4% 7/1/46 | 4,465,000 | 4,805,369 | |
Series 2017 B, 5% 7/1/29 | 8,655,000 | 10,773,809 | |
Series 2019 A: | |||
5% 7/1/34 (c) | 1,325,000 | 1,378,407 | |
5% 7/1/49 (c) | 2,040,000 | 2,082,173 | |
Series 2020 A, 4% 7/1/39 | 3,000,000 | 3,388,861 | |
Series 2020 C, 4% 7/1/45 | 4,220,000 | 4,711,446 | |
Series 2020 K: | |||
5% 7/1/37 | 1,000,000 | 1,220,854 | |
5% 7/1/38 | 1,500,000 | 1,827,956 | |
5% 7/1/39 | 1,550,000 | 1,886,215 | |
5% 7/1/44 (c) | 1,295,000 | 1,508,069 | |
Series 2022 M, 4% 7/1/37 (d) | 3,500,000 | 3,894,607 | |
Series G, 5% 7/1/50 (c) | 1,100,000 | 1,272,517 | |
Series K1: | |||
5% 7/1/31 | 1,500,000 | 1,735,027 | |
5% 7/1/35 | 1,280,000 | 1,472,097 | |
Series N: | |||
4% 7/1/39 | 1,235,000 | 1,333,937 | |
4% 7/1/49 | 1,475,000 | 1,570,721 | |
5% 7/1/32 | 550,000 | 643,015 | |
5% 7/1/33 | 500,000 | 583,954 | |
5% 7/1/34 | 250,000 | 291,549 | |
Connecticut Hsg. Fin. Auth. Series 2019 B1, 4% 5/15/49 | 1,395,000 | 1,512,052 | |
Connecticut State Revolving Fund Gen. Rev. Series 2017 A: | |||
5% 5/1/33 | 3,125,000 | 3,663,161 | |
5% 5/1/35 | 2,325,000 | 2,719,001 | |
Hbr. Point Infrastructure Impt. District Series 2017: | |||
5% 4/1/30 (c) | 2,430,000 | 2,775,635 | |
5% 4/1/39 (c) | 3,125,000 | 3,523,775 | |
New Haven Gen. Oblig. Series 2016 A, 5% 8/15/25 (Assured Guaranty Muni. Corp. Insured) | 570,000 | 643,307 | |
Univ. of Connecticut Gen. Oblig. Series 2019 A: | |||
5% 11/1/25 | 1,020,000 | 1,157,947 | |
5% 11/1/26 | 1,735,000 | 2,023,101 | |
TOTAL CONNECTICUT | 119,348,450 | ||
Delaware - 0.3% | |||
Delaware Trans. Auth. (U.S. 301 Proj.) Series 2015, 5% 6/1/55 | 13,000,000 | 14,348,503 | |
District Of Columbia - 1.1% | |||
District of Columbia Gen. Oblig.: | |||
Series 2017 A, 5% 6/1/33 | 2,300,000 | 2,706,239 | |
Series 2021 D: | |||
5% 2/1/41 | 4,500,000 | 5,645,120 | |
5% 2/1/46 | 8,500,000 | 10,551,594 | |
District of Columbia Hosp. Rev. Series 2015: | |||
5% 7/15/29 | 4,000,000 | 4,526,772 | |
5% 7/15/30 | 6,495,000 | 7,345,011 | |
Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. (Dulles Metrorail and Cap. Impt. Projs.) Series 2019 A: | |||
5% 10/1/33 | 1,250,000 | 1,507,460 | |
5% 10/1/34 | 2,000,000 | 2,413,667 | |
5% 10/1/36 | 2,000,000 | 2,405,085 | |
Metropolitan Washington DC Arpts. Auth. Sys. Rev. Series 2019 B, 5% 10/1/25 | 2,310,000 | 2,607,534 | |
Washington Convention & Sports Auth. Series 2018 A, 5% 10/1/22 | 2,040,000 | 2,099,215 | |
Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 B, 5% 7/1/33 | 4,545,000 | 5,319,095 | |
TOTAL DISTRICT OF COLUMBIA | 47,126,792 | ||
Florida - 6.6% | |||
Brevard County School Board Ctfs. of Prtn.: | |||
Series 2014, 5% 7/1/27 | 1,700,000 | 1,853,388 | |
Series 2015 C, 5% 7/1/27 | 1,455,000 | 1,631,778 | |
Broward County School Board Ctfs. of Prtn.: | |||
(Broward County School District Proj.) Series 2016 A, 5% 7/1/28 | 1,595,000 | 1,841,511 | |
Series 2012 A, 5% 7/1/24 | 4,345,000 | 4,426,828 | |
Series 2015 A: | |||
5% 7/1/24 | 940,000 | 1,025,757 | |
5% 7/1/26 | 3,635,000 | 4,093,512 | |
Series 2016, 5% 7/1/32 | 1,020,000 | 1,162,604 | |
Cap. Projs. Fin. Auth. Student Hsg. Rev. (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A, 5% 10/1/29 | 1,650,000 | 1,954,975 | |
Central Florida Expressway Auth. Sr. Lien Rev. Series 2021: | |||
4% 7/1/34 (Assured Guaranty Muni. Corp. Insured) | 4,250,000 | 5,021,046 | |
4% 7/1/35 (Assured Guaranty Muni. Corp. Insured) | 4,120,000 | 4,844,551 | |
4% 7/1/37 (Assured Guaranty Muni. Corp. Insured) | 4,575,000 | 5,347,989 | |
4% 7/1/38 (Assured Guaranty Muni. Corp. Insured) | 2,860,000 | 3,323,060 | |
4% 7/1/39 (Assured Guaranty Muni. Corp. Insured) | 2,305,000 | 2,663,272 | |
Duval County School Board Ctfs. of Prtn. Series 2015 B, 5% 7/1/29 | 6,380,000 | 7,109,882 | |
Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A, 4% 8/15/45 | 2,390,000 | 2,592,079 | |
Florida Higher Edl. Facilities Fing. Auth.: | |||
(St. Leo Univ. Proj.) Series 2019, 5% 3/1/49 | 4,800,000 | 5,354,268 | |
Series 2019, 5% 10/1/27 | 650,000 | 757,388 | |
Florida Hsg. Fin. Corp. Rev. Series 2019 1, 4% 7/1/50 | 4,095,000 | 4,387,294 | |
Florida Mid-Bay Bridge Auth. Rev.: | |||
Series 2015 A, 5% 10/1/35 | 2,600,000 | 2,878,103 | |
Series 2015 C, 5% 10/1/35 | 2,000,000 | 2,199,031 | |
Florida Muni. Pwr. Agcy. Rev.: | |||
(Pwr. Supply Proj.) Series 2017 A, 5% 10/1/28 | 400,000 | 485,063 | |
(Requirements Pwr. Supply Proj.) Series 2016 A: | |||
5% 10/1/30 | 985,000 | 1,141,261 | |
5% 10/1/31 | 1,075,000 | 1,243,436 | |
(St. Lucie Proj.) Series 2012 A, 5% 10/1/26 | 1,125,000 | 1,157,862 | |
Series 2015 B, 5% 10/1/29 | 1,250,000 | 1,409,569 | |
Gainesville Utils. Sys. Rev. Series 2017 A: | |||
5% 10/1/30 | 2,810,000 | 3,340,689 | |
5% 10/1/35 | 5,000,000 | 5,905,560 | |
Halifax Hosp. Med. Ctr. Rev. Series 2015: | |||
4% 6/1/27 | 585,000 | 630,790 | |
5% 6/1/24 | 835,000 | 906,956 | |
5% 6/1/28 | 655,000 | 728,113 | |
Hillsborough County Aviation Auth. Rev. Series 2018 F, 5% 10/1/48 | 2,500,000 | 2,970,906 | |
Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 | 8,000,000 | 8,940,703 | |
Indian River County School Board Ctfs. of Prtn. Series 2014, 5% 7/1/24 | 2,600,000 | 2,822,908 | |
Jacksonville Health Care Facilities (Baptist Med. Ctr. Proj.) Series 2017: | |||
5% 8/15/26 | 2,000,000 | 2,312,686 | |
5% 8/15/34 | 2,750,000 | 3,198,155 | |
Jacksonville Sales Tax Rev. Series 2012, 5% 10/1/25 | 2,250,000 | 2,317,300 | |
Lake County School Board Ctfs. of Prtn. Series 2014 A, 5% 6/1/29 (Pre-Refunded to 6/1/24 @ 100) | 1,500,000 | 1,635,065 | |
Miami Beach Health Facilities Auth. Hosp. Rev. Series 2014 A, 5% 11/15/39 | 1,530,000 | 1,684,563 | |
Miami-Dade County Aviation Rev.: | |||
Series 2014 A, 5% 10/1/37 | 8,500,000 | 9,223,844 | |
Series 2014 B, 5% 10/1/34 | 2,225,000 | 2,414,477 | |
Series 2016 A, 5% 10/1/41 | 8,500,000 | 9,814,975 | |
Series 2020 A: | |||
4% 10/1/35 | 1,600,000 | 1,836,960 | |
4% 10/1/41 | 1,200,000 | 1,359,546 | |
5% 10/1/31 | 2,140,000 | 2,667,078 | |
Miami-Dade County Expressway Auth.: | |||
Series 2010 A, 5% 7/1/40 | 3,300,000 | 3,318,874 | |
Series 2014 A: | |||
5% 7/1/25 | 1,430,000 | 1,560,101 | |
5% 7/1/27 | 1,000,000 | 1,087,729 | |
5% 7/1/28 | 2,225,000 | 2,419,641 | |
5% 7/1/29 | 1,010,000 | 1,097,850 | |
5% 7/1/44 | 18,800,000 | 20,257,998 | |
Series 2014 B, 5% 7/1/30 | 2,500,000 | 2,716,827 | |
Miami-Dade County Gen. Oblig. (Bldg. Better Cmntys. Prog.) Series 2016 A: | |||
5% 7/1/27 | 9,895,000 | 11,755,000 | |
5% 7/1/28 | 10,385,000 | 12,615,341 | |
Miami-Dade County School Board Ctfs. of Prtn.: | |||
Series 2014 D, 5% 11/1/25 | 6,655,000 | 7,337,300 | |
Series 2015 A, 5% 5/1/29 | 12,370,000 | 13,741,409 | |
Series 2015 B, 5% 5/1/27 | 2,980,000 | 3,320,425 | |
Series 2016 A, 5% 5/1/32 | 10,000,000 | 11,343,906 | |
Series 2016 B, 5% 8/1/26 | 4,505,000 | 5,197,787 | |
Miami-Dade County Transit Sales Surtax Rev. Series 2012, 5% 7/1/22 | 765,000 | 778,955 | |
Orange County School Board Ctfs. of Prtn. Series 2015 C, 5% 8/1/28 (Pre-Refunded to 8/1/25 @ 100) | 5,000,000 | 5,647,910 | |
Palm Beach County School Board Ctfs. of Prtn.: | |||
Series 2015 D: | |||
5% 8/1/28 | 1,980,000 | 2,224,258 | |
5% 8/1/29 | 6,765,000 | 7,594,617 | |
Series 2018 A, 5% 8/1/24 | 760,000 | 832,697 | |
Pinellas County Idr (Drs. Kiran & Pallavi Patel 2017 Foundation for Global Understanding, Inc. Proj.) Series 2019: | |||
5% 7/1/29 | 200,000 | 221,359 | |
5% 7/1/39 | 400,000 | 451,114 | |
Saint Lucie County School Board Ctfs. of Prtn. Series 2013 A, 5% 7/1/26 | 2,515,000 | 2,653,657 | |
South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015: | |||
5% 10/1/27 | 500,000 | 572,349 | |
5% 10/1/28 | 4,000,000 | 4,568,336 | |
5% 10/1/30 | 2,000,000 | 2,273,751 | |
5% 10/1/32 | 3,310,000 | 3,760,194 | |
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017: | |||
5% 8/15/29 | 1,480,000 | 1,747,638 | |
5% 8/15/32 | 3,920,000 | 4,612,950 | |
5% 8/15/35 | 705,000 | 828,401 | |
5% 8/15/37 | 5,000,000 | 5,875,183 | |
5% 8/15/42 | 3,400,000 | 3,987,269 | |
5% 8/15/47 | 5,200,000 | 6,044,450 | |
Tallahassee Health Facilities Rev.: | |||
(Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A: | |||
5% 12/1/29 | 1,425,000 | 1,603,316 | |
5% 12/1/36 | 1,100,000 | 1,231,552 | |
Series 2015 A, 5% 12/1/40 | 1,000,000 | 1,105,743 | |
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2012 A, 5% 9/1/25 | 900,000 | 922,314 | |
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A: | |||
5% 10/15/44 | 760,000 | 901,124 | |
5% 10/15/49 | 1,420,000 | 1,673,129 | |
Volusia County School Board Ctfs. of Prtn.: | |||
(Florida Master Lease Prog.) Series 2016 A: | |||
5% 8/1/30 (Build America Mutual Assurance Insured) | 1,160,000 | 1,314,226 | |
5% 8/1/31 (Build America Mutual Assurance Insured) | 2,215,000 | 2,504,896 | |
(Master Lease Prog.) Series 2014 B, 5% 8/1/22 | 810,000 | 828,166 | |
TOTAL FLORIDA | 299,146,523 | ||
Georgia - 3.9% | |||
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/36 | 1,520,000 | 1,866,733 | |
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Vogtle Proj.) Series 2013 1st, 2.925%, tender 3/12/24 (a) | 9,600,000 | 9,980,702 | |
Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 | 6,440,000 | 7,764,995 | |
DeKalb County Wtr. & Swr. Rev. Series 2011 A, 5.25% 10/1/36 | 1,000,000 | 1,012,330 | |
DeKalb Private Hosp. Auth. Rev. Series 2019 B, 5% 7/1/35 | 1,360,000 | 1,671,753 | |
Fulton County Dev. Auth. Rev.: | |||
Series 2019 C, 5% 7/1/38 | 1,230,000 | 1,506,249 | |
Series 2019: | |||
4% 6/15/49 | 1,180,000 | 1,319,802 | |
5% 6/15/52 | 4,315,000 | 5,164,770 | |
Fulton County Wtr. & Swr. Rev. Series 2013, 5% 1/1/32 | 10,000,000 | 10,362,724 | |
Georgia Muni. Elec. Auth. Pwr. Rev.: | |||
Series 2019 A: | |||
4% 1/1/49 | 6,100,000 | 6,662,855 | |
5% 1/1/30 | 415,000 | 496,997 | |
5% 1/1/32 | 935,000 | 1,117,810 | |
5% 1/1/34 | 1,920,000 | 2,297,427 | |
5% 1/1/35 | 925,000 | 1,105,383 | |
5% 1/1/36 | 1,140,000 | 1,362,005 | |
5% 1/1/37 | 1,115,000 | 1,331,563 | |
5% 1/1/38 | 1,150,000 | 1,371,251 | |
5% 1/1/44 | 2,990,000 | 3,553,730 | |
Series GG, 5% 1/1/23 | 1,600,000 | 1,662,057 | |
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.) Series S, 5% 10/1/24 | 1,575,000 | 1,615,762 | |
Hosp. Auth. of Savannah Auth. Rev. Series 2019 A: | |||
4% 7/1/35 | 4,895,000 | 5,499,515 | |
4% 7/1/39 | 2,500,000 | 2,796,125 | |
4% 7/1/43 | 2,615,000 | 2,905,638 | |
Main Street Natural Gas, Inc. Bonds: | |||
Series 2018 C, 4%, tender 12/1/23 (a) | 24,120,000 | 25,296,183 | |
Series 2019 B, 4%, tender 12/2/24 (a) | 6,040,000 | 6,478,185 | |
Series 2021 A, 4%, tender 9/1/27 (a) | 23,000,000 | 25,764,287 | |
Series 2021 C, 4%, tender 12/1/28 (a) | 21,585,000 | 24,077,996 | |
Private Colleges & Univs. Auth. Rev.: | |||
(The Savannah College of Art & Design Projs.) Series 2021: | |||
4% 4/1/38 | 530,000 | 604,722 | |
4% 4/1/40 | 1,400,000 | 1,592,015 | |
5% 4/1/36 | 1,125,000 | 1,398,132 | |
(The Savannah College of Art and Design Projs.) Series 2014: | |||
5% 4/1/28 (Pre-Refunded to 4/1/24 @ 100) | 2,560,000 | 2,775,319 | |
5% 4/1/44 (Pre-Refunded to 4/1/24 @ 100) | 9,105,000 | 9,870,813 | |
Series 2020 B: | |||
5% 9/1/31 | 1,125,000 | 1,410,069 | |
5% 9/1/33 | 2,500,000 | 3,127,740 | |
TOTAL GEORGIA | 176,823,637 | ||
Hawaii - 0.2% | |||
Hawaii Gen. Oblig.: | |||
Series 2017 FK, 5% 5/1/33 | 4,200,000 | 4,923,288 | |
Series 2020 C: | |||
4% 7/1/37 | 1,100,000 | 1,277,898 | |
4% 7/1/38 | 1,250,000 | 1,444,195 | |
TOTAL HAWAII | 7,645,381 | ||
Idaho - 0.3% | |||
Idaho Health Facilities Auth. Rev. Series 2015 ID: | |||
5% 12/1/24 | 500,000 | 553,241 | |
5.5% 12/1/26 | 1,200,000 | 1,363,828 | |
5.5% 12/1/27 | 3,250,000 | 3,686,865 | |
Idaho Hsg. & Fin. Assoc. Single Family Mtg.: | |||
(Idaho St Garvee Proj.) Series 2017 A: | |||
5% 7/15/22 | 1,850,000 | 1,887,567 | |
5% 7/15/23 | 880,000 | 932,305 | |
5% 7/15/24 | 705,000 | 770,438 | |
5% 7/15/25 | 705,000 | 793,032 | |
5% 7/15/26 | 500,000 | 577,866 | |
5% 7/15/27 | 1,765,000 | 2,090,525 | |
Series 2019 A, 4% 1/1/50 | 485,000 | 521,060 | |
TOTAL IDAHO | 13,176,727 | ||
Illinois - 15.7% | |||
Chicago Board of Ed.: | |||
Series 2011 A: | |||
5% 12/1/41 | 1,865,000 | 1,868,153 | |
5.25% 12/1/41 | 1,510,000 | 1,512,689 | |
5.5% 12/1/39 | 2,700,000 | 2,705,051 | |
Series 2012 A, 5% 12/1/42 | 2,815,000 | 2,882,256 | |
Series 2015 C, 5.25% 12/1/39 | 800,000 | 861,117 | |
Series 2016 B, 6.5% 12/1/46 | 400,000 | 474,967 | |
Series 2017 A, 7% 12/1/46 (c) | 1,400,000 | 1,735,406 | |
Series 2017 C: | |||
5% 12/1/22 | 1,370,000 | 1,418,098 | |
5% 12/1/23 | 2,730,000 | 2,912,703 | |
5% 12/1/24 | 1,840,000 | 2,014,894 | |
5% 12/1/25 | 2,830,000 | 3,163,494 | |
5% 12/1/26 | 500,000 | 568,920 | |
Series 2017 D: | |||
5% 12/1/24 | 1,805,000 | 1,976,568 | |
5% 12/1/31 | 1,955,000 | 2,221,484 | |
Series 2017 H, 5% 12/1/36 | 440,000 | 495,806 | |
Series 2018 A: | |||
5% 12/1/24 | 1,590,000 | 1,741,132 | |
5% 12/1/29 | 4,445,000 | 5,162,231 | |
5% 12/1/31 | 850,000 | 978,963 | |
Series 2018 C, 5% 12/1/46 | 8,695,000 | 9,772,923 | |
Series 2019 A: | |||
5% 12/1/25 | 2,500,000 | 2,794,606 | |
5% 12/1/26 | 2,100,000 | 2,389,465 | |
5% 12/1/29 | 3,095,000 | 3,654,212 | |
5% 12/1/30 | 4,045,000 | 4,732,506 | |
5% 12/1/32 | 1,700,000 | 1,979,087 | |
Chicago Gen. Oblig. Series 2020 A: | |||
5% 1/1/26 | 1,660,000 | 1,854,598 | |
5% 1/1/27 | 7,650,000 | 8,707,699 | |
5% 1/1/29 | 3,860,000 | 4,517,334 | |
5% 1/1/30 | 7,450,000 | 8,814,596 | |
Chicago Midway Arpt. Rev. Series 2016 B: | |||
4% 1/1/35 | 815,000 | 888,296 | |
5% 1/1/36 | 4,500,000 | 5,114,336 | |
5% 1/1/37 | 5,300,000 | 6,024,156 | |
5% 1/1/41 | 6,000,000 | 6,805,453 | |
5% 1/1/46 | 8,470,000 | 9,593,084 | |
Chicago O'Hare Int'l. Arpt. Rev.: | |||
Series 2013 D, 5% 1/1/27 | 5,175,000 | 5,361,192 | |
Series 2016 B, 5% 1/1/34 | 2,835,000 | 3,226,178 | |
Series 2016 C: | |||
5% 1/1/32 | 4,750,000 | 5,404,476 | |
5% 1/1/33 | 1,305,000 | 1,484,321 | |
5% 1/1/34 | 1,510,000 | 1,718,352 | |
Series 2016 D, 5% 1/1/52 | 7,075,000 | 8,167,076 | |
Series 2017 B: | |||
5% 1/1/34 | 1,515,000 | 1,760,811 | |
5% 1/1/35 | 2,540,000 | 2,951,862 | |
5% 1/1/36 | 1,650,000 | 1,918,079 | |
5% 1/1/37 | 6,400,000 | 7,444,036 | |
5% 1/1/38 | 2,250,000 | 2,611,749 | |
5% 1/1/39 | 5,000,000 | 5,803,870 | |
Series 2018 B: | |||
5% 1/1/48 | 1,115,000 | 1,314,240 | |
5% 1/1/53 | 1,125,000 | 1,323,534 | |
Chicago Transit Auth.: | |||
Series 2014, 5.25% 12/1/49 | 12,000,000 | 13,216,163 | |
Series 2017, 5% 12/1/46 | 1,900,000 | 2,180,919 | |
Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017: | |||
5% 6/1/22 | 980,000 | 994,299 | |
5% 6/1/23 | 880,000 | 926,958 | |
5% 6/1/24 | 1,495,000 | 1,623,832 | |
5% 6/1/25 | 745,000 | 833,313 | |
5% 6/1/26 | 1,595,000 | 1,831,650 | |
Chicago Wtr. Rev. Series 2017, 5.25% 11/1/33 (Assured Guaranty Muni. Corp. Insured) | 445,000 | 448,804 | |
Cook County Forest Preservation District Series 2012 C, 5% 12/15/22 | 1,230,000 | 1,249,778 | |
Cook County Gen. Oblig.: | |||
Series 2012 C: | |||
5% 11/15/23 | 4,375,000 | 4,508,762 | |
5% 11/15/24 | 3,500,000 | 3,615,529 | |
5% 11/15/25 (Assured Guaranty Muni. Corp. Insured) | 5,800,000 | 5,993,316 | |
Series 2016 A, 5% 11/15/29 | 6,110,000 | 7,088,568 | |
Grundy & Will Counties Cmnty. School Gen. Oblig. Series 2018, 5% 2/1/29 | 675,000 | 783,743 | |
Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. Series 1991 A, 0% 7/15/23 (Escrowed to Maturity) | 5,600,000 | 5,511,430 | |
Illinois Fin. Auth. Academic Facilities (Provident Group UIUC Properties LLC Univ. of Illinois at Urbana-Champaign Proj.) Series 2019 A: | |||
5% 10/1/31 | 200,000 | 243,341 | |
5% 10/1/32 | 290,000 | 352,000 | |
5% 10/1/33 | 500,000 | 605,858 | |
5% 10/1/35 | 300,000 | 362,710 | |
5% 10/1/36 | 300,000 | 362,353 | |
5% 10/1/37 | 350,000 | 422,047 | |
5% 10/1/38 | 375,000 | 451,434 | |
5% 10/1/39 | 645,000 | 774,947 | |
Illinois Fin. Auth. Rev.: | |||
(Bradley Univ. Proj.) Series 2017 C, 5% 8/1/31 | 2,360,000 | 2,706,117 | |
(Depaul Univ. Proj.) Series 2016 A: | |||
4% 10/1/31 | 1,480,000 | 1,633,896 | |
5% 10/1/33 | 1,500,000 | 1,727,884 | |
(Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A: | |||
5% 7/15/25 | 795,000 | 894,270 | |
5% 7/15/27 | 1,300,000 | 1,539,764 | |
5% 7/15/30 | 1,490,000 | 1,776,004 | |
(OSF Healthcare Sys.) Series 2018 A: | |||
4.125% 5/15/47 | 11,085,000 | 12,315,676 | |
5% 5/15/43 | 10,000,000 | 11,833,947 | |
(Presence Health Proj.) Series 2016 C: | |||
5% 2/15/26 | 1,425,000 | 1,627,439 | |
5% 2/15/29 | 3,455,000 | 4,043,458 | |
5% 2/15/36 | 2,390,000 | 2,776,888 | |
(Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C, 5% 8/1/49 | 490,000 | 550,511 | |
(Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34 | 1,200,000 | 1,323,849 | |
Bonds Series 2017 B, 5%, tender 12/15/22 (a) | 3,045,000 | 3,157,910 | |
Series 2012 A, 5% 5/15/23 (Pre-Refunded to 5/15/22 @ 100) | 700,000 | 709,086 | |
Series 2012, 5% 9/1/22 (Escrowed to Maturity) | 800,000 | 820,451 | |
Series 2013: | |||
5% 11/15/24 | 1,115,000 | 1,151,984 | |
5% 11/15/27 | 400,000 | 412,946 | |
Series 2015 A: | |||
5% 11/15/31 | 3,500,000 | 3,931,970 | |
5% 11/15/45 | 9,750,000 | 10,892,407 | |
Series 2015 B, 5% 11/15/23 | 1,845,000 | 1,973,198 | |
Series 2015 C: | |||
5% 8/15/35 | 3,340,000 | 3,719,236 | |
5% 8/15/44 | 15,400,000 | 17,098,141 | |
Series 2016 A: | |||
5% 7/1/33 | 1,850,000 | 2,108,644 | |
5% 7/1/34 | 1,000,000 | 1,139,808 | |
5% 8/15/34 (Pre-Refunded to 8/15/26 @ 100) | 1,800,000 | 2,079,970 | |
5% 7/1/36 | 1,530,000 | 1,743,905 | |
5.25% 8/15/29 (Pre-Refunded to 8/15/26 @ 100) | 1,015,000 | 1,183,974 | |
Series 2016 B: | |||
5% 8/15/30 | 3,000,000 | 3,495,107 | |
5% 8/15/33 | 4,585,000 | 5,332,031 | |
5% 8/15/34 | 2,415,000 | 2,805,935 | |
Series 2016 C: | |||
3.75% 2/15/34 | 725,000 | 792,455 | |
4% 2/15/36 | 3,085,000 | 3,388,808 | |
4% 2/15/41 | 9,155,000 | 10,001,354 | |
4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) | 420,000 | 470,017 | |
5% 2/15/24 | 325,000 | 350,497 | |
5% 2/15/30 | 13,250,000 | 15,485,703 | |
5% 2/15/31 | 2,080,000 | 2,427,664 | |
5% 2/15/41 | 3,475,000 | 4,024,768 | |
Series 2016: | |||
4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) | 20,000 | 22,382 | |
5% 12/1/29 | 1,030,000 | 1,178,160 | |
5% 12/1/46 | 2,660,000 | 3,005,659 | |
Series 2017 A, 5% 8/1/47 | 430,000 | 483,359 | |
Series 2017: | |||
5% 1/1/28 | 3,075,000 | 3,597,728 | |
5% 7/1/28 | 2,745,000 | 3,210,208 | |
5% 7/1/33 | 3,365,000 | 3,904,039 | |
5% 7/1/34 | 2,765,000 | 3,203,670 | |
5% 7/1/35 | 2,290,000 | 2,649,792 | |
Series 2018 A: | |||
4.25% 1/1/44 | 1,895,000 | 2,110,405 | |
5% 1/1/44 | 11,470,000 | 13,331,423 | |
Series 2019: | |||
4% 9/1/37 | 400,000 | 442,358 | |
4% 9/1/39 | 1,000,000 | 1,100,081 | |
5% 9/1/30 | 190,000 | 230,949 | |
5% 9/1/38 | 900,000 | 1,068,831 | |
Illinois Gen. Oblig.: | |||
Series 2006, 5.5% 1/1/31 | 1,945,000 | 2,431,088 | |
Series 2012 A: | |||
4% 1/1/23 | 1,220,000 | 1,223,292 | |
5% 1/1/33 | 1,700,000 | 1,705,237 | |
Series 2012: | |||
5% 3/1/23 | 1,500,000 | 1,505,384 | |
5% 8/1/23 | 1,675,000 | 1,771,763 | |
5% 3/1/36 | 1,000,000 | 1,002,948 | |
Series 2013 A, 5% 4/1/35 | 900,000 | 935,872 | |
Series 2013: | |||
5% 7/1/22 | 320,000 | 325,682 | |
5.5% 7/1/38 | 2,000,000 | 2,113,216 | |
Series 2014: | |||
5% 2/1/23 | 1,880,000 | 1,955,666 | |
5% 4/1/24 | 3,945,000 | 4,257,413 | |
5% 2/1/25 | 2,245,000 | 2,411,355 | |
5% 2/1/27 | 1,225,000 | 1,312,840 | |
5% 4/1/28 | 580,000 | 623,917 | |
5% 5/1/28 | 3,325,000 | 3,583,444 | |
5% 5/1/32 | 1,400,000 | 1,503,750 | |
5% 5/1/33 | 1,600,000 | 1,717,815 | |
5.25% 2/1/29 | 3,000,000 | 3,226,034 | |
5.25% 2/1/30 | 2,700,000 | 2,898,862 | |
5.25% 2/1/31 | 1,305,000 | 1,401,983 | |
Series 2016: | |||
5% 2/1/23 | 880,000 | 915,418 | |
5% 6/1/25 | 4,465,000 | 4,967,166 | |
5% 2/1/26 | 1,000,000 | 1,126,448 | |
5% 6/1/26 | 610,000 | 691,226 | |
5% 2/1/27 | 3,745,000 | 4,291,432 | |
5% 2/1/28 | 3,495,000 | 3,977,000 | |
5% 2/1/29 | 3,285,000 | 3,738,904 | |
Series 2017 A: | |||
5% 12/1/23 | 1,100,000 | 1,175,272 | |
5% 12/1/26 | 3,350,000 | 3,828,727 | |
Series 2017 D, 5% 11/1/25 | 16,310,000 | 18,295,095 | |
Series 2018 A: | |||
5% 10/1/26 | 1,500,000 | 1,709,676 | |
5% 10/1/28 | 3,500,000 | 4,104,269 | |
Series 2019 B: | |||
5% 9/1/22 | 3,050,000 | 3,124,801 | |
5% 9/1/23 | 3,105,000 | 3,292,867 | |
5% 9/1/24 | 3,105,000 | 3,390,761 | |
Series 2021 A: | |||
5% 3/1/32 | 105,000 | 126,915 | |
5% 3/1/35 | 750,000 | 903,633 | |
5% 3/1/36 | 600,000 | 722,113 | |
5% 3/1/37 | 750,000 | 900,893 | |
5% 3/1/46 | 3,000,000 | 3,538,137 | |
Illinois Hsg. Dev. Auth. Series 2021, 3% 4/1/51 | 7,490,000 | 7,853,493 | |
Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Series 2019, 2.9% 7/1/35 | 4,869,707 | 4,939,804 | |
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A: | |||
5% 2/1/23 | 1,075,000 | 1,119,473 | |
5% 2/1/29 | 10,000,000 | 11,226,337 | |
5% 2/1/31 | 1,890,000 | 2,121,089 | |
Illinois Toll Hwy. Auth. Toll Hwy. Rev.: | |||
Series 2015 A, 5% 1/1/37 | 4,445,000 | 4,959,804 | |
Series 2016 A: | |||
5% 12/1/31 | 945,000 | 1,068,800 | |
5% 12/1/32 | 6,700,000 | 7,550,525 | |
Series 2019 A, 5% 1/1/44 | 1,125,000 | 1,367,701 | |
Series 2021 A, 5% 1/1/46 | 3,000,000 | 3,702,714 | |
Series A: | |||
5% 1/1/37 | 1,250,000 | 1,555,915 | |
5% 1/1/41 | 2,010,000 | 2,483,697 | |
5% 1/1/45 | 30,470,000 | 37,211,914 | |
Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2004, 0% 2/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 5,025,000 | 5,025,000 | |
Kane, McHenry, Cook & DeKalb Counties Unit School District #300: | |||
Series 2015: | |||
5% 1/1/27 | 1,500,000 | 1,663,462 | |
5% 1/1/28 | 2,780,000 | 3,081,259 | |
Series 2017, 5% 1/1/29 | 1,030,000 | 1,221,839 | |
Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016, 5% 2/1/33 | 10,875,000 | 12,302,812 | |
McHenry & Kane Counties Cmnty. Consolidated School District #158 Series 2004, 0% 1/1/24 (Assured Guaranty Muni. Corp. Insured) | 1,600,000 | 1,558,083 | |
McHenry County Cmnty. School District #200 Series 2006 B: | |||
0% 1/15/24 | 2,295,000 | 2,226,634 | |
0% 1/15/24 (Escrowed to Maturity) | 1,965,000 | 1,923,021 | |
0% 1/15/25 | 4,440,000 | 4,213,828 | |
0% 1/15/26 | 3,335,000 | 3,090,930 | |
Metropolitan Pier & Exposition: | |||
(McCormick Place Expansion Proj.): | |||
Series 2010 B1: | |||
0% 6/15/43 (Assured Guaranty Muni. Corp. Insured) | 32,700,000 | 17,160,868 | |
0% 6/15/45 (Assured Guaranty Muni. Corp. Insured) | 12,145,000 | 5,890,964 | |
0% 6/15/47 (Assured Guaranty Muni. Corp. Insured) | 10,605,000 | 4,775,129 | |
Series 2012 B, 0% 12/15/51 | 5,900,000 | 2,078,718 | |
Series 2017 B: | |||
5% 12/15/28 | 2,000,000 | 2,329,298 | |
5% 12/15/32 | 900,000 | 1,033,879 | |
Series 2020 A, 5% 6/15/50 | 23,245,000 | 26,390,518 | |
Series 2022 A, 4% 12/15/42 (d) | 5,725,000 | 6,192,244 | |
Railsplitter Tobacco Settlement Auth. Rev. Series 2017: | |||
5% 6/1/23 | 1,250,000 | 1,317,044 | |
5% 6/1/24 | 1,635,000 | 1,776,685 | |
Univ. of Illinois Rev.: | |||
Series 2013: | |||
6% 10/1/42 | 1,935,000 | 2,078,972 | |
6.25% 10/1/38 | 1,900,000 | 2,050,800 | |
Series 2018 A, 5% 4/1/29 | 3,940,000 | 4,727,991 | |
Will County Cmnty. Unit School District #365-U Series 2007 B, 0% 11/1/26 (Assured Guaranty Muni. Corp. Insured) | 3,175,000 | 2,937,528 | |
TOTAL ILLINOIS | 709,131,615 | ||
Indiana - 1.3% | |||
Beech Grove School Bldg. Corp. Series 1996, 5.625% 7/5/24 (Escrowed to Maturity) | 940,000 | 996,172 | |
Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Proj.) Series 2017 A: | |||
5% 11/1/24 | 1,000,000 | 1,101,381 | |
5% 11/1/28 | 450,000 | 545,307 | |
5% 11/1/29 | 1,400,000 | 1,726,956 | |
5% 11/1/30 | 315,000 | 394,982 | |
Indiana Fin. Auth. Rev.: | |||
(Butler Univ. Proj.) Series 2019, 4% 2/1/44 | 2,595,000 | 2,882,104 | |
Series 2015 A, 5.25% 2/1/32 | 2,940,000 | 3,323,394 | |
Series 2015, 5% 3/1/36 | 4,500,000 | 4,983,557 | |
Series 2016: | |||
5% 9/1/27 | 1,850,000 | 2,127,479 | |
5% 9/1/31 | 1,835,000 | 2,091,921 | |
Indiana Fin. Auth. Wastewtr. Util. Rev.: | |||
(CWA Auth. Proj.): | |||
Series 2012 A, 5% 10/1/37 | 1,700,000 | 1,747,729 | |
Series 2014 A: | |||
5% 10/1/25 | 1,200,000 | 1,324,345 | |
5% 10/1/26 | 1,750,000 | 1,927,930 | |
(CWA Auth. Proj.) Series 2014 A, 5% 10/1/27 | 1,750,000 | 1,926,472 | |
(CWA Auth. Proj.) Series 2015 A, 5% 10/1/29 | 2,295,000 | 2,526,430 | |
Indiana Hsg. & Cmnty. Dev. Auth.: | |||
(Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (c) | 1,760,000 | 1,784,683 | |
Series 2021 B, 3% 7/1/50 | 1,240,000 | 1,298,284 | |
Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2017 A: | |||
5% 1/1/32 | 4,000,000 | 4,771,448 | |
5% 1/1/34 | 2,000,000 | 2,381,343 | |
Indianapolis Local Pub. Impt. (Courthouse and Jail Proj.) Series 2019 A, 5% 2/1/49 | 3,275,000 | 3,858,257 | |
Indianapolis Wtr. Sys. Rev. Series 2018 A, 5% 10/1/32 | 3,000,000 | 3,650,848 | |
Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.): | |||
Series 2019: | |||
4% 4/1/39 | 1,000,000 | 1,088,285 | |
4% 4/1/46 | 2,240,000 | 2,408,357 | |
5% 4/1/40 | 2,240,000 | 2,621,658 | |
Series 2020: | |||
4% 4/1/37 | 1,660,000 | 1,812,057 | |
5% 4/1/29 | 1,030,000 | 1,225,305 | |
TOTAL INDIANA | 56,526,684 | ||
Iowa - 0.3% | |||
Iowa Fin. Auth. Rev.: | |||
Series 2018 B, 5% 2/15/48 | 2,500,000 | 2,959,424 | |
Series A: | |||
5% 5/15/43 | 820,000 | 889,558 | |
5% 5/15/48 | 945,000 | 1,024,206 | |
Tobacco Settlement Auth. Tobacco Settlement Rev.: | |||
Series 2021 A2, 4% 6/1/49 | 2,800,000 | 3,066,907 | |
Series 2021 B1, 4% 6/1/49 | 3,605,000 | 3,923,948 | |
TOTAL IOWA | 11,864,043 | ||
Kansas - 0.2% | |||
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A: | |||
5% 9/1/40 | 4,200,000 | 4,702,191 | |
5% 9/1/45 | 5,125,000 | 5,711,242 | |
TOTAL KANSAS | 10,413,433 | ||
Kentucky - 3.1% | |||
Ashland Med. Ctr. Rev.: | |||
(Ashland Hosp. Corp. d/b/a King's Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/40 | 1,200,000 | 1,336,711 | |
Series 2019: | |||
5% 2/1/28 | 50,000 | 59,181 | |
5% 2/1/32 | 65,000 | 77,675 | |
Boyle County Edl. Facilities Rev. Series 2017, 5% 6/1/37 | 1,680,000 | 1,940,949 | |
Kenton County Arpt. Board Arpt. Rev.: | |||
Series 2016: | |||
5% 1/1/24 | 800,000 | 860,158 | |
5% 1/1/27 | 1,500,000 | 1,706,351 | |
5% 1/1/33 | 1,300,000 | 1,479,699 | |
Series 2019, 5% 1/1/44 | 2,245,000 | 2,659,907 | |
Kentucky Econ. Dev. Fin. Auth.: | |||
Series 2019 A1: | |||
5% 8/1/33 | 1,000,000 | 1,206,006 | |
5% 8/1/44 | 1,000,000 | 1,175,929 | |
Series 2019 A2, 5% 8/1/49 | 2,500,000 | 2,919,982 | |
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev.: | |||
Series 2015 A: | |||
5% 6/1/25 | 50,000 | 55,598 | |
5% 6/1/26 | 55,000 | 61,131 | |
5% 6/1/27 | 55,000 | 60,972 | |
5% 6/1/28 | 60,000 | 66,321 | |
5% 6/1/29 | 65,000 | 71,665 | |
5% 6/1/30 | 65,000 | 71,519 | |
Series 2017 B: | |||
5% 8/15/32 | 2,680,000 | 3,125,950 | |
5% 8/15/33 | 1,325,000 | 1,543,202 | |
5% 8/15/35 | 1,500,000 | 1,743,591 | |
Kentucky State Property & Buildings Commission Rev.: | |||
(Proj. No. 119) Series 2018: | |||
5% 5/1/27 | 2,255,000 | 2,658,282 | |
5% 5/1/29 | 1,865,000 | 2,228,607 | |
5% 5/1/30 | 1,250,000 | 1,488,286 | |
5% 5/1/31 | 535,000 | 639,652 | |
5% 5/1/32 | 280,000 | 334,602 | |
5% 5/1/33 | 630,000 | 752,584 | |
5% 5/1/34 | 720,000 | 859,607 | |
5% 5/1/35 | 425,000 | 502,688 | |
5% 5/1/36 | 360,000 | 425,486 | |
Series 2016 B, 5% 11/1/26 | 11,900,000 | 13,876,027 | |
Series A: | |||
4% 11/1/38 | 635,000 | 716,237 | |
5% 11/1/27 | 5,245,000 | 6,262,871 | |
5% 11/1/28 | 6,415,000 | 7,778,212 | |
5% 11/1/29 | 3,840,000 | 4,635,898 | |
5% 11/1/30 | 2,150,000 | 2,586,249 | |
Kentucky, Inc. Pub. Energy Bonds Series A, 4%, tender 6/1/26 (a) | 31,480,000 | 34,290,113 | |
Louisville & Jefferson County: | |||
Bonds: | |||
Series 2020 B, 5%, tender 10/1/23 (a) | 4,200,000 | 4,488,659 | |
Series 2020 C, 5%, tender 10/1/26 (a) | 1,440,000 | 1,660,008 | |
Series 2020 D, 5%, tender 10/1/29 (a) | 1,730,000 | 2,126,588 | |
Series 2013 A: | |||
5.5% 10/1/33 | 1,275,000 | 1,364,126 | |
5.75% 10/1/38 | 3,105,000 | 3,332,116 | |
Series 2016 A: | |||
5% 10/1/31 | 6,400,000 | 7,359,152 | |
5% 10/1/32 | 7,745,000 | 8,894,457 | |
5% 10/1/33 | 4,400,000 | 5,046,626 | |
Series 2020 A: | |||
4% 10/1/40 | 1,155,000 | 1,288,864 | |
5% 10/1/37 | 2,875,000 | 3,487,229 | |
TOTAL KENTUCKY | 141,305,723 | ||
Louisiana - 0.2% | |||
Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 5% 7/1/47 | 1,700,000 | 1,950,642 | |
Louisiana Pub. Facilities Auth. Rev. (Tulane Univ. of Louisiana Proj.) Series 2016 A: | |||
5% 12/15/25 | 445,000 | 505,606 | |
5% 12/15/27 | 2,000,000 | 2,325,626 | |
5% 12/15/29 | 1,200,000 | 1,391,597 | |
Tobacco Settlement Fing. Corp. Series 2013 A, 5% 5/15/23 | 2,500,000 | 2,633,913 | |
TOTAL LOUISIANA | 8,807,384 | ||
Maine - 0.9% | |||
Maine Health & Higher Edl. Facilities Auth. Rev.: | |||
Series 2013, 5% 7/1/33 (Pre-Refunded to 7/1/23 @ 100) | 1,000,000 | 1,058,335 | |
Series 2016 A: | |||
4% 7/1/41 | 1,185,000 | 1,276,388 | |
4% 7/1/46 | 1,765,000 | 1,890,317 | |
5% 7/1/41 | 480,000 | 541,004 | |
5% 7/1/46 | 330,000 | 369,857 | |
Series 2018 A: | |||
5% 7/1/30 | 1,185,000 | 1,409,488 | |
5% 7/1/31 | 1,100,000 | 1,309,119 | |
5% 7/1/34 | 2,000,000 | 2,381,027 | |
5% 7/1/35 | 2,745,000 | 3,268,148 | |
5% 7/1/36 | 3,250,000 | 3,870,633 | |
5% 7/1/37 | 3,000,000 | 3,573,014 | |
5% 7/1/38 | 2,275,000 | 2,704,117 | |
5% 7/1/43 | 4,500,000 | 5,303,718 | |
Series 2018, 5% 7/1/48 | 4,235,000 | 4,957,352 | |
Maine Tpk. Auth. Tpk. Rev.: | |||
Series 2015, 5% 7/1/37 | 1,700,000 | 1,895,084 | |
Series 2018: | |||
5% 7/1/33 | 700,000 | 836,319 | |
5% 7/1/34 | 1,000,000 | 1,193,852 | |
5% 7/1/35 | 1,100,000 | 1,311,842 | |
5% 7/1/36 | 2,000,000 | 2,383,262 | |
TOTAL MAINE | 41,532,876 | ||
Maryland - 1.4% | |||
City of Westminster Series 2016, 5% 11/1/31 | 1,975,000 | 2,247,213 | |
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.: | |||
Series 2019 B, 4% 9/1/49 | 2,235,000 | 2,388,023 | |
Series 2019 C, 3.5% 3/1/50 | 2,130,000 | 2,249,815 | |
Maryland Dept. of Trans. Consolidated Trans. Rev.: | |||
Series 2022 A: | |||
5% 12/1/24 (d) | 915,000 | 1,010,036 | |
5% 12/1/27 (d) | 1,625,000 | 1,939,412 | |
Series 2022 B: | |||
5% 12/1/23 (d) | 1,055,000 | 1,096,227 | |
5% 12/1/26 (d) | 1,745,000 | 1,967,187 | |
Maryland Gen. Oblig.: | |||
Series 2021 2A, 5% 8/1/28 | 10,480,000 | 12,804,172 | |
Series 2022 2D: | |||
3% 8/1/27 (d) | 5,510,000 | 5,927,559 | |
4% 8/1/29 (d) | 3,000,000 | 3,476,282 | |
Maryland Health & Higher Edl. Facilities Auth. Rev.: | |||
(Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 | 1,655,000 | 1,934,352 | |
Series 2015, 5% 7/1/40 | 2,000,000 | 2,208,235 | |
Series 2016 A: | |||
4% 7/1/42 | 780,000 | 835,470 | |
5% 7/1/35 | 2,055,000 | 2,342,515 | |
5% 7/1/38 | 1,125,000 | 1,278,321 | |
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2020: | |||
4% 7/1/45 | 4,095,000 | 4,619,113 | |
4% 7/1/50 | 11,620,000 | 13,033,152 | |
Washington Metropolitan Area Transit Auth. Series 2021 A, 5% 7/15/41 | 2,750,000 | 3,465,851 | |
TOTAL MARYLAND | 64,822,935 | ||
Massachusetts - 2.8% | |||
Massachusetts Commonwealth Trans. Fund Rev. Series 2021 A, 5% 6/1/51 | 5,475,000 | 6,639,058 | |
Massachusetts Dev. Fin. Agcy. Rev.: | |||
(Lesley Univ. Proj.) Series 2016, 5% 7/1/39 | 1,015,000 | 1,159,822 | |
(Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L, 4% 7/1/44 | 10,000,000 | 10,887,173 | |
(Wentworth Institute of Technology Proj.) Series 2017: | |||
5% 10/1/30 | 1,165,000 | 1,322,738 | |
5% 10/1/33 | 1,355,000 | 1,533,468 | |
Series 2015 D, 5% 7/1/44 | 2,575,000 | 2,860,173 | |
Series 2016 A, 5% 1/1/47 | 7,000,000 | 7,802,514 | |
Series 2019, 5% 9/1/59 | 13,125,000 | 15,535,872 | |
Series 2020 A: | |||
4% 7/1/45 | 10,370,000 | 11,315,750 | |
5% 10/15/26 | 5,360,000 | 6,258,845 | |
Series A, 4% 6/1/49 | 6,745,000 | 7,487,235 | |
Series BB1, 5% 10/1/46 | 4,230,000 | 4,896,910 | |
Series J2, 5% 7/1/53 | 2,500,000 | 2,927,793 | |
Series M: | |||
4% 10/1/50 | 10,565,000 | 11,487,178 | |
5% 10/1/45 | 7,960,000 | 9,421,790 | |
Massachusetts Gen. Oblig.: | |||
Series 2017 A, 5% 4/1/36 | 1,280,000 | 1,506,904 | |
Series 2019 C, 5% 5/1/49 | 3,725,000 | 4,481,930 | |
Series E: | |||
5% 11/1/45 | 3,850,000 | 4,742,383 | |
5% 11/1/50 | 13,120,000 | 16,068,838 | |
TOTAL MASSACHUSETTS | 128,336,374 | ||
Michigan - 1.8% | |||
Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured) | 1,035,000 | 1,117,569 | |
Detroit Gen. Oblig. Series 2021 A, 5% 4/1/46 | 1,950,000 | 2,274,178 | |
Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2018 A: | |||
5% 7/1/43 | 1,500,000 | 1,773,847 | |
5% 7/1/48 | 6,500,000 | 7,638,492 | |
Jackson County Series 2019: | |||
4% 5/1/32 (Build America Mutual Assurance Insured) | 2,170,000 | 2,482,406 | |
4% 5/1/33 (Build America Mutual Assurance Insured) | 2,235,000 | 2,555,701 | |
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016: | |||
5% 5/15/28 | 1,445,000 | 1,660,071 | |
5% 5/15/28 (Pre-Refunded to 5/15/26 @ 100) | 10,000 | 11,526 | |
Michigan Bldg. Auth. Rev. (Facilities Prog.) Series 2015 I, 5% 4/15/28 | 2,000,000 | 2,263,043 | |
Michigan Fin. Auth. Rev.: | |||
(Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018, 5% 11/1/43 | 1,845,000 | 2,191,775 | |
(Trinity Health Proj.) Series 2017, 5% 12/1/42 | 1,035,000 | 1,205,403 | |
Series 2012: | |||
5% 11/15/36 | 1,300,000 | 1,341,030 | |
5% 11/15/42 | 2,950,000 | 3,041,922 | |
Series 2013, 5% 8/15/29 | 3,865,000 | 4,105,558 | |
Series 2015 MI, 5% 12/1/25 | 3,000,000 | 3,367,103 | |
Series 2016: | |||
5% 11/15/32 | 4,815,000 | 5,545,275 | |
5% 11/15/41 | 1,085,000 | 1,236,685 | |
Series 2019 A, 5% 11/15/48 | 1,645,000 | 1,962,504 | |
Series 2020 A, 4% 6/1/49 | 2,190,000 | 2,403,263 | |
Michigan Hosp. Fin. Auth. Rev. Series 2008 C: | |||
5% 12/1/32 | 305,000 | 358,520 | |
5% 12/1/32 (Pre-Refunded to 12/1/27 @ 100) | 40,000 | 47,809 | |
Portage Pub. Schools Series 2016: | |||
5% 11/1/33 | 1,000,000 | 1,143,664 | |
5% 11/1/36 | 1,250,000 | 1,424,046 | |
5% 11/1/37 | 1,000,000 | 1,137,472 | |
Warren Consolidated School District Series 2016: | |||
5% 5/1/28 | 4,100,000 | 4,723,740 | |
5% 5/1/29 | 4,230,000 | 4,862,173 | |
Wayne County Arpt. Auth. Rev.: | |||
Series 2015 D: | |||
5% 12/1/30 | 1,300,000 | 1,468,774 | |
5% 12/1/31 | 2,300,000 | 2,594,019 | |
5% 12/1/40 (Assured Guaranty Muni. Corp. Insured) | 3,000,000 | 3,372,780 | |
Series 2015 G: | |||
5% 12/1/31 | 1,500,000 | 1,691,751 | |
5% 12/1/32 | 1,500,000 | 1,691,751 | |
5% 12/1/33 | 2,000,000 | 2,255,669 | |
Series 2015, 5% 12/1/29 | 1,600,000 | 1,807,721 | |
Series 2017 A: | |||
5% 12/1/28 | 600,000 | 707,075 | |
5% 12/1/29 | 550,000 | 647,414 | |
5% 12/1/30 | 700,000 | 823,517 | |
5% 12/1/33 | 350,000 | 416,275 | |
5% 12/1/37 | 500,000 | 593,042 | |
5% 12/1/37 | 270,000 | 316,308 | |
Series 2017 C, 5% 12/1/28 | 1,100,000 | 1,309,740 | |
TOTAL MICHIGAN | 81,570,611 | ||
Minnesota - 1.4% | |||
Duluth Econ. Dev. Auth. Health Care Facilities Rev. Series 2018 A: | |||
5% 2/15/48 | 7,080,000 | 8,199,305 | |
5% 2/15/58 | 11,845,000 | 13,636,921 | |
Maple Grove Health Care Sys. Rev.: | |||
Series 2015, 5% 9/1/27 | 1,285,000 | 1,435,950 | |
Series 2017: | |||
4% 5/1/22 | 500,000 | 504,224 | |
5% 5/1/23 | 500,000 | 524,999 | |
5% 5/1/24 | 1,200,000 | 1,298,913 | |
Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A: | |||
5% 11/15/24 | 1,780,000 | 1,967,373 | |
5% 11/15/25 | 1,365,000 | 1,551,786 | |
Minnesota Gen. Oblig. Series 2019 A, 5% 8/1/29 | 6,140,000 | 7,666,208 | |
Minnesota Higher Ed. Facilities Auth. Rev. Series 2018 A: | |||
5% 10/1/29 | 1,000,000 | 1,188,619 | |
5% 10/1/32 | 715,000 | 841,869 | |
5% 10/1/33 | 875,000 | 1,029,889 | |
5% 10/1/45 | 1,035,000 | 1,196,548 | |
Minnesota Hsg. Fin. Agcy.: | |||
Series B, 4% 8/1/41 | 1,345,000 | 1,545,358 | |
Series D: | |||
4% 8/1/38 | 2,400,000 | 2,770,192 | |
4% 8/1/40 | 2,600,000 | 2,991,570 | |
4% 8/1/41 | 1,705,000 | 1,958,986 | |
4% 8/1/43 | 1,930,000 | 2,206,418 | |
Saint Cloud Health Care Rev. Series 2019: | |||
4% 5/1/49 | 3,460,000 | 3,829,471 | |
5% 5/1/48 | 4,325,000 | 5,132,164 | |
Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (a)(c) | 3,335,000 | 3,525,065 | |
TOTAL MINNESOTA | 65,001,828 | ||
Mississippi - 0.1% | |||
Mississippi Home Corp. Series 2021 B: | |||
3% 6/1/51 | 3,215,000 | 3,372,015 | |
5% 6/1/28 | 745,000 | 892,424 | |
TOTAL MISSISSIPPI | 4,264,439 | ||
Missouri - 0.8% | |||
Cape Girardeau County Indl. Dev. Auth.: | |||
(South Eastern Health Proj.) Series 2017 A, 5% 3/1/27 | 30,000 | 34,591 | |
(Southeast Hosp. Proj.) Series 2017 A, 5% 3/1/29 | 1,470,000 | 1,684,638 | |
Kansas City San. Swr. Sys. Rev. Series 2018 B: | |||
5% 1/1/26 | 240,000 | 274,588 | |
5% 1/1/28 | 500,000 | 600,167 | |
5% 1/1/33 | 475,000 | 566,931 | |
Kansas City Spl. Oblig. (Downtown Streetcar Proj.) Series 2014 A: | |||
5% 9/1/22 | 500,000 | 501,967 | |
5% 9/1/23 | 400,000 | 401,541 | |
Kansas City Wtr. Rev. Series 2020 A, 4% 12/1/39 | 1,260,000 | 1,473,500 | |
Missouri Health & Edl. Facilities Rev.: | |||
Series 2015 B: | |||
3.125% 2/1/27 | 400,000 | 420,616 | |
3.25% 2/1/28 | 400,000 | 421,376 | |
4% 2/1/40 | 400,000 | 427,942 | |
5% 2/1/34 | 3,115,000 | 3,423,047 | |
5% 2/1/36 | 1,200,000 | 1,313,567 | |
5% 2/1/45 | 1,900,000 | 2,061,774 | |
Series 2019 A: | |||
4% 10/1/48 | 2,150,000 | 2,375,194 | |
5% 10/1/46 | 4,225,000 | 5,026,944 | |
Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50 | 600,000 | 643,892 | |
Saint Louis Arpt. Rev.: | |||
Series 2019 A: | |||
5% 7/1/44 | 1,400,000 | 1,672,073 | |
5% 7/1/49 | 1,150,000 | 1,365,142 | |
Series A, 5.25% 7/1/26 (Assured Guaranty Muni. Corp. Insured) | 3,000,000 | 3,488,671 | |
Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A, 5.125% 9/1/48 | 2,660,000 | 2,924,131 | |
The Indl. Dev. Auth. of Hannibal (Hannibal Reg'l. Healthcare Sys. Proj.) Series 2017: | |||
5% 10/1/42 | 3,425,000 | 3,955,430 | |
5% 10/1/47 | 2,125,000 | 2,438,293 | |
TOTAL MISSOURI | 37,496,015 | ||
Montana - 0.0% | |||
Montana Board Hsg. Single Family Series 2019 B, 4% 6/1/50 | 325,000 | 352,169 | |
Nebraska - 0.8% | |||
Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (a) | 14,295,000 | 15,540,276 | |
Douglas County Neb Edl. Facilities Rev. (Creighton Univ. Proj.) Series 2017, 4% 7/1/33 | 775,000 | 861,972 | |
Lincoln Elec. Sys. Rev. Series 2018: | |||
5% 9/1/31 | 2,000,000 | 2,334,586 | |
5% 9/1/32 | 3,735,000 | 4,355,864 | |
5% 9/1/33 | 2,240,000 | 2,609,971 | |
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Series 2020 A, 3.5% 9/1/50 | 1,480,000 | 1,573,283 | |
Nebraska Pub. Pwr. District Rev.: | |||
Series 2016 A: | |||
5% 1/1/32 | 1,670,000 | 1,892,861 | |
5% 1/1/34 | 1,000,000 | 1,135,083 | |
Series 2016 B, 5% 1/1/32 | 5,000,000 | 5,667,250 | |
TOTAL NEBRASKA | 35,971,146 | ||
Nevada - 1.1% | |||
Carson City Hosp. Rev. (Carson Tahoe Hosp. Proj.) Series 2017: | |||
5% 9/1/37 | 2,705,000 | 3,117,528 | |
5% 9/1/42 | 6,665,000 | 7,685,247 | |
Clark County Arpt. Rev. Series 2019 A: | |||
5% 7/1/24 | 2,750,000 | 2,998,128 | |
5% 7/1/25 | 2,170,000 | 2,432,876 | |
5% 7/1/26 | 1,345,000 | 1,548,509 | |
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.: | |||
Series 2012 B, 5% 6/1/42 | 3,260,000 | 3,305,149 | |
Series 2016 A: | |||
5% 6/1/35 | 4,150,000 | 4,754,456 | |
5% 6/1/36 | 6,000,000 | 6,871,199 | |
Series 2016 B: | |||
5% 6/1/34 | 7,495,000 | 8,590,054 | |
5% 6/1/36 | 2,700,000 | 3,092,039 | |
Nevada Hsg. Division Single Family Mtg. Rev. Series 2019 B, 4% 10/1/49 | 995,000 | 1,064,743 | |
Tahoe-Douglas Visitors Auth. Series 2020, 5% 7/1/51 | 3,000,000 | 3,336,245 | |
TOTAL NEVADA | 48,796,173 | ||
New Hampshire - 1.0% | |||
Nat'l. Finnance Auth. Series 2020 1, 4.125% 1/20/34 | 5,060,825 | 5,670,703 | |
New Hampshire Health & Ed. Facilities Auth.: | |||
(Concord Hosp.) Series 2017, 5% 10/1/42 | 2,000,000 | 2,309,505 | |
(Dartmouth-Hitchcock Oblgtd Grp Proj.): | |||
Series 2018 A: | |||
5% 8/1/31 | 1,300,000 | 1,542,273 | |
5% 8/1/32 | 250,000 | 296,564 | |
5% 8/1/34 | 3,000,000 | 3,566,095 | |
5% 8/1/36 | 2,000,000 | 2,375,808 | |
5% 8/1/37 | 2,400,000 | 2,851,265 | |
Series 2018, 5% 8/1/35 | 2,750,000 | 3,265,795 | |
(Partners Healthcare Sys., Inc. Proj.) Series 2017, 5% 7/1/41 | 2,100,000 | 2,466,543 | |
Series 2017: | |||
5% 7/1/36 | 1,200,000 | 1,368,574 | |
5% 7/1/44 | 1,895,000 | 2,141,653 | |
New Hampshire Health & Ed. Facilities Auth. Rev.: | |||
Series 2012: | |||
4% 7/1/23 | 1,000,000 | 1,012,015 | |
4% 7/1/32 | 900,000 | 906,663 | |
Series 2016: | |||
4% 10/1/38 | 1,165,000 | 1,250,062 | |
5% 10/1/28 | 3,000,000 | 3,448,147 | |
5% 10/1/32 | 5,160,000 | 5,861,225 | |
5% 10/1/38 | 3,765,000 | 4,256,894 | |
TOTAL NEW HAMPSHIRE | 44,589,784 | ||
New Jersey - 5.6% | |||
New Jersey Econ. Dev. Auth.: | |||
(White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (c) | 855,000 | 846,979 | |
Series A, 5% 11/1/36 | 5,185,000 | 6,167,387 | |
Series QQQ: | |||
4% 6/15/34 | 800,000 | 898,449 | |
4% 6/15/36 | 1,100,000 | 1,228,230 | |
4% 6/15/39 | 1,000,000 | 1,109,342 | |
4% 6/15/41 | 1,000,000 | 1,105,082 | |
4% 6/15/46 | 1,500,000 | 1,639,195 | |
4% 6/15/50 | 2,000,000 | 2,171,161 | |
5% 6/15/31 | 1,100,000 | 1,349,867 | |
5% 6/15/33 | 200,000 | 243,689 | |
New Jersey Econ. Dev. Auth. Rev.: | |||
(Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (c) | 750,000 | 750,895 | |
(New Jersey Gen. Oblig. Proj.): | |||
Series 2015 XX, 5% 6/15/25 | 6,215,000 | 6,940,248 | |
Series 2017 B, 5% 11/1/24 | 10,000,000 | 11,000,864 | |
(Provident Montclair Proj.) Series 2017: | |||
5% 6/1/27 (Assured Guaranty Muni. Corp. Insured) | 40,000 | 47,087 | |
5% 6/1/28 (Assured Guaranty Muni. Corp. Insured) | 60,000 | 70,314 | |
5% 6/1/29 (Assured Guaranty Muni. Corp. Insured) | 45,000 | 52,529 | |
Series 2013: | |||
5% 3/1/23 | 7,040,000 | 7,345,523 | |
5% 3/1/24 | 6,200,000 | 6,458,282 | |
5% 3/1/25 | 700,000 | 728,875 | |
Series 2014 PP, 5% 6/15/26 | 6,000,000 | 6,520,664 | |
Series 2015 XX: | |||
5% 6/15/22 | 1,525,000 | 1,549,017 | |
5% 6/15/23 | 1,000,000 | 1,053,597 | |
5% 6/15/26 | 15,000,000 | 16,726,509 | |
Series 2016 AAA: | |||
5% 6/15/41 | 2,510,000 | 2,849,572 | |
5.5% 6/15/30 (Pre-Refunded to 12/15/26 @ 100) | 4,995,000 | 5,950,286 | |
Series 2016 BBB, 5% 6/15/22 | 3,120,000 | 3,169,136 | |
Series LLL, 4% 6/15/49 | 2,810,000 | 3,051,401 | |
Series MMM, 4% 6/15/36 | 800,000 | 890,908 | |
New Jersey Edl. Facility Series 2016 A, 5% 7/1/29 | 2,625,000 | 3,005,225 | |
New Jersey Gen. Oblig. Series 2020 A: | |||
4% 6/1/30 | 2,830,000 | 3,250,926 | |
4% 6/1/31 | 1,065,000 | 1,235,589 | |
4% 6/1/32 | 715,000 | 837,868 | |
5% 6/1/29 | 3,180,000 | 3,843,568 | |
New Jersey Health Care Facilities Fing. Auth. Rev.: | |||
Series 2016 A: | |||
5% 7/1/22 | 155,000 | 157,834 | |
5% 7/1/23 | 550,000 | 581,283 | |
5% 7/1/24 | 460,000 | 501,620 | |
5% 7/1/25 | 1,055,000 | 1,185,060 | |
5% 7/1/25 | 495,000 | 556,023 | |
5% 7/1/26 | 155,000 | 178,884 | |
5% 7/1/27 (Pre-Refunded to 7/1/26 @ 100) | 235,000 | 271,211 | |
5% 7/1/28 (Pre-Refunded to 7/1/26 @ 100) | 685,000 | 790,550 | |
5% 7/1/28 (Pre-Refunded to 7/1/27 @ 100) | 35,000 | 40,393 | |
5% 7/1/30 | 1,000,000 | 1,153,624 | |
Series 2016: | |||
4% 7/1/48 | 1,800,000 | 1,937,159 | |
5% 7/1/41 | 2,190,000 | 2,476,253 | |
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev. Series 2019 A: | |||
5% 12/1/23 | 1,005,000 | 1,076,488 | |
5% 12/1/24 | 580,000 | 639,537 | |
5% 12/1/25 | 1,065,000 | 1,203,264 | |
New Jersey Tpk. Auth. Tpk. Rev. Series 2021 A: | |||
4% 1/1/42 | 4,290,000 | 4,917,052 | |
4% 1/1/51 | 5,000,000 | 5,637,106 | |
New Jersey Trans. Trust Fund Auth.: | |||
(Trans. Prog.) Series 2019 AA, 5.25% 6/15/43 | 16,055,000 | 18,947,581 | |
Series 2005 B, 5.25% 12/15/22 (AMBAC Insured) | 400,000 | 414,841 | |
Series 2010 A, 0% 12/15/27 | 7,395,000 | 6,508,203 | |
Series 2014 AA, 5% 6/15/24 | 15,000,000 | 16,297,983 | |
Series 2014 BB2, 5% 6/15/34 | 5,690,000 | 6,946,532 | |
Series 2016 A: | |||
5% 6/15/27 | 945,000 | 1,085,228 | |
5% 6/15/28 | 3,225,000 | 3,689,711 | |
5% 6/15/29 | 3,550,000 | 4,058,038 | |
Series 2016 A2, 5% 6/15/23 | 2,495,000 | 2,636,112 | |
Series 2018 A: | |||
5% 12/15/32 | 3,205,000 | 3,773,110 | |
5% 12/15/34 | 1,000,000 | 1,174,316 | |
Series 2021 A: | |||
4% 6/15/38 (d) | 540,000 | 598,107 | |
5% 6/15/32 | 3,560,000 | 4,372,803 | |
5% 6/15/33 | 1,000,000 | 1,223,911 | |
Series 2022 A: | |||
4% 6/15/41 (d) | 4,900,000 | 5,381,319 | |
4% 6/15/42 (d) | 3,290,000 | 3,601,567 | |
Series 2022 AA: | |||
5% 6/15/29 (d) | 8,000,000 | 9,535,857 | |
5% 6/15/35 (d) | 625,000 | 766,337 | |
5% 6/15/36 (d) | 7,325,000 | 8,934,326 | |
Series A: | |||
4% 12/15/39 | 1,000,000 | 1,104,616 | |
4.25% 12/15/38 | 2,485,000 | 2,763,611 | |
Series AA: | |||
4% 6/15/38 | 2,815,000 | 3,129,302 | |
4% 6/15/45 | 6,000,000 | 6,573,808 | |
5% 6/15/25 | 2,380,000 | 2,657,730 | |
5% 6/15/29 | 1,340,000 | 1,362,055 | |
5% 6/15/37 | 3,000,000 | 3,621,270 | |
5% 6/15/50 | 3,345,000 | 3,949,676 | |
TOTAL NEW JERSEY | 252,499,555 | ||
New Mexico - 0.1% | |||
New Mexico Mtg. Fin. Auth. Series 2019 D, 3.75% 1/1/50 | 1,335,000 | 1,424,126 | |
Santa Fe Retirement Fac.: | |||
Series 2019 A: | |||
2.25% 5/15/24 | 115,000 | 115,059 | |
5% 5/15/34 | 230,000 | 255,921 | |
5% 5/15/39 | 170,000 | 188,061 | |
5% 5/15/44 | 180,000 | 197,968 | |
5% 5/15/49 | 355,000 | 389,380 | |
Series 2019 B1, 2.625% 5/15/25 | 190,000 | 190,148 | |
TOTAL NEW MEXICO | 2,760,663 | ||
New York - 8.3% | |||
Dorm. Auth. New York Univ. Rev.: | |||
(Memorial Sloan-Kettring Cancer Ctr.) Series 2017 1, 5% 7/1/42 | 1,555,000 | 1,814,586 | |
Series 2016 A: | |||
5% 7/1/23 | 30,000 | 31,719 | |
5% 7/1/25 | 70,000 | 78,380 | |
5% 7/1/32 | 2,500,000 | 2,902,981 | |
Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A: | |||
5% 2/15/33 | 3,595,000 | 4,176,951 | |
5% 2/15/39 | 10,000,000 | 11,514,243 | |
5% 2/15/42 | 9,860,000 | 11,296,818 | |
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2017: | |||
5% 9/1/33 | 500,000 | 593,338 | |
5% 9/1/35 | 2,000,000 | 2,367,470 | |
5% 9/1/36 | 1,135,000 | 1,341,541 | |
MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 | 17,050,000 | 17,929,783 | |
New York City Edl. Construction Fund Series 2021 B, 5% 4/1/46 | 4,770,000 | 5,793,888 | |
New York City Gen. Oblig.: | |||
Series 2015 C, 5% 8/1/27 | 1,600,000 | 1,777,795 | |
Series 2016 C and D, 5% 8/1/28 | 1,500,000 | 1,712,578 | |
Series 2016 E, 5% 8/1/28 | 2,550,000 | 2,956,616 | |
Series 2021 A1: | |||
5% 8/1/28 | 5,880,000 | 7,098,843 | |
5% 8/1/29 | 6,405,000 | 7,899,933 | |
Series 2022 A1, 5% 8/1/47 | 53,135,000 | 64,828,983 | |
Series C, 5% 8/1/26 | 1,715,000 | 1,981,164 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | |||
Series 2012 EE, 5.25% 6/15/30 | 6,300,000 | 6,412,626 | |
Series 2020 GG1, 5% 6/15/50 | 2,730,000 | 3,296,213 | |
New York City Transitional Fin. Auth. Bldg. Aid Rev. Series S1, 5% 7/15/27 | 2,000,000 | 2,040,151 | |
New York City Transitional Fin. Auth. Rev.: | |||
Series 2015 E1, 5% 2/1/41 | 1,615,000 | 1,782,391 | |
Series 2016 A, 5% 5/1/40 | 1,950,000 | 2,215,493 | |
Series 2017 B, 5% 8/1/40 | 2,000,000 | 2,285,990 | |
Series 2019 B1, 5% 8/1/34 | 2,000,000 | 2,416,763 | |
Series E, 5% 2/1/43 | 4,155,000 | 4,786,919 | |
New York Convention Ctr. Dev. Corp. Rev. Series 2015: | |||
5% 11/15/28 | 7,205,000 | 8,133,889 | |
5% 11/15/29 | 5,000,000 | 5,640,674 | |
New York Dorm. Auth. Mental Health Svcs. Facilities Impt. Rev. Series 2012 A, 5% 5/15/23 | 2,000,000 | 2,024,458 | |
New York Dorm. Auth. Sales Tax Rev.: | |||
Series 2016 A: | |||
5% 3/15/31 | 4,400,000 | 5,088,027 | |
5% 3/15/32 | 1,945,000 | 2,246,315 | |
5% 3/15/34 | 3,200,000 | 3,686,466 | |
Series 2018 C, 5% 3/15/38 | 8,285,000 | 9,864,429 | |
New York Metropolitan Trans. Auth. Rev.: | |||
Series 2012 D, 5% 11/15/25 | 9,500,000 | 9,795,207 | |
Series 2014 B, 5.25% 11/15/44 | 2,215,000 | 2,384,324 | |
Series 2016 C1, 5% 11/15/56 | 2,000,000 | 2,244,287 | |
Series 2017 C-2: | |||
0% 11/15/29 | 2,275,000 | 1,906,223 | |
0% 11/15/33 | 5,600,000 | 4,141,506 | |
Series 2017 D, 5% 11/15/30 | 5,000,000 | 5,808,000 | |
Series 2020 D: | |||
4% 11/15/46 | 33,385,000 | 35,868,567 | |
4% 11/15/47 | 2,335,000 | 2,504,755 | |
New York State Dorm. Auth. Series 2021 E: | |||
4% 3/15/45 | 12,820,000 | 14,509,098 | |
4% 3/15/47 | 8,900,000 | 10,039,934 | |
New York State Urban Dev. Corp.: | |||
Series 2020 C, 5% 3/15/47 | 4,600,000 | 5,571,842 | |
Series 2020 E: | |||
4% 3/15/44 | 24,275,000 | 27,029,666 | |
4% 3/15/45 | 19,700,000 | 21,879,076 | |
New York Urban Dev. Corp. Rev.: | |||
(New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34 | 3,700,000 | 4,324,731 | |
Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32 | 3,130,000 | 3,666,902 | |
Series 2017 C, 5% 3/15/31 | 2,375,000 | 2,815,110 | |
Oneida County Local Dev. Corp. Rev. (Mohawk Valley Health Sys. Proj.) Series 2019 A: | |||
4% 12/1/32 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 1,134,930 | |
5% 12/1/25 (Assured Guaranty Muni. Corp. Insured) | 630,000 | 672,978 | |
5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | 1,500,000 | 1,838,250 | |
Suffolk County Econ. Dev. Corp. Rev. Series 2021: | |||
5.125% 11/1/41 (c) | 600,000 | 601,840 | |
5.375% 11/1/54 (c) | 1,020,000 | 1,023,086 | |
Triborough Bridge & Tunnel Auth. Series 2021 A1, 5% 5/15/51 | 4,300,000 | 5,300,747 | |
TOTAL NEW YORK | 375,079,473 | ||
New York And New Jersey - 0.1% | |||
Port Auth. of New York & New Jersey Series 194, 5.25% 10/15/55 | 3,365,000 | 3,800,086 | |
North Carolina - 1.4% | |||
Charlotte Ctfs. of Prtn. (Convention Facility Projs.) Series 2019 A, 5% 6/1/46 | 2,380,000 | 2,906,481 | |
Charlotte Int'l. Arpt. Rev.: | |||
Series 2017 A: | |||
5% 7/1/35 | 2,000,000 | 2,363,083 | |
5% 7/1/42 | 2,875,000 | 3,385,487 | |
Series 2017 C: | |||
4% 7/1/36 | 1,500,000 | 1,674,362 | |
4% 7/1/37 | 1,500,000 | 1,676,882 | |
5% 7/1/29 | 2,575,000 | 3,039,192 | |
Nash Health Care Sys. Health Care Facilities Rev. Series 2012, 5% 11/1/41 | 1,730,000 | 1,743,083 | |
New Hanover County Hosp. Rev. Series 2017: | |||
5% 10/1/27 (Escrowed to Maturity) | 220,000 | 261,549 | |
5% 10/1/29 (Pre-Refunded to 10/1/27 @ 100) | 3,500,000 | 4,161,001 | |
5% 10/1/42 (Pre-Refunded to 10/1/27 @ 100) | 1,820,000 | 2,163,720 | |
North Carolina Med. Care Commission Health Care Facilities Rev.: | |||
Series 2019 A: | |||
5% 12/1/29 | 1,390,000 | 1,668,001 | |
5% 12/1/30 | 1,440,000 | 1,721,782 | |
5% 12/1/32 | 1,095,000 | 1,305,236 | |
5% 12/1/33 | 800,000 | 953,253 | |
Series 2021 A: | |||
4% 3/1/36 | 900,000 | 971,058 | |
4% 3/1/51 | 1,895,000 | 1,984,658 | |
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.: | |||
Series 2015 A, 5% 1/1/28 | 3,500,000 | 3,976,434 | |
Series 2015 C, 5% 1/1/29 | 8,000,000 | 9,088,934 | |
North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2019: | |||
4% 1/1/55 | 3,225,000 | 3,524,019 | |
5% 1/1/43 | 4,500,000 | 5,336,137 | |
5% 1/1/44 | 5,610,000 | 6,637,782 | |
5% 1/1/49 | 2,000,000 | 2,351,256 | |
TOTAL NORTH CAROLINA | 62,893,390 | ||
Ohio - 2.4% | |||
Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46 | 4,200,000 | 4,808,047 | |
Allen County Hosp. Facilities Rev. Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) | 1,600,000 | 1,618,182 | |
American Muni. Pwr., Inc. (Solar Electricity Prepayment Proj.) Series 2019 A: | |||
5% 2/15/38 | 1,500,000 | 1,790,097 | |
5% 2/15/39 | 1,000,000 | 1,195,565 | |
5% 2/15/44 | 3,150,000 | 3,737,811 | |
American Muni. Pwr., Inc. Rev.: | |||
(Greenup Hydroelectric Proj.): | |||
Series 2016 A, 5% 2/15/41 | 4,000,000 | 4,486,199 | |
Series 2016, 5% 2/15/46 | 1,280,000 | 1,432,936 | |
(Prairie State Energy Campus Proj.) Series 2015, 5% 2/15/28 | 5,900,000 | 6,325,700 | |
Series 2012 B, 5% 2/15/42 | 705,000 | 706,205 | |
Buckeye Tobacco Settlement Fing. Auth. Series 2020 A2: | |||
5% 6/1/27 | 2,250,000 | 2,656,450 | |
5% 6/1/29 | 4,100,000 | 5,015,281 | |
5% 6/1/34 | 1,210,000 | 1,482,811 | |
Cleveland Arpt. Sys. Rev. Series 2016 A: | |||
5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 552,666 | |
5% 1/1/27 (Assured Guaranty Muni. Corp. Insured) | 2,175,000 | 2,405,417 | |
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 1,105,030 | |
Cleveland Income Tax Rev. Series 2018 A: | |||
5% 10/1/35 | 2,000,000 | 2,392,453 | |
5% 10/1/37 | 1,250,000 | 1,493,629 | |
5% 10/1/38 | 1,500,000 | 1,789,857 | |
Columbus City School District Series 2016 A, 5% 12/1/32 | 1,000,000 | 1,146,105 | |
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013: | |||
5% 6/15/25 | 70,000 | 72,482 | |
5% 6/15/26 | 75,000 | 77,511 | |
5% 6/15/27 | 80,000 | 82,531 | |
5% 6/15/28 | 85,000 | 87,522 | |
5.25% 6/15/43 | 5,000,000 | 5,144,416 | |
Franklin County Rev. (Trinity Health Proj.) Series 2017, 5% 12/1/47 | 8,235,000 | 9,541,657 | |
Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/26 | 1,900,000 | 2,021,196 | |
Lake County Hosp. Facilities Rev. Series 2015: | |||
5% 8/15/26 (Pre-Refunded to 8/15/25 @ 100) | 1,170,000 | 1,318,920 | |
5% 8/15/27 (Pre-Refunded to 8/15/25 @ 100) | 65,000 | 73,273 | |
Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (a) | 11,070,000 | 12,232,339 | |
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013: | |||
5% 2/15/27 | 170,000 | 175,972 | |
5% 2/15/44 | 1,900,000 | 1,954,187 | |
5% 2/15/48 | 4,400,000 | 4,520,471 | |
Ohio Gen. Oblig. Series 2018 A, 5% 6/15/37 | 3,470,000 | 3,946,506 | |
Ohio Higher Edl. Facility Commission Rev. Series 2019, 4% 10/1/44 | 1,775,000 | 1,936,305 | |
Ohio Hosp. Facilities Rev. Series 2017 A, 5% 1/1/31 | 2,500,000 | 2,992,882 | |
Ohio Hosp. Rev. Series 2020 A, 4% 1/15/50 | 825,000 | 908,409 | |
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 | 475,000 | 514,131 | |
Ohio Tpk. Commission Tpk. Rev. (Infrastructure Proj.) Series 2005 A, 0% 2/15/42 | 5,800,000 | 3,189,993 | |
Scioto County Hosp. Facilities Rev.: | |||
Series 2016, 5% 2/15/29 | 1,265,000 | 1,431,930 | |
Series 2019, 5% 2/15/29 | 3,080,000 | 3,487,628 | |
Univ. of Akron Gen. Receipts Series 2019 A: | |||
4% 1/1/28 | 3,700,000 | 4,196,354 | |
5% 1/1/30 | 1,800,000 | 2,222,620 | |
Wood County Hosp. Facilities Rev. (Wood County Hosp. Proj.) Series 2012: | |||
5% 12/1/32 (Pre-Refunded to 12/1/22 @ 100) | 280,000 | 290,250 | |
5% 12/1/32 (Pre-Refunded to 12/1/22 @ 100) | 140,000 | 145,125 | |
5% 12/1/42 (Pre-Refunded to 12/1/22 @ 100) | 355,000 | 367,996 | |
5% 12/1/42 (Pre-Refunded to 12/1/22 @ 100) | 175,000 | 181,406 | |
TOTAL OHIO | 109,254,453 | ||
Oklahoma - 0.3% | |||
Grand River Dam Auth. Rev. Series 2014 A, 5% 6/1/39 | 7,000,000 | 7,591,415 | |
Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015: | |||
5% 10/1/24 | 1,105,000 | 1,215,510 | |
5% 10/1/32 | 1,100,000 | 1,242,947 | |
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B: | |||
5% 8/15/27 | 30,000 | 34,958 | |
5% 8/15/28 | 30,000 | 35,612 | |
5% 8/15/29 | 10,000 | 11,872 | |
Oklahoma Dev. Fin. Auth. Rev. (Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/44 | 1,685,000 | 1,907,345 | |
TOTAL OKLAHOMA | 12,039,659 | ||
Oregon - 0.9% | |||
Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) | 18,000,000 | 18,363,233 | |
Oregon State Hsg. & Cmnty. Svcs. Dept. Series 2019 A, 4% 7/1/50 | 5,590,000 | 5,984,563 | |
Polk Marion & Benton School District # 13J Series B, 0% 12/15/38 | 2,115,000 | 1,357,523 | |
Washington, Multnomah & Yamhill County School District #1J Series 2017: | |||
5% 6/15/33 | 1,080,000 | 1,274,290 | |
5% 6/15/35 | 3,135,000 | 3,690,123 | |
5% 6/15/36 | 3,000,000 | 3,532,911 | |
5% 6/15/37 | 4,000,000 | 4,703,778 | |
5% 6/15/38 | 3,000,000 | 3,522,764 | |
TOTAL OREGON | 42,429,185 | ||
Pennsylvania - 5.2% | |||
Allegheny County Arpt. Auth. Rev. Series 2021 B: | |||
5% 1/1/51 | 5,665,000 | 6,793,667 | |
5% 1/1/56 | 12,495,000 | 14,975,711 | |
Allegheny County Hosp. Dev. Auth. Rev. Series 2019 A, 4% 7/15/36 | 2,500,000 | 2,822,186 | |
Allegheny County Indl. Dev. Auth. Rev. Series 2021: | |||
3.5% 12/1/31 | 1,370,000 | 1,266,186 | |
4% 12/1/41 | 2,260,000 | 2,027,584 | |
4.25% 12/1/50 | 2,515,000 | 2,228,443 | |
Bucks County Indl. Dev. Auth. Hosp. Rev. Series 2021: | |||
5% 7/1/37 | 1,470,000 | 1,779,284 | |
5% 7/1/39 | 2,930,000 | 3,533,946 | |
Cap. Region Wtr. Wtr. Rev. Series 2018: | |||
5% 7/15/26 | 1,000,000 | 1,150,127 | |
5% 7/15/38 | 1,000,000 | 1,198,447 | |
Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.) Series 2018 A, 5% 11/15/24 | 1,000,000 | 1,103,523 | |
Coatesville Area School District Series 2017: | |||
5% 8/1/22 (Assured Guaranty Muni. Corp. Insured) | 235,000 | 240,080 | |
5% 8/1/22 (Escrowed to Maturity) | 25,000 | 25,558 | |
5% 8/1/23 (Assured Guaranty Muni. Corp. Insured) | 450,000 | 476,632 | |
Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A, 5% 6/1/29 | 1,330,000 | 1,530,353 | |
Delaware County Auth. Rev. Series 2017, 5% 7/1/26 | 1,180,000 | 1,270,856 | |
Doylestown Hosp. Auth. Hosp. Rev. Series 2016 A, 5% 7/1/46 | 830,000 | 914,042 | |
Lancaster County Hosp. Auth. Health Ctr. Rev. Series 2021, 5% 11/1/51 | 3,295,000 | 3,927,233 | |
Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A: | |||
4% 7/1/37 | 2,000,000 | 2,239,194 | |
4% 7/1/38 | 2,180,000 | 2,433,499 | |
4% 7/1/39 | 2,500,000 | 2,783,481 | |
5% 7/1/44 | 2,500,000 | 2,997,213 | |
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds: | |||
(PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) | 2,450,000 | 2,464,414 | |
Series B, 1.8%, tender 8/15/22 (a) | 3,255,000 | 3,272,990 | |
Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26 | 1,700,000 | 1,935,762 | |
Montgomery County Higher Ed. & Health Auth. Rev.: | |||
Series 2014 A, 5% 10/1/23 | 2,355,000 | 2,488,254 | |
Series 2016 A: | |||
5% 10/1/28 | 40,000 | 45,108 | |
5% 10/1/29 | 45,000 | 50,585 | |
5% 10/1/30 | 4,350,000 | 4,877,051 | |
5% 10/1/32 | 140,000 | 156,561 | |
5% 10/1/36 | 4,655,000 | 5,193,572 | |
5% 10/1/40 | 2,545,000 | 2,830,607 | |
Series 2019, 4% 9/1/44 | 5,165,000 | 5,693,168 | |
Montgomery County Indl. Dev. Auth. Series 2015 A, 5.25% 1/15/36 | 3,005,000 | 3,348,354 | |
Northampton County Gen. Purp. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2018 A, 4% 8/15/48 | 7,240,000 | 7,955,444 | |
Pennsylvania Ctfs. Prtn. Series 2018 A: | |||
5% 7/1/35 | 750,000 | 882,240 | |
5% 7/1/36 | 1,000,000 | 1,174,197 | |
5% 7/1/37 | 800,000 | 939,388 | |
5% 7/1/38 | 750,000 | 879,018 | |
5% 7/1/43 | 2,000,000 | 2,324,221 | |
Pennsylvania Higher Edl. Facilities Auth. Rev.: | |||
(Drexel Univ. Proj.) Series 2016, 5% 5/1/35 | 1,585,000 | 1,790,471 | |
Series 2016: | |||
5% 5/1/29 | 1,000,000 | 1,135,205 | |
5% 5/1/31 | 1,000,000 | 1,131,688 | |
Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of The City of Harrisburg Proj.) Series 2016 A: | |||
5% 12/1/29 | 4,865,000 | 5,685,161 | |
5% 12/1/29 (Pre-Refunded to 12/1/26 @ 100) | 765,000 | 894,329 | |
Pennsylvania State Univ. Series 2020 A, 4% 9/1/50 | 4,100,000 | 4,615,995 | |
Pennsylvania Tpk. Commission Tpk. Rev. Series 2021 A, 4% 12/1/50 | 18,000,000 | 20,104,013 | |
Philadelphia Arpt. Rev. Series 2017 A: | |||
5% 7/1/28 | 500,000 | 587,315 | |
5% 7/1/29 | 500,000 | 587,291 | |
5% 7/1/30 | 550,000 | 646,182 | |
5% 7/1/31 | 600,000 | 704,927 | |
5% 7/1/32 | 550,000 | 646,363 | |
5% 7/1/33 | 600,000 | 705,245 | |
5% 7/1/42 | 2,390,000 | 2,802,169 | |
5% 7/1/47 | 2,000,000 | 2,342,747 | |
Philadelphia Auth. for Indl. Dev. Series 2017, 5% 11/1/47 | 11,090,000 | 12,395,692 | |
Philadelphia Gas Works Rev.: | |||
Series 16 A, 4% 8/1/45 (Assured Guaranty Muni. Corp. Insured) | 2,315,000 | 2,610,180 | |
Series 2015: | |||
5% 8/1/26 | 1,000,000 | 1,125,919 | |
5% 8/1/27 | 1,000,000 | 1,125,188 | |
5% 8/1/28 | 2,000,000 | 2,250,375 | |
Philadelphia Gen. Oblig.: | |||
Series 2019 A: | |||
5% 8/1/23 | 1,740,000 | 1,847,544 | |
5% 8/1/25 | 4,665,000 | 5,260,946 | |
Series 2019 B: | |||
5% 2/1/33 | 1,600,000 | 1,966,202 | |
5% 2/1/36 | 1,485,000 | 1,809,455 | |
5% 2/1/37 | 1,915,000 | 2,328,007 | |
Philadelphia School District: | |||
Series 2016 F, 5% 9/1/29 | 3,475,000 | 3,997,871 | |
Series 2018 A: | |||
5% 9/1/34 | 1,450,000 | 1,738,580 | |
5% 9/1/35 | 1,000,000 | 1,196,466 | |
Series 2018 B, 5% 9/1/43 | 1,395,000 | 1,653,044 | |
Series 2019 A: | |||
4% 9/1/35 | 2,305,000 | 2,614,127 | |
4% 9/1/36 | 2,000,000 | 2,264,502 | |
5% 9/1/31 | 1,165,000 | 1,429,015 | |
5% 9/1/33 | 2,060,000 | 2,530,860 | |
5% 9/1/33 | 6,870,000 | 8,412,992 | |
Pittsburgh & Allegheny County Parking Sys. Series 2017: | |||
5% 12/15/35 | 1,125,000 | 1,329,579 | |
5% 12/15/37 | 500,000 | 590,618 | |
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. Series 2019 B, 5% 9/1/32 (Assured Guaranty Muni. Corp. Insured) | 2,000,000 | 2,589,748 | |
Pocono Mountains Indl. Park Auth. (St. Luke's Hosp. - Monroe Proj.) Series 2015 A, 5% 8/15/40 | 1,795,000 | 1,968,539 | |
Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 A: | |||
4% 6/1/44 | 1,490,000 | 1,666,342 | |
4% 6/1/49 | 3,545,000 | 3,927,545 | |
5% 6/1/44 | 2,595,000 | 3,119,386 | |
5% 6/1/49 | 4,145,000 | 4,952,572 | |
State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.) Series 2015 A, 5% 6/1/26 | 735,000 | 821,362 | |
Union County Hosp. Auth. Rev. Series 2018 B: | |||
5% 8/1/33 | 1,000,000 | 1,129,745 | |
5% 8/1/38 | 3,205,000 | 3,624,352 | |
5% 8/1/48 | 2,850,000 | 3,221,859 | |
TOTAL PENNSYLVANIA | 236,105,892 | ||
Rhode Island - 0.4% | |||
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.: | |||
Series 2016 B: | |||
5% 9/1/31 | 4,875,000 | 5,435,160 | |
5% 9/1/36 | 185,000 | 204,531 | |
Series 2016, 5% 5/15/39 | 3,285,000 | 3,646,953 | |
Rhode Island Hsg. & Mtg. Fin. Corp.: | |||
Series 2019 70, 4% 10/1/49 | 1,155,000 | 1,232,964 | |
Series 2021 74, 3% 4/1/49 | 5,390,000 | 5,644,139 | |
TOTAL RHODE ISLAND | 16,163,747 | ||
South Carolina - 2.9% | |||
Charleston County Arpt. District Series 2019: | |||
5% 7/1/43 | 1,600,000 | 1,911,103 | |
5% 7/1/48 | 12,000,000 | 14,350,614 | |
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015, 5% 12/1/24 | 4,535,000 | 5,000,521 | |
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 | 1,615,000 | 1,749,375 | |
South Carolina Jobs-Econ. Dev. Auth. Series 2019 C, 5% 7/1/32 | 4,320,000 | 5,209,583 | |
South Carolina Pub. Svc. Auth. Rev.: | |||
Series 2013 E, 5.5% 12/1/53 | 14,160,000 | 15,623,766 | |
Series 2014 A: | |||
5% 12/1/49 | 16,565,000 | 18,470,995 | |
5.5% 12/1/54 | 14,400,000 | 16,207,144 | |
Series 2015 A, 5% 12/1/50 | 2,045,000 | 2,355,404 | |
Series 2015 E, 5.25% 12/1/55 | 3,265,000 | 3,849,593 | |
Series 2016 B: | |||
5% 12/1/35 | 3,630,000 | 4,223,180 | |
5% 12/1/36 | 5,445,000 | 6,327,693 | |
Series 2016 C: | |||
5% 12/1/22 | 500,000 | 518,133 | |
5% 12/1/23 | 840,000 | 900,864 | |
5% 12/1/24 | 515,000 | 569,382 | |
5% 12/1/25 | 600,000 | 682,700 | |
5% 12/1/26 | 1,000,000 | 1,168,547 | |
5% 12/1/27 | 1,600,000 | 1,864,491 | |
South Carolina Trans. Infrastructure Bank Rev. Series 2015 A, 5% 10/1/23 | 1,430,000 | 1,528,044 | |
Spartanburg County Reg'l. Health Series 2017 A: | |||
4% 4/15/43 | 9,915,000 | 10,976,379 | |
4% 4/15/48 | 6,915,000 | 7,582,555 | |
5% 4/15/48 | 9,380,000 | 10,960,214 | |
TOTAL SOUTH CAROLINA | 132,030,280 | ||
South Dakota - 0.2% | |||
South Dakota Health & Edl. Facilities Auth. Rev.: | |||
Series 2014 B, 5% 11/1/44 | 5,000,000 | 5,451,527 | |
Series 2017: | |||
5% 7/1/30 | 850,000 | 996,692 | |
5% 7/1/35 | 725,000 | 848,071 | |
TOTAL SOUTH DAKOTA | 7,296,290 | ||
Tennessee - 0.8% | |||
Chattanooga Health Ed. & Hsg. Facility Board Rev.: | |||
Series 2019 A1, 4% 8/1/44 | 1,800,000 | 1,966,808 | |
Series 2019 A2: | |||
5% 8/1/37 | 860,000 | 1,028,220 | |
5% 8/1/44 | 1,190,000 | 1,399,355 | |
Greeneville Health & Edl. Facilities Board Series 2018 A: | |||
5% 7/1/23 | 500,000 | 528,876 | |
5% 7/1/24 | 1,000,000 | 1,056,150 | |
5% 7/1/25 | 1,000,000 | 1,055,423 | |
Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. (Lipscomb Univ. Proj.) Series 2019 A: | |||
4% 10/1/49 | 2,590,000 | 2,730,417 | |
5.25% 10/1/58 | 7,775,000 | 8,917,984 | |
Shelby County Health Edl. & Hsg. Facilities Board Rev. (Methodist Le Bonheur Health Proj.) Series 2017 A: | |||
5% 5/1/22 | 705,000 | 712,961 | |
5% 5/1/23 | 1,600,000 | 1,683,077 | |
5% 5/1/25 | 1,300,000 | 1,452,906 | |
5% 5/1/27 | 1,230,000 | 1,445,889 | |
5% 5/1/29 | 1,240,000 | 1,445,378 | |
5% 5/1/30 | 2,395,000 | 2,789,059 | |
5% 5/1/31 | 1,260,000 | 1,465,937 | |
Tennessee Energy Acquisition Corp. Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) | 6,645,000 | 6,848,673 | |
TOTAL TENNESSEE | 36,527,113 | ||
Texas - 6.1% | |||
Austin Wtr. & Wastewtr. Sys. Rev. Series 2016, 5% 11/15/37 | 4,010,000 | 4,650,224 | |
Central Reg'l. Mobility Auth.: | |||
Series 2015 A: | |||
5% 1/1/40 (Pre-Refunded to 7/1/25 @ 100) | 2,000,000 | 2,251,560 | |
5% 1/1/45 (Pre-Refunded to 7/1/25 @ 100) | 1,000,000 | 1,125,780 | |
Series 2020 A, 5% 1/1/49 | 3,940,000 | 4,653,650 | |
Series 2020 B, 5% 1/1/45 | 1,750,000 | 2,075,201 | |
Corpus Christi Util. Sys. Rev. Series 2012, 5% 7/15/23 | 3,400,000 | 3,464,184 | |
Cypress-Fairbanks Independent School District Series 2016, 5% 2/15/27 | 1,885,000 | 2,158,380 | |
Dallas Area Rapid Transit Sales Tax Rev.: | |||
Series 2016 A, 5% 12/1/33 (Pre-Refunded to 12/1/25 @ 100) | 1,625,000 | 1,852,905 | |
Series 2020 A, 5% 12/1/45 | 1,435,000 | 1,758,025 | |
Dallas Fort Worth Int'l. Arpt. Rev.: | |||
Series 2020 B: | |||
4% 11/1/34 | 3,410,000 | 3,947,272 | |
4% 11/1/35 | 3,030,000 | 3,503,329 | |
Series 2021 B, 5% 11/1/43 | 5,860,000 | 7,141,603 | |
Dallas Independent School District Bonds: | |||
Series 2016, 5%, tender 2/15/22 (a) | 30,000 | 30,052 | |
Series B6, 5%, tender 2/15/22 (a) | 775,000 | 776,330 | |
Garland Elec. Util. Sys. Rev. Series 2021 A: | |||
4% 3/1/46 | 1,800,000 | 2,043,322 | |
4% 3/1/51 | 2,250,000 | 2,533,678 | |
Grand Parkway Trans. Corp.: | |||
Series 2018 A: | |||
5% 10/1/36 | 5,000,000 | 6,038,119 | |
5% 10/1/37 | 10,000,000 | 12,079,288 | |
5% 10/1/43 | 5,500,000 | 6,608,722 | |
Series 2020 C, 4% 10/1/49 | 2,900,000 | 3,220,199 | |
Harris County Toll Road Rev. (Harris County Toll Road Auth. Proj.) Series 2018 A, 5% 8/15/33 | 2,000,000 | 2,400,620 | |
Houston Arpt. Sys. Rev. Series 2018 D: | |||
5% 7/1/29 | 1,900,000 | 2,284,744 | |
5% 7/1/30 | 2,500,000 | 3,003,746 | |
5% 7/1/31 | 2,250,000 | 2,710,966 | |
5% 7/1/32 | 2,000,000 | 2,406,475 | |
5% 7/1/39 | 7,080,000 | 8,386,269 | |
Houston Gen. Oblig. Series 2017 A, 5% 3/1/29 | 1,080,000 | 1,261,827 | |
Houston Util. Sys. Rev.: | |||
Series 2014 C, 5% 5/15/28 | 1,485,000 | 1,611,789 | |
Series 2016 B, 5% 11/15/33 | 1,400,000 | 1,624,222 | |
Irving Hosp. Auth. Hosp. Rev. Series 2017 A: | |||
5% 10/15/33 | 1,055,000 | 1,187,095 | |
5% 10/15/34 | 1,670,000 | 1,879,850 | |
5% 10/15/35 | 1,215,000 | 1,365,488 | |
5% 10/15/44 | 835,000 | 940,301 | |
Lower Colorado River Auth. Rev.: | |||
(LCRA Transmission Svcs. Corp. Proj.) Series 2018: | |||
5% 5/15/33 | 4,510,000 | 5,392,657 | |
5% 5/15/35 | 2,125,000 | 2,537,895 | |
Series 2015 B: | |||
5% 5/15/30 | 4,500,000 | 5,027,145 | |
5% 5/15/31 | 7,200,000 | 8,036,040 | |
Series 2015 D: | |||
5% 5/15/27 | 1,500,000 | 1,678,801 | |
5% 5/15/29 | 2,150,000 | 2,401,858 | |
New Hope Cultural Ed. Facilities Fin. Corp. (Childrens Med. Ctr. of Dallas) Series 2017 A: | |||
5% 8/15/28 | 1,500,000 | 1,770,382 | |
5% 8/15/47 | 1,205,000 | 1,399,997 | |
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/29 | 2,100,000 | 2,373,650 | |
North Texas Tollway Auth. Rev.: | |||
(Sr. Lien Proj.) Series 2017 A: | |||
5% 1/1/30 | 1,425,000 | 1,611,102 | |
5% 1/1/34 | 1,000,000 | 1,160,190 | |
5% 1/1/35 | 1,300,000 | 1,508,247 | |
5% 1/1/36 | 1,200,000 | 1,391,612 | |
5% 1/1/37 | 4,705,000 | 5,453,865 | |
(Sub Lien Proj.) Series 2017 B: | |||
5% 1/1/30 | 265,000 | 299,285 | |
5% 1/1/31 | 370,000 | 417,570 | |
5% 1/1/33 | 1,500,000 | 1,738,745 | |
Series 2008 I, 6.2% 1/1/42 (Pre-Refunded to 1/1/25 @ 100) | 1,700,000 | 1,945,938 | |
Series 2014: | |||
5% 1/1/23 | 575,000 | 597,841 | |
5% 1/1/23 (Escrowed to Maturity) | 375,000 | 389,896 | |
5% 1/1/24 | 1,680,000 | 1,805,998 | |
5% 1/1/24 (Escrowed to Maturity) | 820,000 | 882,198 | |
Series 2015 A, 5% 1/1/32 | 1,550,000 | 1,706,242 | |
Series 2015 B, 5% 1/1/31 | 7,115,000 | 7,855,829 | |
Series 2016 A: | |||
5% 1/1/32 | 3,000,000 | 3,389,355 | |
5% 1/1/39 | 1,000,000 | 1,126,944 | |
Series 2017 A, 5% 1/1/43 | 4,100,000 | 4,856,335 | |
Series 2018, 0% 1/1/29 (Assured Guaranty Corp. Insured) | 15,110,000 | 13,264,885 | |
San Antonio Elec. & Gas Sys. Rev.: | |||
Series 2012, 5.25% 2/1/25 | 1,600,000 | 1,790,538 | |
Series 2017: | |||
5% 2/1/32 | 1,250,000 | 1,476,259 | |
5% 2/1/34 | 1,500,000 | 1,767,181 | |
San Antonio Independent School District Series 2016, 5% 8/15/31 | 2,010,000 | 2,319,467 | |
San Antonio Wtr. Sys. Rev. Series 2012, 5% 5/15/26 | 2,560,000 | 2,593,570 | |
Southwest Higher Ed. Auth. Rev.: | |||
(Southern Methodist Univ. Proj.) Series 2016 A: | |||
5% 10/1/40 | 3,525,000 | 4,031,118 | |
5% 10/1/45 | 4,000,000 | 4,570,464 | |
(Southern Methodist Univ., TX. Proj.) Series 2017: | |||
5% 10/1/32 | 750,000 | 885,784 | |
5% 10/1/41 | 1,500,000 | 1,774,319 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Series 2015, 5% 9/1/30 | 5,000,000 | 5,432,595 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
Series 2016 A: | |||
5% 2/15/25 | 395,000 | 439,643 | |
5% 2/15/41 | 8,335,000 | 9,508,103 | |
Series 2018 B, 5% 7/1/43 | 1,400,000 | 1,665,237 | |
Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Series 2019, 2.95% 7/1/36 | 3,547,376 | 3,680,000 | |
Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev.: | |||
Series 2019 A, 4% 3/1/50 | 3,410,000 | 3,699,914 | |
Series A, 3.5% 3/1/51 | 3,000,000 | 3,211,991 | |
Texas Gen. Oblig. Series 2016, 5% 4/1/41 | 3,120,000 | 3,547,052 | |
Texas Private Activity Bond Surface Trans. Corp. (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A: | |||
4% 12/31/36 | 2,035,000 | 2,288,139 | |
4% 6/30/37 | 3,000,000 | 3,370,287 | |
4% 12/31/37 | 4,000,000 | 4,493,716 | |
4% 12/31/38 | 2,250,000 | 2,520,872 | |
Texas State Univ. Sys. Fing. Rev.: | |||
Series 2017 A: | |||
5% 3/15/28 | 3,045,000 | 3,583,758 | |
5% 3/15/31 | 2,000,000 | 2,335,546 | |
Series 2019 A: | |||
4% 3/15/34 | 2,250,000 | 2,585,749 | |
4% 3/15/35 | 2,000,000 | 2,295,265 | |
Texas Wtr. Dev. Board Rev.: | |||
Series 2018 B, 5% 4/15/49 | 1,870,000 | 2,234,950 | |
Series 2020: | |||
5% 8/1/25 | 1,000,000 | 1,130,684 | |
5% 8/1/26 | 2,400,000 | 2,790,679 | |
Univ. of Houston Univ. Revs. Series 2017 A: | |||
5% 2/15/30 | 3,145,000 | 3,587,798 | |
5% 2/15/33 | 3,500,000 | 3,982,442 | |
Univ. of Texas Permanent Univ. Fund Rev. Series 2016 B, 5% 7/1/29 | 940,000 | 1,087,026 | |
TOTAL TEXAS | 275,675,863 | ||
Utah - 1.2% | |||
Salt Lake City Arpt. Rev.: | |||
Series 2017 B: | |||
5% 7/1/34 | 1,640,000 | 1,928,296 | |
5% 7/1/35 | 1,500,000 | 1,759,521 | |
5% 7/1/36 | 1,500,000 | 1,759,158 | |
5% 7/1/37 | 1,000,000 | 1,171,676 | |
5% 7/1/47 | 1,525,000 | 1,780,323 | |
Series 2018 B: | |||
5% 7/1/43 | 3,000,000 | 3,525,799 | |
5% 7/1/48 | 3,000,000 | 3,523,829 | |
Series 2021 B: | |||
5% 7/1/46 | 5,535,000 | 6,741,676 | |
5% 7/1/51 | 22,305,000 | 26,970,343 | |
Utah County Hosp. Rev. Series 2020 A, 5% 5/15/50 | 2,015,000 | 2,442,680 | |
TOTAL UTAH | 51,603,301 | ||
Vermont - 0.2% | |||
Vermont Edl. & Health Bldg. Fin. Agcy. Rev.: | |||
(Champlain College Proj.) Series 2016 A: | |||
5% 10/15/41 | 2,400,000 | 2,627,888 | |
5% 10/15/46 | 2,800,000 | 3,049,079 | |
(Middlebury College Proj.) Series 2020, 4% 11/1/50 | 4,500,000 | 5,034,737 | |
TOTAL VERMONT | 10,711,704 | ||
Virginia - 0.9% | |||
Chesapeake Gen. Oblig. Series 2020 A: | |||
5% 8/1/34 | 1,185,000 | 1,507,224 | |
5% 8/1/35 | 1,305,000 | 1,656,515 | |
Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/26 | 1,960,000 | 2,129,533 | |
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.: | |||
(Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29 | 370,000 | 386,100 | |
Series 2016: | |||
4% 6/15/37 | 345,000 | 370,351 | |
5% 6/15/28 | 1,000,000 | 1,144,494 | |
5% 6/15/33 | 225,000 | 253,954 | |
5% 6/15/36 | 1,000,000 | 1,126,000 | |
Virginia College Bldg. Auth. Edl. Facilities Rev.: | |||
(21St Century Collage and Equip. Programs) Series 2021 A, 4% 2/1/35 | 17,055,000 | 19,987,355 | |
Series 2015 A, 5% 1/1/40 (Pre-Refunded to 1/1/25 @ 100) | 1,400,000 | 1,554,268 | |
Virginia Commonwealth Trans. Board Rev. (Virginia Gen. Oblig. Proj.) Series 2017 A: | |||
5% 5/15/32 | 475,000 | 566,789 | |
5% 5/15/33 | 2,000,000 | 2,384,033 | |
Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2021 A1, 5% 8/1/27 | 5,000,000 | 5,960,259 | |
Winchester Econ. Dev. Auth. Series 2015, 5% 1/1/44 | 2,500,000 | 2,802,212 | |
TOTAL VIRGINIA | 41,829,087 | ||
Washington - 3.1% | |||
Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A, 0% 6/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,200,000 | 1,069,943 | |
Port of Seattle Rev. Series 2016: | |||
5% 2/1/25 | 1,250,000 | 1,388,902 | |
5% 2/1/28 | 2,000,000 | 2,278,413 | |
Tacoma Elec. Sys. Rev. Series 2017: | |||
5% 1/1/37 | 1,000,000 | 1,154,048 | |
5% 1/1/38 | 1,000,000 | 1,153,028 | |
Tobacco Settlement Auth. Rev. Series 2013, 5% 6/1/22 | 3,500,000 | 3,553,016 | |
Washington Gen. Oblig.: | |||
Series 2015 C: | |||
5% 2/1/33 | 1,500,000 | 1,659,199 | |
5% 2/1/34 | 2,400,000 | 2,653,225 | |
Series 2017 D, 5% 2/1/33 | 2,100,000 | 2,444,489 | |
Series 2018 D, 5% 8/1/33 | 5,450,000 | 6,433,339 | |
Series 2021 A, 5% 8/1/43 | 2,005,000 | 2,471,651 | |
Series 2021 C, 5% 2/1/43 | 29,830,000 | 37,090,201 | |
Series R-2017 A: | |||
5% 8/1/27 | 945,000 | 1,094,343 | |
5% 8/1/28 | 945,000 | 1,092,108 | |
5% 8/1/30 | 945,000 | 1,090,769 | |
Washington Health Care Facilities Auth. Rev.: | |||
(Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B: | |||
5% 7/1/29 | 405,000 | 482,686 | |
5% 7/1/31 | 860,000 | 1,018,839 | |
5% 7/1/34 | 2,645,000 | 3,116,582 | |
5% 7/1/35 | 2,350,000 | 2,763,366 | |
5% 7/1/36 | 2,250,000 | 2,642,432 | |
5% 7/1/42 | 9,220,000 | 10,808,036 | |
(Providence Health Systems Proj.): | |||
Series 2012 A, 5% 10/1/24 | 6,700,000 | 6,898,125 | |
Series 2018 B: | |||
5% 10/1/30 | 1,200,000 | 1,449,450 | |
5% 10/1/31 | 1,500,000 | 1,809,257 | |
5% 10/1/32 | 1,035,000 | 1,248,628 | |
5% 10/1/33 | 2,500,000 | 3,018,418 | |
(Virginia Mason Med. Ctr. Proj.) Series 2017: | |||
5% 8/15/29 | 2,250,000 | 2,596,053 | |
5% 8/15/30 | 1,000,000 | 1,150,203 | |
Series 2015, 5% 1/1/26 | 2,000,000 | 2,235,176 | |
Series 2017 B, 4% 8/15/41 | 7,250,000 | 8,027,734 | |
Series 2019 A1: | |||
5% 8/1/34 | 1,895,000 | 2,280,308 | |
5% 8/1/37 | 1,000,000 | 1,195,605 | |
Series 2019 A2: | |||
5% 8/1/35 | 2,855,000 | 3,427,139 | |
5% 8/1/39 | 1,120,000 | 1,331,756 | |
Series 2020, 5% 9/1/55 | 10,080,000 | 12,152,330 | |
Washington Higher Ed. Facilities Auth. Rev. (Whitworth Univ. Proj.) Series 2016 A: | |||
5% 10/1/34 | 1,600,000 | 1,807,873 | |
5% 10/1/35 | 1,000,000 | 1,129,144 | |
5% 10/1/40 | 1,625,000 | 1,826,436 | |
Washington Hsg. Fin. Commission Nonprofit Hsg. Rev. (Judson Park Proj.) Series 2018: | |||
4% 7/1/28 (c) | 100,000 | 103,744 | |
5% 7/1/33 (c) | 325,000 | 346,649 | |
5% 7/1/38 (c) | 100,000 | 106,161 | |
5% 7/1/48 (c) | 300,000 | 316,097 | |
TOTAL WASHINGTON | 141,914,901 | ||
West Virginia - 0.2% | |||
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 A, 5% 1/1/33 | 1,840,000 | 2,171,186 | |
West Virginia Parkways Auth. Series 2021, 5% 6/1/47 | 6,000,000 | 7,418,331 | |
TOTAL WEST VIRGINIA | 9,589,517 | ||
Wisconsin - 1.7% | |||
Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A, 4% 1/1/45 | 1,500,000 | 1,664,399 | |
Pub. Fin. Auth. Sr Liv Rev. (Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A: | |||
5% 5/15/25 (c) | 530,000 | 565,310 | |
5% 5/15/28 (c) | 580,000 | 621,422 | |
5.25% 5/15/37 (c) | 190,000 | 203,679 | |
5.25% 5/15/42 (c) | 235,000 | 251,538 | |
5.25% 5/15/47 (c) | 235,000 | 251,235 | |
5.25% 5/15/52 (c) | 435,000 | 464,490 | |
Pub. Fin. Auth. Edl. Facilities Series 2018 A: | |||
5.25% 10/1/43 | 610,000 | 683,045 | |
5.25% 10/1/48 | 610,000 | 679,854 | |
Pub. Fin. Auth. Hosp. Rev. Series 2019 A, 5% 10/1/44 | 6,165,000 | 7,280,768 | |
Pub. Fin. Auth. Wisconsin Retirement Facility Rev. Series 2018: | |||
5% 10/1/43 (c) | 515,000 | 557,166 | |
5% 10/1/48 (c) | 660,000 | 711,887 | |
5% 10/1/53 (c) | 1,710,000 | 1,841,347 | |
Roseman Univ. of Health: | |||
Series 2020, 5% 4/1/50 (c) | 1,085,000 | 1,217,666 | |
Series 2021 A, 4.5% 6/1/56 (c) | 12,925,000 | 12,483,481 | |
Series 2021 B, 6.5% 6/1/56 (c) | 3,825,000 | 3,762,057 | |
Wisconsin Health & Edl. Facilities: | |||
Bonds Series 2018 B, 5%, tender 1/29/25 (a) | 10,000,000 | 11,087,558 | |
Series 2014: | |||
4% 5/1/33 | 1,475,000 | 1,535,402 | |
5% 5/1/23 | 1,410,000 | 1,478,691 | |
5% 5/1/25 | 775,000 | 835,432 | |
Series 2015, 5% 12/15/44 | 10,000,000 | 10,970,668 | |
Series 2017 A: | |||
5% 9/1/30 (Pre-Refunded to 9/1/27 @ 100) | 1,270,000 | 1,500,363 | |
5% 9/1/32 (Pre-Refunded to 9/1/27 @ 100) | 1,100,000 | 1,299,527 | |
Series 2019 A: | |||
2.25% 11/1/26 | 1,055,000 | 1,058,635 | |
5% 11/1/39 | 4,210,000 | 4,618,242 | |
Series 2019 B1, 2.825% 11/1/28 | 1,190,000 | 1,189,993 | |
Series 2019 B2, 2.55% 11/1/27 | 760,000 | 762,231 | |
Wisconsin Health & Edl. Facilities Auth. Rev. Series 2012: | |||
5% 10/1/24 | 1,400,000 | 1,436,611 | |
5% 6/1/27 | 1,000,000 | 1,014,659 | |
5% 6/1/39 | 1,190,000 | 1,205,879 | |
Wisconsin St Gen. Fund Annual Appropriation Series 2019 A, 5% 5/1/29 | 3,000,000 | 3,543,175 | |
TOTAL WISCONSIN | 76,776,410 | ||
TOTAL MUNICIPAL BONDS | |||
(Cost $4,343,276,281) | 4,506,548,186 | ||
Shares | Value | ||
Money Market Funds - 1.6% | |||
Fidelity Tax-Free Cash Central Fund 0.08%(f)(g) | |||
(Cost $70,101,436) | 70,087,422 | 70,108,427 | |
TOTAL INVESTMENT IN SECURITIES - 101.3% | |||
(Cost $4,413,377,717) | 4,576,656,613 | ||
NET OTHER ASSETS (LIABILITIES) - (1.3)% | (58,389,882) | ||
NET ASSETS - 100% | $4,518,266,731 |
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $52,080,426 or 1.2% of net assets.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) 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.
(f) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.
(g) Affiliated fund that is 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 Tax-Free Cash Central Fund 0.08% | $144,334,000 | $641,048,997 | $715,282,000 | $83,055 | $439 | $6,991 | $70,108,427 | 7.2% |
Total | $144,334,000 | $641,048,997 | $715,282,000 | $83,055 | $439 | $6,991 | $70,108,427 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2022, 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 | $4,506,548,186 | $-- | $4,506,548,186 | $-- |
Money Market Funds | 70,108,427 | 70,108,427 | -- | -- |
Total Investments in Securities: | $4,576,656,613 | $70,108,427 | $4,506,548,186 | $-- |
Other Information
The distribution of municipal securities by revenue source, as a percentage of total Net Assets, is as follows (Unaudited):
General Obligations | 27.8% |
Health Care | 20.9% |
Transportation | 17.7% |
Special Tax | 7.3% |
Education | 7.2% |
Electric Utilities | 6.8% |
Others* (Individually Less Than 5%) | 12.3% |
100.0% |
* Includes net other assets
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
January 31, 2022 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $4,343,276,281) | $4,506,548,186 | |
Fidelity Central Funds (cost $70,101,436) | 70,108,427 | |
Total Investment in Securities (cost $4,413,377,717) | $4,576,656,613 | |
Cash | 224,733 | |
Receivable for fund shares sold | 3,478,049 | |
Dividends receivable | 27 | |
Interest receivable | 44,145,384 | |
Distributions receivable from Fidelity Central Funds | 5,098 | |
Prepaid expenses | 3,819 | |
Receivable from investment adviser for expense reductions | 763,480 | |
Other receivables | 217 | |
Total assets | 4,625,277,420 | |
Liabilities | ||
Payable for investments purchased on a delayed delivery basis | $85,218,124 | |
Payable for fund shares redeemed | 14,981,243 | |
Distributions payable | 4,982,315 | |
Accrued management fee | 1,341,262 | |
Other affiliated payables | 403,839 | |
Other payables and accrued expenses | 83,906 | |
Total liabilities | 107,010,689 | |
Net Assets | $4,518,266,731 | |
Net Assets consist of: | ||
Paid in capital | $4,354,393,479 | |
Total accumulated earnings (loss) | 163,873,252 | |
Net Assets | $4,518,266,731 | |
Net Asset Value, offering price and redemption price per share ($4,518,266,731 ÷ 383,334,898 shares) | $11.79 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended January 31, 2022 | ||
Investment Income | ||
Interest | $122,032,061 | |
Income from Fidelity Central Funds | 79,798 | |
Total income | 122,111,859 | |
Expenses | ||
Management fee | $16,064,573 | |
Transfer agent fees | 4,135,553 | |
Accounting fees and expenses | 643,826 | |
Custodian fees and expenses | 41,943 | |
Independent trustees' fees and expenses | 13,760 | |
Registration fees | 127,279 | |
Audit | 62,837 | |
Legal | 8,565 | |
Miscellaneous | 19,559 | |
Total expenses before reductions | 21,117,895 | |
Expense reductions | (9,588,987) | |
Total expenses after reductions | 11,528,908 | |
Net investment income (loss) | 110,582,951 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 14,006,789 | |
Fidelity Central Funds | 439 | |
Capital gain distributions from Fidelity Central Funds | 3,257 | |
Total net realized gain (loss) | 14,010,485 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (182,621,879) | |
Fidelity Central Funds | 6,991 | |
Total change in net unrealized appreciation (depreciation) | (182,614,888) | |
Net gain (loss) | (168,604,403) | |
Net increase (decrease) in net assets resulting from operations | $(58,021,452) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended January 31, 2022 | Year ended January 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $110,582,951 | $109,918,319 |
Net realized gain (loss) | 14,010,485 | 7,566,446 |
Change in net unrealized appreciation (depreciation) | (182,614,888) | 22,377,211 |
Net increase (decrease) in net assets resulting from operations | (58,021,452) | 139,861,976 |
Distributions to shareholders | (123,268,008) | (121,502,501) |
Share transactions | ||
Proceeds from sales of shares | 913,491,530 | 1,043,223,645 |
Reinvestment of distributions | 57,887,688 | 57,315,370 |
Cost of shares redeemed | (746,733,438) | (1,102,822,650) |
Net increase (decrease) in net assets resulting from share transactions | 224,645,780 | (2,283,635) |
Total increase (decrease) in net assets | 43,356,320 | 16,075,840 |
Net Assets | ||
Beginning of period | 4,474,910,411 | 4,458,834,571 |
End of period | $4,518,266,731 | $4,474,910,411 |
Other Information | ||
Shares | ||
Sold | 74,806,481 | 87,410,198 |
Issued in reinvestment of distributions | 4,763,272 | 4,802,393 |
Redeemed | (61,459,051) | (94,544,900) |
Net increase (decrease) | 18,110,702 | (2,332,309) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Tax-Free Bond Fund
Years ended January 31, | 2022 | 2021 | 2020 | 2019 | 2018 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.25 | $12.13 | $11.37 | $11.39 | $11.30 |
Income from Investment Operations | |||||
Net investment income (loss)A,B | .291 | .312 | .337 | .340 | .352 |
Net realized and unrealized gain (loss) | (.427) | .152 | .772 | .003 | .139 |
Total from investment operations | (.136) | .464 | 1.109 | .343 | .491 |
Distributions from net investment income | (.291) | (.312) | (.337) | (.340) | (.352) |
Distributions from net realized gain | (.033) | (.032) | (.012) | (.023) | (.049) |
Total distributions | (.324) | (.344) | (.349) | (.363) | (.401) |
Net asset value, end of period | $11.79 | $12.25 | $12.13 | $11.37 | $11.39 |
Total ReturnC | (1.16)% | 3.94% | 9.87% | 3.09% | 4.38% |
Ratios to Average Net AssetsB,D,E | |||||
Expenses before reductions | .46% | .46% | .46% | .46% | .46% |
Expenses net of fee waivers, if any | .25% | .25% | .25% | .25% | .25% |
Expenses net of all reductions | .25% | .25% | .25% | .25% | .25% |
Net investment income (loss) | 2.39% | 2.62% | 2.86% | 3.02% | 3.06% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $4,518,267 | $4,474,910 | $4,458,835 | $3,611,503 | $3,777,700 |
Portfolio turnover rateF | 8% | 19% | 8% | 23% | 17% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment 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 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 January 31, 2022
1. Organization.
Fidelity Tax-Free Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
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 – Unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Municipal securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 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 January 31, 2022, 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 excise tax regulations.
The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the IRS will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $201,213,308 |
Gross unrealized depreciation | $(37,714,318) |
Net unrealized appreciation (depreciation) | $163,498,990 |
Tax Cost | $4,413,157,623 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed long-term capital gain | $550,807 |
Net unrealized appreciation (depreciation) on securities and other investments | $163,498,990 |
The tax character of distributions paid was as follows:
January 31, 2022 | January 31, 2021 | |
Tax-exempt Income | $110,516,107 | $109,851,350 |
Ordinary Income | – | 2,977,380 |
Long-term Capital Gains | 12,751,901 | 8,673,771 |
Total | $123,268,008 | $ 121,502,501 |
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 Tax-Free Bond Fund | 778,258,027 | 355,927,322 |
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.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for the Fund. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees were equivalent to an annual rate of .09% of average net assets.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annual rates:
% of Average Net Assets | |
Fidelity Tax-Free Bond Fund | .01 |
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 Tax-Free Bond Fund | $7,843 |
7. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .25% of average net assets. This reimbursement will remain in place through May 31, 2023. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $9,528,446.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $2,148.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $58,393.
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 Tax-Free Bond Fund
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Tax-Free Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2022, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of January 31, 2022, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of January 31, 2022, 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
March 15, 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. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's 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
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
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 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 a member of the Board of McKesson Corporation (healthcare service, 2002-2021). In addition, 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 (August 1, 2021 to January 31, 2022).
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 August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During Period-B August 1, 2021 to January 31, 2022 | |
Fidelity Tax-Free Bond Fund | .25% | |||
Actual | $1,000.00 | $968.70 | $1.24 | |
Hypothetical-C | $1,000.00 | $1,023.95 | $1.28 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the 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 Board of Trustees of Fidelity Tax-Free Bond Fund voted to pay on March 7, 2022, to shareholders of record at the opening of business on March 4, 2022, a distribution of $0.002 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 January 31, 2022, $14,010,807, or, if subsequently determined to be different, the net capital gain of such year.
During fiscal year ended 2022, 100% of the fund's income dividends was free from federal income tax, and 0.00% of the fund's income dividends was subject to the federal alternative minimum tax.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Tax-Free Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company 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 cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods. 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/0001379491-22-001092/img782544973.jpg)
SFB-ANN-0422
1.769635.120
Fidelity® Series Large Cap Value Index Fund
January 31, 2022
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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.
The fund is not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). The LSE Group does not accept any liability whatsoever to any person arising out of the use of the fund or the underlying data.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 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 January 31, 2022 | Past 1 year | Past 5 years | Life of fundA |
Fidelity® Series Large Cap Value Index Fund | 23.41% | 10.52% | 10.10% |
A From November 7, 2013
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Series Large Cap Value Index Fund on November 7, 2013, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Russell 1000® Value Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-22-001092/img780531106_740.jpg)
Period Ending Values | ||
$22,099 | Fidelity® Series Large Cap Value Index Fund | |
$22,450 | Russell 1000® Value Index |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 23.29% for the 12 months ending January 31, 2022. U.S. large-cap equities retreated to begin the new year after posting a strong result in 2021, driven by improved economic growth, strong corporate earnings, widespread COVID-19 vaccination, and accommodative fiscal and monetary stimulus. These tailwinds, among others, have supported the historic rebound for U.S. stocks since the early-2020 outbreak and spread of COVID-19. The uptrend was briefly interrupted in September, with the index returning -4.65% as sentiment turned broadly negative due to a host of factors. These included inflationary pressure from surging commodity prices, rising bond yields, supply constraint and disruption, and the delta variant of the coronavirus. Also, the U.S. Federal Reserve signaled it could soon begin to taper the bond purchases it has made since the onset of the pandemic. The S&P 500® reversed course in October, rising 7.01% on earnings strength, followed by a 4.48% advance in December, after studies suggested that the omicron variant resulted in fewer severe COVID-19 cases. Uncertainty then washed over the market in January, with stocks sliding (-5.17%) as investors digested the Fed’s accelerated plan to hike interest rates amid soaring inflation, growing geopolitical tension and persistent coronavirus concerns. The January pullback – the largest opening-month decline since 2009 – was most sharply felt in more-speculative stocks, while fundamentally sound equities held steadier for the 12 months.Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year ending January 31, 2022, the fund gained 23.41%, roughly in line with the 23.37% advance of the benchmark Russell 1000® Value Index. By sector, financials gained 38% and contributed most. Energy, which gained roughly 78%, also helped, as did health care, which advanced approximately 16%. The industrials sector rose 18%, consumer staples gained about 21% and real estate advanced 34%. Other notable contributors included the consumer discretionary (+18%), materials (+22%), information technology (+9%), utilities (+15%) and communication services (+2%) sectors. Turning to individual stocks, the top contributor was Berkshire Hathaway (+37%), from the diversified financials category. In energy, Exxon Mobil (+79%) was helpful, and Bank of America (+58%) from the banks industry also contributed. Alphabet, within the media & entertainment segment, rose about 48%, and Pfizer, within the pharmaceuticals, biotechnology & life sciences group, gained 52% and boosted the fund. Conversely, the biggest individual detractor was Disney (-15%), from the media & entertainment segment, followed by Intel (-10%), which is in the semiconductors & semiconductor equipment category. Within software & services, Twilio returned roughly -43% and hurt. Other detractors were Teladoc Health (-71%), a stock in the health care equipment & services group, and T-Mobile (-14%), from the telecommunication services industry.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Top Ten Stocks as of January 31, 2022
% of fund's net assets | |
Berkshire Hathaway, Inc. Class B | 2.8 |
Johnson & Johnson | 2.2 |
JPMorgan Chase & Co. | 2.1 |
UnitedHealth Group, Inc. | 2.0 |
Procter & Gamble Co. | 1.9 |
Bank of America Corp. | 1.6 |
Exxon Mobil Corp. | 1.6 |
Pfizer, Inc. | 1.4 |
Chevron Corp. | 1.2 |
The Walt Disney Co. | 1.2 |
18.0 |
Top Market Sectors as of January 31, 2022
% of fund's net assets | |
Financials | 21.3 |
Health Care | 17.5 |
Industrials | 11.1 |
Information Technology | 9.7 |
Consumer Staples | 7.5 |
Communication Services | 7.4 |
Energy | 6.2 |
Consumer Discretionary | 5.4 |
Utilities | 5.1 |
Real Estate | 4.9 |
Asset Allocation (% of fund's net assets)
As of January 31, 2022* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 4.5%
Schedule of Investments January 31, 2022
Showing Percentage of Net Assets
Common Stocks - 99.8% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 7.4% | |||
Diversified Telecommunication Services - 2.0% | |||
AT&T, Inc. | 2,062,645 | $52,597,448 | |
Lumen Technologies, Inc. | 294,139 | 3,635,558 | |
Verizon Communications, Inc. | 1,196,597 | 63,694,858 | |
119,927,864 | |||
Entertainment - 1.8% | |||
Activision Blizzard, Inc. | 222,938 | 17,614,331 | |
Electronic Arts, Inc. | 81,829 | 10,855,435 | |
Live Nation Entertainment, Inc. (a) | 24,544 | 2,687,813 | |
Madison Square Garden Sports Corp. (a)(b) | 3,341 | 554,840 | |
Take-Two Interactive Software, Inc. (a) | 26,407 | 4,313,319 | |
The Walt Disney Co. (a) | 497,556 | 71,135,581 | |
World Wrestling Entertainment, Inc. Class A (b) | 1,685 | 84,149 | |
Zynga, Inc. (a) | 155,487 | 1,410,267 | |
108,655,735 | |||
Interactive Media & Services - 1.3% | |||
Alphabet, Inc.: | |||
Class A (a) | 12,072 | 32,667,677 | |
Class C (a) | 11,264 | 30,570,158 | |
IAC (a) | 22,045 | 3,010,024 | |
TripAdvisor, Inc. (a)(b) | 11,117 | 301,827 | |
Twitter, Inc. (a) | 201,421 | 7,555,302 | |
Vimeo, Inc. (a) | 3,368 | 49,341 | |
74,154,329 | |||
Media - 2.0% | |||
Altice U.S.A., Inc. Class A (a) | 18,188 | 262,271 | |
Cable One, Inc. | 734 | 1,133,832 | |
Charter Communications, Inc. Class A (a) | 1,908 | 1,132,093 | |
Comcast Corp. Class A | 1,316,934 | 65,833,531 | |
Discovery Communications, Inc.: | |||
Class A (a) | 47,721 | 1,331,893 | |
Class C (non-vtg.) (a) | 90,922 | 2,486,717 | |
DISH Network Corp. Class A (a) | 71,650 | 2,249,810 | |
Fox Corp.: | |||
Class A | 91,902 | 3,732,140 | |
Class B | 43,382 | 1,612,943 | |
Interpublic Group of Companies, Inc. | 113,041 | 4,017,477 | |
Liberty Broadband Corp.: | |||
Class A (a) | 6,667 | 975,715 | |
Class C (a) | 40,776 | 6,051,566 | |
Liberty Media Corp.: | |||
Liberty Formula One Group Series C (a) | 57,356 | 3,454,552 | |
Liberty Media Class A (a) | 6,692 | 366,722 | |
Liberty SiriusXM Series A (a) | 26,818 | 1,240,333 | |
Liberty SiriusXM Series C (a) | 46,056 | 2,142,986 | |
Loyalty Ventures, Inc. (a) | 5,723 | 167,741 | |
News Corp.: | |||
Class A | 112,676 | 2,505,914 | |
Class B | 34,797 | 773,885 | |
Nexstar Broadcasting Group, Inc. Class A | 10,587 | 1,750,878 | |
Omnicom Group, Inc. | 60,733 | 4,576,839 | |
Sirius XM Holdings, Inc. (b) | 254,357 | 1,617,711 | |
The New York Times Co. Class A | 47,605 | 1,905,628 | |
ViacomCBS, Inc.: | |||
Class A (b) | 2,381 | 87,097 | |
Class B | 168,160 | 5,624,952 | |
117,035,226 | |||
Wireless Telecommunication Services - 0.3% | |||
T-Mobile U.S., Inc. (a) | 170,094 | 18,399,068 | |
TOTAL COMMUNICATION SERVICES | 438,172,222 | ||
CONSUMER DISCRETIONARY - 5.4% | |||
Auto Components - 0.3% | |||
Aptiv PLC (a) | 63,604 | 8,687,034 | |
BorgWarner, Inc. | 69,066 | 3,028,544 | |
Gentex Corp. | 68,246 | 2,142,924 | |
Lear Corp. | 17,307 | 2,895,807 | |
QuantumScape Corp. Class A (a)(b) | 20,196 | 337,071 | |
17,091,380 | |||
Automobiles - 0.8% | |||
Ford Motor Co. | 1,129,600 | 22,930,880 | |
General Motors Co. (a) | 396,909 | 20,929,012 | |
Harley-Davidson, Inc. (b) | 44,206 | 1,528,201 | |
Rivian Automotive, Inc. (b) | 30,911 | 2,032,089 | |
Thor Industries, Inc. (b) | 9,080 | 858,877 | |
48,279,059 | |||
Distributors - 0.2% | |||
Genuine Parts Co. | 40,171 | 5,351,982 | |
LKQ Corp. | 78,447 | 4,305,956 | |
9,657,938 | |||
Diversified Consumer Services - 0.1% | |||
Bright Horizons Family Solutions, Inc. (a) | 3,509 | 450,591 | |
Chegg, Inc. (a) | 9,828 | 260,147 | |
Frontdoor, Inc. (a) | 7,768 | 281,978 | |
Grand Canyon Education, Inc. (a) | 11,399 | 953,868 | |
H&R Block, Inc. (b) | 9,921 | 226,794 | |
Mister Car Wash, Inc. (b) | 4,275 | 73,530 | |
Service Corp. International | 46,266 | 2,855,538 | |
Terminix Global Holdings, Inc. (a) | 34,984 | 1,509,210 | |
6,611,656 | |||
Hotels, Restaurants & Leisure - 1.6% | |||
ARAMARK Holdings Corp. (b) | 66,078 | 2,265,815 | |
Boyd Gaming Corp. | 18,584 | 1,105,005 | |
Caesars Entertainment, Inc. (a) | 22,304 | 1,698,227 | |
Carnival Corp. (a)(b) | 245,712 | 4,867,555 | |
Darden Restaurants, Inc. | 12,049 | 1,685,294 | |
Domino's Pizza, Inc. | 3,350 | 1,523,078 | |
Hilton Worldwide Holdings, Inc. (a) | 26,082 | 3,784,759 | |
Hyatt Hotels Corp. Class A (a) | 14,283 | 1,308,466 | |
Marriott Vacations Worldwide Corp. | 12,009 | 1,950,021 | |
McDonald's Corp. | 177,264 | 45,991,145 | |
MGM Resorts International | 112,528 | 4,807,196 | |
Norwegian Cruise Line Holdings Ltd. (a)(b) | 106,503 | 2,218,457 | |
Penn National Gaming, Inc. (a) | 44,497 | 2,029,508 | |
Planet Fitness, Inc. (a) | 7,473 | 662,407 | |
Royal Caribbean Cruises Ltd. (a)(b) | 63,217 | 4,918,915 | |
Six Flags Entertainment Corp. (a) | 13,751 | 543,027 | |
Travel+Leisure Co. | 8,199 | 465,703 | |
Wyndham Hotels & Resorts, Inc. | 9,736 | 817,337 | |
Yum China Holdings, Inc. | 113,938 | 5,488,393 | |
Yum! Brands, Inc. | 77,484 | 9,698,672 | |
97,828,980 | |||
Household Durables - 0.6% | |||
D.R. Horton, Inc. | 55,625 | 4,962,863 | |
Garmin Ltd. | 43,667 | 5,433,048 | |
Leggett & Platt, Inc. | 38,379 | 1,529,403 | |
Lennar Corp.: | |||
Class A | 77,271 | 7,426,516 | |
Class B | 4,412 | 356,181 | |
Mohawk Industries, Inc. (a) | 15,848 | 2,501,924 | |
Newell Brands, Inc. | 109,682 | 2,545,719 | |
NVR, Inc. (a) | 303 | 1,614,148 | |
PulteGroup, Inc. | 51,571 | 2,717,276 | |
Toll Brothers, Inc. | 19,012 | 1,121,138 | |
TopBuild Corp. (a)(b) | 1,640 | 381,546 | |
Whirlpool Corp. | 17,143 | 3,603,287 | |
34,193,049 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Doordash, Inc. (a) | 5,057 | 573,919 | |
Qurate Retail, Inc. Series A | 104,092 | 731,767 | |
Wayfair LLC Class A (a)(b) | 9,784 | 1,525,521 | |
2,831,207 | |||
Leisure Products - 0.1% | |||
Brunswick Corp. | 19,356 | 1,757,331 | |
Hasbro, Inc. | 36,886 | 3,411,217 | |
Hayward Holdings, Inc. (b) | 14,335 | 282,256 | |
Polaris, Inc. | 5,021 | 565,314 | |
6,016,118 | |||
Multiline Retail - 0.6% | |||
Dollar General Corp. | 38,529 | 8,032,526 | |
Dollar Tree, Inc. (a) | 64,237 | 8,429,179 | |
Kohl's Corp. | 43,100 | 2,573,501 | |
Nordstrom, Inc. (a)(b) | 4,877 | 109,733 | |
Ollie's Bargain Outlet Holdings, Inc. (a)(b) | 18,762 | 899,450 | |
Target Corp. | 77,727 | 17,133,363 | |
37,177,752 | |||
Specialty Retail - 0.8% | |||
Advance Auto Parts, Inc. | 18,159 | 4,203,990 | |
AutoNation, Inc. (a) | 11,939 | 1,301,351 | |
AutoZone, Inc. (a) | 4,749 | 9,433,176 | |
Bath & Body Works, Inc. | 29,786 | 1,670,101 | |
Best Buy Co., Inc. | 54,557 | 5,416,419 | |
Burlington Stores, Inc. (a) | 1,112 | 263,466 | |
CarMax, Inc. (a)(b) | 42,996 | 4,779,865 | |
Dick's Sporting Goods, Inc. (b) | 18,127 | 2,091,856 | |
Foot Locker, Inc. | 25,933 | 1,158,686 | |
Gap, Inc. | 57,893 | 1,046,127 | |
Leslie's, Inc. (a)(b) | 4,412 | 91,902 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 7,710 | 2,252,322 | |
O'Reilly Automotive, Inc. (a) | 13,358 | 8,706,077 | |
Penske Automotive Group, Inc. | 8,862 | 900,645 | |
Petco Health & Wellness Co., Inc. (b) | 14,977 | 280,819 | |
Victoria's Secret & Co. (a) | 9,131 | 509,784 | |
Vroom, Inc. (a)(b) | 24,946 | 200,067 | |
Williams-Sonoma, Inc. | 5,106 | 819,717 | |
45,126,370 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
Capri Holdings Ltd. (a) | 42,592 | 2,558,501 | |
Carter's, Inc. | 11,910 | 1,109,059 | |
Columbia Sportswear Co. | 10,575 | 982,100 | |
Deckers Outdoor Corp. (a) | 6,824 | 2,185,250 | |
Hanesbrands, Inc. | 40,126 | 646,029 | |
PVH Corp. | 20,479 | 1,945,710 | |
Ralph Lauren Corp. | 13,798 | 1,529,370 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 33,777 | 1,418,634 | |
Tapestry, Inc. | 72,448 | 2,749,402 | |
Under Armour, Inc.: | |||
Class A (sub. vtg.) (a) | 54,275 | 1,021,998 | |
Class C (non-vtg.) (a) | 59,047 | 944,162 | |
VF Corp. | 33,355 | 2,175,080 | |
19,265,295 | |||
TOTAL CONSUMER DISCRETIONARY | 324,078,804 | ||
CONSUMER STAPLES - 7.5% | |||
Beverages - 0.9% | |||
Brown-Forman Corp.: | |||
Class A | 6,431 | 402,838 | |
Class B (non-vtg.) | 26,837 | 1,809,619 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 45,039 | 10,708,022 | |
Keurig Dr. Pepper, Inc. | 201,614 | 7,651,251 | |
Molson Coors Beverage Co. Class B | 51,477 | 2,453,394 | |
Monster Beverage Corp. (a) | 7,694 | 667,224 | |
PepsiCo, Inc. | 67,824 | 11,768,820 | |
The Coca-Cola Co. | 329,621 | 20,110,177 | |
55,571,345 | |||
Food & Staples Retailing - 1.5% | |||
Albertsons Companies, Inc. (b) | 44,844 | 1,262,359 | |
Casey's General Stores, Inc. | 10,631 | 1,996,608 | |
Costco Wholesale Corp. | 8,298 | 4,191,569 | |
Grocery Outlet Holding Corp. (a)(b) | 25,122 | 637,596 | |
Kroger Co. | 213,324 | 9,298,793 | |
U.S. Foods Holding Corp. (a) | 63,698 | 2,245,991 | |
Walgreens Boots Alliance, Inc. | 207,042 | 10,302,410 | |
Walmart, Inc. | 414,228 | 57,913,217 | |
87,848,543 | |||
Food Products - 1.8% | |||
Archer Daniels Midland Co. | 160,646 | 12,048,450 | |
Beyond Meat, Inc. (a)(b) | 1,997 | 130,065 | |
Bunge Ltd. | 39,628 | 3,917,624 | |
Campbell Soup Co. (b) | 56,273 | 2,482,765 | |
Conagra Brands, Inc. | 135,124 | 4,696,910 | |
Darling Ingredients, Inc. (a)(b) | 44,130 | 2,814,170 | |
Flowers Foods, Inc. | 54,111 | 1,522,142 | |
General Mills, Inc. | 176,136 | 12,097,020 | |
Hormel Foods Corp. (b) | 81,582 | 3,872,698 | |
Ingredion, Inc. | 19,344 | 1,831,877 | |
Kellogg Co. | 40,376 | 2,543,688 | |
Lamb Weston Holdings, Inc. | 29,644 | 1,903,441 | |
McCormick & Co., Inc. (non-vtg.) | 71,973 | 7,219,612 | |
Mondelez International, Inc. | 402,624 | 26,987,887 | |
Pilgrim's Pride Corp. (a) | 8,106 | 226,725 | |
Post Holdings, Inc. (a) | 17,014 | 1,800,421 | |
Seaboard Corp. | 73 | 278,859 | |
The Hain Celestial Group, Inc. (a)(b) | 26,246 | 958,766 | |
The Hershey Co. | 5,985 | 1,179,464 | |
The J.M. Smucker Co. | 30,256 | 4,253,388 | |
The Kraft Heinz Co. | 200,403 | 7,174,427 | |
Tyson Foods, Inc. Class A | 82,852 | 7,530,418 | |
107,470,817 | |||
Household Products - 2.3% | |||
Church & Dwight Co., Inc. | 67,027 | 6,880,322 | |
Colgate-Palmolive Co. | 113,286 | 9,340,431 | |
Kimberly-Clark Corp. | 48,355 | 6,656,066 | |
Procter & Gamble Co. | 694,941 | 111,503,283 | |
Reynolds Consumer Products, Inc. (b) | 15,697 | 475,148 | |
Spectrum Brands Holdings, Inc. | 12,040 | 1,076,135 | |
The Clorox Co. | 6,745 | 1,132,216 | |
137,063,601 | |||
Personal Products - 0.0% | |||
Coty, Inc. Class A (a) | 97,897 | 830,167 | |
Herbalife Nutrition Ltd. (a)(b) | 24,495 | 1,041,282 | |
Olaplex Holdings, Inc. | 18,827 | 411,182 | |
2,282,631 | |||
Tobacco - 1.0% | |||
Altria Group, Inc. | 237,380 | 12,077,894 | |
Philip Morris International, Inc. | 449,636 | 46,245,063 | |
58,322,957 | |||
TOTAL CONSUMER STAPLES | 448,559,894 | ||
ENERGY - 6.2% | |||
Energy Equipment & Services - 0.5% | |||
Baker Hughes Co. Class A | 212,617 | 5,834,210 | |
Halliburton Co. | 242,077 | 7,441,447 | |
NOV, Inc. | 112,379 | 1,845,263 | |
Schlumberger Ltd. | 403,795 | 15,776,271 | |
30,897,191 | |||
Oil, Gas & Consumable Fuels - 5.7% | |||
Antero Midstream GP LP (b) | 96,163 | 956,822 | |
APA Corp. | 104,550 | 3,472,106 | |
Chevron Corp. | 558,632 | 73,365,141 | |
ConocoPhillips Co. | 380,980 | 33,762,448 | |
Continental Resources, Inc. (b) | 16,780 | 871,553 | |
Coterra Energy, Inc. | 192,877 | 4,224,006 | |
Devon Energy Corp. | 194,487 | 9,835,208 | |
Diamondback Energy, Inc. | 27,402 | 3,457,036 | |
DT Midstream, Inc. | 27,876 | 1,441,189 | |
EOG Resources, Inc. | 148,309 | 16,533,487 | |
EQT Corp. | 87,832 | 1,866,430 | |
Exxon Mobil Corp. | 1,222,869 | 92,889,129 | |
Hess Corp. | 74,564 | 6,881,512 | |
HollyFrontier Corp. | 43,201 | 1,518,947 | |
Kinder Morgan, Inc. | 561,599 | 9,749,359 | |
Marathon Oil Corp. | 223,354 | 4,348,702 | |
Marathon Petroleum Corp. | 177,421 | 12,729,957 | |
Occidental Petroleum Corp. | 212,855 | 8,018,248 | |
ONEOK, Inc. | 127,980 | 7,765,826 | |
Phillips 66 Co. | 126,338 | 10,712,199 | |
Pioneer Natural Resources Co. | 34,497 | 7,551,048 | |
Targa Resources Corp. | 64,977 | 3,838,841 | |
The Williams Companies, Inc. | 350,736 | 10,501,036 | |
Valero Energy Corp. | 117,803 | 9,774,115 | |
336,064,345 | |||
TOTAL ENERGY | 366,961,536 | ||
FINANCIALS - 21.3% | |||
Banks - 8.4% | |||
Bank of America Corp. | 2,079,657 | 95,955,374 | |
Bank of Hawaii Corp. (b) | 11,440 | 984,641 | |
Bank OZK | 35,042 | 1,641,718 | |
BOK Financial Corp. (b) | 8,670 | 889,109 | |
Citigroup, Inc. | 572,882 | 37,306,076 | |
Citizens Financial Group, Inc. | 100,848 | 5,190,647 | |
Comerica, Inc. | 37,788 | 3,505,971 | |
Commerce Bancshares, Inc. | 32,214 | 2,219,867 | |
Cullen/Frost Bankers, Inc. (b) | 16,465 | 2,321,730 | |
East West Bancorp, Inc. | 40,689 | 3,513,088 | |
Fifth Third Bancorp | 196,589 | 8,773,767 | |
First Citizens Bancshares, Inc. | 3,504 | 2,729,896 | |
First Hawaiian, Inc. | 36,981 | 1,048,411 | |
First Horizon National Corp. | 154,446 | 2,642,571 | |
First Republic Bank | 51,370 | 8,917,318 | |
FNB Corp., Pennsylvania | 98,794 | 1,276,418 | |
Huntington Bancshares, Inc. | 414,204 | 6,237,912 | |
JPMorgan Chase & Co. | 847,869 | 125,993,333 | |
KeyCorp | 267,644 | 6,707,159 | |
M&T Bank Corp. | 37,000 | 6,267,060 | |
PacWest Bancorp | 33,473 | 1,554,151 | |
Peoples United Financial, Inc. | 122,603 | 2,376,046 | |
Pinnacle Financial Partners, Inc. | 21,430 | 2,072,495 | |
PNC Financial Services Group, Inc. | 122,495 | 25,232,745 | |
Popular, Inc. | 22,844 | 2,036,999 | |
Prosperity Bancshares, Inc. | 25,764 | 1,887,213 | |
Regions Financial Corp. | 277,308 | 6,361,446 | |
Signature Bank | 17,106 | 5,211,001 | |
Sterling Bancorp | 50,617 | 1,330,721 | |
SVB Financial Group (a) | 16,328 | 9,533,919 | |
Synovus Financial Corp. | 38,775 | 1,929,444 | |
Truist Financial Corp. | 387,762 | 24,359,209 | |
U.S. Bancorp | 387,525 | 22,550,080 | |
Umpqua Holdings Corp. | 62,357 | 1,264,600 | |
Webster Financial Corp. | 27,894 | 1,584,658 | |
Wells Fargo & Co. | 1,154,997 | 62,138,839 | |
Western Alliance Bancorp. | 13,800 | 1,368,822 | |
Wintrust Financial Corp. | 16,352 | 1,603,641 | |
Zions Bancorp NA | 44,435 | 3,013,582 | |
501,531,677 | |||
Capital Markets - 4.9% | |||
Affiliated Managers Group, Inc. | 11,695 | 1,709,926 | |
Ameriprise Financial, Inc. | 14,231 | 4,330,636 | |
Ares Management Corp. | 4,966 | 395,890 | |
Bank of New York Mellon Corp. | 218,324 | 12,937,880 | |
BlackRock, Inc. Class A | 41,275 | 33,966,849 | |
Carlyle Group LP | 46,804 | 2,389,344 | |
Cboe Global Markets, Inc. | 30,669 | 3,635,197 | |
Charles Schwab Corp. | 434,285 | 38,086,795 | |
CME Group, Inc. | 103,497 | 23,752,562 | |
Evercore, Inc. Class A | 10,960 | 1,368,027 | |
FactSet Research Systems, Inc. | 1,524 | 642,960 | |
Franklin Resources, Inc. | 83,392 | 2,666,042 | |
Goldman Sachs Group, Inc. | 88,847 | 31,512,254 | |
Interactive Brokers Group, Inc. (b) | 23,174 | 1,580,235 | |
Intercontinental Exchange, Inc. | 160,529 | 20,332,603 | |
Invesco Ltd. | 96,195 | 2,179,779 | |
Janus Henderson Group PLC (b) | 48,781 | 1,800,019 | |
Jefferies Financial Group, Inc. | 63,103 | 2,312,094 | |
KKR & Co. LP | 160,484 | 11,420,041 | |
Lazard Ltd. Class A | 28,768 | 1,255,436 | |
Moody's Corp. | 2,431 | 833,833 | |
Morgan Stanley | 386,626 | 39,644,630 | |
Morningstar, Inc. | 634 | 182,218 | |
MSCI, Inc. | 6,733 | 3,609,696 | |
NASDAQ, Inc. | 33,562 | 6,014,646 | |
Northern Trust Corp. | 59,220 | 6,907,421 | |
Raymond James Financial, Inc. | 50,542 | 5,350,882 | |
S&P Global, Inc. | 20,298 | 8,428,136 | |
SEI Investments Co. | 30,826 | 1,806,712 | |
State Street Corp. | 105,299 | 9,950,756 | |
Stifel Financial Corp. | 29,417 | 2,203,333 | |
T. Rowe Price Group, Inc. | 43,487 | 6,715,697 | |
Tradeweb Markets, Inc. Class A | 30,263 | 2,565,395 | |
Virtu Financial, Inc. Class A | 25,224 | 780,178 | |
293,268,102 | |||
Consumer Finance - 0.8% | |||
Ally Financial, Inc. | 99,848 | 4,764,747 | |
American Express Co. | 66,047 | 11,876,572 | |
Capital One Financial Corp. | 121,984 | 17,898,712 | |
Credit Acceptance Corp. (a)(b) | 2,157 | 1,163,831 | |
Discover Financial Services | 38,024 | 4,401,278 | |
OneMain Holdings, Inc. | 32,412 | 1,674,404 | |
SLM Corp. | 84,360 | 1,547,162 | |
Synchrony Financial | 128,054 | 5,453,820 | |
48,780,526 | |||
Diversified Financial Services - 2.9% | |||
Apollo Global Management, Inc. | 38,297 | 2,680,790 | |
Berkshire Hathaway, Inc. Class B (a) | 529,653 | 165,791,975 | |
Equitable Holdings, Inc. | 104,541 | 3,516,759 | |
Voya Financial, Inc. (b) | 31,813 | 2,162,011 | |
174,151,535 | |||
Insurance - 4.0% | |||
AFLAC, Inc. | 188,580 | 11,846,596 | |
Alleghany Corp. (a) | 3,410 | 2,264,240 | |
Allstate Corp. | 82,518 | 9,957,447 | |
American Financial Group, Inc. | 19,547 | 2,546,583 | |
American International Group, Inc. | 239,741 | 13,845,043 | |
Aon PLC | 25,921 | 7,165,601 | |
Arch Capital Group Ltd. (a) | 81,586 | 3,779,064 | |
Arthur J. Gallagher & Co. | 59,093 | 9,333,148 | |
Assurant, Inc. | 16,385 | 2,498,876 | |
Assured Guaranty Ltd. | 19,382 | 1,032,867 | |
Axis Capital Holdings Ltd. | 22,356 | 1,273,845 | |
Brighthouse Financial, Inc. (a) | 22,936 | 1,248,865 | |
Brown & Brown, Inc. | 63,680 | 4,220,710 | |
Chubb Ltd. | 123,790 | 24,421,291 | |
Cincinnati Financial Corp. | 43,205 | 5,090,845 | |
CNA Financial Corp. | 7,984 | 366,545 | |
Erie Indemnity Co. Class A | 2,233 | 411,095 | |
Everest Re Group Ltd. | 8,663 | 2,455,094 | |
Fidelity National Financial, Inc. | 78,657 | 3,960,380 | |
First American Financial Corp. | 30,708 | 2,288,053 | |
Globe Life, Inc. | 28,873 | 2,953,708 | |
GoHealth, Inc. (a)(b) | 2,021 | 5,578 | |
Hanover Insurance Group, Inc. | 10,304 | 1,421,540 | |
Hartford Financial Services Group, Inc. | 98,049 | 7,046,782 | |
Kemper Corp. (b) | 17,273 | 1,036,035 | |
Lemonade, Inc. (a)(b) | 9,893 | 315,883 | |
Lincoln National Corp. | 43,982 | 3,077,860 | |
Loews Corp. | 61,631 | 3,676,905 | |
Markel Corp. (a) | 3,247 | 4,002,707 | |
Marsh & McLennan Companies, Inc. | 129,363 | 19,875,331 | |
Mercury General Corp. (b) | 7,693 | 420,499 | |
MetLife, Inc. | 205,503 | 13,781,031 | |
Old Republic International Corp. | 80,742 | 2,069,417 | |
Primerica, Inc. | 11,301 | 1,744,196 | |
Principal Financial Group, Inc. | 75,521 | 5,517,564 | |
Progressive Corp. | 168,637 | 18,324,096 | |
Prudential Financial, Inc. | 109,164 | 12,179,427 | |
Reinsurance Group of America, Inc. | 19,566 | 2,246,764 | |
RenaissanceRe Holdings Ltd. | 7,341 | 1,153,785 | |
The Travelers Companies, Inc. | 70,933 | 11,787,646 | |
Unum Group | 58,832 | 1,493,156 | |
W.R. Berkley Corp. | 39,803 | 3,363,354 | |
White Mountains Insurance Group Ltd. | 843 | 877,529 | |
Willis Towers Watson PLC | 35,798 | 8,375,300 | |
236,752,281 | |||
Mortgage Real Estate Investment Trusts - 0.2% | |||
AGNC Investment Corp. | 151,224 | 2,251,725 | |
Annaly Capital Management, Inc. | 402,901 | 3,182,918 | |
New Residential Investment Corp. | 124,958 | 1,330,803 | |
Starwood Property Trust, Inc. | 83,487 | 2,066,303 | |
8,831,749 | |||
Thrifts & Mortgage Finance - 0.1% | |||
MGIC Investment Corp. | 93,625 | 1,421,228 | |
New York Community Bancorp, Inc. | 130,316 | 1,519,485 | |
TFS Financial Corp. | 14,226 | 247,248 | |
UWM Holdings Corp. Class A (b) | 13,444 | 69,505 | |
3,257,466 | |||
TOTAL FINANCIALS | 1,266,573,336 | ||
HEALTH CARE - 17.5% | |||
Biotechnology - 1.4% | |||
Amgen, Inc. | 29,028 | 6,593,420 | |
Biogen, Inc. (a) | 42,203 | 9,537,878 | |
BioMarin Pharmaceutical, Inc. (a)(b) | 52,605 | 4,662,381 | |
Exact Sciences Corp. (a)(b) | 3,700 | 282,532 | |
Exelixis, Inc. (a) | 12,877 | 233,074 | |
Gilead Sciences, Inc. | 362,471 | 24,894,508 | |
Horizon Therapeutics PLC (a) | 51,184 | 4,777,003 | |
Incyte Corp. (a) | 7,688 | 571,449 | |
Ionis Pharmaceuticals, Inc. (a) | 3,258 | 103,604 | |
Iovance Biotherapeutics, Inc. (a) | 29,949 | 498,651 | |
Mirati Therapeutics, Inc. (a)(b) | 2,008 | 239,554 | |
Natera, Inc. (a)(b) | 1,650 | 116,573 | |
Regeneron Pharmaceuticals, Inc. (a) | 25,840 | 15,725,966 | |
Repligen Corp. (a) | 917 | 181,878 | |
Sage Therapeutics, Inc. (a) | 14,773 | 582,352 | |
Seagen, Inc. (a) | 4,105 | 552,164 | |
Ultragenyx Pharmaceutical, Inc. (a)(b) | 4,816 | 336,783 | |
United Therapeutics Corp. (a) | 12,723 | 2,568,392 | |
Vertex Pharmaceuticals, Inc. (a) | 44,075 | 10,712,429 | |
83,170,591 | |||
Health Care Equipment & Supplies - 3.0% | |||
Abbott Laboratories | 250,776 | 31,963,909 | |
Baxter International, Inc. | 145,089 | 12,396,404 | |
Becton, Dickinson & Co. | 82,395 | 20,939,865 | |
Boston Scientific Corp. (a) | 409,525 | 17,568,623 | |
Dentsply Sirona, Inc. | 62,670 | 3,347,831 | |
Envista Holdings Corp. (a) | 46,401 | 2,006,379 | |
Figs, Inc. Class A (a)(b) | 21,366 | 480,308 | |
Globus Medical, Inc. (a) | 21,464 | 1,432,293 | |
Hologic, Inc. (a) | 72,366 | 5,082,988 | |
ICU Medical, Inc. (a) | 5,751 | 1,227,033 | |
Integra LifeSciences Holdings Corp. (a) | 20,867 | 1,350,930 | |
Masimo Corp. (a) | 3,958 | 870,245 | |
Medtronic PLC | 387,684 | 40,121,417 | |
Quidel Corp. (a)(b) | 10,576 | 1,093,135 | |
ResMed, Inc. | 4,141 | 946,633 | |
STERIS PLC | 21,243 | 4,766,929 | |
Stryker Corp. | 57,679 | 14,307,276 | |
Tandem Diabetes Care, Inc. (a) | 1,073 | 126,732 | |
Teleflex, Inc. | 11,095 | 3,441,558 | |
The Cooper Companies, Inc. | 13,960 | 5,560,268 | |
Zimmer Biomet Holdings, Inc. | 60,223 | 7,408,633 | |
176,439,389 | |||
Health Care Providers & Services - 4.8% | |||
Acadia Healthcare Co., Inc. (a) | 25,531 | 1,344,207 | |
agilon health, Inc. (a)(b) | 3,079 | 51,050 | |
Amedisys, Inc. (a) | 1,067 | 144,152 | |
AmerisourceBergen Corp. | 42,836 | 5,834,263 | |
Anthem, Inc. | 70,718 | 31,185,931 | |
Cardinal Health, Inc. | 33,301 | 1,717,333 | |
Centene Corp. (a) | 166,949 | 12,981,954 | |
Chemed Corp. | 3,197 | 1,499,105 | |
Cigna Corp. | 93,959 | 21,653,791 | |
CVS Health Corp. | 380,052 | 40,479,339 | |
DaVita HealthCare Partners, Inc. (a) | 5,764 | 624,645 | |
Encompass Health Corp. | 11,985 | 743,549 | |
Henry Schein, Inc. (a) | 40,029 | 3,014,184 | |
Humana, Inc. | 37,224 | 14,610,420 | |
Laboratory Corp. of America Holdings (a) | 27,816 | 7,548,150 | |
McKesson Corp. | 37,771 | 9,696,571 | |
Molina Healthcare, Inc. (a) | 14,104 | 4,096,930 | |
Oak Street Health, Inc. (a)(b) | 2,759 | 47,951 | |
Premier, Inc. | 35,127 | 1,342,554 | |
Quest Diagnostics, Inc. | 35,166 | 4,748,113 | |
Signify Health, Inc. (b) | 18,501 | 246,618 | |
UnitedHealth Group, Inc. | 252,908 | 119,516,734 | |
Universal Health Services, Inc. Class B | 20,498 | 2,665,970 | |
285,793,514 | |||
Health Care Technology - 0.2% | |||
Cerner Corp. | 85,292 | 7,778,630 | |
Certara, Inc. (a) | 13,095 | 350,029 | |
Change Healthcare, Inc. (a) | 72,210 | 1,421,093 | |
Definitive Healthcare Corp. (b) | 2,045 | 44,745 | |
Teladoc Health, Inc. (a)(b) | 43,580 | 3,343,022 | |
12,937,519 | |||
Life Sciences Tools & Services - 2.2% | |||
Adaptive Biotechnologies Corp. (a) | 3,498 | 61,005 | |
Agilent Technologies, Inc. | 9,140 | 1,273,385 | |
Bio-Rad Laboratories, Inc. Class A (a) | 6,117 | 3,668,548 | |
Charles River Laboratories International, Inc. (a) | 907 | 299,092 | |
Danaher Corp. | 173,562 | 49,602,284 | |
IQVIA Holdings, Inc. (a) | 27,840 | 6,818,016 | |
PerkinElmer, Inc. | 36,376 | 6,262,856 | |
QIAGEN NV (a) | 65,444 | 3,238,824 | |
Syneos Health, Inc. (a) | 25,549 | 2,313,717 | |
Thermo Fisher Scientific, Inc. | 103,238 | 60,012,249 | |
Waters Corp. (a) | 1,224 | 391,827 | |
133,941,803 | |||
Pharmaceuticals - 5.9% | |||
Bristol-Myers Squibb Co. | 645,028 | 41,855,867 | |
Catalent, Inc. (a) | 37,538 | 3,901,324 | |
Elanco Animal Health, Inc. (a) | 128,372 | 3,342,807 | |
Eli Lilly & Co. | 51,399 | 12,612,801 | |
Jazz Pharmaceuticals PLC (a) | 17,278 | 2,400,087 | |
Johnson & Johnson | 760,825 | 131,082,539 | |
Merck & Co., Inc. | 731,542 | 59,606,042 | |
Nektar Therapeutics (a)(b) | 51,649 | 574,337 | |
Organon & Co. | 73,150 | 2,334,217 | |
Perrigo Co. PLC | 38,558 | 1,467,903 | |
Pfizer, Inc. | 1,612,017 | 84,937,176 | |
Royalty Pharma PLC | 38,305 | 1,532,583 | |
Viatris, Inc. | 348,580 | 5,218,243 | |
Zoetis, Inc. Class A | 7,140 | 1,426,501 | |
352,292,427 | |||
TOTAL HEALTH CARE | 1,044,575,243 | ||
INDUSTRIALS - 11.1% | |||
Aerospace & Defense - 2.3% | |||
BWX Technologies, Inc. | 6,572 | 292,520 | |
Curtiss-Wright Corp. | 11,271 | 1,496,676 | |
General Dynamics Corp. | 71,802 | 15,229,204 | |
HEICO Corp. (b) | 8,847 | 1,206,642 | |
HEICO Corp. Class A | 15,302 | 1,678,629 | |
Hexcel Corp. (b) | 24,129 | 1,258,810 | |
Howmet Aerospace, Inc. | 103,331 | 3,212,561 | |
Huntington Ingalls Industries, Inc. | 11,360 | 2,126,592 | |
L3Harris Technologies, Inc. | 56,456 | 11,815,676 | |
Lockheed Martin Corp. | 9,010 | 3,506,061 | |
Mercury Systems, Inc. (a) | 16,103 | 916,583 | |
Northrop Grumman Corp. | 39,181 | 14,493,052 | |
Raytheon Technologies Corp. | 432,241 | 38,983,816 | |
Spirit AeroSystems Holdings, Inc. Class A | 21,318 | 934,368 | |
Textron, Inc. | 63,540 | 4,324,532 | |
The Boeing Co. (a) | 154,630 | 30,963,111 | |
TransDigm Group, Inc. (a) | 10,617 | 6,542,089 | |
Virgin Galactic Holdings, Inc. (a)(b) | 4,223 | 38,852 | |
139,019,774 | |||
Air Freight & Logistics - 0.3% | |||
C.H. Robinson Worldwide, Inc. | 29,884 | 3,127,361 | |
Expeditors International of Washington, Inc. | 13,163 | 1,506,900 | |
FedEx Corp. | 39,990 | 9,831,941 | |
GXO Logistics, Inc. (a) | 4,000 | 324,840 | |
14,791,042 | |||
Airlines - 0.3% | |||
Alaska Air Group, Inc. (a) | 35,187 | 1,926,136 | |
American Airlines Group, Inc. (a)(b) | 184,133 | 3,032,671 | |
Copa Holdings SA Class A (a) | 9,065 | 757,653 | |
JetBlue Airways Corp. (a) | 91,418 | 1,337,445 | |
Southwest Airlines Co. (a) | 170,415 | 7,627,775 | |
United Airlines Holdings, Inc. (a) | 93,238 | 3,998,045 | |
18,679,725 | |||
Building Products - 0.9% | |||
A.O. Smith Corp. | 38,161 | 2,916,264 | |
Allegion PLC | 6,174 | 757,735 | |
Armstrong World Industries, Inc. | 7,071 | 700,170 | |
Builders FirstSource, Inc. (a) | 54,633 | 3,714,498 | |
Carlisle Companies, Inc. | 9,143 | 2,042,912 | |
Carrier Global Corp. | 133,469 | 6,363,802 | |
Fortune Brands Home & Security, Inc. | 29,071 | 2,737,616 | |
Johnson Controls International PLC | 206,591 | 15,012,968 | |
Lennox International, Inc. | 9,513 | 2,698,077 | |
Masco Corp. | 70,176 | 4,444,246 | |
Owens Corning | 28,905 | 2,563,874 | |
The AZEK Co., Inc. (a) | 14,627 | 483,130 | |
Trane Technologies PLC | 35,328 | 6,115,277 | |
50,550,569 | |||
Commercial Services & Supplies - 0.5% | |||
ADT, Inc. | 45,670 | 346,635 | |
Cintas Corp. | 1,583 | 619,792 | |
Clean Harbors, Inc. (a) | 14,618 | 1,352,896 | |
Driven Brands Holdings, Inc. | 15,532 | 438,779 | |
MSA Safety, Inc. (b) | 7,515 | 1,032,561 | |
Republic Services, Inc. | 60,608 | 7,737,217 | |
Rollins, Inc. | 4,586 | 141,478 | |
Stericycle, Inc. (a)(b) | 26,394 | 1,550,384 | |
Waste Management, Inc. | 102,470 | 15,415,587 | |
28,635,329 | |||
Construction & Engineering - 0.2% | |||
AECOM | 39,308 | 2,717,362 | |
MasTec, Inc. (a) | 16,205 | 1,395,737 | |
Quanta Services, Inc. | 40,799 | 4,190,873 | |
Valmont Industries, Inc. | 6,022 | 1,308,159 | |
9,612,131 | |||
Electrical Equipment - 1.0% | |||
Acuity Brands, Inc. | 9,978 | 1,911,086 | |
AMETEK, Inc. | 66,509 | 9,096,436 | |
ChargePoint Holdings, Inc. Class A (a)(b) | 64,374 | 891,580 | |
Eaton Corp. PLC | 114,929 | 18,208,201 | |
Emerson Electric Co. | 172,219 | 15,835,537 | |
Fluence Energy, Inc. (b) | 5,799 | 108,441 | |
Hubbell, Inc. Class B | 15,610 | 2,923,597 | |
nVent Electric PLC | 48,047 | 1,661,946 | |
Regal Rexnord Corp. | 15,364 | 2,434,887 | |
Rockwell Automation, Inc. | 13,161 | 3,806,424 | |
Sensata Technologies, Inc. PLC (a)(b) | 44,856 | 2,572,940 | |
Shoals Technologies Group, Inc. (b) | 30,031 | 506,323 | |
Sunrun, Inc. (a) | 58,432 | 1,515,142 | |
61,472,540 | |||
Industrial Conglomerates - 1.7% | |||
3M Co. | 142,624 | 23,678,436 | |
General Electric Co. | 315,322 | 29,791,623 | |
Honeywell International, Inc. | 157,305 | 32,165,726 | |
Roper Technologies, Inc. | 30,262 | 13,229,336 | |
98,865,121 | |||
Machinery - 1.9% | |||
AGCO Corp. | 16,234 | 1,902,625 | |
Allison Transmission Holdings, Inc. | 7,221 | 274,326 | |
Caterpillar, Inc. | 21,561 | 4,345,835 | |
Colfax Corp. (a) | 33,776 | 1,388,869 | |
Crane Co. (b) | 14,234 | 1,473,361 | |
Cummins, Inc. | 41,400 | 9,144,432 | |
Donaldson Co., Inc. | 31,254 | 1,739,598 | |
Dover Corp. | 41,388 | 7,032,235 | |
Flowserve Corp. | 37,554 | 1,225,011 | |
Fortive Corp. | 94,236 | 6,647,407 | |
Gates Industrial Corp. PLC (a) | 27,479 | 425,100 | |
Graco, Inc. | 18,383 | 1,333,870 | |
IDEX Corp. | 21,895 | 4,717,059 | |
Illinois Tool Works, Inc. | 9,361 | 2,189,725 | |
Ingersoll Rand, Inc. | 116,956 | 6,574,097 | |
ITT, Inc. | 24,844 | 2,283,660 | |
Middleby Corp. (a) | 11,107 | 2,057,016 | |
Nordson Corp. | 13,874 | 3,226,260 | |
Oshkosh Corp. | 19,702 | 2,242,285 | |
Otis Worldwide Corp. | 122,735 | 10,485,251 | |
PACCAR, Inc. | 98,299 | 9,140,824 | |
Parker Hannifin Corp. | 30,951 | 9,595,120 | |
Pentair PLC | 47,668 | 3,036,452 | |
Snap-On, Inc. | 15,393 | 3,205,592 | |
Stanley Black & Decker, Inc. | 46,560 | 8,131,704 | |
Timken Co. | 18,542 | 1,238,606 | |
Toro Co. | 1,659 | 160,226 | |
Westinghouse Air Brake Tech Co. | 51,690 | 4,595,241 | |
Woodward, Inc. | 16,563 | 1,826,402 | |
Xylem, Inc. | 17,618 | 1,850,242 | |
113,488,431 | |||
Marine - 0.0% | |||
Kirby Corp. (a) | 17,141 | 1,117,250 | |
Professional Services - 0.7% | |||
CACI International, Inc. Class A (a) | 6,708 | 1,659,962 | |
Clarivate Analytics PLC (a)(b) | 125,382 | 2,063,788 | |
CoStar Group, Inc. (a) | 25,323 | 1,776,662 | |
Dun & Bradstreet Holdings, Inc. (a) | 46,046 | 923,683 | |
Equifax, Inc. | 21,599 | 5,178,576 | |
FTI Consulting, Inc. (a) | 9,683 | 1,411,878 | |
IHS Markit Ltd. | 107,708 | 12,579,217 | |
Jacobs Engineering Group, Inc. | 37,272 | 4,852,069 | |
LegalZoom.com, Inc. (b) | 2,258 | 35,857 | |
Leidos Holdings, Inc. | 40,709 | 3,641,420 | |
Manpower, Inc. | 15,672 | 1,643,523 | |
Nielsen Holdings PLC | 103,110 | 1,944,655 | |
Robert Half International, Inc. | 3,856 | 436,731 | |
Science Applications International Corp. | 16,714 | 1,371,049 | |
TransUnion Holding Co., Inc. | 17,507 | 1,805,322 | |
Verisk Analytics, Inc. | 16,620 | 3,259,681 | |
44,584,073 | |||
Road & Rail - 1.1% | |||
AMERCO | 2,582 | 1,572,309 | |
CSX Corp. | 638,194 | 21,838,999 | |
J.B. Hunt Transport Services, Inc. | 2,723 | 524,286 | |
Knight-Swift Transportation Holdings, Inc. Class A | 46,358 | 2,622,936 | |
Landstar System, Inc. | 1,246 | 199,360 | |
Norfolk Southern Corp. | 70,103 | 19,067,315 | |
Old Dominion Freight Lines, Inc. | 2,324 | 701,685 | |
Ryder System, Inc. | 15,016 | 1,099,021 | |
Schneider National, Inc. Class B | 14,964 | 383,078 | |
TuSimple Holdings, Inc. (a)(b) | 33,703 | 632,268 | |
Uber Technologies, Inc. (a) | 67,093 | 2,509,278 | |
Union Pacific Corp. | 68,314 | 16,706,189 | |
XPO Logistics, Inc. (a) | 4,001 | 264,746 | |
68,121,470 | |||
Trading Companies & Distributors - 0.2% | |||
Air Lease Corp. Class A (b) | 30,918 | 1,230,846 | |
Core & Main, Inc. (b) | 7,907 | 190,163 | |
Fastenal Co. | 18,669 | 1,058,159 | |
MSC Industrial Direct Co., Inc. Class A | 12,908 | 1,053,809 | |
SiteOne Landscape Supply, Inc. (a) | 6,073 | 1,093,869 | |
United Rentals, Inc. (a) | 13,622 | 4,360,675 | |
Univar, Inc. (a) | 48,307 | 1,280,136 | |
W.W. Grainger, Inc. | 2,248 | 1,113,007 | |
Watsco, Inc. | 9,418 | 2,661,150 | |
14,041,814 | |||
TOTAL INDUSTRIALS | 662,979,269 | ||
INFORMATION TECHNOLOGY - 9.7% | |||
Communications Equipment - 1.6% | |||
Arista Networks, Inc. (a) | 7,344 | 912,933 | |
Ciena Corp. (a) | 44,462 | 2,948,275 | |
Cisco Systems, Inc. | 1,220,300 | 67,934,101 | |
F5, Inc. (a) | 17,372 | 3,606,775 | |
Juniper Networks, Inc. | 93,550 | 3,257,411 | |
Lumentum Holdings, Inc. (a) | 20,912 | 2,122,150 | |
Motorola Solutions, Inc. | 47,945 | 11,120,363 | |
Ubiquiti, Inc. | 215 | 62,359 | |
ViaSat, Inc. (a) | 19,998 | 880,312 | |
92,844,679 | |||
Electronic Equipment & Components - 0.6% | |||
Amphenol Corp. Class A | 48,686 | 3,874,919 | |
Arrow Electronics, Inc. (a) | 19,979 | 2,477,396 | |
Avnet, Inc. | 28,541 | 1,151,915 | |
Coherent, Inc. (a) | 723 | 186,881 | |
Corning, Inc. | 145,330 | 6,109,673 | |
IPG Photonics Corp. (a) | 9,697 | 1,497,896 | |
Jabil, Inc. | 8,772 | 539,390 | |
Keysight Technologies, Inc. (a) | 30,002 | 5,064,938 | |
Littelfuse, Inc. | 6,906 | 1,864,413 | |
National Instruments Corp. | 38,268 | 1,577,407 | |
TD SYNNEX Corp. | 12,023 | 1,257,245 | |
Teledyne Technologies, Inc. (a) | 13,251 | 5,584,369 | |
Trimble, Inc. (a) | 72,232 | 5,212,261 | |
Vontier Corp. | 22,331 | 627,724 | |
37,026,427 | |||
IT Services - 2.7% | |||
Accenture PLC Class A | 35,994 | 12,726,759 | |
Akamai Technologies, Inc. (a) | 46,367 | 5,311,340 | |
Alliance Data Systems Corp. | 14,311 | 988,031 | |
Amdocs Ltd. | 37,301 | 2,830,773 | |
Automatic Data Processing, Inc. | 9,827 | 2,026,033 | |
Broadridge Financial Solutions, Inc. | 3,075 | 489,602 | |
Cloudflare, Inc. (a) | 4,257 | 410,375 | |
Cognizant Technology Solutions Corp. Class A | 152,021 | 12,985,634 | |
Concentrix Corp. | 12,146 | 2,441,225 | |
DXC Technology Co. (a) | 72,406 | 2,177,972 | |
Euronet Worldwide, Inc. (a) | 4,271 | 571,844 | |
Fastly, Inc. Class A (a)(b) | 30,401 | 871,293 | |
Fidelity National Information Services, Inc. | 175,650 | 21,063,948 | |
Fiserv, Inc. (a) | 160,942 | 17,011,569 | |
FleetCor Technologies, Inc. (a) | 17,664 | 4,208,625 | |
Genpact Ltd. | 50,166 | 2,495,759 | |
Global Payments, Inc. | 83,193 | 12,468,967 | |
GoDaddy, Inc. (a) | 43,479 | 3,291,795 | |
IBM Corp. | 258,043 | 34,466,804 | |
Jack Henry & Associates, Inc. | 15,737 | 2,640,826 | |
Kyndryl Holdings, Inc. (a) | 64,513 | 1,088,979 | |
Paychex, Inc. | 11,910 | 1,402,522 | |
Paysafe Ltd. (a)(b) | 200,365 | 727,325 | |
Snowflake Computing, Inc. (a) | 3,375 | 931,163 | |
SolarWinds, Inc. (b) | 10,171 | 138,326 | |
StoneCo Ltd. Class A (a)(b) | 4,499 | 70,094 | |
The Western Union Co. | 87,017 | 1,645,491 | |
Thoughtworks Holding, Inc. (b) | 8,088 | 173,245 | |
Twilio, Inc. Class A (a) | 34,545 | 7,120,415 | |
VeriSign, Inc. (a) | 28,054 | 6,092,768 | |
WEX, Inc. (a) | 4,225 | 680,141 | |
161,549,643 | |||
Semiconductors & Semiconductor Equipment - 2.7% | |||
Analog Devices, Inc. | 93,219 | 15,285,119 | |
Azenta, Inc. | 3,723 | 313,998 | |
Cirrus Logic, Inc. (a) | 16,431 | 1,469,589 | |
First Solar, Inc. (a)(b) | 30,564 | 2,395,606 | |
GlobalFoundries, Inc. (b) | 7,176 | 354,064 | |
Intel Corp. | 1,167,158 | 56,980,654 | |
Marvell Technology, Inc. | 236,308 | 16,872,391 | |
Microchip Technology, Inc. | 24,839 | 1,924,526 | |
Micron Technology, Inc. | 278,857 | 22,941,565 | |
MKS Instruments, Inc. | 2,493 | 387,238 | |
NXP Semiconductors NV | 53,005 | 10,889,347 | |
onsemi (a) | 56,051 | 3,307,009 | |
Qorvo, Inc. (a) | 31,977 | 4,389,803 | |
Skyworks Solutions, Inc. | 25,119 | 3,680,436 | |
Texas Instruments, Inc. | 101,348 | 18,190,953 | |
Wolfspeed, Inc. (a) | 33,258 | 3,134,234 | |
162,516,532 | |||
Software - 1.7% | |||
ANSYS, Inc. (a) | 14,674 | 4,989,307 | |
Black Knight, Inc. (a) | 43,830 | 3,269,718 | |
C3.Ai, Inc. (a)(b) | 12,583 | 331,436 | |
CDK Global, Inc. | 28,905 | 1,242,048 | |
Ceridian HCM Holding, Inc. (a) | 37,772 | 2,863,873 | |
Citrix Systems, Inc. | 23,004 | 2,345,028 | |
Datto Holding Corp. (a)(b) | 6,968 | 173,573 | |
Dolby Laboratories, Inc. Class A | 18,528 | 1,627,685 | |
Duck Creek Technologies, Inc. (a)(b) | 16,099 | 411,329 | |
Dynatrace, Inc. (a) | 3,353 | 183,946 | |
Guidewire Software, Inc. (a)(b) | 24,192 | 2,439,521 | |
Informatica, Inc. (b) | 2,642 | 73,765 | |
Jamf Holding Corp. (a)(b) | 2,386 | 78,881 | |
Mandiant, Inc. (a) | 47,638 | 718,857 | |
Manhattan Associates, Inc. (a) | 8,500 | 1,137,895 | |
McAfee Corp. | 5,540 | 142,101 | |
N-able, Inc. (a)(b) | 11,135 | 124,267 | |
NCR Corp. (a) | 24,191 | 920,709 | |
NortonLifeLock, Inc. | 116,510 | 3,030,425 | |
Nuance Communications, Inc. (a) | 50,959 | 2,815,485 | |
Oracle Corp. | 32,406 | 2,630,071 | |
Paycor HCM, Inc. (b) | 2,673 | 69,338 | |
Pegasystems, Inc. | 673 | 66,775 | |
Procore Technologies, Inc. (a)(b) | 4,795 | 299,975 | |
Salesforce.com, Inc. (a) | 218,182 | 50,755,679 | |
SS&C Technologies Holdings, Inc. | 64,636 | 5,162,477 | |
Synopsys, Inc. (a) | 16,022 | 4,974,831 | |
Teradata Corp. (a) | 4,547 | 183,426 | |
Tyler Technologies, Inc. (a) | 1,551 | 734,864 | |
VMware, Inc. Class A (a) | 40,420 | 5,193,162 | |
98,990,447 | |||
Technology Hardware, Storage & Peripherals - 0.4% | |||
Dell Technologies, Inc. (a) | 40,128 | 2,279,672 | |
Hewlett Packard Enterprise Co. | 375,017 | 6,124,028 | |
HP, Inc. | 217,269 | 7,980,290 | |
NetApp, Inc. | 21,641 | 1,872,163 | |
Pure Storage, Inc. Class A (a) | 4,876 | 129,165 | |
Western Digital Corp. (a) | 90,027 | 4,657,997 | |
Xerox Holdings Corp. | 40,830 | 861,921 | |
23,905,236 | |||
TOTAL INFORMATION TECHNOLOGY | 576,832,964 | ||
MATERIALS - 3.7% | |||
Chemicals - 1.9% | |||
Air Products & Chemicals, Inc. | 63,822 | 18,005,463 | |
Albemarle Corp. U.S. | 33,530 | 7,401,412 | |
Ashland Global Holdings, Inc. | 15,860 | 1,523,194 | |
Axalta Coating Systems Ltd. (a) | 49,028 | 1,451,719 | |
Celanese Corp. Class A | 19,974 | 3,110,152 | |
CF Industries Holdings, Inc. | 61,670 | 4,247,213 | |
Corteva, Inc. | 210,574 | 10,124,398 | |
Diversey Holdings Ltd. (a) | 5,212 | 57,332 | |
Dow, Inc. | 200,235 | 11,960,037 | |
DuPont de Nemours, Inc. | 151,138 | 11,577,171 | |
Eastman Chemical Co. | 38,619 | 4,592,958 | |
Ecolab, Inc. | 8,885 | 1,683,263 | |
Element Solutions, Inc. | 66,783 | 1,498,611 | |
FMC Corp. | 27,300 | 3,013,101 | |
Huntsman Corp. | 59,797 | 2,142,527 | |
International Flavors & Fragrances, Inc. | 73,498 | 9,695,856 | |
LyondellBasell Industries NV Class A | 66,505 | 6,433,029 | |
NewMarket Corp. | 1,874 | 633,543 | |
Olin Corp. (b) | 38,322 | 1,941,776 | |
PPG Industries, Inc. | 39,473 | 6,165,683 | |
RPM International, Inc. | 15,283 | 1,354,227 | |
The Chemours Co. LLC | 22,603 | 739,344 | |
The Mosaic Co. | 107,041 | 4,276,288 | |
Valvoline, Inc. | 52,265 | 1,721,609 | |
Westlake Chemical Corp. | 7,629 | 752,601 | |
116,102,507 | |||
Construction Materials - 0.3% | |||
Eagle Materials, Inc.(b) | 11,492 | 1,676,108 | |
Martin Marietta Materials, Inc. | 17,936 | 6,979,256 | |
Vulcan Materials Co. | 38,140 | 7,258,423 | |
15,913,787 | |||
Containers & Packaging - 0.7% | |||
Amcor PLC | 444,457 | 5,337,929 | |
Aptargroup, Inc. | 18,940 | 2,221,662 | |
Ardagh Group SA | 5,448 | 111,984 | |
Ardagh Metal Packaging SA (a)(b) | 26,542 | 255,599 | |
Avery Dennison Corp. | 11,196 | 2,299,882 | |
Ball Corp. | 64,419 | 6,255,085 | |
Berry Global Group, Inc. (a) | 38,944 | 2,625,604 | |
Crown Holdings, Inc. | 31,098 | 3,557,611 | |
Graphic Packaging Holding Co. | 58,306 | 1,102,566 | |
International Paper Co. | 111,607 | 5,385,038 | |
Packaging Corp. of America | 27,034 | 4,072,131 | |
Sealed Air Corp. | 19,586 | 1,330,281 | |
Silgan Holdings, Inc. | 24,089 | 1,078,705 | |
Sonoco Products Co. | 28,308 | 1,603,365 | |
WestRock Co. | 76,075 | 3,511,622 | |
40,749,064 | |||
Metals & Mining - 0.8% | |||
Alcoa Corp. | 53,851 | 3,053,890 | |
Cleveland-Cliffs, Inc. (a) | 131,388 | 2,251,990 | |
Freeport-McMoRan, Inc. | 298,563 | 11,112,515 | |
Newmont Corp. | 231,391 | 14,154,187 | |
Nucor Corp. | 82,472 | 8,362,661 | |
Reliance Steel & Aluminum Co. | 17,964 | 2,746,336 | |
Royal Gold, Inc. | 18,904 | 1,919,701 | |
Southern Copper Corp. | 2,109 | 134,744 | |
Steel Dynamics, Inc. | 44,197 | 2,453,817 | |
United States Steel Corp. | 77,192 | 1,599,418 | |
47,789,259 | |||
Paper & Forest Products - 0.0% | |||
Louisiana-Pacific Corp. | 23,465 | 1,559,015 | |
Sylvamo Corp. (a) | 10,286 | 306,420 | |
1,865,435 | |||
TOTAL MATERIALS | 222,420,052 | ||
REAL ESTATE - 4.9% | |||
Equity Real Estate Investment Trusts (REITs) - 4.6% | |||
Alexandria Real Estate Equities, Inc. | 44,496 | 8,669,601 | |
American Campus Communities, Inc. | 39,486 | 2,063,538 | |
American Homes 4 Rent Class A | 81,548 | 3,190,973 | |
Americold Realty Trust | 76,909 | 2,188,061 | |
Apartment Income (REIT) Corp. | 45,051 | 2,379,594 | |
AvalonBay Communities, Inc. | 40,214 | 9,821,465 | |
Boston Properties, Inc. | 45,028 | 5,046,738 | |
Brixmor Property Group, Inc. | 85,354 | 2,164,577 | |
Camden Property Trust (SBI) | 28,503 | 4,563,045 | |
Cousins Properties, Inc. | 42,779 | 1,649,558 | |
CubeSmart | 61,763 | 3,133,855 | |
CyrusOne, Inc. | 36,573 | 3,286,084 | |
Digital Realty Trust, Inc. | 80,973 | 12,083,601 | |
Douglas Emmett, Inc. | 48,006 | 1,498,747 | |
Duke Realty Corp. | 109,640 | 6,334,999 | |
EPR Properties | 21,287 | 935,989 | |
Equinix, Inc. | 7,482 | 5,423,702 | |
Equity Lifestyle Properties, Inc. | 23,664 | 1,852,655 | |
Equity Residential (SBI) | 106,319 | 9,433,685 | |
Essex Property Trust, Inc. | 18,691 | 6,214,758 | |
Extra Space Storage, Inc. | 34,460 | 6,829,627 | |
Federal Realty Investment Trust (SBI) | 22,252 | 2,836,907 | |
First Industrial Realty Trust, Inc. | 37,115 | 2,255,850 | |
Gaming & Leisure Properties | 65,092 | 2,940,857 | |
Healthcare Trust of America, Inc. | 62,769 | 2,043,131 | |
Healthpeak Properties, Inc. | 155,483 | 5,499,434 | |
Highwoods Properties, Inc. (SBI) | 29,671 | 1,279,414 | |
Host Hotels & Resorts, Inc. (a) | 203,898 | 3,535,591 | |
Hudson Pacific Properties, Inc. | 42,633 | 1,007,418 | |
Invitation Homes, Inc. | 172,139 | 7,226,395 | |
Iron Mountain, Inc. | 24,405 | 1,120,678 | |
JBG SMITH Properties | 35,149 | 963,083 | |
Kilroy Realty Corp. | 33,475 | 2,142,400 | |
Kimco Realty Corp. | 167,523 | 4,064,108 | |
Lamar Advertising Co. Class A | 3,138 | 347,565 | |
Life Storage, Inc. | 23,488 | 3,169,706 | |
Medical Properties Trust, Inc. | 170,422 | 3,878,805 | |
Mid-America Apartment Communities, Inc. | 33,277 | 6,877,690 | |
National Retail Properties, Inc. | 50,372 | 2,235,509 | |
Omega Healthcare Investors, Inc. | 68,813 | 2,166,233 | |
Orion Office (REIT), Inc. (a) | 15,927 | 265,025 | |
Park Hotels & Resorts, Inc. (a) | 67,804 | 1,234,033 | |
Prologis (REIT), Inc. | 212,817 | 33,373,962 | |
Public Storage | 10,266 | 3,680,669 | |
Rayonier, Inc. | 41,018 | 1,498,798 | |
Realty Income Corp. | 163,180 | 11,326,324 | |
Regency Centers Corp. | 48,691 | 3,493,579 | |
Rexford Industrial Realty, Inc. | 43,716 | 3,198,700 | |
SBA Communications Corp. Class A | 26,031 | 8,471,529 | |
Simon Property Group, Inc. | 12,334 | 1,815,565 | |
SL Green Realty Corp. (b) | 19,317 | 1,400,869 | |
Spirit Realty Capital, Inc. | 35,475 | 1,683,644 | |
Store Capital Corp. | 70,442 | 2,233,716 | |
Sun Communities, Inc. | 33,039 | 6,243,049 | |
UDR, Inc. | 88,704 | 5,041,935 | |
Ventas, Inc. | 114,946 | 6,094,437 | |
VICI Properties, Inc. | 181,419 | 5,192,212 | |
Vornado Realty Trust | 50,599 | 2,075,065 | |
Welltower, Inc. | 125,630 | 10,883,327 | |
Weyerhaeuser Co. | 216,152 | 8,739,025 | |
WP Carey, Inc. | 53,265 | 4,133,364 | |
276,434,453 | |||
Real Estate Management & Development - 0.3% | |||
CBRE Group, Inc. | 91,228 | 9,245,046 | |
Howard Hughes Corp. (a) | 11,935 | 1,149,460 | |
Jones Lang LaSalle, Inc. (a) | 14,568 | 3,653,509 | |
Opendoor Technologies, Inc. (a)(b) | 104,759 | 1,040,257 | |
15,088,272 | |||
TOTAL REAL ESTATE | 291,522,725 | ||
UTILITIES - 5.1% | |||
Electric Utilities - 3.2% | |||
Alliant Energy Corp. | 72,143 | 4,318,480 | |
American Electric Power Co., Inc. | 144,446 | 13,057,918 | |
Avangrid, Inc. (b) | 16,425 | 767,376 | |
Duke Energy Corp. | 222,153 | 23,339,394 | |
Edison International | 107,576 | 6,754,697 | |
Entergy Corp. | 57,813 | 6,461,759 | |
Evergy, Inc. | 65,943 | 4,283,657 | |
Eversource Energy | 99,027 | 8,861,926 | |
Exelon Corp. | 281,739 | 16,326,775 | |
FirstEnergy Corp. | 156,922 | 6,584,447 | |
Hawaiian Electric Industries, Inc. | 30,431 | 1,293,318 | |
IDACORP, Inc. | 14,525 | 1,600,946 | |
NextEra Energy, Inc. | 566,251 | 44,235,528 | |
NRG Energy, Inc. | 38,347 | 1,531,196 | |
OGE Energy Corp. | 57,583 | 2,183,547 | |
PG&E Corp. (a) | 435,643 | 5,571,874 | |
Pinnacle West Capital Corp. | 32,500 | 2,262,325 | |
PPL Corp. | 216,911 | 6,437,918 | |
Southern Co. | 305,400 | 21,222,246 | |
Xcel Energy, Inc. | 155,343 | 10,821,193 | |
187,916,520 | |||
Gas Utilities - 0.1% | |||
Atmos Energy Corp. | 37,300 | 3,999,306 | |
National Fuel Gas Co. | 25,186 | 1,529,546 | |
UGI Corp. | 59,965 | 2,719,413 | |
8,248,265 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Brookfield Renewable Corp. (b) | 27,505 | 941,221 | |
The AES Corp. | 190,548 | 4,226,355 | |
Vistra Corp. | 138,137 | 3,012,768 | |
8,180,344 | |||
Multi-Utilities - 1.5% | |||
Ameren Corp. | 73,427 | 6,515,912 | |
CenterPoint Energy, Inc. | 171,173 | 4,854,466 | |
CMS Energy Corp. | 83,364 | 5,366,974 | |
Consolidated Edison, Inc. | 102,139 | 8,829,917 | |
Dominion Energy, Inc. | 232,564 | 18,758,612 | |
DTE Energy Co. | 55,667 | 6,703,977 | |
MDU Resources Group, Inc. | 58,157 | 1,708,071 | |
NiSource, Inc. | 112,945 | 3,295,735 | |
Public Service Enterprise Group, Inc. | 145,508 | 9,680,647 | |
Sempra Energy | 92,288 | 12,750,510 | |
WEC Energy Group, Inc. | 91,054 | 8,835,880 | |
87,300,701 | |||
Water Utilities - 0.2% | |||
American Water Works Co., Inc. | 52,389 | 8,424,151 | |
Essential Utilities, Inc. | 66,479 | 3,240,186 | |
11,664,337 | |||
TOTAL UTILITIES | 303,310,167 | ||
TOTAL COMMON STOCKS | |||
(Cost $4,143,870,950) | 5,945,986,212 | ||
Money Market Funds - 1.4% | |||
Fidelity Cash Central Fund 0.08% (c) | 16,403,668 | 16,406,949 | |
Fidelity Securities Lending Cash Central Fund 0.08% (c)(d) | 69,333,007 | 69,339,940 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $85,746,512) | 85,746,889 | ||
TOTAL INVESTMENT IN SECURITIES - 101.2% | |||
(Cost $4,229,617,462) | 6,031,733,101 | ||
NET OTHER ASSETS (LIABILITIES) - (1.2)% | (71,948,790) | ||
NET ASSETS - 100% | $5,959,784,311 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 32 | March 2022 | $7,206,800 | $289,217 | $289,217 |
CME E-mini S&P MidCap 400 Index Contracts (United States) | 32 | March 2022 | 8,415,040 | 138,544 | 138,544 |
TOTAL FUTURES CONTRACTS | $427,761 |
The notional amount of futures purchased as a percentage of Net Assets is 0.3%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(d) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
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% | $5,509,023 | $804,656,599 | $793,760,253 | $8,513 | $1,580 | $-- | $16,406,949 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.08% | 56,536,826 | 577,694,368 | 564,891,254 | 141,683 | -- | -- | 69,339,940 | 0.2% |
Total | $62,045,849 | $1,382,350,967 | $1,358,651,507 | $150,196 | $1,580 | $-- | $85,746,889 |
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 January 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $438,172,222 | $438,172,222 | $-- | $-- |
Consumer Discretionary | 324,078,804 | 324,078,804 | -- | -- |
Consumer Staples | 448,559,894 | 448,559,894 | -- | -- |
Energy | 366,961,536 | 366,961,536 | -- | -- |
Financials | 1,266,573,336 | 1,266,573,336 | -- | -- |
Health Care | 1,044,575,243 | 1,044,575,243 | -- | -- |
Industrials | 662,979,269 | 662,979,269 | -- | -- |
Information Technology | 576,832,964 | 576,832,964 | -- | -- |
Materials | 222,420,052 | 222,420,052 | -- | -- |
Real Estate | 291,522,725 | 291,522,725 | -- | -- |
Utilities | 303,310,167 | 303,310,167 | -- | -- |
Money Market Funds | 85,746,889 | 85,746,889 | -- | -- |
Total Investments in Securities: | $6,031,733,101 | $6,031,733,101 | $-- | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $427,761 | $427,761 | $-- | $-- |
Total Assets | $427,761 | $427,761 | $-- | $-- |
Total Derivative Instruments: | $427,761 | $427,761 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $427,761 | $0 |
Total Equity Risk | 427,761 | 0 |
Total Value of Derivatives | $427,761 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
January 31, 2022 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $70,313,132) — See accompanying schedule: Unaffiliated issuers (cost $4,143,870,950) | $5,945,986,212 | |
Fidelity Central Funds (cost $85,746,512) | 85,746,889 | |
Total Investment in Securities (cost $4,229,617,462) | $6,031,733,101 | |
Segregated cash with brokers for derivative instruments | 1,127,500 | |
Cash | 2,355 | |
Receivable for investments sold | 719,850 | |
Receivable for fund shares sold | 34,772,743 | |
Dividends receivable | 6,078,762 | |
Distributions receivable from Fidelity Central Funds | 8,433 | |
Receivable for daily variation margin on futures contracts | 398,742 | |
Other receivables | 13,420 | |
Total assets | 6,074,854,906 | |
Liabilities | ||
Payable for investments purchased | $13,250,854 | |
Payable for fund shares redeemed | 32,455,014 | |
Other payables and accrued expenses | 35,593 | |
Collateral on securities loaned | 69,329,134 | |
Total liabilities | 115,070,595 | |
Net Assets | $5,959,784,311 | |
Net Assets consist of: | ||
Paid in capital | $4,200,077,778 | |
Total accumulated earnings (loss) | 1,759,706,533 | |
Net Assets | $5,959,784,311 | |
Net Asset Value, offering price and redemption price per share ($5,959,784,311 ÷ 392,074,857 shares) | $15.20 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended January 31, 2022 | ||
Investment Income | ||
Dividends | $115,940,719 | |
Interest | 978 | |
Income from Fidelity Central Funds (including $141,683 from security lending) | 150,196 | |
Total income | 116,091,893 | |
Expenses | ||
Custodian fees and expenses | $138,847 | |
Independent trustees' fees and expenses | 17,702 | |
Interest | 6,168 | |
Total expenses | 162,717 | |
Net investment income (loss) | 115,929,176 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 381,763,952 | |
Fidelity Central Funds | 1,580 | |
Futures contracts | 2,312,788 | |
Total net realized gain (loss) | 384,078,320 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 720,218,289 | |
Futures contracts | 225,667 | |
Total change in net unrealized appreciation (depreciation) | 720,443,956 | |
Net gain (loss) | 1,104,522,276 | |
Net increase (decrease) in net assets resulting from operations | $1,220,451,452 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended January 31, 2022 | Year ended January 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $115,929,176 | $106,397,256 |
Net realized gain (loss) | 384,078,320 | (153,667,926) |
Change in net unrealized appreciation (depreciation) | 720,443,956 | 354,685,681 |
Net increase (decrease) in net assets resulting from operations | 1,220,451,452 | 307,415,011 |
Distributions to shareholders | (364,290,801) | (128,478,104) |
Share transactions | ||
Proceeds from sales of shares | 1,026,004,449 | 1,540,722,235 |
Reinvestment of distributions | 364,290,801 | 128,478,104 |
Cost of shares redeemed | (1,630,942,547) | (540,744,199) |
Net increase (decrease) in net assets resulting from share transactions | (240,647,297) | 1,128,456,140 |
Total increase (decrease) in net assets | 615,513,354 | 1,307,393,047 |
Net Assets | ||
Beginning of period | 5,344,270,957 | 4,036,877,910 |
End of period | $5,959,784,311 | $5,344,270,957 |
Other Information | ||
Shares | ||
Sold | 67,912,369 | 131,746,213 |
Issued in reinvestment of distributions | 23,989,840 | 10,082,192 |
Redeemed | (108,015,406) | (46,286,207) |
Net increase (decrease) | (16,113,197) | 95,542,198 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series Large Cap Value Index Fund
Years ended January 31, | 2022 | 2021 | 2020 | 2019 | 2018 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $13.09 | $12.91 | $12.02 | $13.22 | $11.75 |
Income from Investment Operations | |||||
Net investment income (loss)A,B | .30 | .29 | .33 | .32 | .30 |
Net realized and unrealized gain (loss) | 2.76 | .23 | 1.46 | (.96) | 1.69 |
Total from investment operations | 3.06 | .52 | 1.79 | (.64) | 1.99 |
Distributions from net investment income | (.30) | (.29) | (.34) | (.33) | (.30) |
Distributions from net realized gain | (.65) | (.05) | (.57) | (.22) | (.22) |
Total distributions | (.95) | (.34) | (.90)C | (.56)C | (.52) |
Net asset value, end of period | $15.20 | $13.09 | $12.91 | $12.02 | $13.22 |
Total ReturnD,E | 23.41% | 4.14% | 14.94% | (4.73)% | 17.16% |
Ratios to Average Net AssetsB,F,G | |||||
Expenses before reductions | - %H | - %H | - %H | - %H | .03% |
Expenses net of fee waivers, if any | - %H | - %H | - %H | - %H | .03% |
Expenses net of all reductions | - %H | - %H | - %H | - %H | .03% |
Net investment income (loss) | 1.93% | 2.49% | 2.58% | 2.52% | 2.39% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $5,959,784 | $5,344,271 | $4,036,878 | $3,698,418 | $4,024,272 |
Portfolio turnover rateI | 27% | 21% | 31% | 19% | 17% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
C Total distributions per share do not sum due to rounding.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying 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.
G 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.
H Amount represents less than $.005 per share.
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 January 31, 2022
1. Organization.
Fidelity Series Large Cap Value Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered 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. 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 – Unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of January 31, 2022, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, passive foreign investment companies (PFIC), partnerships, 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 | $1,942,657,315 |
Gross unrealized depreciation | (217,367,769) |
Net unrealized appreciation (depreciation) | $1,725,289,546 |
Tax Cost | $4,306,443,555 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $8,287,855 |
Undistributed long-term capital gain | $26,129,133 |
Net unrealized appreciation (depreciation) on securities and other investments | $1,725,289,546 |
The tax character of distributions paid was as follows:
January 31, 2022 | January 31, 2021 | |
Ordinary Income | $229,846,073 | $ 114,757,040 |
Long-term Capital Gains | 134,444,728 | 13,721,064 |
Total | $364,290,801 | $ 128,478,104 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Series Large Cap Value Index Fund | 1,591,126,483 | 2,056,752,972 |
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 does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the 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 Series Large Cap Value Index Fund | Borrower | $41,032,667 | .30% | $6,168 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
Amount ($) | |
Fidelity Series Large Cap Value Index Fund | 2,355 |
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Series Large Cap Value Index Fund | $14,326 | $506 | $– |
9. 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.
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 Series Large Cap Value Index Fund
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Series Large Cap Value Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2022, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of January 31, 2022, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of January 31, 2022, 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
March 17, 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. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's 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
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
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 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 a member of the Board of McKesson Corporation (healthcare service, 2002-2021). In addition, 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 (August 1, 2021 to January 31, 2022).
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 August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During Period-B August 1, 2021 to January 31, 2022 | |
Fidelity Series Large Cap Value Index Fund | - %-C | |||
Actual | $1,000.00 | $1,035.90 | $--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 Large Cap Value Index Fund voted to pay on March 7, 2022, to shareholders of record at the opening of business on March 4, 2022, a distribution of $.077 per share derived from capital gains realized from sales of portfolio securities and a dividend of $.012 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended January 31, 2022, $160,573,860, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 92% and 43% of the dividends distributed in March and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 92% and 45% of the dividend distributed in March and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 1% and 4% of the dividends distributed in March and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Series Large Cap Value Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreement (Sub-Advisory Agreement) for the fund with Geode Capital Management, LLC (Geode) (together, the Advisory Contracts). FMR and Geode 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 staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity and Geode, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups and with senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund. 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.The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by Geode with respect to the fund and monitoring and overseeing the performance and investment capabilities of Geode. The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of Geode.The Board also considered the nature, extent and quality of services provided by Geode. The Trustees noted that under the Sub-Advisory Agreement, subject to oversight by Fidelity, Geode is responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement the fund's investment strategy. In addition, the Trustees noted that Geode is responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode's approach to recruiting, training, managing, and compensating investment personnel. The Board considered that Fidelity's and Geode's investment professionals have extensive resources, tools and capabilities 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. Additionally, in its deliberations, the Board considered Fidelity's and Geode'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 by FMR's affiliates under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers.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.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 May 31, 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 and Geode'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 and Geode'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.The Board also considered information regarding the profitability of Geode's relationship with the fund.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 and sub-advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.XS6-ANN-0422
1.967963.108
Fidelity® SAI Tax-Free Bond 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.
January 31, 2022
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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.
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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 January 31, 2022 | Past 1 year | Life of fundA |
Fidelity® SAI Tax-Free Bond Fund | (1.53)% | 3.99% |
A From October 2, 2018
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI Tax-Free Bond 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/0001379491-22-001092/img780531541_740.jpg)
Period Ending Values | ||
$11,392 | Fidelity® SAI Tax-Free Bond Fund | |
$11,358 | 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 declined modestly for the 12 months ending January 31, 2022, as expectations for higher policy interest rates, failure to pass the income-tax increases included in the Build Back Better legislation, and the perceived richness of municipals relative to Treasury bonds caused shareholder flows to turn negative in the final month of the period. The Bloomberg Municipal Bond Index returned -1.89% for the 12 months. In 2021, the muni market benefited from an improved fiscal outlook for many municipal issuers, economic optimism partly due to COVID-19 vaccination programs and strong demand for tax-exempt munis amid expectations for higher tax rates on upper-income tax brackets. In February 2021, the municipal market returned -1.59%, reflecting investor concerns that stimulus-induced inflation could diminish real bond returns over time. Munis then gained from March through July 2021, 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 rose in the fourth quarter, partly driven by newfound clarity regarding infrastructure investment due to the passage of the Infrastructure Investment and Jobs Act (IIJA), which earmarked $550 for new infrastructure spending and limited new tax-exempt bond issuance. Then, in January 2022, the muni market experienced rate volatility and shareholder outflows that more than erased its 2021 gain, as munis returned -2.74% for the month. Muni credit fundamentals remained solid overall for the 12 months and, for most issuers, the risk of credit-rating downgrades appeared low.Comments from Co-Portfolio Managers Cormac Cullen, Michael Maka and Elizah McLaughlin: For the fiscal year, the fund returned -1.53%, outperforming, net of fees, the -2.08% result 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. Versus the index, overweighted exposure to bonds issued by Illinois and its related entities, including the Chicago Board of Education and the Metropolitan Pier and Exposition Authority, contributed. These securities were among the muni market's best performers, boosted by strong demand for higher-yielding investment-grade securities and improving credit fundamentals. Overweighting lower-rated investment-grade bonds in the health care and higher education segments also helped as bonds in each segment rallied the past 12 months and produced better total returns than the index. They benefited from the comparatively high income they produced and better-than-average price performance as credit spreads tightened. Differences in the way fund holdings and index components were priced contributed to the fund's relative result as well. Conversely, yield-curve positioning slightly detracted. The fund held more exposure to shorter-term bonds than the index, and these bonds lagged longer-term securities as the yield curve flattened.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)
The information in the following tables is based on the direct investments of the Fund.Top Five States as of January 31, 2022
% of fund's net assets | |
Illinois | 11.9 |
New York | 8.2 |
Texas | 6.7 |
Other | 6.1 |
Pennsylvania | 5.4 |
Top Five Sectors as of January 31, 2022
% of fund's net assets | |
General Obligations | 25.7 |
Transportation | 17.6 |
Health Care | 14.9 |
Education | 11.2 |
Special Tax | 7.4 |
Quality Diversification (% of fund's net assets)
As of January 31, 2022 | ||
AAA | 7.6% | |
AA,A | 69.5% | |
BBB | 13.5% | |
BB and Below | 2.0% | |
Not Rated | 1.6% | |
Short-Term Investments and Net Other Assets | 5.8% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Schedule of Investments January 31, 2022
Showing Percentage of Net Assets
Municipal Bonds - 94.5% | |||
Principal Amount | Value | ||
Alabama - 1.1% | |||
Homewood Edl. Bldg. Auth. Rev. Series 2019 A: | |||
4% 12/1/36 | $1,025,000 | $1,143,948 | |
4% 12/1/38 | 1,705,000 | 1,895,335 | |
4% 12/1/41 | 1,345,000 | 1,488,801 | |
4% 12/1/44 | 1,200,000 | 1,320,089 | |
4% 12/1/49 | 1,450,000 | 1,584,743 | |
Lower Alabama Gas District Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (a) | 8,505,000 | 9,215,704 | |
Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds (Alabama Pwr. Co. Barry Plant Proj.) Series 2008, 2.9%, tender 12/12/23 (a) | 4,000,000 | 4,129,588 | |
Montgomery Med. Clinic Facilities Series 2015: | |||
5% 3/1/25 | 1,400,000 | 1,534,883 | |
5% 3/1/36 | 1,400,000 | 1,542,082 | |
TOTAL ALABAMA | 23,855,173 | ||
Alaska - 0.3% | |||
Alaska Hsg. Fin. Corp. Series 2021 A: | |||
4% 6/1/30 | 1,100,000 | 1,284,702 | |
5% 6/1/27 | 750,000 | 884,996 | |
5% 12/1/27 | 1,000,000 | 1,193,181 | |
5% 6/1/28 | 1,315,000 | 1,581,345 | |
Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2022 A, 3% 6/1/51 | 750,000 | 788,040 | |
Alaska Int'l. Arpts. Revs. Series 2016 A, 5% 10/1/26 | 1,415,000 | 1,594,551 | |
TOTAL ALASKA | 7,326,815 | ||
Arizona - 0.9% | |||
Arizona Health Facilities Auth. Rev. (Scottsdale Lincoln Hospitals Proj.) Series 2014 A, 5% 12/1/39 | 660,000 | 724,266 | |
Arizona State Univ. Revs. Series 2021 C: | |||
5% 7/1/39 | 1,545,000 | 1,955,167 | |
5% 7/1/40 | 1,545,000 | 1,951,647 | |
Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.) Series 2005, 2.4%, tender 8/14/23 (a) | 265,000 | 270,470 | |
Maricopa County Indl. Dev. Auth.: | |||
(Creighton Univ. Proj.) Series 2020, 5% 7/1/47 | 600,000 | 718,255 | |
Bonds Series 2019 B, 5%, tender 9/1/24 (a) | 650,000 | 710,910 | |
Maricopa County Indl. Dev. Auth. Sr. Living Facilities: | |||
(Christian Care Mesa II, Inc.) Series 2014 A, 4.5% 1/1/39 (Pre-Refunded to 1/1/24 @ 100) | 450,000 | 478,346 | |
Series 2016: | |||
5.75% 1/1/36 (b) | 910,000 | 870,505 | |
6% 1/1/48 (b) | 1,250,000 | 1,172,087 | |
Maricopa County Spl. Health Care District Gen. Oblig. Series 2018 C, 5% 7/1/36 | 2,300,000 | 2,751,520 | |
Phoenix Civic Impt. Board Arpt. Rev. Series 2019 A, 5% 7/1/44 | 1,700,000 | 2,030,547 | |
Phoenix Civic Impt. Corp. Series 2019 A: | |||
5% 7/1/32 | 865,000 | 1,036,531 | |
5% 7/1/39 | 500,000 | 589,445 | |
5% 7/1/45 | 2,565,000 | 2,995,169 | |
Western Maricopa Ed. Ctr. District Series 2019 B, 5% 7/1/24 | 1,380,000 | 1,508,668 | |
TOTAL ARIZONA | 19,763,533 | ||
California - 3.8% | |||
California Edl. Facilities Auth. Rev. Series 2018 A, 5% 10/1/42 | 1,340,000 | 1,591,793 | |
California Gen. Oblig.: | |||
Series 2017, 5% 11/1/29 | 2,375,000 | 2,828,685 | |
Series 2020, 4% 11/1/45 | 4,200,000 | 4,542,696 | |
Series 2021, 5% 9/1/29 | 10,215,000 | 12,676,691 | |
California Hsg. Fin. Agcy. Series 2021 1, 3.5% 11/20/35 | 760,801 | 826,841 | |
California Muni. Fin. Auth. Rev. Series 2017 A: | |||
5% 7/1/42 | 1,000,000 | 1,164,566 | |
5.25% 11/1/36 | 515,000 | 588,268 | |
California Muni. Fin. Auth. Student Hsg. (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018: | |||
5% 5/15/34 | 2,635,000 | 3,103,107 | |
5% 5/15/39 | 1,175,000 | 1,373,237 | |
California Pub. Fin. Auth. Univ. Hsg. Rev.: | |||
(Claremont Colleges Proj.) Series 2017 A, 5% 7/1/27 (b) | 100,000 | 88,790 | |
(NCCD - Claremont Properties LLC - Claremont Colleges Proj.) Series 2017 A, 5% 7/1/47 (b) | 100,000 | 85,216 | |
California Pub. Works Board Lease Rev. (Various Cap. Projs.) Series 2022 C: | |||
5% 8/1/30 (c) | 555,000 | 669,491 | |
5% 8/1/33 (c) | 1,030,000 | 1,257,286 | |
California Statewide Cmntys. Dev. Auth. Rev. Series 2015, 5% 2/1/45 | 800,000 | 824,635 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2017 A1, 5% 6/1/28 (Pre-Refunded to 6/1/27 @ 100) | 1,000,000 | 1,184,504 | |
Los Angeles Dept. Arpt. Rev. Series B, 5% 5/15/45 | 9,000,000 | 11,108,557 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2021 B, 5% 7/1/51 | 6,660,000 | 8,159,892 | |
Middle Fork Proj. Fin. Auth. Series 2020: | |||
5% 4/1/24 | 2,745,000 | 2,959,902 | |
5% 4/1/25 | 2,885,000 | 3,199,540 | |
5% 4/1/26 | 2,030,000 | 2,308,736 | |
Mount Diablo Unified School District Series 2022 B: | |||
4% 8/1/31 (c) | 840,000 | 983,644 | |
4% 8/1/32 (c) | 1,180,000 | 1,372,936 | |
San Diego Assoc. of Governments (Mid-Coast Corridor Transit Proj.) Series 2019 A: | |||
5% 11/15/25 | 2,000,000 | 2,212,276 | |
5% 11/15/26 | 2,000,000 | 2,272,884 | |
San Diego County Reg'l. Arpt. Auth. Arpt. Rev. Series 2019 A, 5% 7/1/49 | 2,850,000 | 3,398,196 | |
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.: | |||
Series 2019 B, 5% 5/1/49 | 465,000 | 554,986 | |
Series 2022 B, 5% 5/1/52 (c) | 7,285,000 | 9,007,984 | |
Washington Township Health Care District Rev.: | |||
Series 2017 A, 5% 7/1/35 | 800,000 | 922,272 | |
Series 2017 B: | |||
5% 7/1/29 | 485,000 | 563,932 | |
5% 7/1/30 | 970,000 | 1,124,348 | |
TOTAL CALIFORNIA | 82,955,891 | ||
Colorado - 2.6% | |||
Colorado Health Facilities Auth.: | |||
Bonds: | |||
Series 2018 B, 5%, tender 11/20/25 (a) | 1,000,000 | 1,134,882 | |
Series 2019 B, 5%, tender 8/1/26 (a) | 755,000 | 855,380 | |
Series 2018 A, 4% 11/15/48 | 960,000 | 1,059,746 | |
Series 2019 A: | |||
4% 11/1/39 | 905,000 | 1,026,926 | |
5% 11/1/22 | 1,800,000 | 1,858,771 | |
5% 11/1/26 | 1,495,000 | 1,738,761 | |
5% 11/15/39 | 1,250,000 | 1,541,832 | |
Colorado Hsg. & Fin. Auth.: | |||
Series 2019 F, 4.25% 11/1/49 | 355,000 | 383,284 | |
Series 2019 H, 4.25% 11/1/49 | 200,000 | 216,203 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2021 B, 5% 11/1/28 | 3,775,000 | 4,612,255 | |
Colorado State Bldg. Excellent Schools Today Ctfs. of Prtn. Series 2018 N: | |||
5% 3/15/37 | 2,000,000 | 2,380,731 | |
5% 3/15/38 | 2,000,000 | 2,377,435 | |
Colorado Univ. Co. Hosp. Auth. Rev. Series 2012 A, 5% 11/15/42 | 6,480,000 | 6,678,797 | |
Denver City & County Board Wtr. Rev.: | |||
Series 2020 A: | |||
5% 9/15/45 | 5,415,000 | 6,740,413 | |
5% 9/15/46 | 8,300,000 | 10,307,694 | |
Series 2020 B, 5% 9/15/27 | 2,290,000 | 2,747,120 | |
Univ. of Colorado Enterprise Sys. Rev. Bonds: | |||
Series 2019 C, 2%, tender 10/15/24 (a) | 6,725,000 | 6,824,474 | |
Series 2021 C3A, 2%, tender 10/15/25 (a) | 885,000 | 899,069 | |
Series 2021 C3B, 2%, tender 10/15/26 (a) | 750,000 | 759,747 | |
Vauxmont Metropolitan District: | |||
Series 2019, 5% 12/15/26 (Assured Guaranty Muni. Corp. Insured) | 135,000 | 152,322 | |
Series 2020: | |||
5% 12/1/22 (Assured Guaranty Muni. Corp. Insured) | 165,000 | 170,549 | |
5% 12/1/50 (Assured Guaranty Muni. Corp. Insured) | 1,500,000 | 1,802,320 | |
TOTAL COLORADO | 56,268,711 | ||
Connecticut - 3.9% | |||
Bridgeport Gen. Oblig. Series 2019 A: | |||
5% 2/1/23 (Build America Mutual Assurance Insured) | 630,000 | 656,514 | |
5% 2/1/25 (Build America Mutual Assurance Insured) | 670,000 | 743,823 | |
Connecticut Gen. Oblig.: | |||
Series 2015 B, 5% 6/15/32 | 265,000 | 295,340 | |
Series 2016 B: | |||
5% 5/15/25 | 1,000,000 | 1,122,983 | |
5% 5/15/26 | 545,000 | 629,559 | |
Series 2017 A, 5% 4/15/33 | 245,000 | 285,702 | |
Series 2018 A, 5% 4/15/38 | 1,000,000 | 1,196,997 | |
Series 2018 F, 5% 9/15/22 | 235,000 | 241,521 | |
Series 2019 A, 5% 4/15/26 | 655,000 | 754,887 | |
Series 2019 B, 5% 2/15/23 | 7,000,000 | 7,311,657 | |
Series 2020 A: | |||
4% 1/15/34 | 2,250,000 | 2,595,899 | |
5% 1/15/40 | 2,000,000 | 2,447,513 | |
Series 2021 D: | |||
5% 7/15/24 | 1,150,000 | 1,259,384 | |
5% 7/15/25 | 1,905,000 | 2,149,766 | |
5% 7/15/26 | 1,905,000 | 2,210,614 | |
5% 7/15/27 | 2,540,000 | 3,017,256 | |
5% 7/15/28 | 2,920,000 | 3,536,028 | |
Series A, 5% 3/1/27 | 1,000,000 | 1,078,748 | |
Series C, 5% 6/1/23 | 2,000,000 | 2,027,828 | |
Connecticut Health & Edl. Facilities Auth. Rev.: | |||
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1, 5% 7/1/42 | 3,335,000 | 3,829,982 | |
Bonds: | |||
Series 2010 A4, 2%, tender 2/8/22 (a) | 805,000 | 805,232 | |
Series 2014 A, 1.1%, tender 2/7/23 (a) | 6,000,000 | 6,023,444 | |
Series 2020 B: | |||
5%, tender 1/1/25 (a) | 2,405,000 | 2,653,232 | |
5%, tender 1/1/27 (a) | 1,780,000 | 2,064,224 | |
Series U1, 2%, tender 2/8/22 (a) | 105,000 | 105,030 | |
Series 2019 A: | |||
5% 7/1/27 (b) | 555,000 | 581,097 | |
5% 7/1/34 (b) | 685,000 | 712,610 | |
Series 2019 Q-1: | |||
5% 11/1/24 | 460,000 | 507,293 | |
5% 11/1/26 | 500,000 | 582,275 | |
Series 2020 K: | |||
4% 7/1/45 | 2,865,000 | 3,171,617 | |
5% 7/1/40 | 1,050,000 | 1,275,673 | |
Series 2021 G: | |||
4% 3/1/46 | 925,000 | 1,050,041 | |
4% 3/1/51 | 1,485,000 | 1,673,516 | |
Series 2022 M, 5% 7/1/32 (c) | 1,585,000 | 1,963,956 | |
Series A, 5% 7/1/26 | 1,000,000 | 1,092,234 | |
Series K1: | |||
5% 7/1/32 | 1,055,000 | 1,217,300 | |
5% 7/1/33 | 815,000 | 939,520 | |
5% 7/1/35 | 1,100,000 | 1,265,083 | |
Series K3, 5% 7/1/43 | 350,000 | 398,279 | |
Series R: | |||
4% 7/1/36 | 1,000,000 | 1,094,025 | |
5% 6/1/32 | 550,000 | 684,272 | |
5% 6/1/33 | 375,000 | 466,338 | |
5% 6/1/34 | 575,000 | 714,457 | |
5% 6/1/35 | 870,000 | 1,079,499 | |
Connecticut Hsg. Fin. Auth. Series 2021 B1, 3% 11/15/49 | 1,595,000 | 1,670,874 | |
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.: | |||
Series 2012 A, 5% 1/1/24 | 410,000 | 425,562 | |
Series A, 5% 9/1/33 | 5,000,000 | 5,459,194 | |
Stratford Gen. Oblig. Series 2019: | |||
5% 1/1/24 | 1,520,000 | 1,630,991 | |
5% 1/1/28 | 3,890,000 | 4,521,135 | |
Univ. of Connecticut Gen. Oblig.: | |||
Series 2016 A, 5% 3/15/22 | 450,000 | 452,523 | |
Series 2019 A, 5% 11/1/25 | 495,000 | 561,945 | |
TOTAL CONNECTICUT | 84,234,472 | ||
Delaware - 0.1% | |||
Delaware Gen. Oblig. Series 2020 A, 5% 1/1/30 | 2,240,000 | 2,822,387 | |
District Of Columbia - 1.5% | |||
District of Columbia Gen. Oblig. Series 2017 D, 5% 6/1/42 | 500,000 | 583,848 | |
District of Columbia Rev. Series 2018: | |||
5% 10/1/23 | 350,000 | 372,792 | |
5% 10/1/25 | 495,000 | 553,858 | |
5% 10/1/26 | 830,000 | 950,773 | |
5% 10/1/27 | 905,000 | 1,058,757 | |
5% 10/1/43 | 3,080,000 | 3,608,198 | |
District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev. Bonds Series 2019 C, 1.75%, tender 10/1/24 (a) | 3,225,000 | 3,266,582 | |
Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. (Dulles Metrorail and Cap. Impt. Projs.): | |||
Series 2019 A: | |||
5% 10/1/38 | 1,500,000 | 1,797,440 | |
5% 10/1/44 | 8,000,000 | 9,589,547 | |
Series 2019 B, 5% 10/1/47 | 7,500,000 | 8,865,873 | |
Metropolitan Washington DC Arpts. Auth. Sys. Rev. Series 2019 B, 5% 10/1/25 | 1,605,000 | 1,811,728 | |
TOTAL DISTRICT OF COLUMBIA | 32,459,396 | ||
Florida - 4.1% | |||
Atlantic Beach Health Care Facilities Series A, 5% 11/15/43 | 845,000 | 941,611 | |
Broward County School Board Ctfs. of Prtn. Series 2016, 5% 7/1/26 | 1,470,000 | 1,695,828 | |
Cap. Projs. Fin. Auth. Student Hsg. Rev. (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A, 5% 10/1/30 | 750,000 | 899,100 | |
Central Florida Expressway Auth. Sr. Lien Rev.: | |||
Orlando & Orange County Expressway Auth. Rev. Series 2017, 5% 7/1/39 | 2,000,000 | 2,330,500 | |
Series 2021: | |||
4% 7/1/38 (Assured Guaranty Muni. Corp. Insured) | 1,140,000 | 1,324,576 | |
4% 7/1/39 (Assured Guaranty Muni. Corp. Insured) | 995,000 | 1,149,655 | |
5% 7/1/32 (Assured Guaranty Muni. Corp. Insured) | 3,000,000 | 3,843,506 | |
5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) | 2,660,000 | 3,406,207 | |
Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A, 4% 8/15/45 | 820,000 | 889,333 | |
Florida Higher Edl. Facilities Fing. Auth.: | |||
(St. Leo Univ. Proj.) Series 2019: | |||
5% 3/1/22 | 350,000 | 351,111 | |
5% 3/1/23 | 400,000 | 415,153 | |
5% 3/1/24 | 250,000 | 264,638 | |
5% 3/1/25 | 670,000 | 724,902 | |
Series 2019: | |||
5% 10/1/22 | 225,000 | 231,043 | |
5% 10/1/23 | 250,000 | 265,210 | |
Florida Hsg. Fin. Corp. Rev. Series 2019 1, 4% 7/1/50 | 8,510,000 | 9,117,429 | |
Florida Mid-Bay Bridge Auth. Rev. Series 2015 A: | |||
5% 10/1/29 | 2,475,000 | 2,751,211 | |
5% 10/1/35 | 1,000,000 | 1,106,963 | |
Hillsborough County Aviation Auth. Rev. Series 2018 F: | |||
5% 10/1/37 | 1,510,000 | 1,821,601 | |
5% 10/1/43 | 2,000,000 | 2,392,244 | |
Hillsborough County School Board Ctfs. of Prtn. Series 2020 A, 5% 7/1/27 | 5,000,000 | 5,860,066 | |
Lee County School Board Ctfs. Series 2019 A: | |||
5% 8/1/27 | 4,005,000 | 4,755,484 | |
5% 8/1/28 | 2,020,000 | 2,445,648 | |
Lee Memorial Health Sys. Hosp. Rev. Series 2019 A1: | |||
5% 4/1/26 | 1,000,000 | 1,142,519 | |
5% 4/1/44 | 3,235,000 | 3,853,497 | |
Manatee County School District Series 2017, 5% 10/1/28 (Assured Guaranty Muni. Corp. Insured) | 2,500,000 | 2,944,092 | |
Miami-Dade County Aviation Rev. Series 2020 A, 4% 10/1/37 | 2,000,000 | 2,291,015 | |
Miami-Dade County School Board Ctfs. of Prtn. Series 2015 B, 5% 5/1/28 | 1,715,000 | 1,906,289 | |
Miami-Dade County School District Series 2015, 5% 3/15/26 | 1,545,000 | 1,727,934 | |
Miami-Dade County Wtr. & Swr. Rev. Series 2019 B, 4% 10/1/49 | 4,000,000 | 4,479,296 | |
Orange County School Board Ctfs. of Prtn. Series 2015 D, 5% 8/1/30 (Pre-Refunded to 8/1/25 @ 100) | 875,000 | 988,384 | |
Pasco County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/35 (Build America Mutual Assurance Insured) | 2,000,000 | 2,389,771 | |
Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (a) | 1,245,000 | 1,225,061 | |
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017, 5% 8/15/28 | 1,550,000 | 1,831,198 | |
St. Johns County School Board (School Board of St. Johns County, Florida Master Lease Prog.) Series 2019 A: | |||
5% 7/1/24 | 800,000 | 872,784 | |
5% 7/1/25 | 1,455,000 | 1,635,930 | |
Tallahassee Health Facilities Rev.: | |||
(Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/55 | 1,020,000 | 1,128,648 | |
Series 2015 A, 5% 12/1/40 | 1,680,000 | 1,857,648 | |
Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.): | |||
Series 2016 B, 5% 7/1/37 | 960,000 | 1,080,273 | |
Series 2020 B: | |||
4% 7/1/45 | 3,000,000 | 3,340,273 | |
5% 7/1/40 | 700,000 | 860,717 | |
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 A: | |||
0% 9/1/38 | 1,000,000 | 574,475 | |
0% 9/1/39 | 850,000 | 466,758 | |
0% 9/1/40 | 1,000,000 | 523,700 | |
0% 9/1/41 | 1,000,000 | 499,673 | |
0% 9/1/42 | 1,000,000 | 476,850 | |
0% 9/1/45 | 1,850,000 | 768,905 | |
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A: | |||
5% 10/15/44 | 245,000 | 290,494 | |
5% 10/15/49 | 455,000 | 536,108 | |
TOTAL FLORIDA | 88,675,311 | ||
Georgia - 4.3% | |||
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/36 | 1,000,000 | 1,228,114 | |
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Vogtle Proj.): | |||
Series 1994: | |||
2.15%, tender 6/13/24 (a) | 6,360,000 | 6,512,465 | |
2.25%, tender 5/25/23 (a) | 1,840,000 | 1,870,705 | |
Series 2013 1st, 2.925%, tender 3/12/24 (a) | 2,320,000 | 2,412,003 | |
Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 | 5,000,000 | 6,028,723 | |
Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (a) | 800,000 | 860,158 | |
Fulton County Dev. Auth. Rev.: | |||
Series 2019 C, 5% 7/1/28 | 1,350,000 | 1,640,855 | |
Series 2019, 4% 6/15/49 | 190,000 | 212,511 | |
Georgia Muni. Elec. Auth. Pwr. Rev. Series 2019 A: | |||
4% 1/1/49 | 1,855,000 | 2,026,163 | |
5% 1/1/26 | 1,225,000 | 1,386,978 | |
5% 1/1/30 | 410,000 | 491,010 | |
5% 1/1/39 | 1,215,000 | 1,447,886 | |
5% 1/1/44 | 1,590,000 | 1,889,776 | |
Hosp. Auth. of Savannah Auth. Rev. Series 2019 A: | |||
4% 7/1/36 | 1,480,000 | 1,661,238 | |
4% 7/1/43 | 1,545,000 | 1,716,715 | |
Main Street Natural Gas, Inc. Bonds: | |||
Series 2018 A, 4%, tender 9/1/23 (a) | 770,000 | 802,834 | |
Series 2019 B, 4%, tender 12/2/24 (a) | 2,640,000 | 2,831,525 | |
Series 2021 A, 4%, tender 9/1/27 (a) | 40,000,000 | 44,807,456 | |
Monroe County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 | 1,110,000 | 1,134,296 | |
Private Colleges & Univs. Auth. Rev.: | |||
(The Savannah College of Art & Design Projs.) Series 2021: | |||
4% 4/1/38 | 870,000 | 992,656 | |
5% 4/1/27 | 400,000 | 468,878 | |
5% 4/1/31 | 600,000 | 752,062 | |
5% 4/1/36 | 480,000 | 596,537 | |
(The Savannah College of Art and Design Projs.) Series 2014, 5% 4/1/44 (Pre-Refunded to 4/1/24 @ 100) | 2,000,000 | 2,168,218 | |
Series 2020 B: | |||
4% 9/1/38 | 3,000,000 | 3,443,931 | |
5% 9/1/31 | 1,385,000 | 1,735,952 | |
Series A: | |||
5% 6/1/22 | 420,000 | 426,384 | |
5% 6/1/23 | 420,000 | 442,815 | |
5% 6/1/24 | 695,000 | 749,218 | |
TOTAL GEORGIA | 92,738,062 | ||
Hawaii - 0.7% | |||
Hawaii Gen. Oblig.: | |||
Series 2020 C, 4% 7/1/40 | 930,000 | 1,068,016 | |
Series FG, 5% 10/1/27 | 1,000,000 | 1,167,987 | |
Honolulu City & County Gen. Oblig.: | |||
(Honolulu Rail Transit Proj.) Series 2020 B, 5% 3/1/29 | 7,055,000 | 8,688,732 | |
Series 2018 A, 5% 9/1/41 | 2,000,000 | 2,405,307 | |
Series 2019 A, 5% 9/1/24 | 765,000 | 841,819 | |
Honolulu City and County Wastewtr. Sys. Series 2015 A, 5% 7/1/40 (Pre-Refunded to 7/1/25 @ 100) | 885,000 | 998,852 | |
TOTAL HAWAII | 15,170,713 | ||
Idaho - 0.4% | |||
Idaho Hsg. & Fin. Assoc. Single Family Mtg.: | |||
Series 2019 A, 4% 1/1/50 | 100,000 | 107,435 | |
Series 2021 A: | |||
5% 7/15/29 | 3,000,000 | 3,699,342 | |
5% 7/15/30 | 1,000,000 | 1,256,483 | |
5% 7/15/31 | 640,000 | 813,781 | |
5% 7/15/32 | 1,250,000 | 1,584,085 | |
TOTAL IDAHO | 7,461,126 | ||
Illinois - 11.9% | |||
Champaign County Cmnty. Unit: | |||
Series 2019: | |||
4% 6/1/26 | 100,000 | 110,966 | |
4% 6/1/27 | 830,000 | 937,456 | |
4% 6/1/28 | 625,000 | 716,563 | |
4% 6/1/29 | 1,550,000 | 1,801,325 | |
4% 6/1/30 | 1,000,000 | 1,169,250 | |
4% 6/1/31 | 1,250,000 | 1,452,920 | |
4% 6/1/34 | 1,000,000 | 1,136,055 | |
4% 6/1/35 | 1,290,000 | 1,462,702 | |
4% 6/1/36 | 1,575,000 | 1,784,251 | |
Series 2020 A: | |||
5% 1/1/29 | 675,000 | 810,642 | |
5% 1/1/30 | 625,000 | 749,795 | |
5% 1/1/31 | 850,000 | 1,018,112 | |
5% 1/1/33 | 1,650,000 | 1,972,430 | |
Chicago Board of Ed.: | |||
Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured) | 1,465,000 | 1,454,540 | |
Series 2011 A: | |||
5% 12/1/41 | 60,000 | 60,101 | |
5.5% 12/1/39 | 170,000 | 170,318 | |
Series 2012 A, 5% 12/1/42 | 55,000 | 56,314 | |
Series 2015 C: | |||
5.25% 12/1/35 | 2,000,000 | 2,160,853 | |
5.25% 12/1/39 | 45,000 | 48,438 | |
Series 2016 A, 7% 12/1/44 | 3,200,000 | 3,747,028 | |
Series 2017 C, 5% 12/1/25 | 290,000 | 324,174 | |
Series 2017 D, 5% 12/1/31 | 865,000 | 982,907 | |
Series 2017 H, 5% 12/1/36 | 650,000 | 732,441 | |
Series 2018 A, 5% 12/1/27 | 185,000 | 213,490 | |
Series 2018 C: | |||
5% 12/1/24 | 100,000 | 109,505 | |
5% 12/1/25 | 505,000 | 564,510 | |
5% 12/1/27 | 505,000 | 582,771 | |
5% 12/1/46 | 5,015,000 | 5,636,712 | |
Series 2019 A: | |||
5% 12/1/23 | 2,150,000 | 2,293,887 | |
5% 12/1/28 | 240,000 | 280,346 | |
5% 12/1/30 | 575,000 | 672,730 | |
5% 12/1/31 | 600,000 | 699,840 | |
Series 2022 A, 5% 12/1/47 (c) | 2,230,000 | 2,562,119 | |
Chicago Gen. Oblig. Series 2020 A: | |||
5% 1/1/26 | 2,090,000 | 2,335,006 | |
5% 1/1/27 | 1,520,000 | 1,730,157 | |
5% 1/1/30 | 1,745,000 | 2,064,627 | |
5% 1/1/32 | 1,300,000 | 1,529,450 | |
Chicago Midway Arpt. Rev.: | |||
Series 2013 B, 5% 1/1/25 | 620,000 | 642,886 | |
Series 2016 B, 5% 1/1/46 | 6,905,000 | 7,820,572 | |
Chicago O'Hare Int'l. Arpt. Rev.: | |||
Series 2013 D: | |||
5% 1/1/25 | 500,000 | 518,457 | |
5.25% 1/1/31 | 1,485,000 | 1,539,855 | |
Series 2015 B, 5% 1/1/32 | 1,000,000 | 1,093,597 | |
Series 2016 D, 5% 1/1/52 | 1,205,000 | 1,391,000 | |
Series 2018 B: | |||
5% 1/1/36 | 2,250,000 | 2,691,380 | |
5% 1/1/37 | 3,250,000 | 3,883,556 | |
5% 1/1/48 | 10,505,000 | 12,382,143 | |
5% 1/1/53 | 385,000 | 452,943 | |
Series 2020 A, 4% 1/1/38 | 700,000 | 794,546 | |
Cook County Cmnty. Consolidated School District No. 59 Series 2020: | |||
4% 3/1/24 | 900,000 | 954,533 | |
5% 3/1/25 | 850,000 | 947,335 | |
5% 3/1/26 | 1,235,000 | 1,412,161 | |
5% 3/1/27 | 1,245,000 | 1,463,263 | |
5% 3/1/28 | 1,350,000 | 1,617,700 | |
Cook County Gen. Oblig.: | |||
Series 2021 A: | |||
5% 11/15/31 | 3,650,000 | 4,496,008 | |
5% 11/15/32 | 2,400,000 | 2,951,325 | |
5% 11/15/33 | 2,350,000 | 2,886,425 | |
Series 2021 B: | |||
4% 11/15/25 | 620,000 | 673,846 | |
4% 11/15/26 | 315,000 | 347,283 | |
4% 11/15/27 | 320,000 | 356,923 | |
4% 11/15/28 | 160,000 | 180,518 | |
Illinois Fin. Auth. Academic Facilities (Provident Group UIUC Properties LLC Univ. of Illinois at Urbana-Champaign Proj.) Series 2019 A: | |||
5% 10/1/27 | 240,000 | 283,324 | |
5% 10/1/28 | 200,000 | 240,710 | |
5% 10/1/44 | 1,000,000 | 1,191,017 | |
5% 10/1/49 | 1,250,000 | 1,479,475 | |
5% 10/1/51 | 1,000,000 | 1,182,278 | |
Illinois Fin. Auth. Rev.: | |||
(Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A, 5% 7/15/25 | 300,000 | 337,461 | |
(OSF Healthcare Sys.) Series 2018 A: | |||
4.125% 5/15/47 | 5,150,000 | 5,721,762 | |
5% 5/15/43 | 50,000 | 59,170 | |
(Presence Health Proj.) Series 2016 C, 5% 2/15/36 | 1,000,000 | 1,161,878 | |
Bonds Series E, 2.25%, tender 4/29/22 (a) | 330,000 | 331,487 | |
Series 2012 A, 5% 5/15/22 | 1,000,000 | 1,012,908 | |
Series 2013, 4.25% 5/15/43 (Pre-Refunded to 5/15/22 @ 100) | 405,000 | 409,272 | |
Series 2015 A: | |||
4.125% 11/15/37 | 680,000 | 734,099 | |
5% 10/1/35 | 2,555,000 | 2,867,527 | |
5% 11/15/45 | 10,000,000 | 11,171,699 | |
Series 2016 A: | |||
5% 2/15/24 | 850,000 | 917,400 | |
5% 8/15/25 | 1,175,000 | 1,323,941 | |
Series 2016 C, 5% 2/15/31 | 2,500,000 | 2,917,866 | |
Series 2016: | |||
4% 12/1/35 | 360,000 | 393,599 | |
5% 12/1/40 | 2,150,000 | 2,439,939 | |
5% 12/1/46 | 12,400,000 | 14,011,343 | |
Series 2017 A, 5% 1/1/35 | 3,000,000 | 3,422,615 | |
Series 2018 A: | |||
4.25% 1/1/44 | 55,000 | 61,252 | |
5% 1/1/38 | 215,000 | 251,775 | |
5% 10/1/41 | 3,000,000 | 3,541,512 | |
5% 1/1/44 | 320,000 | 371,932 | |
Series 2019, 4% 9/1/35 | 450,000 | 500,284 | |
Illinois Gen. Oblig.: | |||
Series 2006, 5.5% 1/1/28 | 5,000,000 | 5,933,167 | |
Series 2012: | |||
5% 8/1/22 | 60,000 | 61,271 | |
5% 8/1/24 | 1,000,000 | 1,020,312 | |
Series 2013, 5% 7/1/22 | 40,000 | 40,710 | |
Series 2014: | |||
5% 2/1/22 | 215,000 | 215,000 | |
5% 2/1/23 | 180,000 | 187,245 | |
5% 2/1/26 | 550,000 | 589,821 | |
Series 2016: | |||
5% 2/1/26 | 5,270,000 | 5,936,379 | |
5% 2/1/27 | 615,000 | 704,734 | |
Series 2017 C, 5% 11/1/29 | 1,230,000 | 1,412,864 | |
Series 2017 D: | |||
5% 11/1/25 | 1,185,000 | 1,329,227 | |
5% 11/1/27 | 3,030,000 | 3,505,407 | |
Series 2018 A: | |||
5% 10/1/24 | 500,000 | 547,340 | |
5% 10/1/28 | 1,000,000 | 1,172,648 | |
5% 10/1/29 | 1,600,000 | 1,885,724 | |
Series 2018 B, 5% 10/1/26 | 1,000,000 | 1,139,784 | |
Series 2019 B: | |||
5% 9/1/22 | 490,000 | 502,017 | |
5% 9/1/23 | 500,000 | 530,252 | |
5% 9/1/24 | 500,000 | 546,016 | |
Series 2021 A: | |||
5% 3/1/32 | 195,000 | 235,700 | |
5% 3/1/33 | 1,000,000 | 1,208,102 | |
5% 3/1/34 | 1,000,000 | 1,207,410 | |
5% 3/1/46 | 2,000,000 | 2,358,758 | |
Illinois Toll Hwy. Auth. Toll Hwy. Rev.: | |||
Series 2014 A, 5% 12/1/22 | 1,300,000 | 1,346,814 | |
Series 2015 A, 5% 1/1/37 | 470,000 | 524,434 | |
Series 2019 A, 5% 1/1/44 | 490,000 | 595,710 | |
Series A: | |||
5% 1/1/38 | 1,010,000 | 1,253,847 | |
5% 1/1/41 | 220,000 | 271,847 | |
5% 1/1/45 | 13,450,000 | 16,426,001 | |
Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2018, 5% 2/1/26 | 2,010,000 | 2,276,402 | |
Kane County School District No. 131 Series 2020 A: | |||
4% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | 460,000 | 525,137 | |
4% 12/1/31 (Assured Guaranty Muni. Corp. Insured) | 615,000 | 694,040 | |
4% 12/1/33 (Assured Guaranty Muni. Corp. Insured) | 255,000 | 287,464 | |
4% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | 275,000 | 309,353 | |
4% 12/1/36 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 280,965 | |
4% 12/1/38 (Assured Guaranty Muni. Corp. Insured) | 580,000 | 650,722 | |
Metropolitan Pier & Exposition: | |||
(McCormick Place Expansion Proj.) Series 2010 B1: | |||
0% 6/15/43 (Assured Guaranty Muni. Corp. Insured) | 3,200,000 | 1,679,351 | |
0% 6/15/46 (Assured Guaranty Muni. Corp. Insured) | 8,000,000 | 3,735,144 | |
0% 6/15/47 (Assured Guaranty Muni. Corp. Insured) | 2,525,000 | 1,136,936 | |
Series 2017 A, 5% 6/15/57 | 6,625,000 | 7,415,960 | |
Series 2020 A: | |||
4% 6/15/50 | 8,955,000 | 9,505,927 | |
5% 6/15/50 | 7,310,000 | 8,299,191 | |
Series 2020 B, 5% 6/15/42 | 2,695,000 | 3,118,744 | |
Series 2022 A: | |||
0% 12/15/35 (c) | 780,000 | 520,683 | |
0% 12/15/36 (c) | 1,035,000 | 666,440 | |
0% 6/15/40 (c) | 1,055,000 | 592,339 | |
0% 6/15/41 (c) | 1,450,000 | 782,882 | |
Northern Illinois Univ. Revs. Series 2020 B: | |||
4% 4/1/36 (Build America Mutual Assurance Insured) | 1,300,000 | 1,467,062 | |
4% 4/1/38 (Build America Mutual Assurance Insured) | 1,300,000 | 1,461,989 | |
4% 4/1/40 (Build America Mutual Assurance Insured) | 870,000 | 975,435 | |
Railsplitter Tobacco Settlement Auth. Rev. Series 2017, 5% 6/1/27 | 1,200,000 | 1,365,385 | |
Univ. of Illinois Board of Trustees Ctfs. of Prtn. Series 2014 C, 5% 3/15/23 | 215,000 | 225,250 | |
Univ. of Illinois Rev. Series 2018 A, 5% 4/1/29 | 100,000 | 120,000 | |
TOTAL ILLINOIS | 256,751,853 | ||
Indiana - 0.6% | |||
Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (a) | 580,000 | 598,041 | |
Indiana Fin. Auth. Rev. (DePauw Univ. Proj.) Series 2019, 5% 7/1/22 | 1,510,000 | 1,536,525 | |
Indiana Health Facility Fing. Auth. Rev. Bonds Series 2001 A2, 2%, tender 2/1/22 (a) | 340,000 | 344,297 | |
Indiana Hsg. & Cmnty. Dev. Auth.: | |||
(Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (b) | 695,000 | 704,747 | |
Series 2019 B, 3.5% 1/1/49 | 625,000 | 660,744 | |
Series 2021 B, 5% 1/1/23 | 500,000 | 519,627 | |
Series A: | |||
3.75% 1/1/49 | 3,000,000 | 3,202,424 | |
5% 1/1/28 | 325,000 | 383,443 | |
5% 7/1/28 | 325,000 | 387,124 | |
5% 1/1/29 | 325,000 | 390,622 | |
5% 7/1/29 | 270,000 | 326,406 | |
Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.): | |||
Series 2019, 5% 4/1/43 | 1,555,000 | 1,810,754 | |
Series 2020, 5% 4/1/32 | 765,000 | 906,635 | |
TOTAL INDIANA | 11,771,389 | ||
Iowa - 0.5% | |||
Iowa Fin. Auth. Rev.: | |||
Series 2018 B, 5% 2/15/48 | 1,000,000 | 1,183,770 | |
Series A, 5% 5/15/48 | 120,000 | 130,058 | |
Iowa Higher Ed. Ln. Auth. Rev. (Grinnell College Proj.) Series 2017, 5% 12/1/46 | 5,925,000 | 6,833,667 | |
Tobacco Settlement Auth. Tobacco Settlement Rev.: | |||
Series 2021 A2, 4% 6/1/49 | 1,200,000 | 1,314,389 | |
Series 2021 B1, 4% 6/1/49 | 1,550,000 | 1,687,134 | |
TOTAL IOWA | 11,149,018 | ||
Kentucky - 3.4% | |||
Ashland Med. Ctr. Rev. Series 2019: | |||
4% 2/1/36 | 760,000 | 841,365 | |
4% 2/1/37 | 575,000 | 635,851 | |
5% 2/1/24 | 1,180,000 | 1,265,600 | |
5% 2/1/25 | 945,000 | 1,043,827 | |
Boyle County Edl. Facilities Rev. Series 2017, 5% 6/1/37 | 320,000 | 369,705 | |
Carroll County Poll. Ctlr Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2016 A, 1.55%, tender 9/1/26 (a) | 6,750,000 | 6,795,892 | |
Kenton County Arpt. Board Arpt. Rev. Series 2019: | |||
5% 1/1/38 | 730,000 | 876,708 | |
5% 1/1/39 | 690,000 | 824,380 | |
5% 1/1/49 | 2,500,000 | 2,957,853 | |
Kentucky Econ. Dev. Fin. Auth. Series 2019 A2, 5% 8/1/49 | 3,400,000 | 3,971,175 | |
Kentucky State Property & Buildings Commission Rev.: | |||
(Proj. No. 112) Series 2016 B, 5% 11/1/27 | 1,095,000 | 1,271,901 | |
(Proj. No. 119) Series 2018: | |||
5% 5/1/28 | 1,000,000 | 1,200,498 | |
5% 5/1/38 | 4,000,000 | 4,715,277 | |
Series 2017: | |||
5% 4/1/25 | 3,425,000 | 3,830,020 | |
5% 4/1/26 | 3,470,000 | 3,984,241 | |
Series A: | |||
4% 11/1/34 | 1,250,000 | 1,417,574 | |
4% 11/1/35 | 400,000 | 453,204 | |
4% 11/1/36 | 1,000,000 | 1,131,969 | |
4% 11/1/37 | 1,250,000 | 1,412,088 | |
5% 11/1/22 | 1,400,000 | 1,444,853 | |
5% 8/1/27 | 400,000 | 448,325 | |
5% 11/1/29 | 1,105,000 | 1,334,028 | |
Series B: | |||
5% 8/1/23 | 1,330,000 | 1,409,533 | |
5% 8/1/25 | 2,965,000 | 3,348,122 | |
5% 8/1/26 | 1,910,000 | 2,212,752 | |
5% 5/1/27 | 2,000,000 | 2,357,678 | |
Kentucky, Inc. Pub. Energy: | |||
Bonds: | |||
Series A, 4%, tender 6/1/26 (a) | 11,515,000 | 12,542,905 | |
Series C1, 4%, tender 6/1/25 (a) | 2,000,000 | 2,150,585 | |
Series A: | |||
4% 6/1/23 | 585,000 | 606,206 | |
4% 12/1/24 | 500,000 | 533,440 | |
4% 6/1/25 | 585,000 | 629,604 | |
Louisville & Jefferson County: | |||
Bonds: | |||
Series 2020 B, 5%, tender 10/1/23 (a) | 1,530,000 | 1,635,154 | |
Series 2020 C, 5%, tender 10/1/26 (a) | 525,000 | 605,211 | |
Series 2020 D, 5%, tender 10/1/29 (a) | 630,000 | 774,422 | |
Series 2016 A, 5% 10/1/31 | 95,000 | 109,237 | |
Series 2020 A, 4% 10/1/39 | 1,500,000 | 1,676,435 | |
TOTAL KENTUCKY | 72,817,618 | ||
Louisiana - 0.7% | |||
Calcasieu Parish Memorial Hosp. (Lake Charles Memorial Hosp. Proj.) Series 2019: | |||
4% 12/1/22 | 815,000 | 832,461 | |
4% 12/1/23 | 1,135,000 | 1,179,430 | |
4% 12/1/24 | 1,145,000 | 1,204,640 | |
Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 5% 7/1/47 | 2,020,000 | 2,317,822 | |
Louisiana Pub. Facilities Auth. Rev.: | |||
(Ochsner Clinic Foundation Proj.) Series 2017, 5% 5/15/27 | 885,000 | 1,041,249 | |
Series 2018 E: | |||
5% 7/1/32 | 1,470,000 | 1,769,448 | |
5% 7/1/33 | 1,195,000 | 1,437,878 | |
5% 7/1/34 | 1,385,000 | 1,665,172 | |
St. John Baptist Parish Rev.: | |||
(Marathon Oil Corp.) Series 2017, 2.2% 6/1/37 (a) | 1,495,000 | 1,531,784 | |
Bonds (Marathon Oil Corp.) Series 2017: | |||
2%, tender 4/1/23 (a) | 1,410,000 | 1,424,463 | |
2.1%, tender 7/1/24 (a) | 680,000 | 693,209 | |
TOTAL LOUISIANA | 15,097,556 | ||
Maine - 0.2% | |||
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) | 100,000 | 105,834 | |
Series 2013: | |||
5% 7/1/22 (Escrowed to Maturity) | 400,000 | 407,482 | |
5% 7/1/33 (Pre-Refunded to 7/1/23 @ 100) | 395,000 | 418,042 | |
Series 2017 B, 5% 7/1/33 | 280,000 | 325,484 | |
Maine Hsg. Auth. Mtg. Series C, 3.5% 11/15/46 | 2,515,000 | 2,601,105 | |
Maine Tpk. Auth. Tpk. Rev. Series 2018, 5% 7/1/47 | 500,000 | 587,386 | |
TOTAL MAINE | 4,445,333 | ||
Maryland - 2.0% | |||
Anne Arundel County Gen. Oblig. Series 2021: | |||
5% 10/1/26 | 5,425,000 | 6,344,378 | |
5% 4/1/28 | 6,575,000 | 7,970,014 | |
Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25 | 400,000 | 389,978 | |
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.: | |||
Series 2019 B, 4% 9/1/49 | 435,000 | 464,783 | |
Series 2019 C: | |||
5% 9/1/27 | 725,000 | 856,082 | |
5% 9/1/28 | 115,000 | 138,192 | |
Maryland Econ. Dev. Auth. Rev. (Ports America Chesapeake LLC. Proj.) Series 2017 A, 5% 6/1/24 | 1,000,000 | 1,084,247 | |
Maryland Gen. Oblig.: | |||
First Series 2016, 5% 6/1/26 | 1,785,000 | 1,944,627 | |
Series 2022 2C, 4% 3/1/29 (c) | 4,210,000 | 4,880,909 | |
Maryland Health & Higher Edl. Series 2021 A, 5% 6/1/31 | 350,000 | 432,236 | |
Maryland Health & Higher Edl. Facilities Auth. Rev. Series 2020 B: | |||
5% 4/15/24 | 705,000 | 762,697 | |
5% 4/15/25 | 920,000 | 1,025,049 | |
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2020: | |||
4% 7/1/45 | 1,645,000 | 1,855,541 | |
4% 7/1/50 | 960,000 | 1,076,749 | |
5% 7/1/40 | 4,930,000 | 6,100,604 | |
Washington Metropolitan Area Transit Auth. Series 2021 A: | |||
5% 7/15/26 | 2,580,000 | 2,996,332 | |
5% 7/15/27 | 3,700,000 | 4,403,780 | |
TOTAL MARYLAND | 42,726,198 | ||
Massachusetts - 4.3% | |||
Massachusetts Commonwealth Trans. Fund Rev.: | |||
(Rail Enhancement Prog.) Series 2021 B, 5% 6/1/37 | 4,455,000 | 5,378,289 | |
Series 2021 A, 5% 6/1/51 | 7,990,000 | 9,688,780 | |
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Bonds Series 2019 A, 5%, tender 1/1/23 (a) | 5,195,000 | 5,394,056 | |
Massachusetts Dev. Fin. Agcy. Rev.: | |||
Caregroup, Inc. Series 2015 H-1, 5% 7/1/25 | 1,375,000 | 1,545,982 | |
Series 2017 A, 5% 1/1/36 | 2,415,000 | 2,773,171 | |
Series 2017, 5% 7/1/47 | 945,000 | 1,052,109 | |
Series 2018, 5% 1/1/43 | 1,335,000 | 1,519,987 | |
Series 2019 K: | |||
5% 7/1/25 | 825,000 | 927,589 | |
5% 7/1/26 | 1,085,000 | 1,252,689 | |
5% 7/1/27 | 1,305,000 | 1,540,594 | |
Series 2019: | |||
5% 7/1/25 | 655,000 | 728,315 | |
5% 7/1/26 | 370,000 | 421,391 | |
5% 7/1/28 | 550,000 | 648,568 | |
5% 7/1/29 | 500,000 | 599,114 | |
5% 9/1/59 | 3,730,000 | 4,415,147 | |
Series 2020 A: | |||
4% 7/1/45 | 3,660,000 | 3,993,794 | |
5% 10/15/25 | 350,000 | 397,800 | |
5% 10/15/27 | 7,500,000 | 8,973,815 | |
5% 10/15/28 | 7,340,000 | 8,975,478 | |
Series 2021 V, 5% 7/1/55 | 5,320,000 | 7,817,377 | |
Series A, 4% 6/1/49 | 2,365,000 | 2,625,250 | |
Series J2, 5% 7/1/53 | 3,775,000 | 4,420,967 | |
Series M: | |||
4% 10/1/50 | 3,725,000 | 4,050,141 | |
5% 10/1/45 | 2,805,000 | 3,320,116 | |
Massachusetts Gen. Oblig.: | |||
Series 2019 C, 5% 5/1/49 | 1,630,000 | 1,961,220 | |
Series E, 5% 11/1/50 | 3,395,000 | 4,158,057 | |
Massachusetts Hsg. Fin. Auth. Series 2021 223, 3% 6/1/47 | 2,425,000 | 2,544,127 | |
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series A, 5% 2/15/49 (Pre-Refunded to 2/15/26 @ 100) | 2,500,000 | 2,867,188 | |
TOTAL MASSACHUSETTS | 93,991,111 | ||
Michigan - 2.2% | |||
Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured) | 150,000 | 161,966 | |
Detroit Gen. Oblig. Series 2021 A, 5% 4/1/50 | 800,000 | 928,360 | |
Flint Hosp. Bldg. Auth. Rev. Series 2020: | |||
4% 7/1/41 | 1,060,000 | 1,173,302 | |
5% 7/1/25 | 465,000 | 511,187 | |
5% 7/1/26 | 425,000 | 477,290 | |
5% 7/1/27 | 660,000 | 755,490 | |
5% 7/1/28 | 925,000 | 1,076,252 | |
Grand Rapids Pub. Schools Series 2019, 5% 11/1/26 (Assured Guaranty Muni. Corp. Insured) | 920,000 | 1,068,170 | |
Lake Orion Cmnty. School District Series 2019, 5% 5/1/24 | 500,000 | 543,425 | |
Lansing Cmnty. College Series 2019, 5% 5/1/44 | 5,070,000 | 6,045,994 | |
Michigan Fin. Auth. Rev.: | |||
(Detroit Wtr. and Sewage Dept. Wtr. Supply Sys. Rev. Rfdg. Local Proj.) Series 2014 C3, 5% 7/1/22 (Assured Guaranty Muni. Corp. Insured) | 630,000 | 641,731 | |
(Henry Ford Health Sys. Proj.) Series 2016, 5% 11/15/25 | 4,220,000 | 4,802,498 | |
(Trinity Health Proj.) Series 2017, 5% 12/1/37 | 1,000,000 | 1,170,645 | |
Bonds: | |||
Series 2019 B, 3.5%, tender 11/15/22 (a) | 620,000 | 633,440 | |
Series 2019 MI2, 5%, tender 2/1/25 (a) | 740,000 | 820,382 | |
Series 2015 A: | |||
5% 8/1/26 | 1,675,000 | 1,830,440 | |
5% 8/1/27 | 2,680,000 | 2,926,622 | |
Series 2015, 5% 11/15/28 | 1,405,000 | 1,565,263 | |
Series 2016, 5% 11/15/26 | 850,000 | 992,555 | |
Series 2019 A: | |||
4% 12/1/49 | 795,000 | 880,724 | |
5% 11/15/48 | 290,000 | 345,973 | |
Series 2020 A, 4% 6/1/49 | 865,000 | 949,234 | |
Oakland Univ. Rev.: | |||
Series 2016, 5% 3/1/41 | 810,000 | 913,132 | |
Series 2019 A, 5% 3/1/31 | 580,000 | 704,961 | |
Series 2019: | |||
5% 3/1/32 | 650,000 | 788,389 | |
5% 3/1/33 | 625,000 | 757,759 | |
5% 3/1/34 | 700,000 | 848,301 | |
5% 3/1/35 | 700,000 | 847,139 | |
5% 3/1/36 | 800,000 | 968,561 | |
5% 3/1/37 | 900,000 | 1,087,985 | |
5% 3/1/38 | 1,325,000 | 1,599,239 | |
5% 3/1/39 | 900,000 | 1,084,946 | |
Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D, 5% 9/1/23 | 525,000 | 558,751 | |
Univ. of Michigan Rev.: | |||
Series 2017 A, 5% 4/1/24 | 1,245,000 | 1,351,675 | |
Series 2020 A, 5% 4/1/50 | 4,000,000 | 4,897,856 | |
TOTAL MICHIGAN | 46,709,637 | ||
Minnesota - 0.5% | |||
City of White Bear Lake (YMCA of Greater Twin Cities Proj.) Series 2018: | |||
5% 6/1/23 | 515,000 | 537,368 | |
5% 6/1/27 | 500,000 | 563,976 | |
Duluth Econ. Dev. Auth. Health Care Facilities Rev. Series 2018 A, 5% 2/15/43 | 500,000 | 582,505 | |
Hennepin County Reg'l. Railroad Auth. Series 2019, 5% 12/1/28 | 2,120,000 | 2,603,819 | |
Minnesota Higher Ed. Facilities Auth. Rev.: | |||
Series 2016 A, 5% 5/1/46 | 1,460,000 | 1,541,525 | |
Series 2018 A, 5% 10/1/45 | 5,000 | 5,780 | |
Saint Cloud Health Care Rev. Series 2019: | |||
4% 5/1/49 | 540,000 | 597,663 | |
5% 5/1/48 | 675,000 | 800,974 | |
Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (a)(b) | 1,340,000 | 1,416,368 | |
St. Paul Hsg. & Redev. Auth. Health Care Facilities Rev. Series 2015 A, 5% 7/1/29 | 2,240,000 | 2,503,397 | |
TOTAL MINNESOTA | 11,153,375 | ||
Mississippi - 0.2% | |||
Mississippi Hosp. Equip. & Facilities Auth.: | |||
Bonds Series II, 5%, tender 3/1/27 (a) | 605,000 | 691,737 | |
Series I: | |||
5% 10/1/22 | 400,000 | 411,774 | |
5% 10/1/23 | 550,000 | 587,046 | |
5% 10/1/24 | 535,000 | 589,693 | |
5% 10/1/26 | 650,000 | 756,307 | |
5% 10/1/28 | 1,000,000 | 1,210,548 | |
TOTAL MISSISSIPPI | 4,247,105 | ||
Missouri - 1.3% | |||
Kansas City Wtr. Rev. Series 2020 A: | |||
4% 12/1/32 | 675,000 | 794,497 | |
4% 12/1/34 | 400,000 | 470,576 | |
4% 12/1/36 | 700,000 | 821,623 | |
4% 12/1/37 | 500,000 | 586,756 | |
4% 12/1/40 | 500,000 | 583,698 | |
5% 12/1/28 | 580,000 | 709,832 | |
5% 12/1/29 | 350,000 | 437,036 | |
5% 12/1/30 | 660,000 | 839,846 | |
5% 12/1/35 | 600,000 | 763,300 | |
Missouri Health & Edl. Facilities Rev.: | |||
Series 2017 A, 5% 10/1/42 | 2,350,000 | 2,727,215 | |
Series 2019 A: | |||
4% 10/1/48 | 4,785,000 | 5,286,189 | |
5% 10/1/46 | 460,000 | 547,312 | |
Missouri Hsg. Dev. Commission Single Family Mtg. Rev.: | |||
Series 2019, 4% 5/1/50 | 145,000 | 155,607 | |
Series 2021 A, 3% 5/1/52 | 2,790,000 | 2,923,771 | |
Saint Louis Arpt. Rev.: | |||
Series 2017 A, 5% 7/1/22 (Assured Guaranty Muni. Corp. Insured) | 1,695,000 | 1,726,850 | |
Series 2019 C: | |||
5% 7/1/26 | 1,440,000 | 1,657,883 | |
5% 7/1/27 | 2,430,000 | 2,859,011 | |
Series A, 5.25% 7/1/26 (Assured Guaranty Muni. Corp. Insured) | 2,790,000 | 3,244,464 | |
Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A, 5.125% 9/1/48 | 55,000 | 60,461 | |
TOTAL MISSOURI | 27,195,927 | ||
Montana - 0.0% | |||
Montana Board Hsg. Single Family Series 2019 B, 4% 6/1/50 | 75,000 | 81,270 | |
Nebraska - 0.7% | |||
Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (a) | 13,400,000 | 14,567,310 | |
Nevada - 1.3% | |||
Clark County Arpt. Rev.: | |||
Series 2014 A2, 5% 7/1/30 | 420,000 | 457,161 | |
Series 2019 A, 5% 7/1/26 | 1,255,000 | 1,444,891 | |
Clark County School District: | |||
Series 2015 C, 5% 6/15/26 | 3,000,000 | 3,411,010 | |
Series 2016 B, 5% 6/15/26 | 1,675,000 | 1,930,047 | |
Series 2017 A: | |||
5% 6/15/22 | 2,520,000 | 2,563,013 | |
5% 6/15/24 | 250,000 | 272,360 | |
5% 6/15/25 | 5,945,000 | 6,667,341 | |
5% 6/15/26 | 215,000 | 247,737 | |
Series 2017 C, 5% 6/15/22 | 210,000 | 213,584 | |
Series A, 5% 6/15/27 | 1,305,000 | 1,544,947 | |
Nevada Hsg. Division Single Family Mtg. Rev.: | |||
Series 2019 A, 4% 4/1/49 | 2,215,000 | 2,368,749 | |
Series 2019 B, 4% 10/1/49 | 235,000 | 251,472 | |
Series 2021 B, 3% 10/1/51 | 7,270,000 | 7,642,085 | |
TOTAL NEVADA | 29,014,397 | ||
New Hampshire - 0.3% | |||
Nat'l. Finnance Auth. Series 2020 1, 4.125% 1/20/34 | 1,764,726 | 1,977,392 | |
New Hampshire Health & Ed. Facilities Auth.: | |||
(Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A, 5% 8/1/34 | 315,000 | 374,440 | |
Series 2017, 5% 7/1/44 | 2,335,000 | 2,638,923 | |
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) | 1,695,000 | 1,725,990 | |
Series 2016, 5% 10/1/23 | 170,000 | 181,071 | |
TOTAL NEW HAMPSHIRE | 6,897,816 | ||
New Jersey - 4.0% | |||
Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A, 5% 2/15/26 | 1,000,000 | 1,072,224 | |
New Jersey Econ. Dev. Auth.: | |||
(White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (b) | 310,000 | 307,092 | |
Series A, 5% 11/1/31 | 2,735,000 | 3,284,130 | |
New Jersey Econ. Dev. Auth. Lease Rev. (State House Proj.) Series 2017 B: | |||
5% 6/15/26 | 1,000,000 | 1,144,266 | |
5% 6/15/35 | 580,000 | 680,716 | |
New Jersey Econ. Dev. Auth. Rev.: | |||
(Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (b) | 220,000 | 220,263 | |
(Provident Montclair Proj.) Series 2017, 5% 6/1/25 (Assured Guaranty Muni. Corp. Insured) | 1,035,000 | 1,157,690 | |
Series 2013 NN, 5% 3/1/27 | 1,055,000 | 1,097,942 | |
Series 2014 PP, 5% 6/15/26 | 1,000,000 | 1,086,777 | |
Series 2014 RR, 5% 6/15/32 (Pre-Refunded to 6/15/24 @ 100) | 210,000 | 228,704 | |
Series 2014 UU, 5% 6/15/30 (Pre-Refunded to 6/15/24 @ 100) | 260,000 | 283,158 | |
Series 2015 XX: | |||
5% 6/15/22 | 3,285,000 | 3,336,734 | |
5% 6/15/23 | 3,500,000 | 3,687,590 | |
5% 6/15/26 | 235,000 | 262,049 | |
Series 2016 A, 5% 7/15/27 | 1,000,000 | 1,144,235 | |
Series 2016 BBB: | |||
5% 6/15/23 | 1,400,000 | 1,475,036 | |
5.5% 6/15/30 (Pre-Refunded to 12/15/26 @ 100) | 230,000 | 273,987 | |
Series 2018 EEE: | |||
5% 6/15/28 | 590,000 | 701,078 | |
5% 6/15/34 | 1,500,000 | 1,763,012 | |
Series LLL: | |||
4% 6/15/44 | 2,935,000 | 3,207,844 | |
4% 6/15/49 | 2,690,000 | 2,921,093 | |
Series MMM: | |||
4% 6/15/35 | 1,160,000 | 1,294,328 | |
4% 6/15/36 | 450,000 | 501,136 | |
New Jersey Edl. Facility Series 2016 E, 5% 7/1/22 | 765,000 | 778,825 | |
New Jersey Gen. Oblig. Series 2020 A: | |||
4% 6/1/30 | 1,060,000 | 1,217,661 | |
4% 6/1/31 | 400,000 | 464,071 | |
4% 6/1/32 | 270,000 | 316,398 | |
5% 6/1/29 | 1,195,000 | 1,444,360 | |
New Jersey Health Care Facilities Fing. Auth. Rev.: | |||
Bonds: | |||
Series 2019 B1, 5%, tender 7/1/24 (a) | 1,360,000 | 1,478,878 | |
Series 2019 B2, 5%, tender 7/1/25 (a) | 1,665,000 | 1,873,290 | |
Series 2019 B3, 5%, tender 7/1/26 (a) | 1,695,000 | 1,951,236 | |
Series 2016: | |||
4% 7/1/48 | 200,000 | 215,240 | |
5% 7/1/28 | 1,170,000 | 1,338,441 | |
5% 7/1/41 | 90,000 | 101,764 | |
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev. Series 2019 A: | |||
5% 12/1/23 | 200,000 | 214,226 | |
5% 12/1/24 | 115,000 | 126,805 | |
5% 12/1/25 | 215,000 | 242,913 | |
New Jersey Tobacco Settlement Fing. Corp. Series 2018 A, 5% 6/1/28 | 1,000,000 | 1,200,222 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2015 E, 5% 1/1/34 | 675,000 | 742,837 | |
Series 2021 A: | |||
4% 1/1/42 | 1,710,000 | 1,959,944 | |
4% 1/1/51 | 2,000,000 | 2,254,842 | |
Series D, 5% 1/1/28 | 1,000,000 | 1,146,722 | |
New Jersey Trans. Trust Fund Auth.: | |||
(Trans. Prog.) Series 2019 AA, 5.25% 6/15/43 | 1,945,000 | 2,295,425 | |
Series 2010 A, 0% 12/15/27 | 1,205,000 | 1,060,498 | |
Series 2018 A: | |||
5% 12/15/32 | 355,000 | 417,926 | |
5% 12/15/34 | 1,350,000 | 1,585,326 | |
Series 2021 A: | |||
4% 6/15/38 (c) | 800,000 | 886,084 | |
5% 6/15/33 | 4,520,000 | 5,532,078 | |
Series 2022 A, 4% 6/15/40 (c) | 3,340,000 | 3,679,369 | |
Series 2022 AA: | |||
5% 6/15/30 (c) | 1,970,000 | 2,386,703 | |
5% 6/15/31 (c) | 4,790,000 | 5,886,483 | |
Series A: | |||
4% 12/15/39 | 1,000,000 | 1,104,616 | |
4.25% 12/15/38 | 2,515,000 | 2,796,974 | |
Series AA: | |||
4% 6/15/39 | 1,040,000 | 1,153,715 | |
4% 6/15/50 | 2,280,000 | 2,475,124 | |
5% 6/15/29 | 405,000 | 411,666 | |
5% 6/15/36 | 1,150,000 | 1,391,891 | |
5% 6/15/50 | 500,000 | 590,385 | |
Series BB, 4% 6/15/44 | 1,300,000 | 1,412,576 | |
Newark Port Auth. Hsg. Auth. Rev. Series 2007, 5.25% 1/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,000,000 | 1,121,031 | |
Rutgers State Univ. Rev. Series Q: | |||
5% 5/1/22 | 275,000 | 278,112 | |
5% 5/1/23 | 215,000 | 226,136 | |
TOTAL NEW JERSEY | 86,891,877 | ||
New Mexico - 0.5% | |||
Albuquerque Brnl Co. Wtr. Utl Series 2018, 5% 7/1/28 | 1,000,000 | 1,155,017 | |
New Mexico Hosp. Equip. Ln. Council Rev. Bonds Series 2019 B, 5%, tender 8/1/25 (a) | 1,460,000 | 1,640,947 | |
New Mexico Mtg. Fin. Auth.: | |||
Series 2019 C, 4% 1/1/50 | 885,000 | 949,463 | |
Series 2019 D, 3.75% 1/1/50 | 320,000 | 341,363 | |
New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.: | |||
Bonds Series 2019 A, 5%, tender 5/1/25 (a) | 5,000,000 | 5,562,388 | |
Series 2019 A: | |||
4% 5/1/23 | 590,000 | 612,503 | |
4% 11/1/23 | 200,000 | 210,050 | |
4% 5/1/24 | 675,000 | 716,662 | |
Santa Fe Retirement Fac.: | |||
Series 2019 A: | |||
2.25% 5/15/24 | 35,000 | 35,018 | |
5% 5/15/34 | 70,000 | 77,889 | |
5% 5/15/39 | 50,000 | 55,312 | |
5% 5/15/44 | 50,000 | 54,991 | |
5% 5/15/49 | 105,000 | 115,169 | |
Series 2019 B1, 2.625% 5/15/25 | 55,000 | 55,043 | |
TOTAL NEW MEXICO | 11,581,815 | ||
New York - 8.2% | |||
Dorm. Auth. New York Univ. Rev. Series 2017 A, 5% 7/1/46 (Pre-Refunded to 7/1/27 @ 100) | 1,265,000 | 1,503,514 | |
Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A, 5% 2/15/42 | 3,700,000 | 4,239,171 | |
Long Island Pwr. Auth. Elec. Sys. Rev.: | |||
Bonds Series 2019 B, 1.65%, tender 9/1/24 (a) | 2,600,000 | 2,625,147 | |
Series 2018, 5% 9/1/36 | 250,000 | 305,100 | |
MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 | 300,000 | 315,480 | |
New York City Edl. Construction Fund Series 2021 B, 5% 4/1/46 | 2,195,000 | 2,666,160 | |
New York City Gen. Oblig.: | |||
Series 2021 A1: | |||
5% 8/1/28 | 2,385,000 | 2,879,378 | |
5% 8/1/29 | 2,595,000 | 3,200,676 | |
Series 2022 A1, 5% 8/1/47 | 3,895,000 | 4,752,214 | |
Series B, 5% 10/1/42 | 2,000,000 | 2,421,753 | |
New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds: | |||
Series 2021 C2, 0.7%, tender 7/1/25 (a) | 1,265,000 | 1,241,551 | |
Series 2021 K2, 0.9%, tender 1/1/26 (a) | 7,040,000 | 6,851,681 | |
Series 2021, 0.6%, tender 7/1/25 (a) | 1,675,000 | 1,619,762 | |
New York City Transitional Fin. Auth. Bldg. Aid Rev.: | |||
(New York State Gen. Oblig. Proj.) Series 2015 S-1, 5% 7/15/35 | 7,000,000 | 7,741,725 | |
Series 2018 S2, 5% 7/15/35 | 1,075,000 | 1,267,707 | |
New York City Transitional Fin. Auth. Rev.: | |||
Series 2018 A2, 5% 8/1/39 | 1,800,000 | 2,106,147 | |
Series 2018 B, 5% 8/1/45 | 7,150,000 | 8,309,067 | |
Series 2022 A1, 5% 11/1/29 | 5,660,000 | 7,042,093 | |
New York City Trust Cultural Resources Rev. Series 2021, 5% 7/1/31 | 3,600,000 | 4,631,763 | |
New York Dorm. Auth. Rev. Bonds: | |||
Series 2019 B2, 5%, tender 5/1/24 (a) | 880,000 | 939,722 | |
Series 2019 B3, 5%, tender 5/1/26 (a) | 635,000 | 717,146 | |
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2012 A, 0% 11/15/32 | 5,515,000 | 4,313,959 | |
New York Metropolitan Trans. Auth. Rev.: | |||
Series 2015 A1, 5% 11/15/29 | 425,000 | 468,965 | |
Series 2017 C1, 5% 11/15/34 | 1,465,000 | 1,697,530 | |
Series 2017 D: | |||
5% 11/15/30 | 8,955,000 | 10,402,127 | |
5% 11/15/35 | 2,000,000 | 2,318,980 | |
Series 2020 A, 5% 2/1/23 | 3,020,000 | 3,132,323 | |
Series 2020 D, 4% 11/15/46 | 13,530,000 | 14,536,520 | |
Series D1, 5% 11/1/25 | 2,050,000 | 2,110,768 | |
New York State Dorm. Auth.: | |||
Series 2017 A, 5% 2/15/31 | 1,000,000 | 1,162,403 | |
Series 2021 E: | |||
4% 3/15/45 | 5,805,000 | 6,569,837 | |
4% 3/15/47 | 4,090,000 | 4,613,857 | |
New York State Hsg. Fin. Agcy. Rev. Bonds Series 2021 J2: | |||
1%, tender 11/1/26 (a) | 1,025,000 | 994,955 | |
1.1%, tender 5/1/27 (a) | 3,790,000 | 3,671,097 | |
New York State Urban Dev. Corp.: | |||
Series 2020 A, 4% 3/15/45 | 1,250,000 | 1,395,909 | |
Series 2020 C: | |||
5% 3/15/43 | 5,000,000 | 6,103,707 | |
5% 3/15/47 | 10,000,000 | 12,112,701 | |
Series 2020 E: | |||
4% 3/15/44 | 9,300,000 | 10,355,341 | |
4% 3/15/45 | 7,500,000 | 8,329,598 | |
New York State Urban Eev Corp. Series 2019 A, 5% 3/15/37 | 3,785,000 | 4,667,962 | |
Oneida County Local Dev. Corp. Rev. (Mohawk Valley Health Sys. Proj.) Series 2019 A, 5% 12/1/26 (Assured Guaranty Muni. Corp. Insured) | 1,625,000 | 1,734,281 | |
Suffolk County Econ. Dev. Corp. Rev. Series 2021: | |||
4.625% 11/1/31 (b) | 250,000 | 250,763 | |
5.375% 11/1/54 (b) | 935,000 | 937,829 | |
Triborough Bridge & Tunnel Auth. Series 2021 A1, 5% 5/15/51 | 1,875,000 | 2,311,372 | |
Triborough Bridge & Tunnel Auth. Revs. Series 2018 A, 5% 11/15/44 | 4,000,000 | 4,731,355 | |
TOTAL NEW YORK | 176,301,096 | ||
New York And New Jersey - 0.3% | |||
Port Auth. of New York & New Jersey: | |||
(H. Lee Moffitt Cancer Ctr. Proj.) Series 2016, 5% 11/15/41 | 5,000,000 | 5,738,478 | |
Series 194, 5.25% 10/15/55 | 1,335,000 | 1,507,612 | |
TOTAL NEW YORK AND NEW JERSEY | 7,246,090 | ||
North Carolina - 0.9% | |||
Charlotte Ctfs. of Prtn. (Convention Facility Projs.) Series 2019 A, 4% 6/1/39 | 875,000 | 999,795 | |
New Hanover County Hosp. Rev. Series 2017: | |||
5% 10/1/27 (Escrowed to Maturity) | 55,000 | 65,387 | |
5% 10/1/42 (Pre-Refunded to 10/1/27 @ 100) | 465,000 | 552,819 | |
North Carolina Med. Care Commission Health Care Facilities Rev. Bonds: | |||
Series 2019 B, 2.2%, tender 12/1/22 (a) | 780,000 | 784,183 | |
Series 2019 C, 2.55%, tender 6/1/26 (a) | 1,345,000 | 1,389,776 | |
North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2019, 5% 1/1/49 | 14,000,000 | 16,458,795 | |
TOTAL NORTH CAROLINA | 20,250,755 | ||
North Dakota - 0.2% | |||
North Dakota Hsg. Fin. Agcy.: | |||
Series 2021 A, 3% 1/1/52 | 910,000 | 953,717 | |
Series 2021 B, 3% 7/1/52 | 2,350,000 | 2,469,711 | |
TOTAL NORTH DAKOTA | 3,423,428 | ||
Ohio - 3.7% | |||
Akron Bath Copley Hosp. District Rev.: | |||
Series 2016, 5.25% 11/15/46 | 3,735,000 | 4,275,728 | |
Series 2020, 5% 11/15/31 | 385,000 | 474,584 | |
Allen County Hosp. Facilities Rev. Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) | 500,000 | 505,682 | |
American Muni. Pwr., Inc. Rev. (Greenup Hydroelectric Proj.): | |||
Series 2016 A, 5% 2/15/41 | 1,000,000 | 1,121,550 | |
Series 2016, 5% 2/15/46 | 1,735,000 | 1,942,300 | |
Chillicothe Hosp. Facilities Rev. (Adena Health Sys. Oblig. Group Proj.) Series 2017, 5% 12/1/47 | 1,000,000 | 1,155,700 | |
Cleveland Arpt. Sys. Rev. Series 2016 A: | |||
5% 1/1/24 (Assured Guaranty Muni. Corp. Insured) | 1,200,000 | 1,289,999 | |
5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | 730,000 | 808,886 | |
Columbus Gen. Oblig.: | |||
Series 2016 2, 5% 7/1/25 | 1,900,000 | 2,140,343 | |
Series 2019 A, 5% 4/1/33 | 2,430,000 | 2,986,593 | |
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 4.25% 6/15/24 | 385,000 | 395,626 | |
Franklin County Hosp. Facilities Rev. Bonds (U.S. Health Corp. of Columbus Proj.) Series 2011 B, 5%, tender 5/15/23 (a) | 195,000 | 204,709 | |
Hamilton County Healthcare Facilities Rev. Series 2012, 5.25% 6/1/26 | 495,000 | 502,062 | |
Hamilton County Healthcare Rev. (Life Enriching Cmntys. Proj.) Series 2016, 5% 1/1/51 | 1,000,000 | 1,067,975 | |
Hamilton County Hosp. Facilities Rev. (Trihealth, Inc. Obligated Group Proj.) Series 2017 A, 5% 8/15/33 | 825,000 | 956,154 | |
Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (a) | 4,415,000 | 4,878,571 | |
Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019: | |||
5% 8/1/23 | 435,000 | 461,617 | |
5% 8/1/45 | 3,550,000 | 4,220,429 | |
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013, 4% 2/15/23 | 1,075,000 | 1,101,511 | |
Ohio Higher Edl. Facility Commission Rev.: | |||
(Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22 | 715,000 | 740,808 | |
(Kenyon College 2020 Proj.) Series 2020: | |||
4% 7/1/40 | 730,000 | 822,113 | |
5% 7/1/35 | 2,625,000 | 3,212,366 | |
5% 7/1/42 | 4,525,000 | 5,479,272 | |
(Kenyon College, Oh. Proj.) Series 2017, 5% 7/1/42 | 1,700,000 | 1,966,456 | |
Ohio Hosp. Rev. Series 2020 A, 4% 1/15/50 | 285,000 | 313,814 | |
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 | 105,000 | 113,650 | |
Ohio Major New State Infrastructure Rev. Series 2021 1A: | |||
5% 12/15/31 | 1,400,000 | 1,812,175 | |
5% 12/15/32 | 1,735,000 | 2,290,752 | |
Ohio Spl. Oblig. Series 2020 A: | |||
5% 2/1/23 | 1,365,000 | 1,423,705 | |
5% 2/1/24 | 3,580,000 | 3,863,334 | |
5% 2/1/26 | 1,145,000 | 1,310,152 | |
Ohio Tpk. Commission Tpk. Rev. Series A, 5% 2/15/51 | 9,280,000 | 11,404,489 | |
Ross County Hosp. Facilities Rev. (Adena Health Sys. Obligated Group Proj.) Series 2019: | |||
5% 12/1/22 | 360,000 | 372,657 | |
5% 12/1/23 | 500,000 | 533,585 | |
5% 12/1/24 | 525,000 | 576,735 | |
5% 12/1/25 | 460,000 | 518,438 | |
5% 12/1/26 | 600,000 | 692,318 | |
Scioto County Hosp. Facilities Rev.: | |||
Series 2016: | |||
5% 2/15/26 | 1,940,000 | 2,211,502 | |
5% 2/15/27 | 1,615,000 | 1,835,573 | |
Series 2019, 5% 2/15/29 | 745,000 | 843,598 | |
Univ. of Akron Gen. Receipts Series 2019 A, 5% 1/1/26 | 1,800,000 | 2,044,622 | |
Univ. of Cincinnati Gen. Receipts Series 2016 C, 5% 6/1/41 | 5,000,000 | 5,735,051 | |
TOTAL OHIO | 80,607,184 | ||
Oklahoma - 0.1% | |||
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B, 5% 8/15/23 | 750,000 | 792,179 | |
Oklahoma Dev. Fin. Auth. Rev. (Oklahoma City Univ. Proj.) Series 2019: | |||
4% 8/1/22 | 475,000 | 482,244 | |
5% 8/1/26 | 360,000 | 403,019 | |
5% 8/1/44 | 660,000 | 747,091 | |
TOTAL OKLAHOMA | 2,424,533 | ||
Oregon - 0.8% | |||
Medford Hosp. Facilities Auth. Rev. (Asante Projs.) Series 2020 A: | |||
5% 8/15/36 | 1,300,000 | 1,592,908 | |
5% 8/15/38 | 3,700,000 | 4,522,938 | |
Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) | 1,695,000 | 1,729,204 | |
Oregon State Hsg. & Cmnty. Svcs. Dept. Series 2019 A, 4% 7/1/50 | 9,625,000 | 10,304,369 | |
TOTAL OREGON | 18,149,419 | ||
Pennsylvania - 5.4% | |||
Allegheny County Arpt. Auth. Rev. Series 2021 B, 5% 1/1/51 | 8,040,000 | 9,641,850 | |
Allegheny County Indl. Dev. Auth. Rev. Series 2021: | |||
3.5% 12/1/31 | 545,000 | 503,702 | |
4% 12/1/41 | 995,000 | 892,675 | |
4.25% 12/1/50 | 1,110,000 | 983,527 | |
Bucks County Indl. Dev. Auth. Hosp. Rev. Series 2021: | |||
5% 7/1/36 | 605,000 | 732,821 | |
5% 7/1/38 | 1,210,000 | 1,461,672 | |
Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.) Series 2016 A, 5% 11/15/46 | 4,000,000 | 4,470,237 | |
Commonwealth Fing. Auth. Rev.: | |||
Series 2019 B, 5% 6/1/26 | 680,000 | 783,984 | |
Series 2020 A: | |||
5% 6/1/29 | 1,750,000 | 2,141,958 | |
5% 6/1/32 | 3,000,000 | 3,745,531 | |
Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A, 5% 6/1/34 | 1,140,000 | 1,305,012 | |
Delaware County Auth. Rev.: | |||
(Cabrini College) Series 2017, 5% 7/1/47 | 1,755,000 | 1,857,535 | |
Series 2017, 5% 7/1/30 | 1,435,000 | 1,548,104 | |
Doylestown Hosp. Auth. Hosp. Rev. Series 2019, 5% 7/1/49 | 1,020,000 | 1,155,672 | |
Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A: | |||
5% 7/1/22 | 1,500,000 | 1,528,376 | |
5% 7/1/23 | 900,000 | 953,158 | |
5% 7/1/24 | 1,700,000 | 1,855,092 | |
5% 7/1/26 | 1,900,000 | 2,191,886 | |
5% 7/1/27 | 2,000,000 | 2,358,784 | |
5% 7/1/28 | 2,080,000 | 2,505,522 | |
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) | 505,000 | 507,971 | |
Montgomery County Higher Ed. & Health Auth. Rev.: | |||
Series 2016 A, 5% 10/1/40 | 2,685,000 | 2,986,318 | |
Series 2019: | |||
4% 9/1/36 | 750,000 | 836,933 | |
4% 9/1/37 | 750,000 | 836,012 | |
4% 9/1/38 | 1,700,000 | 1,891,742 | |
4% 9/1/39 | 1,100,000 | 1,222,450 | |
4% 9/1/44 | 250,000 | 275,565 | |
5% 9/1/22 | 600,000 | 615,588 | |
5% 9/1/23 | 500,000 | 531,980 | |
5% 9/1/24 | 675,000 | 740,422 | |
Series 2020: | |||
5% 4/1/22 | 325,000 | 327,235 | |
5% 4/1/23 | 360,000 | 375,846 | |
5% 4/1/24 | 365,000 | 390,577 | |
5% 4/1/25 | 280,000 | 307,424 | |
5% 4/1/26 | 330,000 | 370,490 | |
5% 4/1/27 | 630,000 | 722,279 | |
Montgomery County Indl. Dev. Auth. Series 2015 A, 5.25% 1/15/36 | 1,060,000 | 1,181,117 | |
Pennsylvania Econ. Dev. Fing. Auth. Series 2020 A: | |||
5% 4/15/24 | 550,000 | 595,012 | |
5% 4/15/25 | 750,000 | 835,638 | |
5% 4/15/26 | 2,500,000 | 2,859,168 | |
Pennsylvania Higher Edl. Facilities Auth. Rev.: | |||
Series 2012: | |||
5% 5/1/31 (Pre-Refunded to 11/1/22 @ 100) | 1,035,000 | 1,068,952 | |
5% 11/1/42 | 1,370,000 | 1,399,504 | |
Series 2016, 5% 5/1/34 | 1,600,000 | 1,808,866 | |
Series 2018 A, 5% 2/15/48 | 940,000 | 1,104,289 | |
Pennsylvania Hsg. Fin. Agcy. Series 2021 137, 3% 10/1/51 | 3,300,000 | 3,474,834 | |
Pennsylvania State Univ. Series 2020 A, 4% 9/1/50 | 1,480,000 | 1,666,262 | |
Pennsylvania Tpk. Commission Tpk. Rev.: | |||
Series 2016, 5% 6/1/36 | 2,000,000 | 2,268,816 | |
Series 2021 A: | |||
4% 12/1/43 | 3,000,000 | 3,347,696 | |
4% 12/1/46 | 5,000,000 | 5,541,165 | |
4% 12/1/50 | 1,000,000 | 1,116,890 | |
Philadelphia Auth. for Indl. Dev.: | |||
Series 2015 1, 5% 4/1/33 | 530,000 | 586,915 | |
Series 2017, 5% 11/1/47 | 1,040,000 | 1,162,445 | |
Philadelphia Gen. Oblig.: | |||
Series 2019 A, 5% 8/1/26 | 1,165,000 | 1,349,663 | |
Series 2019 B: | |||
5% 2/1/34 | 2,250,000 | 2,762,124 | |
5% 2/1/35 | 2,750,000 | 3,362,234 | |
5% 2/1/36 | 2,415,000 | 2,942,648 | |
Philadelphia School District: | |||
Series 2018 A, 5% 9/1/26 | 1,400,000 | 1,605,979 | |
Series 2019 A: | |||
4% 9/1/35 | 1,250,000 | 1,417,639 | |
5% 9/1/23 | 660,000 | 701,245 | |
5% 9/1/26 | 2,000,000 | 2,318,209 | |
5% 9/1/30 | 1,335,000 | 1,642,455 | |
5% 9/1/32 | 1,000,000 | 1,225,892 | |
5% 9/1/34 | 620,000 | 760,917 | |
5% 9/1/44 | 1,450,000 | 1,750,015 | |
Series 2019 B: | |||
5% 9/1/25 | 1,360,000 | 1,531,223 | |
5% 9/1/26 | 1,105,000 | 1,267,576 | |
Philadelphia Wtr. & Wastewtr. Rev. Series 2018 A, 5% 10/1/22 | 1,000,000 | 1,029,843 | |
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. Series 2019 A, 5% 9/1/44 (Assured Guaranty Muni. Corp. Insured) | 450,000 | 545,219 | |
Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 A: | |||
4% 6/1/44 | 235,000 | 262,812 | |
4% 6/1/49 | 555,000 | 614,891 | |
5% 6/1/44�� | 405,000 | 486,841 | |
5% 6/1/49 | 645,000 | 770,666 | |
State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.) Series 2016 A, 5% 6/1/32 (Assured Guaranty Muni. Corp. Insured) | 885,000 | 1,029,825 | |
Union County Hosp. Auth. Rev. Series 2018 B, 5% 8/1/48 | 1,430,000 | 1,616,582 | |
TOTAL PENNSYLVANIA | 116,567,997 | ||
Pennsylvania, New Jersey - 0.1% | |||
Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2018 B, 5% 1/1/24 | 2,250,000 | 2,419,639 | |
Rhode Island - 0.0% | |||
Rhode Island Hsg. & Mtg. Fin. Corp. Series 2019 70, 4% 10/1/49 | 225,000 | 240,188 | |
South Carolina - 1.2% | |||
Charleston County Arpt. District Series 2019, 5% 7/1/48 | 1,875,000 | 2,242,283 | |
Greenville Hosp. Sys. Facilities Rev. Series 2012, 5% 5/1/23 | 1,400,000 | 1,414,097 | |
Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (a) | 540,000 | 568,409 | |
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 | 320,000 | 346,625 | |
South Carolina Jobs-Econ. Dev. Auth. Series 2019 C, 5% 7/1/33 | 1,305,000 | 1,573,089 | |
South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev. Series 2022 A, 4% 4/1/52 | 3,100,000 | 3,502,779 | |
South Carolina Pub. Svc. Auth. Rev.: | |||
Series 2013 B, 5% 12/1/38 | 2,300,000 | 2,523,493 | |
Series 2014 C: | |||
5% 12/1/26 | 100,000 | 110,452 | |
5% 12/1/39 | 1,000,000 | 1,136,412 | |
5% 12/1/46 | 4,675,000 | 5,302,967 | |
Series 2016 A, 5% 12/1/33 | 220,000 | 252,797 | |
Series A, 5% 12/1/23 | 790,000 | 847,242 | |
Series B, 5% 12/1/24 | 2,520,000 | 2,786,103 | |
Spartanburg County Reg'l. Health Series 2017 A, 5% 4/15/48 | 2,470,000 | 2,886,112 | |
TOTAL SOUTH CAROLINA | 25,492,860 | ||
South Dakota - 0.1% | |||
South Dakota Health & Edl. Facilities Auth. Rev. Bonds Series 2019 A, 5%, tender 7/1/24 (a) | 1,595,000 | 1,721,651 | |
Tennessee - 2.0% | |||
Chattanooga Health Ed. & Hsg. Facility Board Rev.: | |||
Series 2019 A1, 5% 8/1/25 | 615,000 | 692,890 | |
Series 2019 A2, 5% 8/1/44 | 2,250,000 | 2,645,840 | |
Jackson Hosp. Rev. Series 2018 A: | |||
5% 4/1/27 | 600,000 | 703,642 | |
5% 4/1/27 (Escrowed to Maturity) | 30,000 | 35,198 | |
5% 4/1/28 | 400,000 | 478,857 | |
5% 4/1/28 (Escrowed to Maturity) | 20,000 | 23,982 | |
5% 4/1/41 | 475,000 | 559,635 | |
5% 4/1/41 (Pre-Refunded to 10/1/28 @ 100) | 25,000 | 30,281 | |
Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series 2021 C: | |||
5% 1/1/27 | 11,000,000 | 12,904,195 | |
5% 1/1/30 | 12,750,000 | 15,860,510 | |
Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. (Lipscomb Univ. Proj.) Series 2019 A: | |||
4% 10/1/49 | 410,000 | 432,228 | |
5.25% 10/1/58 | 1,225,000 | 1,405,084 | |
Tennergy Corp. Gas Rev. Bonds Series 2019 A, 5%, tender 10/1/24 (a) | 2,025,000 | 2,218,608 | |
Tennessee Energy Acquisition Corp. Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) | 100,000 | 103,065 | |
Tennessee Hsg. Dev. Agcy. Residential: | |||
Series 2021 1, 3% 7/1/51 | 3,010,000 | 3,159,842 | |
Series 2021 3A, 3% 1/1/52 | 980,000 | 1,033,481 | |
TOTAL TENNESSEE | 42,287,338 | ||
Texas - 6.7% | |||
Austin Wtr. & Wastewtr. Sys. Rev. Series 2016, 5% 11/15/33 | 2,000,000 | 2,325,340 | |
Central Reg'l. Mobility Auth.: | |||
Series 2018, 5% 1/1/25 | 1,000,000 | 1,103,215 | |
Series 2020 B: | |||
4% 1/1/34 | 280,000 | 316,701 | |
4% 1/1/35 | 225,000 | 253,934 | |
4% 1/1/36 | 245,000 | 276,245 | |
4% 1/1/37 | 350,000 | 393,361 | |
4% 1/1/38 | 465,000 | 521,686 | |
4% 1/1/39 | 600,000 | 672,218 | |
4% 1/1/40 | 230,000 | 257,275 | |
5% 1/1/27 | 200,000 | 232,038 | |
5% 1/1/28 | 230,000 | 272,068 | |
5% 1/1/29 | 850,000 | 1,021,626 | |
5% 1/1/30 | 400,000 | 489,292 | |
5% 1/1/31 | 200,000 | 244,314 | |
5% 1/1/32 | 200,000 | 243,354 | |
5% 1/1/33 | 300,000 | 364,319 | |
Series 2021 B: | |||
5% 1/1/30 | 1,000,000 | 1,223,229 | |
5% 1/1/32 | 1,275,000 | 1,576,249 | |
5% 1/1/39 | 1,300,000 | 1,585,412 | |
5% 1/1/46 | 3,500,000 | 4,198,683 | |
Series 2021 C, 5% 1/1/27 | 3,765,000 | 4,244,577 | |
Collin County Series 2019, 5% 2/15/26 | 2,315,000 | 2,655,661 | |
Cypress-Fairbanks Independent School District Bonds Series 2014 B1, 1.25%, tender 8/15/22 (a) | 890,000 | 893,403 | |
Dallas Fort Worth Int'l. Arpt. Rev.: | |||
Series 2020 B: | |||
4% 11/1/34 | 1,410,000 | 1,632,157 | |
4% 11/1/35 | 1,255,000 | 1,451,049 | |
Series 2021 B, 5% 11/1/43 | 2,640,000 | 3,217,378 | |
Dallas Independent School District: | |||
Series 2014 A, 5% 8/15/26 | 1,315,000 | 1,443,244 | |
Series 2019: | |||
5% 2/15/23 | 1,000,000 | 1,044,096 | |
5% 2/15/24 | 700,000 | 755,063 | |
5% 2/15/25 | 1,000,000 | 1,112,704 | |
Dallas Wtrwks. & Swr. Sys. Rev. Series 2017, 5% 10/1/46 | 500,000 | 585,242 | |
Denton County Gen. Oblig. Series 2020: | |||
4% 5/15/26 | 2,510,000 | 2,796,174 | |
4% 5/15/27 | 1,935,000 | 2,195,546 | |
Denton Independent School District Bonds Series 2014 B, 2%, tender 8/1/24 (a) | 670,000 | 684,882 | |
Fort Worth Gen. Oblig. Series 2016: | |||
5% 3/1/25 | 1,000,000 | 1,114,512 | |
5% 3/1/27 | 1,000,000 | 1,146,880 | |
Gregg County Health Facilities Dev. Series 2012 C, 5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) | 800,000 | 814,796 | |
Harris County Toll Road Rev. Series 2018 A, 5% 8/15/43 | 500,000 | 595,631 | |
Houston Arpt. Sys. Rev. Series 2018 D, 5% 7/1/39 | 2,175,000 | 2,576,290 | |
Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2019, 5% 9/1/33 | 765,000 | 910,770 | |
Houston Gen. Oblig. Series 2017 A, 5% 3/1/31 | 1,250,000 | 1,454,466 | |
Houston Util. Sys. Rev.: | |||
Series 2017 B, 5% 11/15/35 | 1,000,000 | 1,188,965 | |
Series 2020 C, 5% 11/15/28 | 2,400,000 | 2,927,644 | |
Series 2021 A: | |||
5% 11/15/26 | 380,000 | 445,464 | |
5% 11/15/28 | 1,580,000 | 1,933,060 | |
Irving Hosp. Auth. Hosp. Rev. Series 2017 A, 5% 10/15/35 | 410,000 | 460,782 | |
Lower Colorado River Auth. Rev. (LCRA Transmission Svcs. Corp. Proj.): | |||
Series 2018: | |||
5% 5/15/43 | 1,500,000 | 1,767,728 | |
5% 5/15/48 | 1,700,000 | 1,989,994 | |
Series 2020, 5% 5/15/28 | 2,250,000 | 2,689,879 | |
Midlothian Independent School District Bonds Series 2013 C, 2%, tender 8/1/24 (a) | 565,000 | 574,465 | |
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/28 | 1,550,000 | 1,753,050 | |
North East Texas Independent School District Bonds Series 2019, 2.2%, tender 8/1/24 (a) | 345,000 | 352,983 | |
North Texas Tollway Auth. Rev.: | |||
Series 2016 A, 5% 1/1/30 | 750,000 | 847,949 | |
Series 2017 A, 5% 1/1/39 | 4,000,000 | 4,762,999 | |
Series 2018: | |||
4% 1/1/38 | 1,835,000 | 2,051,123 | |
5% 1/1/35 | 500,000 | 591,557 | |
Series 2019 A: | |||
5% 1/1/23 | 2,000,000 | 2,078,321 | |
5% 1/1/24 | 2,100,000 | 2,257,498 | |
5% 1/1/38 | 5,000,000 | 6,040,862 | |
Series 2019 B, 5% 1/1/25 | 645,000 | 715,485 | |
Series 2021 B, 4% 1/1/33 | 2,000,000 | 2,331,996 | |
Pasadena Independent School District Bonds Series 2015 B, 1.5%, tender 8/15/24 (a) | 2,325,000 | 2,341,175 | |
Plano Independent School District Series 2016 A, 5% 2/15/23 | 1,000,000 | 1,044,629 | |
San Antonio Elec. & Gas Sys. Rev. Bonds: | |||
Series 2018, 2.75%, tender 12/1/22 (a) | 1,400,000 | 1,422,023 | |
Series 2020, 1.75%, tender 12/1/25 (a) | 10,750,000 | 10,946,605 | |
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) | 2,285,000 | 2,428,778 | |
Series 2020, 5% 12/1/24 | 550,000 | 609,215 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev. (Buckner Retirement Svcs., Inc.) Series 2016 B, 5% 11/15/40 | 950,000 | 1,067,928 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
Series 2016 A, 5% 2/15/47 | 8,000,000 | 9,062,441 | |
Series 2018 A, 5% 7/1/22 | 800,000 | 814,897 | |
Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Series 2019, 2.95% 7/1/36 | 720,108 | 747,030 | |
Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev. Series 2019 A, 4% 3/1/50 | 815,000 | 884,290 | |
Texas Private Activity Bond Surface Trans. Corp. (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A: | |||
4% 6/30/36 | 825,000 | 928,193 | |
4% 6/30/38 | 2,100,000 | 2,352,814 | |
4% 12/31/39 | 1,750,000 | 1,956,216 | |
Texas Pub. Fin. Auth. Lease Rev. Series 2019, 5% 2/1/25 | 1,150,000 | 1,279,229 | |
Texas State Univ. Sys. Fing. Rev. Series 2019 A: | |||
5% 3/15/24 | 1,435,000 | 1,554,352 | |
5% 3/15/25 | 1,500,000 | 1,675,645 | |
5% 3/15/26 | 1,855,000 | 2,131,343 | |
Texas Trans. Commission Series 2019 A, 0% 8/1/41 | 1,500,000 | 677,955 | |
Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (a) | 8,800,000 | 8,461,318 | |
Texas Wtr. Dev. Board Rev.: | |||
Series 2017 A, 5% 4/15/23 | 1,000,000 | 1,051,488 | |
Series 2018 A, 5% 10/15/43 | 1,000,000 | 1,189,118 | |
Series 2018 B, 5% 4/15/49 | 1,000,000 | 1,195,160 | |
TOTAL TEXAS | 144,478,726 | ||
Utah - 1.0% | |||
Salt Lake City Arpt. Rev.: | |||
Series 2017 B, 5% 7/1/47 | 4,000,000 | 4,669,700 | |
Series 2018 B, 5% 7/1/48 | 1,000,000 | 1,174,610 | |
Series 2021 B: | |||
5% 7/1/46 | 2,465,000 | 3,002,390 | |
5% 7/1/51 | 9,920,000 | 11,994,880 | |
Utah Gen. Oblig. Series 2020, 5% 7/1/26 | 1,000,000 | 1,161,541 | |
TOTAL UTAH | 22,003,121 | ||
Vermont - 0.1% | |||
Vermont Hsg. Fin. Agcy.: | |||
Series 2021 B, 3% 11/1/51 | 1,100,000 | 1,158,239 | |
Series A, 3.75% 11/1/50 | 1,700,000 | 1,816,230 | |
TOTAL VERMONT | 2,974,469 | ||
Virginia - 0.9% | |||
Norfolk Series 2019, 5% 8/1/27 | 2,150,000 | 2,564,168 | |
Roanoke Econ. Dev. Auth. Edl. Facilities Series 2018 A, 5% 9/1/27 | 500,000 | 578,536 | |
Salem Econ. Dev. Auth. Series 2020: | |||
4% 4/1/38 | 280,000 | 308,969 | |
4% 4/1/39 | 250,000 | 275,283 | |
4% 4/1/40 | 280,000 | 307,817 | |
4% 4/1/45 | 750,000 | 816,580 | |
5% 4/1/22 | 225,000 | 226,548 | |
5% 4/1/24 | 300,000 | 321,354 | |
5% 4/1/26 | 350,000 | 393,392 | |
5% 4/1/27 | 350,000 | 401,822 | |
5% 4/1/28 | 440,000 | 514,360 | |
5% 4/1/29 | 575,000 | 683,189 | |
5% 4/1/49 | 1,000,000 | 1,170,163 | |
Virginia Gen. Oblig. Series 2018 A, 5% 6/1/27 | 1,975,000 | 2,346,101 | |
Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2021 A1, 5% 8/1/27 | 7,460,000 | 8,892,706 | |
York County Econ. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2009 A, 1.9%, tender 6/1/23 (a) | 300,000 | 304,064 | |
TOTAL VIRGINIA | 20,105,052 | ||
Washington - 2.8% | |||
King County Hsg. Auth. Rev.: | |||
Series 2019, 3% 11/1/22 | 1,140,000 | 1,159,393 | |
Series 2021, 4% 12/1/29 | 720,000 | 825,157 | |
Port of Seattle Rev. Series 2015 B, 5% 3/1/25 | 250,000 | 274,298 | |
Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. Series 2017, 5% 12/1/38 | 1,175,000 | 1,300,544 | |
Univ. of Washington Univ. Revs. Series 2020 A, 5% 4/1/50 | 3,250,000 | 3,965,828 | |
Washington Gen. Oblig.: | |||
Series 2015 C, 5% 2/1/24 | 1,250,000 | 1,348,671 | |
Series 2016 C, 5% 2/1/39 | 2,560,000 | 2,893,988 | |
Series 2017 D, 5% 2/1/35 | 500,000 | 580,716 | |
Series 2018 C, 5% 2/1/41 | 1,000,000 | 1,181,241 | |
Series 2021 A, 5% 8/1/43 | 900,000 | 1,109,469 | |
Series 2021 C, 5% 2/1/44 | 13,040,000 | 16,185,993 | |
Washington Health Care Facilities Auth. Rev.: | |||
(Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B: | |||
5% 7/1/31 | 45,000 | 53,311 | |
5% 7/1/42 | 560,000 | 656,453 | |
(Providence Health Systems Proj.) Series 2012 A, 5% 10/1/24 | 200,000 | 205,914 | |
(Virginia Mason Med. Ctr. Proj.) Series 2017: | |||
5% 8/15/25 | 245,000 | 272,283 | |
5% 8/15/26 | 225,000 | 255,930 | |
Series 2015, 5% 1/1/25 | 1,000,000 | 1,104,122 | |
Series 2017 A, 4% 7/1/42 | 5,780,000 | 6,402,545 | |
Series 2017: | |||
4% 8/15/42 | 7,000,000 | 7,492,443 | |
5% 8/15/36 | 500,000 | 571,679 | |
Series 2020: | |||
5% 9/1/38 | 2,000,000 | 2,455,722 | |
5% 9/1/45 | 2,250,000 | 2,738,797 | |
5% 9/1/50 | 2,500,000 | 3,026,051 | |
Washington Higher Ed. Facilities Auth. Rev. (Whitworth Univ. Proj.) Series 2016 A: | |||
5% 10/1/25 | 430,000 | 480,967 | |
5% 10/1/26 | 2,010,000 | 2,295,690 | |
5% 10/1/34 | 1,510,000 | 1,706,180 | |
TOTAL WASHINGTON | 60,543,385 | ||
Wisconsin - 1.6% | |||
Pub. Fin. Auth. Edl. Facilities Series 2018 A: | |||
5.25% 10/1/43 | 530,000 | 593,466 | |
5.25% 10/1/48 | 530,000 | 590,693 | |
Pub. Fin. Auth. Hosp. Rev. Series 2019 A, 5% 10/1/44 | 1,445,000 | 1,706,522 | |
Roseman Univ. of Health: | |||
Series 2020, 5% 4/1/50 (b) | 395,000 | 443,298 | |
Series 2021 A, 4.5% 6/1/56 (b) | 5,725,000 | 5,529,433 | |
Series 2021 B, 6.5% 6/1/56 (b) | 1,700,000 | 1,672,025 | |
Wisconsin Gen. Oblig.: | |||
Series 2014 4, 5% 5/1/25 | 1,240,000 | 1,371,752 | |
Series 2021 A: | |||
5% 5/1/33 | 510,000 | 614,940 | |
5% 5/1/36 | 5,685,000 | 6,845,440 | |
Wisconsin Health & Edl. Facilities: | |||
Series 2018, 5% 4/1/34 | 2,000,000 | 2,413,902 | |
Series 2019 A: | |||
2.25% 11/1/26 | 325,000 | 326,120 | |
5% 11/1/25 | 240,000 | 260,609 | |
5% 11/1/29 | 170,000 | 189,925 | |
5% 12/1/30 | 300,000 | 368,876 | |
5% 12/1/31 | 300,000 | 367,880 | |
5% 12/1/32 | 350,000 | 428,861 | |
5% 12/1/33 | 350,000 | 428,687 | |
5% 12/1/34 | 350,000 | 428,102 | |
5% 12/1/35 | 450,000 | 549,881 | |
5% 7/1/44 | 500,000 | 565,126 | |
5% 11/1/46 | 1,445,000 | 1,571,068 | |
5% 7/1/49 | 2,000,000 | 2,251,469 | |
Series 2019 B, 5% 7/1/38 | 355,000 | 403,335 | |
Series 2019 B1, 2.825% 11/1/28 | 365,000 | 364,998 | |
Series 2019 B2, 2.55% 11/1/27 | 235,000 | 235,690 | |
Series 2019: | |||
5% 10/1/24 | 270,000 | 295,658 | |
5% 10/1/26 | 550,000 | 634,566 | |
Wisconsin Hsg. & Econ. Dev. Auth.: | |||
Series 2021 A, 3% 3/1/52 | 925,000 | 970,196 | |
Series 2021 C, 3% 9/1/52 | 1,280,000 | 1,349,416 | |
Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C: | |||
0.61%, tender 5/1/24 (a) | 230,000 | 226,611 | |
0.81%, tender 5/1/25 (a) | 765,000 | 748,348 | |
Wisconsin St Gen. Fund Annual Appropriation Series 2019 A, 5% 5/1/29 | 500,000 | 590,529 | |
TOTAL WISCONSIN | 35,337,422 | ||
Wyoming - 0.1% | |||
Wyoming Cmnty. Dev. Auth. Hsg. Rev. Series 2019 3, 3.75% 12/1/49 | 2,885,000 | 3,023,657 | |
TOTAL MUNICIPAL BONDS | |||
(Cost $2,027,787,474) | 2,046,420,205 | ||
Shares | Value | ||
Money Market Funds - 6.1% | |||
Fidelity Tax-Free Cash Central Fund 0.08% (d)(e) | |||
(Cost $132,218,137) | 132,181,806 | 132,221,448 | |
TOTAL INVESTMENT IN SECURITIES - 100.6% | |||
(Cost $2,160,005,611) | 2,178,641,653 | ||
NET OTHER ASSETS (LIABILITIES) - (0.6)% | (13,125,295) | ||
NET ASSETS - 100% | $2,165,516,358 |
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) 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 $14,992,123 or 0.7% of net assets.
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(d) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.
(e) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
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 Tax-Free Cash Central Fund 0.08% | $128,530,960 | $440,590,994 | $436,904,000 | $66,273 | $148 | $3,346 | $132,221,448 | 13.6% |
Total | $128,530,960 | $440,590,994 | $436,904,000 | $66,273 | $148 | $3,346 | $132,221,448 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2022, 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 | $2,046,420,205 | $-- | $2,046,420,205 | $-- |
Money Market Funds | 132,221,448 | 132,221,448 | -- | -- |
Total Investments in Securities: | $2,178,641,653 | $132,221,448 | $2,046,420,205 | $-- |
Other Information
The distribution of municipal securities by revenue source, as a percentage of total Net Assets, is as follows (Unaudited):
General Obligations | 25.7% |
Transportation | 17.6% |
Health Care | 14.9% |
Education | 11.2% |
Special Tax | 7.4% |
Others* (Individually Less Than 5%) | 23.2% |
100.0% |
* Includes net other assets
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
January 31, 2022 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,027,787,474) | $2,046,420,205 | |
Fidelity Central Funds (cost $132,218,137) | 132,221,448 | |
Total Investment in Securities (cost $2,160,005,611) | $2,178,641,653 | |
Cash | 224,375 | |
Receivable for investments sold | 831 | |
Receivable for fund shares sold | 147,716,666 | |
Interest receivable | 18,911,869 | |
Distributions receivable from Fidelity Central Funds | 3,480 | |
Prepaid expenses | 1,702 | |
Receivable from investment adviser for expense reductions | 173,885 | |
Other receivables | 155 | |
Total assets | 2,345,674,616 | |
Liabilities | ||
Payable for investments purchased on a delayed delivery basis | $38,954,412 | |
Payable for fund shares redeemed | 137,316,722 | |
Distributions payable | 3,192,644 | |
Accrued management fee | 612,634 | |
Other payables and accrued expenses | 81,846 | |
Total liabilities | 180,158,258 | |
Net Assets | $2,165,516,358 | |
Net Assets consist of: | ||
Paid in capital | $2,147,044,208 | |
Total accumulated earnings (loss) | 18,472,150 | |
Net Assets | $2,165,516,358 | |
Net Asset Value, offering price and redemption price per share ($2,165,516,358 ÷ 204,129,535 shares) | $10.61 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended January 31, 2022 | ||
Investment Income | ||
Interest | $41,301,144 | |
Income from Fidelity Central Funds | 63,753 | |
Total income | 41,364,897 | |
Expenses | ||
Management fee | $7,082,110 | |
Custodian fees and expenses | 19,652 | |
Independent trustees' fees and expenses | 5,958 | |
Registration fees | 142,428 | |
Audit | 61,602 | |
Legal | 3,274 | |
Miscellaneous | 8,280 | |
Total expenses before reductions | 7,323,304 | |
Expense reductions | (2,237,960) | |
Total expenses after reductions | 5,085,344 | |
Net investment income (loss) | 36,279,553 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,257,366 | |
Fidelity Central Funds | 148 | |
Capital gain distributions from Fidelity Central Funds | 2,520 | |
Total net realized gain (loss) | 1,260,034 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (71,423,893) | |
Fidelity Central Funds | 3,346 | |
Total change in net unrealized appreciation (depreciation) | (71,420,547) | |
Net gain (loss) | (70,160,513) | |
Net increase (decrease) in net assets resulting from operations | $(33,880,960) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended January 31, 2022 | Year ended January 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $36,279,553 | $32,502,806 |
Net realized gain (loss) | 1,260,034 | (1,228,392) |
Change in net unrealized appreciation (depreciation) | (71,420,547) | 20,868,388 |
Net increase (decrease) in net assets resulting from operations | (33,880,960) | 52,142,802 |
Distributions to shareholders | (36,466,591) | (33,083,617) |
Share transactions | ||
Proceeds from sales of shares | 2,075,633,983 | 1,110,999,262 |
Reinvestment of distributions | 1,779,197 | 223 |
Cost of shares redeemed | (1,639,170,620) | (935,959,504) |
Net increase (decrease) in net assets resulting from share transactions | 438,242,560 | 175,039,981 |
Total increase (decrease) in net assets | 367,895,009 | 194,099,166 |
Net Assets | ||
Beginning of period | 1,797,621,349 | 1,603,522,183 |
End of period | $2,165,516,358 | $1,797,621,349 |
Other Information | ||
Shares | ||
Sold | 190,831,072 | 105,747,535 |
Issued in reinvestment of distributions | 163,167 | 21 |
Redeemed | (150,683,639) | (89,175,378) |
Net increase (decrease) | 40,310,600 | 16,572,178 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Tax-Free Bond Fund
Years ended January 31, | 2022 | 2021 | 2020 | 2019 A |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $10.97 | $10.89 | $10.19 | $10.00 |
Income from Investment Operations | ||||
Net investment income (loss)B,C | .194 | .215 | .241 | .081 |
Net realized and unrealized gain (loss) | (.359) | .085 | .735 | .176 |
Total from investment operations | (.165) | .300 | .976 | .257 |
Distributions from net investment income | (.194) | (.216) | (.248) | (.067) |
Distributions from net realized gain | (.001) | (.004) | (.028) | – |
Total distributions | (.195) | (.220) | (.276) | (.067) |
Net asset value, end of period | $10.61 | $10.97 | $10.89 | $10.19 |
Total ReturnD,E | (1.53)% | 2.83% | 9.68% | 2.58% |
Ratios to Average Net AssetsC,F,G | ||||
Expenses before reductions | .36% | .36% | .43% | .60%H,I |
Expenses net of fee waivers, if any | .25% | .25% | .25% | .25%H |
Expenses net of all reductions | .25% | .25% | .25% | .25%H |
Net investment income (loss) | 1.78% | 2.02% | 2.28% | 2.38%H |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $2,165,516 | $1,797,621 | $1,603,522 | $489,517 |
Portfolio turnover rateJ | 6% | 32% | 12% | 2%K |
A For the period October 2, 2018 (commencement of operations) through January 31, 2019.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying 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.
G 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.
H Annualized
I Audit fees are not annualized.
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended January 31, 2022
1. Organization.
Fidelity SAI Tax-Free Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company 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 – Unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Municipal securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 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 January 31, 2022, 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, capital loss carryforwards and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $44,862,061 |
Gross unrealized depreciation | (26,200,873) |
Net unrealized appreciation (depreciation) | $18,661,188 |
Tax Cost | $2,159,980,465 |
The tax-based components of distributable earnings as of period end were as follows:
Net unrealized appreciation (depreciation) on securities and other investments | $18,661,188 |
The Fund intends to elect to defer to its next fiscal year $137,384 of capital losses recognized during the period November 1, 2021 to January 31, 2022.
The tax character of distributions paid was as follows:
January 31, 2022 | January 31, 2021 | |
Tax-exempt Income | $36,271,346 | $32,501,151 |
Ordinary Income | – | 582,466 |
Long-term Capital Gains | 195,245 | – |
Total | $36,466,591 | $ 33,083,617 |
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 Tax-Free Bond Fund | 590,303,872 | 123,669,304 |
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 Tax-Free Bond Fund | $3,393 |
7. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .25% of average net assets. This reimbursement will remain in place through May 31, 2023. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $2,211,328.
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 $825.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $25,807.
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 Tax-Free Bond Fund
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI Tax-Free Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2022, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the three years in the period then ended and for the period from October 2, 2018 (commencement of operations) through January 31, 2019, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of January 31, 2022, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and for the period from October 2, 2018 (commencement of operations) through January 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of January 31, 2022, 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
March 16, 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 of Trustee, 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. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's 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
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
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 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 a member of the Board of McKesson Corporation (healthcare service, 2002-2021). In addition, 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 (August 1, 2021 to January 31, 2022).
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 August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During Period-B August 1, 2021 to January 31, 2022 | |
Fidelity SAI Tax-Free Bond Fund | .25% | |||
Actual | $1,000.00 | $967.10 | $1.24 | |
Hypothetical-C | $1,000.00 | $1,023.95 | $1.28 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the 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 January 31, 2022, $174,546, or, if subsequently determined to be different, the net capital gain of such year.
During fiscal year ended 2022, 100% of the fund's income dividends was free from federal income tax, and 0.00% of the fund's income dividends was subject to the federal alternative minimum tax.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI Tax-Free Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company 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/0001379491-22-001092/img782536538.jpg)
STF-ANN-0422
1.9887620.103
Item 2.
Code of Ethics
As of the end of the period, January 31, 2022, Fidelity Salem Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity SAI Tax-Free Bond Fund, Fidelity Series Large Cap Value Index Fund, and Fidelity Tax-Free Bond Fund (the “Funds”):
Services Billed by Deloitte Entities
January 31, 2022 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity SAI Tax-Free Bond Fund | $48,400 | $- | $7,500 | $1,100 |
Fidelity Series Large Cap Value Index Fund | $44,100 | $- | $9,300 | $1,000 |
Fidelity Tax-Free Bond Fund | $49,800 | $- | $7,200 | $1,100 |
January 31, 2021 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity SAI Tax-Free Bond Fund | $47,200 | $- | $7,300 | $1,200 |
Fidelity Series Large Cap Value Index Fund | $43,000 | $- | $9,000 | $1,100 |
Fidelity Tax-Free Bond Fund | $48,600 | $- | $7,000 | $1,200 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the 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
January 31, 2022A | January 31, 2021A | |
Audit-Related Fees | $- | $- |
Tax Fees | $- | $- |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities 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 | January 31, 2022A | January 31, 2021A |
Deloitte Entities | $548,800 | $528,400 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities, 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: | March 24, 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: | March 24, 2022 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | March 24, 2022 |