N-CSRS 1 filing7006.htm PRIMARY DOCUMENT

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, MA 02210

 (Address of principal executive offices)       (Zip code)


Margaret Carey, 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:

February 28



Date of reporting period:

August 31, 2023


Item 1.

Reports to Stockholders

Fidelity® Short-Term Treasury Bond Index Fund
Fidelity® Intermediate Treasury Bond Index Fund
Fidelity® Long-Term Treasury Bond Index Fund
 
 
Semi-Annual Report
August 31, 2023

Contents

Fidelity® Short-Term Treasury Bond Index Fund

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Intermediate Treasury Bond Index Fund

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Long-Term Treasury Bond Index Fund

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
 
 
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
BLOOMBERG ® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively "Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg's licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
 
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Funds nor Fidelity Distributors Corporation is a bank.
 
Coupon Distribution (% of Fund's Investments)
 
0.01 - 0.99%
41.8
 
1 - 1.99%
23.1
 
2 - 2.99%
13.3
 
3 - 3.99%
5.7
 
4 - 4.99%
6.5
 
6 - 6.99%
3.7
 
7 - 7.99%
2.0
 
 
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
 
 
Asset Allocation (% of Fund's net assets)
 
Fidelity® Short-Term Treasury Bond Index Fund
U.S. Government and Government Agency Obligations - 99.1%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 99.1%
 
 
 
U.S. Treasury Bonds:
 
 
 
 6% 2/15/26
 
90,800,000
93,481,438
 6.5% 11/15/26
 
15,700,000
16,624,828
 6.625% 2/15/27
 
43,850,000
46,861,262
 7.5% 11/15/24
 
81,650,000
83,853,912
U.S. Treasury Notes:
 
 
 
 0.125% 10/15/23
 
34,000
33,782
 0.125% 1/15/24
 
685,000
671,889
 0.25% 11/15/23
 
49,000
48,483
 0.25% 5/15/24
 
4,000
3,857
 0.25% 6/15/24
 
4,052,000
3,892,453
 0.25% 5/31/25
 
70,999,000
65,424,470
 0.25% 6/30/25 (b)
 
186,797,000
171,663,516
 0.25% 7/31/25
 
66,709,000
61,109,092
 0.25% 8/31/25
 
1,777,000
1,622,484
 0.25% 9/30/25
 
73,948,000
67,373,561
 0.25% 10/31/25
 
65,108,000
59,108,399
 0.375% 7/15/24
 
3,789,000
3,628,116
 0.375% 9/15/24
 
28,200,000
26,793,305
 0.375% 4/30/25
 
48,530,000
44,971,765
 0.375% 11/30/25
 
74,272,000
67,413,445
 0.375% 12/31/25
 
101,056,000
91,566,210
 0.375% 1/31/26
 
53,641,000
48,413,098
 0.375% 7/31/27
 
69,145,000
59,264,828
 0.375% 9/30/27
 
57,950,000
49,397,848
 0.5% 3/31/25
 
30,156,000
28,089,843
 0.5% 2/28/26
 
156,251,000
141,077,562
 0.5% 5/31/27
 
38,450,000
33,307,313
 0.5% 6/30/27
 
42,550,000
36,767,521
 0.5% 8/31/27
 
4,638,000
3,985,057
 0.5% 10/31/27
 
41,550,000
35,500,904
 0.625% 10/15/24
 
68,350,000
64,903,131
 0.625% 7/31/26
 
88,662,000
79,286,686
 0.625% 3/31/27
 
42,900,000
37,547,555
 0.625% 11/30/27
 
17,100,000
14,653,898
 0.625% 12/31/27
 
72,400,000
61,893,515
 0.75% 11/15/24
 
31,100,000
29,480,613
 0.75% 3/31/26
 
37,599,000
34,124,030
 0.75% 4/30/26
 
111,232,000
100,595,440
 0.75% 5/31/26
 
28,334,000
25,553,726
 0.75% 8/31/26
 
99,555,000
89,128,947
 0.75% 1/31/28
 
70,000,000
60,038,672
 0.875% 6/30/26
 
58,618,000
52,987,466
 0.875% 9/30/26
 
6,650,000
5,967,596
 1% 12/15/24
 
26,845,000
25,449,270
 1% 7/31/28
 
75,250,000
64,397,539
 1.125% 1/15/25
 
49,688,000
47,050,266
 1.125% 2/28/25
 
33,469,000
31,569,373
 1.125% 10/31/26
 
52,000,000
46,877,188
 1.125% 2/29/28
 
6,900,000
6,007,043
 1.25% 8/31/24
 
2,718,000
2,608,961
 1.25% 11/30/26
 
33,550,000
30,301,154
 1.25% 12/31/26
 
54,250,000
48,926,719
 1.25% 3/31/28
 
77,550,000
67,774,459
 1.25% 4/30/28
 
62,800,000
54,768,469
 1.25% 5/31/28
 
189,650,000
165,091,806
 1.375% 1/31/25
 
19,747,000
18,738,823
 1.5% 9/30/24
 
25,352,000
24,341,881
 1.5% 10/31/24
 
62,498,000
59,858,924
 1.5% 11/30/24
 
20,762,000
19,831,765
 1.5% 2/15/25
 
650,000
617,145
 1.5% 1/31/27
 
43,913,000
39,832,179
 1.625% 10/31/23
 
1,735,000
1,724,224
 1.625% 2/15/26
 
18,261,000
16,974,170
 1.625% 5/15/26
 
1,845,000
1,706,193
 1.625% 10/31/26
 
57,250,000
52,428,477
 1.75% 12/31/24
 
116,456,000
111,333,755
 1.875% 8/31/24
 
3,571,000
3,449,921
 1.875% 7/31/26
 
8,900,000
8,255,793
 1.875% 2/28/27
 
23,400,000
21,466,758
 2% 4/30/24
 
1,027,000
1,004,334
 2% 5/31/24
 
28,000
27,297
 2% 6/30/24
 
3,977,000
3,867,788
 2% 2/15/25
 
7,900,000
7,556,844
 2% 8/15/25
 
22,242,000
21,055,181
 2.125% 11/30/23
 
45,000
44,634
 2.125% 7/31/24
 
3,576,000
3,471,653
 2.125% 9/30/24
 
17,000
16,428
 2.125% 11/30/24
 
37,262,000
35,866,130
 2.125% 5/15/25
 
12,159,000
11,591,422
 2.125% 5/31/26
 
2,400,000
2,248,969
 2.25% 12/31/23
 
1,861,000
1,841,736
 2.25% 4/30/24
 
29,000
28,401
 2.25% 10/31/24
 
2,533,000
2,446,918
 2.25% 11/15/24
 
31,103,000
30,013,180
 2.25% 12/31/24
 
2,818,000
2,711,995
 2.25% 11/15/25
 
34,438,000
32,625,969
 2.25% 8/15/27
 
14,900,000
13,757,473
 2.25% 11/15/27
 
24,300,000
22,345,559
 2.5% 5/15/24
 
24,000
23,511
 2.5% 1/31/25
 
2,729,000
2,630,820
 2.5% 3/31/27
 
35,100,000
32,889,797
 2.625% 12/31/23
 
14,000
13,870
 2.625% 4/15/25
 
49,000,000
47,166,328
 2.625% 12/31/25
 
1,150,000
1,097,127
 2.625% 1/31/26
 
79,600,000
75,846,984
 2.625% 5/31/27
 
58,650,000
55,053,106
 2.75% 11/15/23
 
33,000
32,818
 2.75% 2/28/25
 
36,148,000
34,929,417
 2.75% 6/30/25
 
34,100,000
32,805,266
 2.75% 4/30/27
 
15,400,000
14,535,555
 2.75% 7/31/27
 
14,000,000
13,179,141
 2.75% 2/15/28
 
31,500,000
29,511,563
 2.875% 10/31/23
 
30,000
29,878
 2.875% 11/30/23
 
675,000
670,729
 2.875% 11/30/25
 
29,550,000
28,374,926
 3% 6/30/24
 
3,900,000
3,823,980
 3% 7/15/25
 
7,450,000
7,195,652
 3.125% 8/15/25
 
30,400,000
29,410,813
 3.125% 8/31/27
 
6,444,000
6,148,986
 3.25% 8/31/24
 
3,550,000
3,476,643
 3.25% 6/30/27
 
47,600,000
45,696,000
 3.5% 1/31/28
 
79,350,000
76,730,830
 3.75% 4/15/26
 
11,500,000
11,251,582
 3.875% 11/30/27
 
56,350,000
55,315,449
 4% 12/15/25
 
26,650,000
26,219,019
 4% 2/29/28
 
7,500,000
7,407,715
 4.125% 6/15/26
 
37,400,000
36,967,563
 4.125% 9/30/27
 
20,800,000
20,607,438
 4.125% 10/31/27
 
28,100,000
27,837,660
 4.375% 8/31/28
 
120,850,000
121,595,872
 4.5% 11/30/24
 
32,050,000
31,762,051
 
 
 
 
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $4,193,531,720)
 
 
 
4,042,253,771
 
 
 
 
Money Market Funds - 4.0%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.43% (c)
 
25,379,453
25,384,529
Fidelity Securities Lending Cash Central Fund 5.44% (c)(d)
 
140,083,179
140,097,188
 
TOTAL MONEY MARKET FUNDS
 (Cost $165,481,717)
 
 
165,481,717
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 103.1%
 (Cost $4,359,013,437)
 
 
 
4,207,735,488
NET OTHER ASSETS (LIABILITIES) - (3.1)%  
(128,383,805)
NET ASSETS - 100.0%
4,079,351,683
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(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 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.
 
 
Affiliate
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 5.43%
10,146,929
321,540,723
306,303,123
254,796
-
-
25,384,529
0.1%
Fidelity Securities Lending Cash Central Fund 5.44%
201,134,716
181,985,631
243,023,159
9,696
-
-
140,097,188
0.5%
Total
211,281,645
503,526,354
549,326,282
264,492
-
-
165,481,717
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend 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.
 
Amounts in the dividend income column 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.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of August 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
 
 
 
 
 U.S. Government and Government Agency Obligations
4,042,253,771
-
4,042,253,771
-
  Money Market Funds
165,481,717
165,481,717
-
-
 Total Investments in Securities:
4,207,735,488
165,481,717
4,042,253,771
-
Fidelity® Short-Term Treasury Bond Index Fund
Statement of Assets and Liabilities
 
 
 
August 31, 2023
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $137,329,614) - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $4,193,531,720)
$
4,042,253,771
 
 
Fidelity Central Funds (cost $165,481,717)
165,481,717
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $4,359,013,437)
 
 
$
4,207,735,488
Receivable for investments sold
 
 
166,662,188
Receivable for fund shares sold
 
 
1,853,679
Interest receivable
 
 
13,780,133
Distributions receivable from Fidelity Central Funds
 
 
50,967
  Total assets
 
 
4,390,082,455
Liabilities
 
 
 
 
Payable for investments purchased
$
167,883,209
 
 
Payable for fund shares redeemed
1,627,998
 
 
Distributions payable
1,020,892
 
 
Accrued management fee
101,485
 
 
Collateral on securities loaned
140,097,188
 
 
  Total Liabilities
 
 
 
310,730,772
Net Assets  
 
 
$
4,079,351,683
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
4,316,153,759
Total accumulated earnings (loss)
 
 
 
(236,802,076)
Net Assets
 
 
$
4,079,351,683
Net Asset Value, offering price and redemption price per share ($4,079,351,683 ÷ 411,444,845 shares)
 
 
$
9.91
 
Statement of Operations
 
 
 
Six months ended
August 31, 2023
(Unaudited)
Investment Income
 
 
 
 
Interest  
 
 
$
54,728,836
Income from Fidelity Central Funds (including $9,696 from security lending)
 
 
264,492
 Total Income
 
 
 
54,993,328
Expenses
 
 
 
 
Management fee
$
583,868
 
 
Independent trustees' fees and expenses
6,597
 
 
 Total expenses before reductions
 
590,465
 
 
 Expense reductions
 
(32)
 
 
 Total expenses after reductions
 
 
 
590,433
Net Investment income (loss)
 
 
 
54,402,895
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(40,907,952)
 
 
Total net realized gain (loss)
 
 
 
(40,907,952)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
62,218,652
Net gain (loss)
 
 
 
21,310,700
Net increase (decrease) in net assets resulting from operations
 
 
$
75,713,595
Statement of Changes in Net Assets
 
 
Six months ended
August 31, 2023
(Unaudited)
 
Year ended
February 28, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
54,402,895
$
61,541,099
Net realized gain (loss)
 
(40,907,952)
 
 
(89,024,350)
 
Change in net unrealized appreciation (depreciation)
 
62,218,652
 
(132,404,510)
 
Net increase (decrease) in net assets resulting from operations
 
75,713,595
 
 
(159,887,761)
 
Distributions to shareholders
 
(27,988,819)
 
 
(45,142,094)
 
 
 
 
 
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
1,333,284,928
 
3,110,410,601
  Reinvestment of distributions
 
22,563,339
 
 
35,908,118
 
Cost of shares redeemed
 
(1,585,469,137)
 
(2,591,370,911)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
 
(229,620,870)
 
 
554,947,808
 
Total increase (decrease) in net assets
 
(181,896,094)
 
 
349,917,953
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
4,261,247,777
 
3,911,329,824
 
End of period
$
4,079,351,683
$
4,261,247,777
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
133,922,211
 
313,032,641
  Issued in reinvestment of distributions
 
2,267,949
 
 
3,615,322
 
Redeemed
 
(158,590,528)
 
(259,451,335)
Net increase (decrease)
 
(22,400,368)
 
57,196,628
 
 
 
 
 
 
Financial Highlights
Fidelity® Short-Term Treasury Bond Index Fund
 
 
Six months ended
(Unaudited) August 31, 2023 
 
Years ended February 28, 2023 
 
2022  
 
2021 
 
2020 A
 
2019   
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
9.82
$
10.38
$
10.76
$
10.72
$
10.30
$
10.22
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.139
 
.164
 
.087
 
.127
 
.217
 
.191
     Net realized and unrealized gain (loss)
 
.022
 
(.606)
 
(.333)
 
.068
 
.402
 
.065
  Total from investment operations
 
.161  
 
(.442)  
 
(.246)  
 
.195  
 
.619
 
.256
  Distributions from net investment income
 
(.071)
 
(.118)
 
(.086)
 
(.125)
 
(.199)
 
(.176)
  Distributions from net realized gain
 
-
 
-
 
(.048)
 
(.030)
 
-
 
-
     Total distributions
 
(.071)
 
(.118)
 
(.134)
 
(.155)
 
(.199)
 
(.176)
  Net asset value, end of period
$
9.91
$
9.82
$
10.38
$
10.76
$
10.72
$
10.30
 Total Return D,E
 
1.64%
 
(4.26)%
 
(2.31)%
 
1.82%
 
6.06%
 
2.53%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.03% H
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Expenses net of fee waivers, if any
 
.03% H
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Expenses net of all reductions
 
.03% H
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Net investment income (loss)
 
2.78% H
 
1.65%
 
.82%
 
1.17%
 
2.07%
 
1.85%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
4,079,352
$
4,261,248
$
3,911,330
$
3,870,957
$
2,570,535
$
1,886,881
    Portfolio turnover rate I
 
81% H
 
60%
 
48%
 
54%
 
46%
 
46%
 
AFor the year ended February 29.
 
BCalculated based on average shares outstanding during the period.
 
CNet 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 mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
DTotal returns for periods of less than one year are not annualized.
 
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
FFees 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.
 
GExpense 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.
 
HAnnualized.
 
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
 
Coupon Distribution (% of Fund's Investments)
 
0.01 - 0.99%
15.7
 
1 - 1.99%
37.8
 
2 - 2.99%
15.4
 
3 - 3.99%
17.6
 
4 - 4.99%
5.0
 
5 - 5.99%
4.8
 
6 - 6.99%
3.1
 
 
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
 
 
Asset Allocation (% of Fund's net assets)
 
Fidelity® Intermediate Treasury Bond Index Fund
U.S. Government and Government Agency Obligations - 99.2%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 99.2%
 
 
 
U.S. Treasury Bonds:
 
 
 
 5.25% 11/15/28
 
66,871,000
69,827,952
 5.25% 2/15/29
 
214,194,000
224,209,242
 5.375% 2/15/31
 
59,700,000
64,310,426
 5.5% 8/15/28
 
41,000
43,183
 6.125% 8/15/29
 
138,750,000
152,245,605
 6.25% 5/15/30
 
73,054,000
81,654,967
 6.375% 8/15/27
 
3,000
3,214
 6.625% 2/15/27
 
315,000
336,632
U.S. Treasury Notes:
 
 
 
 0.375% 7/31/27
 
17,000
14,571
 0.375% 9/30/27
 
28,000
23,868
 0.5% 4/30/27
 
48,000
41,700
 0.5% 5/31/27
 
4,496,000
3,894,660
 0.5% 6/30/27
 
26,000
22,467
 0.5% 10/31/27
 
38,000
32,468
 0.625% 11/30/27
 
115,000
98,550
 0.625% 12/31/27
 
2,000
1,710
 0.625% 5/15/30
 
319,155,000
253,192,144
 0.625% 8/15/30
 
516,322,000
406,825,433
 0.75% 1/31/28
 
4,943,000
4,239,588
 0.875% 11/15/30
 
639,741,000
512,092,676
 1% 7/31/28
 
1,043,000
892,580
 1.125% 2/15/31
 
315,488,000
256,321,677
 1.25% 3/31/28
 
77,000
67,294
 1.25% 4/30/28
 
3,695,000
3,222,444
 1.25% 5/31/28
 
34,000
29,597
 1.25% 6/30/28
 
6,223,000
5,406,717
 1.25% 9/30/28
 
153,750,000
132,687,451
 1.25% 8/15/31
 
411,908,000
332,615,710
 1.375% 10/31/28
 
82,750,000
71,730,674
 1.375% 12/31/28
 
265,150,000
229,033,669
 1.375% 11/15/31
 
360,735,000
292,350,354
 1.5% 11/30/28
 
176,150,000
153,436,284
 1.5% 2/15/30
 
317,987,000
269,754,830
 1.625% 8/15/29
 
280,176,000
242,636,792
 1.625% 5/15/31
 
159,966,000
133,990,271
 1.75% 1/31/29
 
187,020,000
164,446,103
 1.75% 11/15/29
 
253,086,000
220,085,960
 1.875% 2/28/29
 
98,082,000
86,729,775
 1.875% 2/15/32
 
296,922,000
249,508,248
 2.25% 8/15/27
 
3,419,000
3,156,832
 2.375% 5/15/27
 
1,219,000
1,134,432
 2.375% 3/31/29
 
160,125,000
145,219,614
 2.375% 5/15/29
 
255,148,000
231,108,274
 2.625% 2/15/29
 
46,053,000
42,397,543
 2.625% 7/31/29
 
149,350,000
136,783,598
 2.75% 5/31/29
 
64,500,000
59,581,875
 2.75% 8/15/32
 
273,450,000
245,453,421
 2.875% 5/15/28
 
20,000
18,796
 2.875% 4/30/29
 
45,236,000
42,103,054
 2.875% 5/15/32
 
275,400,000
250,280,507
 3.125% 11/15/28
 
195,940,000
185,523,034
 3.125% 8/31/29
 
62,800,000
59,108,047
 3.25% 6/30/29
 
134,750,000
127,791,426
 3.375% 5/15/33
 
396,350,000
373,374,086
 3.5% 2/15/33
 
432,950,000
412,317,227
 3.625% 3/31/30
 
91,350,000
88,238,391
 3.875% 9/30/29
 
14,550,000
14,258,432
 3.875% 11/30/29
 
38,250,000
37,483,506
 3.875% 12/31/29
 
26,700,000
26,162,871
 4% 10/31/29
 
14,700,000
14,503,043
 4% 2/28/30
 
43,100,000
42,551,148
 4% 7/31/30
 
37,450,000
37,005,281
 4.125% 11/15/32
 
279,600,000
279,468,938
 
 
 
 
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $7,932,471,896)
 
 
 
7,473,080,862
 
 
 
 
Money Market Funds - 0.7%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.43% (b)
 
 (Cost $57,766,856)
 
 
57,755,305
57,766,856
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.9%
 (Cost $7,990,238,752)
 
 
 
7,530,847,718
NET OTHER ASSETS (LIABILITIES) - 0.1%  
3,974,046
NET ASSETS - 100.0%
7,534,821,764
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements 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.
 
 
Affiliate
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 5.43%
24,956,860
528,455,669
495,645,673
755,389
-
-
57,766,856
0.1%
Fidelity Securities Lending Cash Central Fund 5.44%
-
793,727,677
793,727,677
32,318
-
-
-
0.0%
Total
24,956,860
1,322,183,346
1,289,373,350
787,707
-
-
57,766,856
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend 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.
 
Amounts in the dividend income column 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.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of August 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
 
 
 
 
 U.S. Government and Government Agency Obligations
7,473,080,862
-
7,473,080,862
-
  Money Market Funds
57,766,856
57,766,856
-
-
 Total Investments in Securities:
7,530,847,718
57,766,856
7,473,080,862
-
Fidelity® Intermediate Treasury Bond Index Fund
Statement of Assets and Liabilities
 
 
 
August 31, 2023
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $7,932,471,896)
$
7,473,080,862
 
 
Fidelity Central Funds (cost $57,766,856)
57,766,856
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $7,990,238,752)
 
 
$
7,530,847,718
Receivable for investments sold
 
 
358,418,494
Receivable for fund shares sold
 
 
8,683,681
Interest receivable
 
 
32,678,861
Distributions receivable from Fidelity Central Funds
 
 
225,545
  Total assets
 
 
7,930,854,299
Liabilities
 
 
 
 
Payable for investments purchased
$
388,772,412
 
 
Payable for fund shares redeemed
5,044,145
 
 
Distributions payable
2,032,220
 
 
Accrued management fee
183,758
 
 
  Total Liabilities
 
 
 
396,032,535
Net Assets  
 
 
$
7,534,821,764
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
8,287,081,966
Total accumulated earnings (loss)
 
 
 
(752,260,202)
Net Assets
 
 
$
7,534,821,764
Net Asset Value, offering price and redemption price per share ($7,534,821,764 ÷ 791,144,072 shares)
 
 
$
9.52
 
Statement of Operations
 
 
 
Six months ended
August 31, 2023
(Unaudited)
Investment Income
 
 
 
 
Interest  
 
 
$
100,474,791
Income from Fidelity Central Funds (including $32,318 from security lending)
 
 
787,707
 Total Income
 
 
 
101,262,498
Expenses
 
 
 
 
Management fee
$
987,665
 
 
Independent trustees' fees and expenses
10,036
 
 
 Total expenses before reductions
 
997,701
 
 
 Expense reductions
 
(6)
 
 
 Total expenses after reductions
 
 
 
997,695
Net Investment income (loss)
 
 
 
100,264,803
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(126,158,088)
 
 
Total net realized gain (loss)
 
 
 
(126,158,088)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
48,714,839
Net gain (loss)
 
 
 
(77,443,249)
Net increase (decrease) in net assets resulting from operations
 
 
$
22,821,554
Statement of Changes in Net Assets
 
 
Six months ended
August 31, 2023
(Unaudited)
 
Year ended
February 28, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
100,264,803
$
87,716,548
Net realized gain (loss)
 
(126,158,088)
 
 
(204,344,494)
 
Change in net unrealized appreciation (depreciation)
 
48,714,839
 
(394,241,058)
 
Net increase (decrease) in net assets resulting from operations
 
22,821,554
 
 
(510,869,004)
 
Distributions to shareholders
 
(71,624,353)
 
 
(74,113,793)
 
 
 
 
 
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
2,887,527,427
 
4,023,207,126
  Reinvestment of distributions
 
60,778,361
 
 
62,294,822
 
Cost of shares redeemed
 
(1,007,179,282)
 
(2,254,532,105)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
 
1,941,126,506
 
 
1,830,969,843
 
Total increase (decrease) in net assets
 
1,892,323,707
 
 
1,245,987,046
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
5,642,498,057
 
4,396,511,011
 
End of period
$
7,534,821,764
$
5,642,498,057
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
297,630,776
 
407,895,188
  Issued in reinvestment of distributions
 
6,269,931
 
 
6,332,883
 
Redeemed
 
(103,507,729)
 
(228,090,762)
Net increase (decrease)
 
200,392,978
 
186,137,309
 
 
 
 
 
 
Financial Highlights
Fidelity® Intermediate Treasury Bond Index Fund
 
 
Six months ended
(Unaudited) August 31, 2023 
 
Years ended February 28, 2023 
 
2022  
 
2021 
 
2020 A
 
2019   
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
9.55
$
10.87
$
11.38
$
11.65
$
10.54
$
10.37
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.147
 
.196
 
.151
 
.174
 
.255
 
.258
     Net realized and unrealized gain (loss)
 
(.072)
 
(1.352)
 
(.443)
 
(.092)
 
1.092
 
.153
  Total from investment operations
 
.075  
 
(1.156)  
 
(.292)  
 
.082  
 
1.347
 
.411
  Distributions from net investment income
 
(.105)
 
(.164)
 
(.148)
 
(.171)
 
(.237)
 
(.241)
  Distributions from net realized gain
 
-
 
-
 
(.070)
 
(.181)
 
-
 
-
     Total distributions
 
(.105)
 
(.164)
 
(.218)
 
(.352)
 
(.237)
 
(.241)
  Net asset value, end of period
$
9.52
$
9.55
$
10.87
$
11.38
$
11.65
$
10.54
 Total Return D,E
 
.77%
 
(10.67)%
 
(2.60)%
 
.63%
 
12.91%
 
4.02%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.03% H
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Expenses net of fee waivers, if any
 
.03% H
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Expenses net of all reductions
 
.03% H
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Net investment income (loss)
 
3.03% H
 
1.97%
 
1.35%
 
1.46%
 
2.30%
 
2.47%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
7,534,822
$
5,642,498
$
4,396,511
$
4,571,767
$
3,508,883
$
2,292,750
    Portfolio turnover rate I
 
46% H
 
41%
 
54%
 
56%
 
58%
 
65%
 
AFor the year ended February 29.
 
BCalculated based on average shares outstanding during the period.
 
CNet 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 mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
DTotal returns for periods of less than one year are not annualized.
 
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
FFees 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.
 
GExpense 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.
 
HAnnualized.
 
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
 
Coupon Distribution (% of Fund's Investments)
 
1 - 1.99%
20.2
 
2 - 2.99%
29.9
 
3 - 3.99%
39.2
 
4 - 4.99%
9.4
 
5 - 5.99%
0.3
 
 
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
 
 
Asset Allocation (% of Fund's net assets)
 
Fidelity® Long-Term Treasury Bond Index Fund
U.S. Government and Government Agency Obligations - 99.1%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 99.1%
 
 
 
U.S. Treasury Bonds:
 
 
 
 1.125% 5/15/40
 
44,059,000
27,287,322
 1.125% 8/15/40
 
89,354,000
54,858,469
 1.25% 5/15/50
 
121,953,000
63,744,261
 1.375% 11/15/40
 
120,088,000
76,663,992
 1.375% 8/15/50
 
195,345,000
105,585,498
 1.625% 11/15/50
 
59,531,000
34,434,963
 1.75% 8/15/41
 
87,455,000
58,762,244
 1.875% 2/15/41
 
142,248,000
98,717,890
 1.875% 2/15/51
 
166,060,000
102,444,749
 1.875% 11/15/51
 
198,350,000
121,876,772
 2% 11/15/41
 
161,000,000
112,655,976
 2% 2/15/50
 
95,816,900
61,356,501
 2% 8/15/51
 
85,854,000
54,507,229
 2.25% 5/15/41
 
100,627,000
74,145,590
 2.25% 8/15/46
 
4,263,000
2,936,474
 2.25% 8/15/49
 
70,459,000
47,931,386
 2.25% 2/15/52
 
114,400,000
77,175,313
 2.375% 2/15/42
 
73,700,000
54,791,226
 2.375% 11/15/49
 
87,745,000
61,363,232
 2.375% 5/15/51
 
160,647,000
111,655,940
 2.5% 2/15/45
 
7,714,000
5,664,667
 2.5% 2/15/46
 
23,223,000
16,883,847
 2.5% 5/15/46
 
41,712,000
30,288,452
 2.75% 8/15/42
 
20,787,000
16,345,403
 2.75% 11/15/42
 
30,225,000
23,698,289
 2.75% 8/15/47
 
21,492,000
16,289,425
 2.75% 11/15/47
 
2,325,000
1,760,461
 2.875% 5/15/43
 
79,168,000
63,059,168
 2.875% 8/15/45
 
72,287,500
56,562,145
 2.875% 11/15/46
 
72,529,000
56,416,796
 2.875% 5/15/49
 
103,640,000
80,333,146
 2.875% 5/15/52
 
96,900,000
75,222,410
 3% 5/15/42
 
40,201,000
32,975,813
 3% 11/15/44
 
45,937,000
36,952,369
 3% 5/15/45
 
57,614,000
46,167,718
 3% 11/15/45
 
57,132,000
45,643,112
 3% 2/15/47
 
39,540,000
31,432,756
 3% 5/15/47
 
11,507,000
9,144,919
 3% 2/15/48
 
85,947,000
68,223,788
 3% 8/15/48
 
93,441,000
74,150,544
 3% 2/15/49
 
111,284,000
88,336,022
 3% 8/15/52
 
95,650,000
76,224,830
 3.125% 11/15/41
 
64,820,000
54,684,279
 3.125% 2/15/42
 
127,856,000
107,438,995
 3.125% 2/15/43
 
47,347,000
39,327,602
 3.125% 8/15/44
 
6,484,300
5,335,363
 3.125% 5/15/48
 
88,953,000
72,246,515
 3.25% 5/15/42
 
70,450,000
60,160,447
 3.375% 8/15/42
 
45,700,000
39,657,246
 3.375% 5/15/44
 
12,779,300
10,958,250
 3.375% 11/15/48
 
49,944,000
42,444,596
 3.5% 2/15/39
 
681,000
625,961
 3.625% 8/15/43
 
119,853,000
107,123,300
 3.625% 2/15/44
 
67,975,000
60,635,824
 3.625% 2/15/53
 
64,600,000
58,200,563
 3.625% 5/15/53
 
111,100,000
100,198,313
 3.75% 8/15/41
 
84,031,000
77,840,278
 3.75% 11/15/43
 
80,368,000
73,106,626
 3.875% 8/15/40
 
19,822,000
18,816,188
 3.875% 2/15/43
 
7,850,000
7,304,180
 4% 11/15/42
 
9,900,000
9,393,012
 4% 11/15/52
 
79,100,000
76,322,230
 4.125% 8/15/53
 
35,950,000
35,466,922
 4.25% 5/15/39
 
10,481,000
10,510,478
 4.25% 11/15/40
 
37,399,000
37,245,606
 4.375% 11/15/39
 
22,043,000
22,344,369
 4.375% 5/15/40
 
23,064,000
23,343,291
 4.375% 5/15/41
 
38,303,000
38,594,761
 4.5% 2/15/36
 
18,065,000
18,876,514
 4.5% 5/15/38
 
460,000
476,280
 4.5% 8/15/39
 
3,983,000
4,105,291
 4.625% 2/15/40
 
15,872,000
16,577,560
 4.75% 2/15/37
 
17,878,000
19,088,955
 4.75% 2/15/41
 
33,921,000
35,837,007
 5% 5/15/37
 
10,719,000
11,717,626
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $4,581,743,454)
 
 
 
3,650,675,535
 
 
 
 
Money Market Funds - 1.0%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.43% (b)
 
 (Cost $36,975,832)
 
 
36,968,438
36,975,832
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.1%
 (Cost $4,618,719,286)
 
 
 
3,687,651,367
NET OTHER ASSETS (LIABILITIES) - (0.1)%  
(4,971,281)
NET ASSETS - 100.0%
3,682,680,086
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements 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.
 
 
Affiliate
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 5.43%
30,440,344
382,491,498
375,956,010
381,382
-
-
36,975,832
0.1%
Fidelity Securities Lending Cash Central Fund 5.44%
-
51,251,838
51,251,838
1,590
-
-
-
0.0%
Total
30,440,344
433,743,336
427,207,848
382,972
-
-
36,975,832
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend 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.
 
Amounts in the dividend income column 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.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of August 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
 
 
 
 
 U.S. Government and Government Agency Obligations
3,650,675,535
-
3,650,675,535
-
  Money Market Funds
36,975,832
36,975,832
-
-
 Total Investments in Securities:
3,687,651,367
36,975,832
3,650,675,535
-
Fidelity® Long-Term Treasury Bond Index Fund
Statement of Assets and Liabilities
 
 
 
August 31, 2023
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $4,581,743,454)
$
3,650,675,535
 
 
Fidelity Central Funds (cost $36,975,832)
36,975,832
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $4,618,719,286)
 
 
$
3,687,651,367
Receivable for investments sold
 
 
22,174,623
Receivable for fund shares sold
 
 
4,725,797
Interest receivable
 
 
21,719,325
Distributions receivable from Fidelity Central Funds
 
 
116,914
  Total assets
 
 
3,736,388,026
Liabilities
 
 
 
 
Payable for investments purchased
$
51,189,931
 
 
Payable for fund shares redeemed
1,805,712
 
 
Distributions payable
621,640
 
 
Accrued management fee
90,657
 
 
  Total Liabilities
 
 
 
53,707,940
Net Assets  
 
 
$
3,682,680,086
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
4,884,128,895
Total accumulated earnings (loss)
 
 
 
(1,201,448,809)
Net Assets
 
 
$
3,682,680,086
Net Asset Value, offering price and redemption price per share ($3,682,680,086 ÷ 373,583,124 shares)
 
 
$
9.86
 
Statement of Operations
 
 
 
Six months ended
August 31, 2023
(Unaudited)
Investment Income
 
 
 
 
Interest  
 
 
$
58,629,257
Income from Fidelity Central Funds (including $1,590 from security lending)
 
 
382,972
 Total Income
 
 
 
59,012,229
Expenses
 
 
 
 
Management fee
$
520,100
 
 
Independent trustees' fees and expenses
5,600
 
 
 Total expenses before reductions
 
525,700
 
 
 Expense reductions
 
(259)
 
 
 Total expenses after reductions
 
 
 
525,441
Net Investment income (loss)
 
 
 
58,486,788
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(49,854,465)
 
 
Total net realized gain (loss)
 
 
 
(49,854,465)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
(118,215,855)
Net gain (loss)
 
 
 
(168,070,320)
Net increase (decrease) in net assets resulting from operations
 
 
$
(109,583,532)
Statement of Changes in Net Assets
 
 
Six months ended
August 31, 2023
(Unaudited)
 
Year ended
February 28, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
58,486,788
$
92,144,080
Net realized gain (loss)
 
(49,854,465)
 
 
(214,222,439)
 
Change in net unrealized appreciation (depreciation)
 
(118,215,855)
 
(820,112,215)
 
Net increase (decrease) in net assets resulting from operations
 
(109,583,532)
 
 
(942,190,574)
 
Distributions to shareholders
 
(54,519,915)
 
 
(88,406,732)
 
 
 
 
 
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
1,036,109,864
 
1,586,555,265
  Reinvestment of distributions
 
51,554,489
 
 
83,448,932
 
Cost of shares redeemed
 
(444,168,285)
 
(1,294,379,641)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
 
643,496,068
 
 
375,624,556
 
Total increase (decrease) in net assets
 
479,392,621
 
 
(654,972,750)
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
3,203,287,465
 
3,858,260,215
 
End of period
$
3,682,680,086
$
3,203,287,465
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
100,111,965
 
142,018,890
  Issued in reinvestment of distributions
 
4,970,282
 
 
7,594,098
 
Redeemed
 
(42,861,023)
 
(114,947,506)
Net increase (decrease)
 
62,221,224
 
34,665,482
 
 
 
 
 
 
Financial Highlights
Fidelity® Long-Term Treasury Bond Index Fund
 
 
Six months ended
(Unaudited) August 31, 2023 
 
Years ended February 28, 2023 
 
2022  
 
2021 
 
2020 A
 
2019   
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
10.29
$
13.94
$
14.49
$
16.10
$
12.53
$
12.42
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.174
 
.320
 
.310
 
.336
 
.378
 
.381
     Net realized and unrealized gain (loss)
 
(.441)
 
(3.663)
 
(.448)
 
(1.296)
 
3.562
 
.101
  Total from investment operations
 
(.267)  
 
(3.343)  
 
(.138)  
 
(.960)  
 
3.940
 
.482
  Distributions from net investment income
 
(.163)
 
(.307)
 
(.301)
 
(.330)
 
(.370)
 
(.372)
  Distributions from net realized gain
 
-
 
-
 
(.111)
 
(.320)
 
-
 
-
     Total distributions
 
(.163)
 
(.307)
 
(.412)
 
(.650)
 
(.370)
 
(.372)
  Net asset value, end of period
$
9.86
$
10.29
$
13.94
$
14.49
$
16.10
$
12.53
 Total Return D,E
 
(2.67)%
 
(24.10)%
 
(1.02)%
 
(6.32)%
 
31.86%
 
3.94%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.03% H
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Expenses net of fee waivers, if any
 
.03% H
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Expenses net of all reductions
 
.03% H
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Net investment income (loss)
 
3.35% H
 
2.85%
 
2.15%
 
2.04%
 
2.69%
 
3.04%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
3,682,680
$
3,203,287
$
3,858,260
$
3,011,856
$
2,691,210
$
2,366,042
    Portfolio turnover rate I
 
12% H
 
26%
 
22%
 
41%
 
54%
 
34%
 
AFor the year ended February 29.
 
BCalculated based on average shares outstanding during the period.
 
CNet 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 mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
DTotal returns for periods of less than one year are not annualized.
 
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
FFees 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.
 
GExpense 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.
 
HAnnualized.
 
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
For the period ended August 31, 2023
 
1. Organization.
Fidelity Short-Term Treasury Bond Index Fund, Fidelity Intermediate Treasury Bond Index Fund and Fidelity Long-Term Treasury Bond Index Fund (the Funds) are funds of Fidelity Salem Street Trust (the Trust). Each Fund 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 RatioA
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
 
 
 
 
 
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
 
3. Significant Accounting Policies.
 
Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated each Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, each Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages each Fund's fair valuation practices and maintains the fair valuation policies and procedures. Each Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
 
Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - 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 each Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services 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 services. 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 August 31, 2023 is included at the end of each Fund's Schedule of Investments.
 
 
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to market discount, capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:
 
 
Tax cost
Gross unrealized appreciation
Gross unrealized depreciation
Net unrealized appreciation (depreciation)
Fidelity Short-Term Treasury Bond Index Fund 
$4,327,455,419
$11,751,200
$(131,471,131)
$(119,719,931)
Fidelity Intermediate Treasury Bond Index Fund 
7,985,797,632
3,011,175
(457,961,089)
(454,949,914)
Fidelity Long-Term Treasury Bond Index Fund 
4,642,925,567
2,670,134
(957,944,334)
(955,274,200)
 
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
 
Short-term
Long-term
Total capital loss carryforward
Fidelity Short-Term Treasury Bond Index Fund 
$(34,962,145)
$(50,963,438)
$(85,925,583)
Fidelity Intermediate Treasury Bond Index Fund 
 (46,165,634)
 (145,012,924)
 (191,178,558)
Fidelity Long-Term Treasury Bond Index Fund 
 (35,021,005)
 (163,246,327)
 (198,267,332)
 
 
 
 
 
4. Fees and Other Transactions with Affiliates.
 
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Funds with investment management related services for which the Funds pay a monthly management fee. The management fee is based on an annual rate of .03% of each Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. During the period, there were no interfund trades.
 
5. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
 
6. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
Total Security Lending Fees Paid to NFS
Security Lending Income From Securities Loaned to NFS
Value of Securities Loaned to NFS at Period End
Fidelity Short-Term Treasury Bond Index Fund
$2,049
$-
$-
Fidelity Intermediate Treasury Bond Index Fund
$3,510
$-
$-
Fidelity Long-Term Treasury Bond Index Fund
$167
$-
$-
 
 
 
 
 
7. Expense Reductions.
Through arrangements with each applicable Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.
 
 
Custodian credits
Fidelity Short-Term Treasury Bond Index Fund 
$32
Fidelity Intermediate Treasury Bond Index Fund 
 6
Fidelity Long-Term Treasury Bond Index Fund 
 259
 
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
 
 
Strategic Advisers Fidelity Core Income Fund
Fidelity Multi-Asset Index Fund
Fidelity Intermediate Treasury Bond Index Fund
25%
-
Fidelity Long-Term Treasury Bond Index Fund
-
10%
Fidelity Short-Term Treasury Bond Index Fund
24%
-
 
Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.
 
Fund
% of shares held
Fidelity Long-Term Treasury Bond Index Fund
24%
 
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
 
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 (March 1, 2023 to August 31, 2023).
 
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 March 1, 2023
 
Ending Account Value August 31, 2023
 
Expenses Paid During Period- C March 1, 2023 to August 31, 2023
 
 
 
 
 
 
 
 
 
 
Fidelity® Short-Term Treasury Bond Index Fund
 
 
 
.03%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,016.40
 
$ .15
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.99
 
$ .15
 
 
 
 
 
 
 
 
 
 
Fidelity® Intermediate Treasury Bond Index Fund
 
 
 
.03%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,007.70
 
$ .15
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.99
 
$ .15
 
 
 
 
 
 
 
 
 
 
Fidelity® Long-Term Treasury Bond Index Fund
 
 
 
.03%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 973.30
 
$ .15
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.99
 
$ .15
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
1.9885079.105
LBX-I-SANN-1023
Fidelity® SAI U.S. Treasury Bond Index Fund
 
 
Semi-Annual Report
August 31, 2023
 
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - 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.

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

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.
BLOOMBERG ® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively "Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg's licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 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.
 
Coupon Distribution (% of Fund's Investments)
 
0.01 - 0.99%
19.7
 
1 - 1.99%
28.6
 
2 - 2.99%
24.4
 
3 - 3.99%
15.0
 
4 - 4.99%
6.8
 
5 - 5.99%
1.1
 
6 - 6.99%
3.7
 
7 - 7.99%
0.1
 
 
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
 
 
Asset Allocation (% of Fund's net assets)
 
 
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 99.5%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 99.5%
 
 
 
U.S. Treasury Bonds:
 
 
 
 1.125% 5/15/40
 
37,584,000
23,277,122
 1.125% 8/15/40
 
140,737,000
86,404,821
 1.25% 5/15/50
 
27,772,000
14,516,294
 1.375% 11/15/40
 
98,334,300
62,776,464
 1.375% 8/15/50
 
79,970,000
43,224,410
 1.625% 11/15/50
 
21,637,500
12,515,941
 1.75% 8/15/41
 
194,327,000
130,571,044
 1.875% 2/15/41
 
14,329,000
9,944,102
 1.875% 2/15/51
 
108,131,000
66,707,534
 1.875% 11/15/51
 
90,363,000
55,523,827
 2% 11/15/41
 
95,700,000
66,963,832
 2% 2/15/50
 
109,278,000
69,976,338
 2% 8/15/51
 
125,145,000
79,452,409
 2.25% 5/15/41
 
75,633,000
55,729,113
 2.25% 8/15/46
 
11,800,000
8,128,172
 2.25% 8/15/49
 
71,080,000
48,353,836
 2.25% 2/15/52
 
138,800,000
93,635,782
 2.375% 2/15/42
 
113,500,000
84,379,975
 2.375% 11/15/49
 
45,460,000
31,791,812
 2.375% 5/15/51
 
144,737,000
100,597,868
 2.5% 2/15/45
 
4,601,000
3,378,680
 2.5% 2/15/46
 
36,723,000
26,698,769
 2.5% 5/15/46
 
21,383,000
15,526,898
 2.75% 8/15/42
 
43,638,000
34,313,787
 2.75% 11/15/42
 
32,626,000
25,580,823
 2.75% 8/15/47
 
12,031,000
9,118,652
 2.75% 11/15/47
 
318,000
240,786
 2.875% 5/15/43
 
56,884,000
45,309,439
 2.875% 8/15/45
 
64,254,000
50,276,245
 2.875% 11/15/46
 
12,089,000
9,403,448
 2.875% 5/15/49
 
11,811,000
9,154,909
 2.875% 5/15/52
 
60,400,000
46,887,859
 3% 5/15/42
 
31,038,000
25,459,647
 3% 11/15/44
 
29,700,000
23,891,098
 3% 5/15/45
 
39,700,000
31,812,726
 3% 11/15/45
 
79,600,000
63,592,938
 3% 2/15/47
 
77,389,000
61,521,232
 3% 5/15/47
 
82,292,000
65,399,638
 3% 2/15/48
 
39,359,000
31,242,744
 3% 8/15/48
 
104,508,000
82,932,814
 3% 2/15/49
 
116,111,000
92,167,642
 3% 8/15/52
 
93,700,000
74,670,847
 3.125% 11/15/41
 
63,264,000
53,371,586
 3.125% 2/15/42
 
11,800,000
9,915,688
 3.125% 2/15/43
 
24,101,000
20,018,893
 3.125% 5/15/48
 
115,704,500
93,973,749
 3.25% 5/15/42
 
64,100,000
54,737,894
 3.375% 8/15/42
 
24,200,000
21,000,117
 3.375% 5/15/44
 
16,600,000
14,234,500
 3.375% 11/15/48
 
32,191,300
27,357,575
 3.5% 2/15/39
 
315,000
289,542
 3.625% 8/15/43
 
40,901,000
36,556,866
 3.625% 2/15/44
 
38,656,000
34,482,360
 3.625% 2/15/53
 
37,800,000
34,055,438
 3.625% 5/15/53
 
81,600,000
73,593,000
 3.75% 8/15/41
 
8,145,000
7,544,943
 3.75% 11/15/43
 
12,484,000
11,356,051
 3.875% 8/15/40
 
2,574,000
2,443,390
 3.875% 2/15/43
 
57,200,000
53,222,813
 4% 11/15/42
 
77,400,000
73,436,273
 4% 11/15/52
 
130,600,000
126,013,695
 4.125% 8/15/53
 
38,500,000
37,982,656
 4.25% 5/15/39
 
28,898,000
28,979,276
 4.25% 11/15/40
 
19,380,000
19,300,512
 4.375% 2/15/38
 
6,284,000
6,433,245
 4.375% 11/15/39
 
4,140,000
4,196,602
 4.375% 5/15/41
 
35,617,000
35,888,301
 4.5% 2/15/36
 
24,732,200
25,843,217
 4.5% 8/15/39
 
3,831,000
3,948,624
 4.625% 2/15/40
 
4,405,000
4,600,816
 4.75% 2/15/37
 
13,000
13,881
 4.75% 2/15/41
 
41,200,000
43,527,156
 5% 5/15/37
 
1,967,000
2,150,254
 5.25% 11/15/28
 
31,601,000
32,998,357
 5.25% 2/15/29
 
10,374,000
10,859,066
 5.375% 2/15/31
 
42,262,000
45,525,749
 5.5% 8/15/28
 
66,565,000
70,109,066
 6% 2/15/26
 
3,771,000
3,882,362
 6.125% 11/15/27
 
139,604,000
149,087,256
 6.125% 8/15/29
 
47,344,000
51,948,944
 6.25% 5/15/30
 
201,878,000
225,645,975
 6.375% 8/15/27
 
33,400,000
35,777,141
 6.5% 11/15/26
 
39,000
41,297
 6.625% 2/15/27
 
24,450,000
26,129,027
 6.75% 8/15/26
 
56,623,000
60,035,863
 6.875% 8/15/25
 
91,000
94,373
 7.5% 11/15/24
 
67,000
68,808
 7.625% 2/15/25 (b)
 
20,938,000
21,668,376
U.S. Treasury Notes:
 
 
 
 0.125% 9/15/23
 
56,000
55,887
 0.125% 10/15/23
 
6,857,000
6,813,072
 0.125% 1/15/24
 
63,000
61,794
 0.125% 2/15/24
 
14,041,000
13,710,269
 0.25% 11/15/23
 
72,000
71,241
 0.25% 3/15/24
 
7,837,000
7,624,850
 0.25% 5/15/24
 
15,780,000
15,215,988
 0.25% 5/31/25
 
99,744,000
91,912,538
 0.25% 6/30/25 (b)
 
115,476,400
106,121,008
 0.25% 7/31/25
 
187,626,000
171,875,677
 0.25% 8/31/25
 
124,344,000
113,531,901
 0.25% 9/30/25
 
150,380,000
137,010,278
 0.25% 10/31/25
 
127,321,300
115,588,841
 0.375% 4/15/24
 
49,000
47,486
 0.375% 7/15/24
 
31,538,000
30,198,867
 0.375% 9/15/24
 
94,577,000
89,859,233
 0.375% 4/30/25
 
11,267,000
10,440,900
 0.375% 11/30/25
 
32,600,000
29,589,594
 0.375% 12/31/25
 
86,183,100
78,089,968
 0.375% 1/31/26
 
13,705,000
12,369,298
 0.375% 7/31/27
 
141,814,000
121,550,110
 0.375% 9/30/27
 
124,126,000
105,807,718
 0.5% 3/31/25
 
97,681,000
90,988,326
 0.5% 2/28/26
 
58,511,000
52,829,033
 0.5% 4/30/27
 
30,144,000
26,187,600
 0.5% 5/31/27
 
38,920,000
33,714,450
 0.5% 6/30/27
 
38,381,000
33,165,082
 0.5% 8/31/27
 
76,109,000
65,394,280
 0.625% 10/15/24
 
114,674,000
108,891,026
 0.625% 7/31/26
 
129,205,000
115,542,580
 0.625% 3/31/27
 
17,704,000
15,495,149
 0.625% 11/30/27
 
77,400,700
66,328,771
 0.625% 12/31/27
 
57,239,900
48,933,407
 0.625% 5/15/30
 
245,327,000
194,622,892
 0.625% 8/15/30
 
182,194,900
143,556,771
 0.75% 3/31/26
 
157,216,000
142,685,802
 0.75% 4/30/26
 
79,288,000
71,706,085
 0.75% 5/31/26
 
144,299,000
130,139,661
 0.75% 8/31/26
 
57,499,000
51,477,328
 0.75% 1/31/28
 
154,028,000
132,109,093
 0.875% 6/30/26
 
55,301,000
49,989,080
 0.875% 9/30/26
 
3,677,000
3,299,677
 0.875% 11/15/30
 
144,580,900
115,732,492
 1% 12/15/24
 
168,400,000
159,644,515
 1% 7/31/28
 
142,409,000
121,870,952
 1.125% 1/15/25
 
38,000,000
35,982,734
 1.125% 2/28/25
 
143,825,900
135,662,657
 1.125% 10/31/26
 
114,815,000
103,503,929
 1.125% 2/28/27
 
89,038,000
79,605,537
 1.125% 2/29/28
 
50,970,000
44,373,765
 1.125% 8/31/28
 
142,807,000
122,741,501
 1.125% 2/15/31
 
107,598,000
87,419,172
 1.25% 11/30/26
 
76,047,000
68,682,917
 1.25% 12/31/26
 
85,700,000
77,290,688
 1.25% 3/31/28
 
102,808,000
89,848,569
 1.25% 4/30/28
 
120,599,000
105,175,519
 1.25% 5/31/28
 
196,074,000
170,683,948
 1.25% 6/30/28
 
159,735,000
138,782,260
 1.25% 9/30/28
 
131,538,000
113,518,321
 1.25% 8/15/31
 
211,866,000
171,081,795
 1.375% 9/30/23
 
6,179,000
6,159,062
 1.375% 8/31/26
 
132,600,000
120,976,781
 1.375% 10/31/28
 
9,200,000
7,974,891
 1.375% 12/31/28
 
26,100,000
22,544,894
 1.375% 11/15/31
 
85,946,000
69,653,190
 1.5% 2/29/24
 
200,000
196,188
 1.5% 9/30/24
 
106,723,000
102,470,755
 1.5% 10/31/24
 
111,515,000
106,806,105
 1.5% 2/15/25
 
47,500,000
45,099,023
 1.5% 8/15/26
 
102,770,000
94,199,142
 1.5% 1/31/27
 
129,900,000
117,828,433
 1.5% 11/30/28
 
78,300,000
68,203,582
 1.5% 2/15/30
 
53,393,000
45,294,366
 1.625% 2/15/26
 
29,244,000
27,183,212
 1.625% 5/15/26
 
35,738,000
33,049,274
 1.625% 9/30/26
 
55,500,000
50,971,113
 1.625% 10/31/26
 
87,777,000
80,384,531
 1.625% 11/30/26
 
9,625,000
8,800,107
 1.625% 8/15/29
 
116,062,000
100,511,505
 1.625% 5/15/31
 
175,793,000
147,247,239
 1.75% 6/30/24
 
12,865,800
12,487,867
 1.75% 12/31/24
 
90,883,000
86,885,568
 1.75% 3/15/25
 
127,700,000
121,432,586
 1.75% 12/31/26
 
39,400,000
36,115,640
 1.75% 1/31/29
 
99,200,000
87,226,251
 1.75% 11/15/29
 
55,407,000
48,182,447
 1.875% 8/31/24
 
1,000
966
 1.875% 6/30/26
 
46,405,000
43,158,463
 1.875% 7/31/26
 
63,142,000
58,571,605
 1.875% 2/28/27
 
99,400,000
91,187,851
 1.875% 2/28/29
 
2,900,000
2,564,348
 1.875% 2/15/32
 
141,000,000
118,484,528
 2% 4/30/24
 
2,462,000
2,407,663
 2% 5/31/24
 
43,408,000
42,317,713
 2% 6/30/24
 
12,775,000
12,424,186
 2% 2/15/25
 
6,597,000
6,310,443
 2% 8/15/25
 
54,627,000
51,712,137
 2% 11/15/26
 
54,650,000
50,593,945
 2.125% 11/30/23
 
2,629,000
2,607,639
 2.125% 7/31/24
 
12,095,000
11,742,072
 2.125% 9/30/24
 
30,004,000
28,993,709
 2.125% 11/30/24
 
124,946,000
120,265,405
 2.125% 5/15/25
 
5,400,000
5,147,930
 2.125% 5/31/26
 
37,900,000
35,514,965
 2.25% 12/31/23
 
29,000
28,700
 2.25% 1/31/24
 
60,000
59,222
 2.25% 4/30/24
 
1,000
979
 2.25% 10/31/24
 
27,138,000
26,215,732
 2.25% 11/15/24
 
10,322,000
9,960,327
 2.25% 12/31/24
 
6,055,000
5,827,228
 2.25% 11/15/25
 
54,523,000
51,654,153
 2.25% 3/31/26
 
13,873,000
13,080,180
 2.25% 2/15/27
 
44,880,000
41,733,141
 2.25% 8/15/27
 
28,284,000
26,115,192
 2.25% 11/15/27
 
43,000,000
39,541,523
 2.375% 8/15/24
 
11,698,000
11,367,623
 2.375% 4/30/26
 
44,609,000
42,131,109
 2.375% 5/15/27
 
7,901,000
7,352,868
 2.375% 3/31/29
 
10,000,000
9,069,141
 2.375% 5/15/29
 
124,499,000
112,768,860
 2.5% 4/30/24
 
14,100,000
13,833,973
 2.5% 5/15/24
 
16,226,000
15,895,142
 2.5% 5/31/24
 
25,000,000
24,462,891
 2.5% 1/31/25
 
5,697,000
5,492,042
 2.5% 2/28/26
 
2,000
1,899
 2.625% 3/31/25
 
16,295,000
15,694,122
 2.625% 4/15/25
 
118,500,000
114,065,507
 2.625% 12/31/25
 
83,200,000
79,374,750
 2.625% 1/31/26
 
28,504,000
27,160,081
 2.625% 5/31/27
 
123,900,000
116,301,446
 2.625% 2/15/29
 
76,744,000
70,652,445
 2.625% 7/31/29
 
55,000,000
50,372,266
 2.75% 11/15/23
 
59,000
58,675
 2.75% 2/28/25
 
66,280,000
64,045,639
 2.75% 5/15/25
 
11,800,000
11,369,945
 2.75% 6/30/25
 
182,760,000
175,820,831
 2.75% 8/31/25
 
28,037,000
26,913,330
 2.75% 4/30/27
 
152,400,000
143,845,360
 2.75% 7/31/27
 
30,200,000
28,429,289
 2.75% 2/15/28
 
86,418,200
80,963,051
 2.75% 5/31/29
 
53,900,000
49,790,125
 2.75% 8/15/32
 
111,000,000
99,635,508
 2.875% 4/30/25
 
80,986,000
78,224,251
 2.875% 5/31/25
 
5,889,000
5,681,965
 2.875% 6/15/25
 
84,100,000
81,120,363
 2.875% 7/31/25
 
125,197,000
120,585,251
 2.875% 11/30/25
 
93,000,000
89,301,797
 2.875% 5/15/28
 
73,985,000
69,531,450
 2.875% 8/15/28
 
92,876,000
87,078,505
 2.875% 4/30/29
 
74,400,000
69,247,219
 2.875% 5/15/32
 
180,800,000
164,309,062
 3% 7/15/25
 
28,400,000
27,430,406
 3% 9/30/25
 
82,060,000
79,098,147
 3% 10/31/25
 
72,984,000
70,304,119
 3.125% 8/15/25
 
31,000,000
29,991,289
 3.125% 8/31/27
 
9,600,000
9,160,500
 3.125% 11/15/28
 
26,503,000
25,093,993
 3.125% 8/31/29
 
33,800,000
31,812,930
 3.25% 6/30/27
 
46,500,000
44,640,000
 3.25% 6/30/29
 
61,300,000
58,134,430
 3.375% 5/15/33
 
103,200,000
97,217,625
 3.5% 1/31/28
 
30,900,000
29,880,059
 3.5% 1/31/30
 
73,500,000
70,505,449
 3.5% 2/15/33
 
195,600,000
186,278,438
 3.625% 3/31/28
 
128,600,000
125,013,266
 3.875% 1/15/26
 
34,100,000
33,455,297
 3.875% 11/30/27
 
6,500,000
6,380,664
 3.875% 12/31/27
 
35,600,000
34,940,873
 3.875% 9/30/29
 
4,900,000
4,801,809
 3.875% 11/30/29
 
32,200,000
31,554,742
 3.875% 12/31/29
 
91,300,000
89,463,301
 3.875% 8/15/33
 
59,500,000
58,440,156
 4% 12/15/25
 
53,800,000
52,929,953
 4% 6/30/28
 
75,600,000
74,696,344
 4% 10/31/29
 
33,100,000
32,656,512
 4% 2/28/30
 
28,500,000
28,137,070
 4.125% 9/30/27
 
94,400,000
93,526,063
 4.125% 11/15/32
 
155,600,000
155,527,063
 4.25% 12/31/24
 
56,200,000
55,512,867
 4.25% 10/15/25
 
7,500,000
7,415,918
 4.5% 11/15/25
 
13,300,000
13,218,953
 4.625% 6/30/25
 
94,800,000
94,274,156
 
 
 
 
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $16,351,123,209)
 
 
 
14,903,142,642
 
 
 
 
Money Market Funds - 0.7%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.43% (c)
 
17,565,202
17,568,715
Fidelity Securities Lending Cash Central Fund 5.44% (c)(d)
 
92,072,980
92,082,188
 
TOTAL MONEY MARKET FUNDS
 (Cost $109,650,903)
 
 
109,650,903
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.2%
 (Cost $16,460,774,112)
 
 
 
15,012,793,545
NET OTHER ASSETS (LIABILITIES) - (0.2)%  
(31,565,625)
NET ASSETS - 100.0%
14,981,227,920
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(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 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.
 
 
Affiliate
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 5.43%
58,458,024
757,852,481
798,741,790
720,083
-
-
17,568,715
0.0%
Fidelity Securities Lending Cash Central Fund 5.44%
104,033,885
686,265,420
698,217,117
42,218
-
-
92,082,188
0.3%
Total
162,491,909
1,444,117,901
1,496,958,907
762,301
-
-
109,650,903
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend 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.
 
Amounts in the dividend income column 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.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of August 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
 
 
 
 
 U.S. Government and Government Agency Obligations
14,903,142,642
-
14,903,142,642
-
  Money Market Funds
109,650,903
109,650,903
-
-
 Total Investments in Securities:
15,012,793,545
109,650,903
14,903,142,642
-
Statement of Assets and Liabilities
 
 
 
August 31, 2023
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $90,070,691) - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $16,351,123,209)
$
14,903,142,642
 
 
Fidelity Central Funds (cost $109,650,903)
109,650,903
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $16,460,774,112)
 
 
$
15,012,793,545
Receivable for investments sold
 
 
320,401,709
Receivable for fund shares sold
 
 
5,825,691
Interest receivable
 
 
68,650,852
Distributions receivable from Fidelity Central Funds
 
 
100,971
Prepaid expenses
 
 
22,455
Receivable from investment adviser for expense reductions
 
 
179,981
  Total assets
 
 
15,407,975,204
Liabilities
 
 
 
 
Payable for investments purchased
$
322,380,786
 
 
Payable for fund shares redeemed
7,679,468
 
 
Distributions payable
3,841,239
 
 
Accrued management fee
494,170
 
 
Other payables and accrued expenses
269,433
 
 
Collateral on securities loaned
92,082,188
 
 
  Total Liabilities
 
 
 
426,747,284
Net Assets  
 
 
$
14,981,227,920
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
17,023,966,532
Total accumulated earnings (loss)
 
 
 
(2,042,738,612)
Net Assets
 
 
$
14,981,227,920
Net Asset Value, offering price and redemption price per share ($14,981,227,920 ÷ 1,738,350,818 shares)
 
 
$
8.62
 
Statement of Operations
 
 
 
Six months ended
August 31, 2023
(Unaudited)
Investment Income
 
 
 
 
Interest  
 
 
$
206,300,594
Income from Fidelity Central Funds (including $42,218 from security lending)
 
 
762,301
 Total Income
 
 
 
207,062,895
Expenses
 
 
 
 
Management fee
$
2,915,682
 
 
Custodian fees and expenses
61,433
 
 
Independent trustees' fees and expenses
23,336
 
 
Registration fees
299,774
 
 
Audit
29,312
 
 
Legal
4,261
 
 
Miscellaneous
44,768
 
 
 Total expenses before reductions
 
3,378,566
 
 
 Expense reductions
 
(1,149,023)
 
 
 Total expenses after reductions
 
 
 
2,229,543
Net Investment income (loss)
 
 
 
204,833,352
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(47,511,382)
 
 
Total net realized gain (loss)
 
 
 
(47,511,382)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
(96,649,654)
Net gain (loss)
 
 
 
(144,161,036)
Net increase (decrease) in net assets resulting from operations
 
 
$
60,672,316
Statement of Changes in Net Assets
 
 
Six months ended
August 31, 2023
(Unaudited)
 
Year ended
February 28, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
204,833,352
$
263,915,621
Net realized gain (loss)
 
(47,511,382)
 
 
(563,513,094)
 
Change in net unrealized appreciation (depreciation)
 
(96,649,654)
 
(1,059,635,332)
 
Net increase (decrease) in net assets resulting from operations
 
60,672,316
 
 
(1,359,232,805)
 
Distributions to shareholders
 
(150,515,128)
 
 
(209,327,205)
 
 
 
 
 
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
3,960,218,751
 
13,241,194,566
  Reinvestment of distributions
 
129,922,752
 
 
182,738,336
 
Cost of shares redeemed
 
(2,476,251,516)
 
(9,625,546,014)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
 
1,613,889,987
 
 
3,798,386,888
 
Total increase (decrease) in net assets
 
1,524,047,175
 
 
2,229,826,878
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
13,457,180,745
 
11,227,353,867
 
End of period
$
14,981,227,920
$
13,457,180,745
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
450,776,086
 
1,470,547,195
  Issued in reinvestment of distributions
 
14,821,204
 
 
20,547,113
 
Redeemed
 
(281,915,644)
 
(1,083,249,754)
Net increase (decrease)
 
183,681,646
 
407,844,554
 
 
 
 
 
 
Financial Highlights
Fidelity® SAI U.S. Treasury Bond Index Fund
 
 
Six months ended
(Unaudited) August 31, 2023 
 
Years ended February 28, 2023 
 
2022  
 
2021 
 
2020 A
 
2019   
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.66
$
9.79
$
10.10
$
10.60
$
9.65
$
9.55
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.123
 
.184
 
.106
 
.168
 
.229
 
.233
     Net realized and unrealized gain (loss)
 
(.073)
 
(1.170)
 
(.316)
 
(.191)
 
.937
 
.072
  Total from investment operations
 
.050  
 
(.986)  
 
(.210)  
 
(.023)  
 
1.166
 
.305
  Distributions from net investment income
 
(.090)
 
(.144)
 
(.098)
 
(.175)
 
(.216)
 
(.205)
  Distributions from net realized gain
 
-
 
-
 
(.002)
 
(.302)
 
-
 
-
     Total distributions
 
(.090)
 
(.144)
 
(.100)
 
(.477)
 
(.216)
 
(.205)
  Net asset value, end of period
$
8.62
$
8.66
$
9.79
$
10.10
$
10.60
$
9.65
 Total Return D,E
 
.57%
 
(10.10)%
 
(2.09)%
 
(.33)%
 
12.21%
 
3.23%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.05% H,I
 
.05%
 
.05%
 
.05%
 
.08%
 
.15%
    Expenses net of fee waivers, if any
 
.03% I
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Expenses net of all reductions
 
.03% I
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Net investment income (loss)
 
2.80% I
 
2.05%
 
1.06%
 
1.56%
 
2.27%
 
2.45%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
14,981,228
$
13,457,181
$
11,227,354
$
9,575,368
$
9,284,624
$
2,897,538
    Portfolio turnover rate J
 
20% I
 
60%
 
45%
 
167%
 
23%
 
73%
 
AFor the year ended February 29.
 
BCalculated based on average shares outstanding during the period.
 
CNet 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 mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
DTotal returns for periods of less than one year are not annualized.
 
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
FFees 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.
 
GExpense 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.
 
HProxy expenses are not annualized.
 
IAnnualized.
 
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
For the period ended August 31, 2023
 
1. Organization.
Fidelity SAI U.S. Treasury Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered 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 RatioA
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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
 
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 services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services 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 services. 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 August 31, 2023 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.
 
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. 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 losses deferred due to wash sales.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$7,213,587
Gross unrealized depreciation
(1,367,577,233)
Net unrealized appreciation (depreciation)
$(1,360,363,646)
Tax cost
$16,373,157,191
 
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
 Short-term
$(323,894,925)
 Long-term
(316,088,692)
Total capital loss carryforward
$(639,983,617)
4. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .04% 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.
5. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
 
 
 
Amount
Fidelity SAI U.S. Treasury Bond Index Fund
$13,136
 
6. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
Total Security Lending Fees Paid to NFS
Security Lending Income From Securities Loaned to NFS
Value of Securities Loaned to NFS at Period End
Fidelity SAI U.S. Treasury Bond Index Fund
$5,193
$ -
$-
 
7. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .03% of average net assets. This reimbursement will remain in place through June 30, 2024. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $1,148,833.
 
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 $190.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
 
 
Strategic Advisers Core Income Fund
Strategic Advisers Fidelity Core Income Fund
Fidelity SAI U.S. Treasury Bond Index Fund
15%
43%
Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.
 
Fund
% of shares held
Fidelity SAI U.S. Treasury Bond Index Fund
58%
 
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
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 (March 1, 2023 to August 31, 2023).
 
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 March 1, 2023
 
Ending Account Value August 31, 2023
 
Expenses Paid During Period- C March 1, 2023 to August 31, 2023
 
 
 
 
 
 
 
 
 
 
Fidelity® SAI U.S. Treasury Bond Index Fund
 
 
 
.03%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,005.70
 
$ .15
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.99
 
$ .15
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
1.9872607.107
UYB-SANN-1023
Fidelity® SAI Long-Term Treasury Bond Index Fund
 
 
Semi-Annual Report
August 31, 2023
 
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - 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.

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

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You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 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.
 
Coupon Distribution (% of Fund's Investments)
 
1 - 1.99%
16.3
 
2 - 2.99%
39.9
 
3 - 3.99%
35.1
 
4 - 4.99%
7.6
 
 
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
 
 
Asset Allocation (% of Fund's net assets)
 
 
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 99.3%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 99.3%
 
 
 
U.S. Treasury Bonds:
 
 
 
 1.25% 5/15/50
 
160,653,000
83,972,570
 1.375% 8/15/50
 
185,848,000
100,452,295
 1.625% 11/15/50
 
153,442,000
88,756,607
 1.875% 2/15/51
 
262,813,000
162,133,035
 1.875% 11/15/51
 
211,300,000
129,833,944
 2% 2/15/50
 
169,443,800
108,503,602
 2% 8/15/51
 
223,188,000
141,698,225
 2.25% 8/15/46
 
113,154,000
77,943,657
 2.25% 8/15/49
 
94,513,000
64,294,684
 2.25% 2/15/52
 
194,700,000
131,346,446
 2.375% 11/15/49
 
58,325,000
40,788,769
 2.375% 5/15/51
 
199,070,000
138,361,426
 2.5% 2/15/45
 
98,179,700
72,096,882
 2.5% 2/15/46
 
108,485,000
78,871,985
 2.5% 5/15/46
 
56,200,000
40,808,664
 2.75% 8/15/42
 
3,500
2,752
 2.75% 11/15/42
 
6,319,100
4,954,569
 2.75% 8/15/47
 
94,057,000
71,288,593
 2.75% 11/15/47
 
70,354,000
53,271,169
 2.875% 5/15/43
 
9,120,200
7,264,453
 2.875% 8/15/45
 
88,859,100
69,528,775
 2.875% 11/15/46
 
36,996,000
28,777,396
 2.875% 5/15/49
 
154,018,000
119,381,999
 2.875% 5/15/52
 
172,600,000
133,987,492
 3% 5/15/42
 
70,700
57,993
 3% 11/15/44
 
800
644
 3% 5/15/45
 
36,846,800
29,526,377
 3% 11/15/45
 
70,806,000
56,567,356
 3% 2/15/47
 
91,646,000
72,854,990
 3% 5/15/47
 
55,348,000
43,986,526
 3% 2/15/48
 
128,187,000
101,753,438
 3% 8/15/48
 
116,755,000
92,651,478
 3% 2/15/49
 
107,459,000
85,299,779
 3% 8/15/52
 
174,900,000
139,380,269
 3.125% 2/15/42
 
68,100
57,225
 3.125% 2/15/43
 
13,154,600
10,926,540
 3.125% 8/15/44
 
63,564,300
52,301,501
 3.125% 5/15/48
 
152,214,000
123,626,308
 3.375% 5/15/44
 
17,923,800
15,369,659
 3.375% 11/15/48
 
77,547,000
65,902,833
 3.625% 8/15/43
 
2,597,600
2,321,706
 3.625% 2/15/44
 
80,388,500
71,709,054
 3.625% 2/15/53
 
125,200,000
112,797,375
 3.625% 5/15/53
 
88,000,000
79,365,000
 3.75% 11/15/43
 
65,182,100
59,292,796
 4% 11/15/52
 
185,100,000
178,599,808
 4.125% 8/15/53
 
84,700,000
83,561,844
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $4,169,278,508)
 
 
 
3,426,230,488
 
 
 
 
Money Market Funds - 1.1%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.43% (b)
 
 (Cost $37,631,321)
 
 
37,623,797
37,631,321
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.4%
 (Cost $4,206,909,829)
 
 
 
3,463,861,809
NET OTHER ASSETS (LIABILITIES) - (0.4)%  
(12,268,230)
NET ASSETS - 100.0%
3,451,593,579
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements 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.
 
 
Affiliate
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 5.43%
36,864,367
72,157,505
71,390,551
292,775
-
-
37,631,321
0.1%
Fidelity Securities Lending Cash Central Fund 5.44%
-
78,756,729
78,756,729
2,805
-
-
-
0.0%
Total
36,864,367
150,914,234
150,147,280
295,580
-
-
37,631,321
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend 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.
 
Amounts in the dividend income column 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.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of August 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
 
 
 
 
 U.S. Government and Government Agency Obligations
3,426,230,488
-
3,426,230,488
-
  Money Market Funds
37,631,321
37,631,321
-
-
 Total Investments in Securities:
3,463,861,809
37,631,321
3,426,230,488
-
Statement of Assets and Liabilities
 
 
 
August 31, 2023
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $4,169,278,508)
$
3,426,230,488
 
 
Fidelity Central Funds (cost $37,631,321)
37,631,321
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $4,206,909,829)
 
 
$
3,463,861,809
Receivable for investments sold
 
 
48,600,133
Receivable for fund shares sold
 
 
51,089
Interest receivable
 
 
19,258,331
Distributions receivable from Fidelity Central Funds
 
 
109,893
Prepaid expenses
 
 
5,281
Receivable from investment adviser for expense reductions
 
 
31,390
  Total assets
 
 
3,531,917,926
Liabilities
 
 
 
 
Payable for investments purchased
$
80,035,859
 
 
Payable for fund shares redeemed
132,226
 
 
Distributions payable
8,967
 
 
Accrued management fee
111,347
 
 
Other payables and accrued expenses
35,948
 
 
  Total Liabilities
 
 
 
80,324,347
Net Assets  
 
 
$
3,451,593,579
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
6,256,537,141
Total accumulated earnings (loss)
 
 
 
(2,804,943,562)
Net Assets
 
 
$
3,451,593,579
Net Asset Value, offering price and redemption price per share ($3,451,593,579 ÷ 469,161,130 shares)
 
 
$
7.36
 
Statement of Operations
 
 
 
Six months ended
August 31, 2023
(Unaudited)
Investment Income
 
 
 
 
Interest  
 
 
$
61,357,651
Income from Fidelity Central Funds (including $2,805 from security lending)
 
 
295,580
 Total Income
 
 
 
61,653,231
Expenses
 
 
 
 
Management fee
$
682,363
 
 
Custodian fees and expenses
4,031
 
 
Independent trustees' fees and expenses
5,579
 
 
Registration fees
18,217
 
 
Audit
29,429
 
 
Legal
1,021
 
 
Miscellaneous
16,367
 
 
 Total expenses before reductions
 
757,007
 
 
 Expense reductions
 
(231,408)
 
 
 Total expenses after reductions
 
 
 
525,599
Net Investment income (loss)
 
 
 
61,127,632
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(43,744,117)
 
 
Total net realized gain (loss)
 
 
 
(43,744,117)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
(132,062,178)
Net gain (loss)
 
 
 
(175,806,295)
Net increase (decrease) in net assets resulting from operations
 
 
$
(114,678,663)
Statement of Changes in Net Assets
 
 
Six months ended
August 31, 2023
(Unaudited)
 
Year ended
February 28, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
61,127,632
$
141,418,609
Net realized gain (loss)
 
(43,744,117)
 
 
(1,997,160,741)
 
Change in net unrealized appreciation (depreciation)
 
(132,062,178)
 
(377,370,992)
 
Net increase (decrease) in net assets resulting from operations
 
(114,678,663)
 
 
(2,233,113,124)
 
Distributions to shareholders
 
(54,896,856)
 
 
(133,766,281)
 
 
 
 
 
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
357,360,956
 
4,729,413,945
  Reinvestment of distributions
 
54,844,540
 
 
133,514,177
 
Cost of shares redeemed
 
(29,886,832)
 
(6,343,836,524)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
 
382,318,664
 
 
(1,480,908,402)
 
Total increase (decrease) in net assets
 
212,743,145
 
 
(3,847,787,807)
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
3,238,850,434
 
7,086,638,241
 
End of period
$
3,451,593,579
$
3,238,850,434
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
46,990,452
 
534,586,650
  Issued in reinvestment of distributions
 
7,044,352
 
 
16,005,056
 
Redeemed
 
(3,778,206)
 
(793,669,358)
Net increase (decrease)
 
50,256,598
 
(243,077,652)
 
 
 
 
 
 
Financial Highlights
Fidelity® SAI Long-Term Treasury Bond Index Fund
 
 
Six months ended
(Unaudited) August 31, 2023 
 
Years ended February 28, 2023 
 
2022  
 
2021 
 
2020 A
 
2019   
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
7.73
$
10.71
$
11.04
$
12.59
$
9.72
$
9.59
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.139
 
.243
 
.219
 
.227
 
.251
 
.292
     Net realized and unrealized gain (loss)
 
(.384)
 
(2.991)
 
(.309)
 
(.965)
 
2.876
 
.123
  Total from investment operations
 
(.245)  
 
(2.748)  
 
(.090)  
 
(.738)  
 
3.127
 
.415
  Distributions from net investment income
 
(.125)
 
(.232)
 
(.213)
 
(.226)
 
(.257)
 
(.285)
  Distributions from net realized gain
 
-
 
-
 
(.027)
 
(.586)
 
-
 
-
     Total distributions
 
(.125)
 
(.232)
 
(.240)
 
(.812)
 
(.257)
 
(.285)
  Net asset value, end of period
$
7.36
$
7.73
$
10.71
$
11.04
$
12.59
$
9.72
 Total Return D,E
 
(3.25)%
 
(25.78)%
 
(.85)%
 
(6.39)%
 
32.55%
 
4.38%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.04% H,I
 
.04%
 
.08%
 
.05%
 
.08%
 
.20%
    Expenses net of fee waivers, if any
 
.03% I
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Expenses net of all reductions
 
.03% I
 
.03%
 
.03%
 
.03%
 
.03%
 
.03%
    Net investment income (loss)
 
3.56% I
 
2.85%
 
1.97%
 
1.77%
 
2.21%
 
2.99%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
3,451,594
$
3,238,850
$
7,086,638
$
1,174,635
$
1,055,440
$
60,238
    Portfolio turnover rate J
 
16% I
 
107%
 
62%
 
47%
 
18%
 
57%
 
AFor the year ended February 29.
 
BCalculated based on average shares outstanding during the period.
 
CNet 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 mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
DTotal returns for periods of less than one year are not annualized.
 
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
FFees 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.
 
GExpense 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.
 
HProxy expenses are not annualized.
 
IAnnualized.
 
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
For the period ended August 31, 2023
 
1. Organization.
Fidelity SAI Long-Term Treasury Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered 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 RatioA
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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
 
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 services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services 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 services. 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 August 31, 2023 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.
 
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. 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 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
$2,029,361
Gross unrealized depreciation
(753,044,336)
Net unrealized appreciation (depreciation)
$(751,014,975)
Tax cost
$4,214,876,784
 
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
Short-term
$(820,146,040)
Long-term
(1,185,486,530)
Total capital loss carryforward
$(2,005,632,570)
 
Due to large redemptions in the prior period, approximately $1,384,557,433 of the Fund's realized capital losses are subject to limitation. Due to this limitation, the Fund will only be permitted to use approximately $75,457,734 of those capital losses per year to offset capital gains. Additionally, the Fund is subject to an annual limit on its use of some of its unrealized capital losses to offset capital gains in future periods. If those losses are realized and the limitation prevents the Fund from using any of those losses in a future period, those capital losses will be available to offset capital gains in subsequent periods.
4. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .04% 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.
5. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The 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 Long-Term Treasury Bond Index Fund
$3,185
 
6. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
Total Security Lending Fees Paid to NFS
Security Lending Income From Securities Loaned to NFS
Value of Securities Loaned to NFS at Period End
Fidelity SAI Long-Term Treasury Bond Index Fund
$293
$-
$-
 
7. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .03% of average net assets. This reimbursement will remain in place through June 30, 2024. 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 $231,408.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
 
 
Strategic Advisers Core Income Fund
Strategic Advisers Fidelity Core Income Fund
Fidelity SAI Long-Term Treasury Bond Index Fund
13%
82%
 
Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.
 
Fund
% of shares held
Fidelity SAI Long-Term Treasury Bond Index Fund
95%
 
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
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 (March 1, 2023 to August 31, 2023).
 
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 March 1, 2023
 
Ending Account Value August 31, 2023
 
Expenses Paid During Period- C March 1, 2023 to August 31, 2023
 
 
 
 
 
 
 
 
 
 
Fidelity® SAI Long-Term Treasury Bond Index Fund
 
 
 
.03%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 967.50
 
$ .15
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.99
 
$ .15
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
1.9869415.107
SV5-SANN-1023
Fidelity® Series Long-Term Treasury Bond Index Fund
 
 
Semi-Annual Report
August 31, 2023

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
 
 
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
BLOOMBERG ® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively "Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg's licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 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.
 
Coupon Distribution (% of Fund's Investments)
 
1 - 1.99%
14.6
 
2 - 2.99%
42.1
 
3 - 3.99%
34.3
 
4 - 4.99%
6.8
 
5 - 5.99%
0.9
 
 
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
 
 
Asset Allocation (% of Fund's net assets)
 
 
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 99.0%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 99.0%
 
 
 
U.S. Treasury Bonds:
 
 
 
 1.125% 5/15/40
 
229,417,000
142,086,193
 1.125% 8/15/40
 
117,470,000
72,120,156
 1.25% 5/15/50
 
51,868,000
27,111,160
 1.375% 11/15/40
 
1,033,963,000
660,080,366
 1.375% 8/15/50
 
270,328,000
146,114,395
 1.625% 11/15/50
 
200,693,000
116,088,357
 1.75% 8/15/41
 
455,540,000
306,083,731
 1.875% 2/15/41
 
633,606,000
439,712,667
 1.875% 2/15/51
 
637,405,000
393,224,106
 1.875% 11/15/51
 
709,520,000
435,966,778
 2% 11/15/41
 
915,080,000
640,305,781
 2% 2/15/50
 
424,749,000
271,988,685
 2% 8/15/51
 
861,520,000
546,964,238
 2.25% 5/15/41
 
881,582,000
649,581,302
 2.25% 8/15/46
 
172,941,000
119,126,624
 2.25% 8/15/49
 
311,947,000
212,209,259
 2.25% 2/15/52
 
1,376,240,000
928,424,413
 2.375% 2/15/42
 
1,538,360,000
1,143,672,048
 2.375% 11/15/49
 
781,892,000
546,805,177
 2.375% 5/15/51
 
635,974,000
442,026,771
 2.5% 2/15/45
 
707,149,000
519,284,926
 2.5% 2/15/46
 
117,718,000
85,584,665
 2.5% 5/15/46
 
136,970,000
99,458,411
 2.75% 8/15/42
 
252,260,000
198,359,132
 2.75% 11/15/42
 
193,274,000
151,538,896
 2.75% 8/15/47
 
458,264,000
347,331,891
 2.75% 11/15/47
 
137,257,000
103,929,285
 2.875% 5/15/43
 
241,482,000
192,346,073
 2.875% 8/15/45
 
36,432,000
28,506,617
 2.875% 11/15/46
 
25,000
19,446
 2.875% 5/15/49
 
638,599,000
494,989,062
 2.875% 5/15/52
 
237,580,000
184,430,755
 3% 5/15/42
 
119,579,000
98,087,478
 3% 11/15/44
 
172,537,000
138,791,189
 3% 5/15/45
 
158,044,000
126,645,101
 3% 11/15/45
 
362,162,000
289,333,485
 3% 2/15/47
 
489,794,000
389,367,099
 3% 5/15/47
 
210,762,000
167,498,159
 3% 2/15/48
 
595,209,000
472,470,393
 3% 8/15/48
 
90,882,000
72,119,837
 3% 2/15/49
 
1,063,887,000
844,501,862
 3% 8/15/52
 
657,180,000
523,715,982
 3.125% 11/15/41
 
59,163,000
49,911,848
 3.125% 2/15/42
 
154,840,000
130,113,988
 3.125% 2/15/43
 
139,421,000
115,806,568
 3.125% 8/15/44
 
77,966,000
64,151,399
 3.125% 5/15/48
 
307,342,000
249,619,331
 3.25% 5/15/42
 
290,700,000
248,241,902
 3.375% 8/15/42
 
493,460,000
428,211,482
 3.375% 5/15/44
 
122,930,000
105,412,475
 3.375% 11/15/48
 
116,091,000
98,659,211
 3.5% 2/15/39
 
128,034,000
117,686,252
 3.625% 8/15/43
 
352,032,000
314,642,350
 3.625% 2/15/44
 
142,857,000
127,432,908
 3.625% 2/15/53
 
385,980,000
347,743,856
 3.625% 5/15/53
 
790,000,000
712,481,250
 3.75% 8/15/41
 
107,358,000
99,448,734
 3.75% 11/15/43
 
85,269,000
77,564,813
 3.875% 2/15/43
 
10,900,000
10,142,109
 3.875% 5/15/43
 
18,000,000
16,736,368
 4% 11/15/42
 
154,420,000
146,512,007
 4% 11/15/52
 
371,200,000
358,164,499
 4.25% 5/15/39
 
7,357,000
7,377,692
 4.25% 11/15/40
 
47,867,000
47,670,671
 4.375% 2/15/38
 
82,124,000
84,074,445
 4.375% 11/15/39
 
17,280,000
17,516,250
 4.375% 5/15/40
 
196,523,000
198,902,772
 4.375% 5/15/41
 
84,468,000
85,111,409
 4.375% 8/15/43
 
119,870,000
119,551,595
 4.5% 2/15/36
 
104,918,000
109,631,114
 4.5% 8/15/39
 
1,044,000
1,076,054
 4.625% 2/15/40
 
35,743,000
37,331,888
 4.75% 2/15/37
 
35,563,000
37,971,838
 4.75% 2/15/41
 
21,373,000
22,580,241
 5% 5/15/37
 
148,227,000
162,036,429
U.S. Treasury Notes:
 
 
 
 2.75% 8/15/32
 
19,400,000
17,413,773
 3.5% 2/15/33
 
21,640,000
20,608,719
 
 
 
 
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $23,784,572,675)
 
 
 
18,555,540,191
 
 
 
 
Money Market Funds - 1.4%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.43% (b)
 
 (Cost $260,497,013)
 
 
260,444,924
260,497,013
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.4%
 (Cost $24,045,069,688)
 
 
 
18,816,037,204
NET OTHER ASSETS (LIABILITIES) - (0.4)%  
(70,120,280)
NET ASSETS - 100.0%
18,745,916,924
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements 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.
 
 
Affiliate
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 5.43%
220,005,277
631,652,796
591,161,060
2,949,399
-
-
260,497,013
0.7%
Fidelity Securities Lending Cash Central Fund 5.44%
91,383,143
780,106,674
871,489,817
24,224
-
-
-
0.0%
Total
311,388,420
1,411,759,470
1,462,650,877
2,973,623
-
-
260,497,013
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend 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.
 
Amounts in the dividend income column 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.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of August 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
 
 
 
 
 U.S. Government and Government Agency Obligations
18,555,540,191
-
18,555,540,191
-
  Money Market Funds
260,497,013
260,497,013
-
-
 Total Investments in Securities:
18,816,037,204
260,497,013
18,555,540,191
-
Statement of Assets and Liabilities
 
 
 
August 31, 2023
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $23,784,572,675)
$
18,555,540,191
 
 
Fidelity Central Funds (cost $260,497,013)
260,497,013
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $24,045,069,688)
 
 
$
18,816,037,204
Receivable for investments sold
 
 
78,379,914
Receivable for fund shares sold
 
 
100,789,218
Interest receivable
 
 
98,642,550
Distributions receivable from Fidelity Central Funds
 
 
809,581
  Total assets
 
 
19,094,658,467
Liabilities
 
 
 
 
Payable for investments purchased
$
348,089,906
 
 
Payable for fund shares redeemed
600,182
 
 
Other payables and accrued expenses
51,455
 
 
  Total Liabilities
 
 
 
348,741,543
Net Assets  
 
 
$
18,745,916,924
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
24,686,919,477
Total accumulated earnings (loss)
 
 
 
(5,941,002,553)
Net Assets
 
 
$
18,745,916,924
Net Asset Value, offering price and redemption price per share ($18,745,916,924 ÷ 3,290,748,515 shares)
 
 
$
5.70
 
Statement of Operations
 
 
 
Six months ended
August 31, 2023
(Unaudited)
Investment Income
 
 
 
 
Interest  
 
 
$
299,831,635
Income from Fidelity Central Funds (including $24,224 from security lending)
 
 
2,973,623
 Total Income
 
 
 
302,805,258
Expenses
 
 
 
 
Custodian fees and expenses
$
77,906
 
 
Independent trustees' fees and expenses
29,922
 
 
Miscellaneous
83
 
 
 Total expenses before reductions
 
107,911
 
 
 Expense reductions
 
(47)
 
 
 Total expenses after reductions
 
 
 
107,864
Net Investment income (loss)
 
 
 
302,697,394
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(274,120,960)
 
 
Total net realized gain (loss)
 
 
 
(274,120,960)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
(544,061,687)
Net gain (loss)
 
 
 
(818,182,647)
Net increase (decrease) in net assets resulting from operations
 
 
$
(515,485,253)
Statement of Changes in Net Assets
 
 
Six months ended
August 31, 2023
(Unaudited)
 
Year ended
February 28, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
302,697,394
$
475,693,836
Net realized gain (loss)
 
(274,120,960)
 
 
(466,967,551)
 
Change in net unrealized appreciation (depreciation)
 
(544,061,687)
 
(4,409,523,731)
 
Net increase (decrease) in net assets resulting from operations
 
(515,485,253)
 
 
(4,400,797,446)
 
Distributions to shareholders
 
(281,088,582)
 
 
(449,770,175)
 
 
 
 
 
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
2,706,837,306
 
9,182,425,036
  Reinvestment of distributions
 
281,088,582
 
 
449,255,711
 
Cost of shares redeemed
 
(991,172,950)
 
(2,364,393,486)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
 
1,996,752,938
 
 
7,267,287,261
 
Total increase (decrease) in net assets
 
1,200,179,103
 
 
2,416,719,640
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
17,545,737,821
 
15,129,018,181
 
End of period
$
18,745,916,924
$
17,545,737,821
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
454,433,383
 
1,373,818,678
  Issued in reinvestment of distributions
 
46,885,894
 
 
71,082,578
 
Redeemed
 
(164,029,574)
 
(369,851,700)
Net increase (decrease)
 
337,289,703
 
1,075,049,556
 
 
 
 
 
 
Financial Highlights
Fidelity® Series Long-Term Treasury Bond Index Fund
 
 
Six months ended
(Unaudited) August 31, 2023 
 
Years ended February 28, 2023 
 
2022  
 
2021 
 
2020 A
 
2019   
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
5.94
$
8.05
$
8.33
$
10.06
$
8.43
$
8.36
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.100
 
.185
 
.175
 
.201
 
.249
 
.248
     Net realized and unrealized gain (loss)
 
(.247)
 
(2.121)
 
(.253)
 
(.752)
 
2.319
 
.069
  Total from investment operations
 
(.147)  
 
(1.936)  
 
(.078)  
 
(.551)  
 
2.568
 
.317
  Distributions from net investment income
 
(.093)
 
(.174)
 
(.169)
 
(.199)
 
(.243)
 
(.247)
  Distributions from net realized gain
 
-
 
-
 
(.033)
 
(.980)
 
(.695)
 
-
     Total distributions
 
(.093)
 
(.174)
 
(.202)
 
(1.179)
 
(.938)
 
(.247)
  Net asset value, end of period
$
5.70
$
5.94
$
8.05
$
8.33
$
10.06
$
8.43
 Total Return D,E
 
(2.55)%
 
(24.16)%
 
(1.01)%
 
(6.47)%
 
31.91%
 
3.84%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions H
 
-% I
 
-%
 
-%
 
-%
 
-%
 
-%
    Expenses net of fee waivers, if any H
 
-% I
 
-%
 
-%
 
-%
 
-%
 
-%
    Expenses net of all reductions H
 
-% I
 
-%
 
-%
 
-%
 
-%
 
-%
    Net investment income (loss)
 
3.32% I
 
2.87%
 
2.10%
 
2.03%
 
2.68%
 
2.98%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
18,745,917
$
17,545,738
$
15,129,018
$
9,356,431
$
7,414,223
$
10,466,444
    Portfolio turnover rate J
 
9% I
 
10%
 
18%
 
56%
 
33% K
 
23%
 
AFor the year ended February 29.
 
BCalculated based on average shares outstanding during the period.
 
CNet 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 mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
DTotal returns for periods of less than one year are not annualized.
 
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
FFees 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.
 
GExpense 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.
 
HAmount represents less than .005%.
 
IAnnualized.
 
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
KPortfolio turnover rate excludes securities received or delivered in-kind.
 
For the period ended August 31, 2023
 
1. Organization.
Fidelity Series Long-Term Treasury Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds, Fidelity managed 529 plans, and Fidelity managed collective investment trusts. 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 RatioA
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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
 
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 services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services 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 services. 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 August 31, 2023 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.
 
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. 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 losses deferred due to wash sales, and excise tax regulations.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$8,108,614
Gross unrealized depreciation
(5,211,829,632)
Net unrealized appreciation (depreciation)
$(5,203,721,018)
Tax cost
$24,019,758,222
 
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
 Short-term
$(130,110,565)
 Long-term
(329,978,855)
Total capital loss carryforward
$(460,089,420)
4. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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.
5.Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
6. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
Total Security Lending Fees Paid to NFS
Security Lending Income From Securities Loaned to NFS
Value of Securities Loaned to NFS at Period End
Fidelity Series Long-Term Treasury Bond Index Fund
$2,581
-
-
7. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $47.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
At the end of the period, mutual funds and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
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 (March 1, 2023 to August 31, 2023).
 
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 March 1, 2023
 
Ending Account Value August 31, 2023
 
Expenses Paid During Period- C March 1, 2023 to August 31, 2023
 
 
 
 
 
 
 
 
 
 
Fidelity® Series Long-Term Treasury Bond Index Fund
 
 
 
-%-D
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 974.50
 
$-E
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,025.14
 
$-E
 
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
D   Amount represents less than .005%.
 
E   Amount represents less than $.005.
 
 
 
1.9872675.107
XS8-SANN-1023

 

Item 2.

Code of Ethics


Not applicable.

 

Item 3.

Audit Committee Financial Expert


Not applicable.


Item 4.

Principal Accountant Fees and Services


Not applicable.


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 Fidelity Salem Street Trusts Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Salem Street Trusts (the Trust) 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 Trusts 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 Trusts 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)

Not applicable.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)


Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Fidelity Salem Street Trust



By:

/s/Laura M. Del Prato


Laura M. Del Prato


President and Treasurer



Date:

October 23, 2023


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:

October 23, 2023



By:

/s/John J. Burke III


John J. Burke III


Chief Financial Officer



Date:

October 23, 2023