N-Q 1 main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-2105

Fidelity Salem Street Trust
 (Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

September 30

 

 

Date of reporting period:

December 31, 2012

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Strategic Real
Return Fund

December 31, 2012 

1.825846.107

RRS-QTLY-0213

Investments December 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 2.2%

 

Principal
Amount (d)

Value

Convertible Bonds - 0.1%

CONSUMER DISCRETIONARY - 0.0%

Hotels, Restaurants & Leisure - 0.0%

Morgans Hotel Group Co. 2.375% 10/15/14

$ 125,000

$ 117,813

FINANCIALS - 0.1%

Real Estate Investment Trusts - 0.1%

Annaly Capital Management, Inc. 5% 5/15/15

700,000

707,438

CapLease, Inc. 7.5% 10/1/27 (e)

1,042,000

1,042,000

 

1,749,438

Real Estate Management & Development - 0.0%

Grubb & Ellis Co. 7.95% 5/1/15 (c)(e)

360,000

720

TOTAL FINANCIALS

1,750,158

TOTAL CONVERTIBLE BONDS

1,867,971

Nonconvertible Bonds - 2.1%

CONSUMER DISCRETIONARY - 0.6%

Hotels, Restaurants & Leisure - 0.1%

Times Square Hotel Trust 8.528% 8/1/26 (e)

595,377

702,548

Household Durables - 0.5%

D.R. Horton, Inc. 6.5% 4/15/16

189,000

209,790

KB Home:

5.875% 1/15/15

284,000

295,360

6.25% 6/15/15

966,000

1,026,375

7.25% 6/15/18

470,000

513,475

8% 3/15/20

140,000

158,550

9.1% 9/15/17

550,000

639,375

Lennar Corp. 5.6% 5/31/15

284,000

302,460

M/I Homes, Inc. 8.625% 11/15/18

1,181,000

1,290,243

Meritage Homes Corp. 7% 4/1/22

470,000

513,475

Ryland Group, Inc. 8.4% 5/15/17

129,000

153,833

Standard Pacific Corp.:

8.375% 5/15/18

1,458,000

1,691,280

Corporate Bonds - continued

 

Principal
Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Standard Pacific Corp.: - continued

10.75% 9/15/16

$ 301,000

$ 373,993

William Lyon Homes, Inc. 8.5% 11/15/20 (e)

95,000

99,750

 

7,267,959

Multiline Retail - 0.0%

JC Penney Corp., Inc. 5.75% 2/15/18

165,000

145,200

Sears Holdings Corp. 6.625% 10/15/18

127,000

115,570

 

260,770

TOTAL CONSUMER DISCRETIONARY

8,231,277

FINANCIALS - 1.4%

Diversified Financial Services - 0.0%

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 7.75% 1/15/16

508,000

526,415

Real Estate Investment Trusts - 0.9%

Camden Property Trust 5% 6/15/15

265,000

288,256

Commercial Net Lease Realty, Inc. 6.15% 12/15/15

214,000

241,588

Developers Diversified Realty Corp.:

7.5% 7/15/18

563,000

692,125

9.625% 3/15/16

526,000

645,570

Duke Realty LP 6.25% 5/15/13

142,000

144,809

Equity One, Inc.:

5.375% 10/15/15

95,000

103,814

6% 9/15/16

189,000

212,773

6.25% 1/15/17

189,000

215,705

Health Care Property Investors, Inc.:

6% 3/1/15

284,000

308,822

6.3% 9/15/16

900,000

1,038,231

7.072% 6/8/15

95,000

106,364

Healthcare Realty Trust, Inc.:

5.125% 4/1/14

189,000

197,769

6.5% 1/17/17

119,000

136,025

Highwoods/Forsyth LP 5.85% 3/15/17

607,000

684,573

Hospitality Properties Trust:

5.625% 3/15/17

292,000

322,337

6.7% 1/15/18

189,000

216,929

7.875% 8/15/14

95,000

101,415

Corporate Bonds - continued

 

Principal
Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

iStar Financial, Inc.:

5.875% 3/15/16

$ 1,954,000

$ 1,954,000

5.95% 10/15/13

662,000

676,068

6.05% 4/15/15

618,000

621,090

7.125% 2/15/18

265,000

268,313

9% 6/1/17

395,000

429,563

National Retail Properties, Inc. 6.875% 10/15/17

379,000

457,021

Omega Healthcare Investors, Inc. 7.5% 2/15/20

189,000

207,428

Potlatch Corp. 7.5% 11/1/19

189,000

206,010

ProLogis LP 7.625% 7/1/17

297,000

347,865

Reckson Operating Partnership LP/SL Green Realty Corp./SL Green Operating Partnership LP 7.75% 3/15/20

189,000

234,114

Senior Housing Properties Trust 6.75% 4/15/20

134,000

152,468

United Dominion Realty Trust, Inc.:

5.25% 1/15/15

95,000

102,100

5.25% 1/15/16

189,000

208,140

 

11,521,285

Real Estate Management & Development - 0.3%

Brandywine Operating Partnership LP:

5.4% 11/1/14

284,000

303,351

6% 4/1/16

189,000

212,705

7.5% 5/15/15

95,000

106,661

CB Richard Ellis Services, Inc. 11.625% 6/15/17

189,000

206,955

Colonial Properties Trust:

6.15% 4/15/13

237,000

239,987

6.25% 6/15/14

302,000

321,587

Colonial Realty LP 6.05% 9/1/16

284,000

316,690

First Industrial LP 5.75% 1/15/16

189,000

199,540

Forest City Enterprises, Inc.:

6.5% 2/1/17

1,022,000

1,001,560

7.625% 6/1/15

61,000

61,000

Kennedy-Wilson, Inc. 8.75% 4/1/19 (e)

400,000

424,000

Regency Centers LP 5.875% 6/15/17

114,000

131,802

Toys 'R' Us Property Co. I LLC 10.75% 7/15/17

475,000

511,813

Ventas Realty LP 4% 4/30/19

141,000

151,452

 

4,189,103

Corporate Bonds - continued

 

Principal
Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Thrifts & Mortgage Finance - 0.2%

Wrightwood Capital LLC 1.9% 4/20/20 (c)

$ 5,128,606

$ 2,923,305

TOTAL FINANCIALS

19,160,108

HEALTH CARE - 0.1%

Health Care Equipment & Supplies - 0.0%

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19

195,000

208,163

Health Care Providers & Services - 0.1%

Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18

818,000

869,125

TOTAL HEALTH CARE

1,077,288

INDUSTRIALS - 0.0%

Industrial Conglomerates - 0.0%

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 7.375% 10/1/17 (e)

165,000

169,538

MATERIALS - 0.0%

Paper & Forest Products - 0.0%

Plum Creek Timberlands LP 5.875% 11/15/15

379,000

420,671

TOTAL NONCONVERTIBLE BONDS

29,058,882

TOTAL CORPORATE BONDS

(Cost $30,958,810)


30,926,853

U.S. Treasury Inflation Protected Obligations - 29.3%

 

U.S. Treasury Inflation-Indexed Bonds:

0.75% 2/15/42

7,933,830

8,680,244

1.75% 1/15/28

10,794,366

13,984,227

2% 1/15/26

11,314,383

14,854,832

2.125% 2/15/40

5,660,446

8,291,729

2.125% 2/15/41

7,982,459

11,771,171

2.375% 1/15/25

11,656,983

15,743,538

2.375% 1/15/27

13,519,131

18,648,985

2.5% 1/15/29

4,404,452

6,282,698

3.625% 4/15/28

6,252,834

9,933,473

U.S. Treasury Inflation Protected Obligations - continued

 

Principal
Amount (d)

Value

U.S. Treasury Inflation-Indexed Bonds: - continued

3.875% 4/15/29

$ 8,937,963

$ 14,808,039

U.S. Treasury Inflation-Indexed Notes:

0.125% 4/15/16

5,404,433

5,688,162

0.125% 4/15/17

13,799,862

14,763,404

0.125% 1/15/22

16,301,379

17,697,656

0.125% 7/15/22

16,446,465

17,848,237

0.5% 4/15/15

9,934,385

10,364,803

0.625% 4/15/13

902,880

901,908

0.625% 7/15/21

11,465,244

13,033,576

1.125% 1/15/21

14,566,374

17,115,525

1.25% 4/15/14

6,336,237

6,534,179

1.25% 7/15/20

16,432,209

19,491,658

1.375% 7/15/18

6,477,023

7,536,043

1.375% 1/15/20

9,668,039

11,457,134

1.625% 1/15/15

12,148,421

12,907,690

1.625% 1/15/18

7,102,021

8,233,086

1.875% 7/15/15

18,507,109

20,190,345

1.875% 7/15/19

11,109,959

13,519,888

2% 1/15/14

11,023,068

11,380,006

2% 7/15/14

10,742,734

11,336,601

2% 1/15/16

3,945,116

4,375,938

2.125% 1/15/19

8,166,768

9,916,747

2.375% 1/15/17

8,264,495

9,603,335

2.5% 7/15/16

23,058,450

26,511,845

2.625% 7/15/17

7,001,358

8,388,373

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

(Cost $360,400,909)


401,795,075

Asset-Backed Securities - 1.1%

 

Anthracite CDO I Ltd. Series 2002-CIBA Class B, 6.633% 5/24/37 (e)

41,453

41,453

Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.5707% 3/23/19 (e)(f)

257,121

251,310

Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (e)

420,475

424,512

CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.6003% 1/20/37 (e)(f)

213,821

197,249

CapLease CDO Ltd. Series 2005-1A Class A, 4.926% 1/29/40 (e)

1,145,097

1,007,686

CBRE Realty Finance CDO LLC Series 2007-1A Class A1, 0.6013% 4/7/52 (e)(f)

695,654

633,045

Asset-Backed Securities - continued

 

Principal
Amount (d)

Value

Conseco Finance Securitizations Corp.:

Series 2002-1 Class M2, 9.546% 12/1/33

$ 284,000

$ 240,578

Series 2002-2 Class M2, 9.163% 3/1/33

474,000

428,692

Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A:

Class B1, 6.065% 12/28/35 (e)

145,705

145,720

Class B2, 1.66% 12/28/35 (e)(f)

143,193

138,897

Class D, 9% 12/28/35 (e)

518,237

329,184

Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A:

Class B1, 1.81% 6/28/38 (e)(f)

510,000

509,031

Class D, 9% 6/28/38 (e)

1,140,344

764,030

Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27

381,000

359,023

Fairfield Street Solar Corp. Series 2004-1A Class E1, 3.6765% 11/28/39 (e)(f)

891,893

26,757

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class E, 1.8597% 9/25/46 (e)(f)

750,000

262,500

Lehman ABS Manufactured Housing Contract Trust Series 2001-B Class M2, 7.17% 4/15/40

810,194

293,350

Merit Securities Corp. Series 13 Class M1, 7.8888% 12/28/33 (f)

1,900,000

2,051,533

N-Star Real Estate CDO Ltd. Series 1A:

Class B1, 1.9865% 8/28/38 (e)(f)

836,000

777,480

Class C1B, 7.696% 8/28/38 (e)

1,211,876

993,739

Residential Asset Securities Corp. Series 2003-KS10 Class MI3, 6.41% 12/25/33

60,893

17,018

Taberna Preferred Funding III Ltd. Series 2005-3A Class D, 2.9628% 2/5/36 (e)(f)

303,228

30

Wachovia Ltd./Wachovia LLC:

Series 2006-1 Class 1ML, 5.81% 9/25/26 (e)(f)

568,000

287,408

Series 2006-1A:

Class A1A, 0.57% 9/25/26 (e)(f)

358,259

326,517

Class A1B, 0.64% 9/25/26 (e)(f)

609,000

519,233

Class A2A, 0.53% 9/25/26 (e)(f)

346,330

338,538

Class C 0.84% 9/25/26 (e)(f)

250,000

201,500

Class F, 1.46% 9/25/26 (e)(f)

426,000

319,926

Class G, 1.66% 9/25/26 (e)(f)

296,000

214,896

Class H, 1.96% 9/25/26 (e)(f)

814,000

570,614

Asset-Backed Securities - continued

 

Principal
Amount (d)

Value

Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A:

Class A1, 0.6315% 11/21/40 (e)(f)

$ 2,250,823

$ 2,025,741

Class F, 2.2615% 11/21/40 (e)(f)

1,500,000

270,000

TOTAL ASSET-BACKED SECURITIES

(Cost $16,621,381)


14,967,190

Collateralized Mortgage Obligations - 0.1%

 

Private Sponsor - 0.1%

COMM pass-thru certificates Series 2007-FL14 Class AJ, 0.389% 6/15/22 (e)(f)

300,714

295,591

Countrywide Home Loans, Inc. Series 2003-J15:

Class B3, 4.6989% 1/25/19 (e)(f)

30,852

12,796

Class B4, 4.6989% 1/25/19 (e)(f)

61,704

19,475

FREMF Mortgage Trust:

Series 2010 K7 Class B, 5.6187% 4/25/20 (e)(f)

95,000

107,284

Series 2010-K6 Class B, 5.5327% 12/25/46 (e)(f)

189,000

212,106

Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (e)

189,000

198,085

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $730,173)


845,337

Commercial Mortgage Securities - 2.0%

 

ACGS Series 2004-1 Class P, 7.4651% 8/1/19 (i)

1,670,973

1,635,335

Banc of America Commercial Mortgage Trust:

sequential payer Series 2005-1 Class A3, 4.877% 11/10/42

8,431

8,425

Series 2005-1 Class CJ, 5.3621% 11/10/42 (f)

275,000

289,310

Banc of America Large Loan Trust floater Series 2010-HLTN Class HLTN, 2.509% 11/15/15 (e)(f)

2,490,112

2,484,671

Banc of America Large Loan, Inc. floater Series 2005-MIB1 Class K, 2.209% 3/15/22 (e)(f)

498,000

299,309

Banc of America REMIC Trust Series 2012-CLMZ Class A, 7.709% 8/15/17 (e)(f)

210,000

215,775

Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.6193% 3/11/39 (f)

568,000

567,596

Chase Commercial Mortgage Securities Corp. Series 1998-1 Class H, 6.34% 5/18/30 (e)

379,000

334,261

Claregold Trust Series 2007-2A:

Class F, 5.01% 5/15/44 (e)(f)

CAD

1,605,000

1,390,898

Commercial Mortgage Securities - continued

 

Principal
Amount (d)

Value

Claregold Trust Series 2007-2A: - continued

Class G, 5.01% 5/15/44 (e)(f)

CAD

351,000

$ 285,885

Class H, 5.01% 5/15/44 (e)(f)

CAD

235,000

164,493

Class J, 5.01% 5/15/44 (e)(f)

CAD

235,000

155,142

Class K, 5.01% 5/15/44 (e)(f)

CAD

118,000

65,659

Class L, 5.01% 5/15/44 (e)(f)

CAD

421,000

206,060

Class M, 5.01% 5/15/44 (e)(f)

CAD

1,927,737

878,499

COMM pass-thru certificates:

floater Series 2006-FL12 Class AJ, 0.339% 12/15/20 (e)(f)

379,000

352,885

sequential payer Series 2004-RS1 Class A, 5.648% 3/3/41 (e)

197,137

198,812

Communication Mortgage Trust Series 2011-THL Class F, 4.867% 6/9/28 (e)

850,000

785,598

Credit Suisse First Boston Mortgage Securities Corp.:

Series 1998-C2 Class F, 6.75% 11/15/30 (e)

189,000

201,279

Series 2003-C3 Class D, 4.131% 5/15/38

379,000

380,925

DBUBS Mortgage Trust Series 2011-LC1A Class E, 5.7283% 11/10/46 (e)(f)

580,000

603,166

Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31

454,000

456,169

DLJ Commercial Mortgage Corp. Series 1998-CG1 Class B4, 7.4366% 6/10/31 (e)(f)

415,168

425,538

Freddie Mac pass-thru certificates:

Series K011 Class X3, 2.662% 12/25/43 (f)(h)

1,156,048

183,637

Series K012 Class X3, 2.3658% 1/25/41 (f)(h)

665,148

96,476

Series K013 Class X3, 2.8847% 1/25/43 (f)(h)

1,124,000

195,849

G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (e)

1,054,111

1,059,592

GCCFC Commercial Mortgage Trust sequential payer Series 2003-C1 Class D, 4.29% 7/5/35 (e)

189,000

190,545

GMAC Commercial Mortgage Securities, Inc.:

Series 1997-C2 Class G, 6.75% 4/15/29 (f)

195,347

216,184

Series 1999-C1 Class F, 6.02% 5/15/33 (e)

194,337

198,151

Series 1999-C3 Class J, 6.974% 8/15/36

516,000

508,084

Series 2000-C1 Class K, 7% 3/15/33

33,919

25,789

GS Mortgage Securities Corp. II:

floater Series 2007-EOP Class L, 5.4585% 3/6/20 (e)(f)

530,000

533,731

Series 2012-GCJ7:

Class C, 5.906% 5/10/45 (f)

500,000

554,684

Class D, 5.906% 5/10/45 (e)(f)

500,000

486,616

GS Mortgage Securities Corp. Trust Series 2011-ALF Class E, 4.953% 2/10/21 (e)

500,000

502,850

Commercial Mortgage Securities - continued

 

Principal
Amount (d)

Value

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2009-IWST Class D, 7.6935% 12/5/27 (e)(f)

$ 641,000

$ 755,386

Series 2010-CNTM Class MZ, 8.5% 8/5/20 (e)

1,000,000

1,053,406

Series 2010-CNTR Class D, 6.3899% 8/5/32 (e)(f)

284,000

299,298

LB Commercial Conduit Mortgage Trust Series 1998-C4 Class G, 5.6% 10/15/35 (e)

172,498

177,455

LB-UBS Commercial Mortgage Trust Series 2006-C4 Class AJ, 6.0828% 6/15/38 (f)

589,000

567,179

LStar Commercial Mortgage Trust:

Series 2011-1 Class D, 5.583% 6/25/43 (e)(f)

365,500

353,738

Series 2011-1 Class B, 5.583% 6/25/43 (e)(f)

443,000

466,371

Mezz Capital Commercial Mortgage Trust:

sequential payer Series 2004-C2 Class A, 5.318% 10/15/40 (e)

587,481

484,672

Series 2005-C3:

Class D, 7.7% 5/15/44 (e)

600,000

60

Class F, 10.813% 5/15/44 (e)

171,201

17

Morgan Stanley Capital I Trust:

sequential payer:

Series 2004-RR2 Class A2, 5.45% 10/28/33 (e)

135,763

136,442

Series 2006-HQ10 Class AM, 5.36% 11/12/41

881,000

982,304

Series 1997-RR Class F, 7.4009% 4/30/39 (e)(f)

52,266

48,999

Series 1998-CF1 Class G, 7.35% 7/15/32 (e)

385,100

282,434

Series 2006-IQ12 Class AMFX, 5.37% 12/15/43

758,000

841,574

Series 2011-C2:

Class D, 5.4944% 6/15/44 (e)(f)

358,000

381,424

Class E, 5.4944% 6/15/44 (e)(f)

454,000

443,579

Class F, 5.4944% 6/15/44 (e)(f)

343,000

284,157

Class XB, 0.5393% 6/15/44 (e)(f)(h)

12,067,221

413,713

NationsLink Funding Corp. Series 1999-SL Class X, 11/10/30 (h)

229,534

229,259

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (e)

213,657

271,858

TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (e)

474,000

490,162

UBS Commercial Mortgage Trust Series 2007-FL1 Class F, 0.784% 7/15/24 (e)(f)

341,000

272,445

Wachovia Bank Commercial Mortgage Trust:

Series 2004-C10 Class E, 4.931% 2/15/41

379,000

387,636

Commercial Mortgage Securities - continued

 

Principal
Amount (d)

Value

Wachovia Bank Commercial Mortgage Trust: - continued

Series 2004-C12 Class D, 5.4859% 7/15/41 (f)

$ 426,000

$ 430,710

Series 2004-C14 Class B, 5.17% 8/15/41

632,000

664,449

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $26,685,893)


27,856,605

Common Stocks - 13.1%

Shares

 

CONSUMER DISCRETIONARY - 0.5%

Hotels, Restaurants & Leisure - 0.0%

Hyatt Hotels Corp. Class A (a)

7,800

300,846

Household Durables - 0.5%

NVR, Inc. (a)

100

92,000

Standard Pacific Corp. (a)

64,400

473,340

Stanley Martin Communities LLC Class B (a)

6,300

5,584,761

 

6,150,101

TOTAL CONSUMER DISCRETIONARY

6,450,947

FINANCIALS - 12.2%

Capital Markets - 0.0%

HFF, Inc.

12,100

180,290

Real Estate Investment Trusts - 12.0%

Acadia Realty Trust (SBI)

200,990

5,040,829

Alexandria Real Estate Equities, Inc.

7,285

504,996

American Campus Communities, Inc.

10,800

498,204

American Residential Properties, Inc. (e)

32,900

674,450

American Tower Corp.

10,800

834,516

AmREIT, Inc.

10,700

183,505

Anworth Mortgage Asset Corp.

63,600

367,608

Apartment Investment & Management Co. Class A

89,300

2,416,458

Associated Estates Realty Corp.

15,500

249,860

AvalonBay Communities, Inc.

23,578

3,196,941

Boston Properties, Inc.

49,415

5,228,601

Camden Property Trust (SBI)

86,335

5,888,910

CapLease, Inc.

152,800

851,096

CBL & Associates Properties, Inc.

268,034

5,685,001

Cedar Shopping Centers, Inc.

198,100

1,045,968

Chesapeake Lodging Trust

140,066

2,924,578

CommonWealth REIT

23,900

378,576

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Cousins Properties, Inc.

99,160

$ 827,986

Cys Investments, Inc.

39,580

467,440

DCT Industrial Trust, Inc.

270,427

1,755,071

DiamondRock Hospitality Co.

22,882

205,938

Douglas Emmett, Inc.

147,530

3,437,449

DuPont Fabros Technology, Inc.

4,700

113,552

Dynex Capital, Inc.

63,900

603,216

EastGroup Properties, Inc.

4,000

215,240

Education Realty Trust, Inc.

326,124

3,469,959

Equity Lifestyle Properties, Inc.

42,400

2,853,096

Equity One, Inc.

135,226

2,841,098

Equity Residential (SBI)

55,439

3,141,728

Essex Property Trust, Inc.

31,658

4,642,646

Excel Trust, Inc.

72,528

918,930

First Potomac Realty Trust

82,600

1,020,936

General Growth Properties, Inc.

119,641

2,374,874

Glimcher Realty Trust

223,498

2,478,593

Hatteras Financial Corp.

8,300

205,923

HCP, Inc.

116,513

5,264,057

Health Care REIT, Inc.

45,375

2,781,034

Highwoods Properties, Inc. (SBI)

109,073

3,648,492

Home Properties, Inc.

51,100

3,132,941

Host Hotels & Resorts, Inc.

150,403

2,356,815

Kimco Realty Corp.

16,226

313,486

Kite Realty Group Trust

133,033

743,654

Lexington Corporate Properties Trust

193,600

2,023,120

LTC Properties, Inc.

17,400

612,306

MFA Financial, Inc.

351,866

2,853,633

Mid-America Apartment Communities, Inc.

5,100

330,225

Monmouth Real Estate Investment Corp. Class A

15,500

160,580

National Retail Properties, Inc.

6,900

215,280

Newcastle Investment Corp.

109,700

952,196

NorthStar Realty Finance Corp.

29,300

206,272

Prologis, Inc.

300,468

10,964,077

Public Storage

72,258

10,474,520

Retail Properties America, Inc.

66,800

799,596

Select Income (REIT)

10,966

271,628

Senior Housing Properties Trust (SBI)

28,800

680,832

Simon Property Group, Inc.

112,380

17,766,154

SL Green Realty Corp.

75,719

5,803,861

Sovran Self Storage, Inc.

9,900

614,790

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Stag Industrial, Inc.

66,450

$ 1,194,107

Summit Hotel Properties, Inc.

29,000

275,500

Sun Communities, Inc.

23,470

936,218

Sunstone Hotel Investors, Inc. (a)

231,082

2,474,888

Terreno Realty Corp.

10,200

157,488

Two Harbors Investment Corp.

17,700

196,116

Ventas, Inc.

220,647

14,280,274

Vornado Realty Trust

35,272

2,824,582

Washington (REIT) (SBI)

14,000

366,100

Weyerhaeuser Co.

12,900

358,878

WP Carey, Inc.

7,900

411,985

 

163,989,457

Real Estate Management & Development - 0.2%

CBRE Group, Inc. (a)

70,171

1,396,403

Forest City Enterprises, Inc. Class A (a)

81,713

1,319,665

Kennedy-Wilson Holdings, Inc.

17,300

241,854

 

2,957,922

Thrifts & Mortgage Finance - 0.0%

Home Loan Servicing Solutions Ltd.

30,300

572,670

TOTAL FINANCIALS

167,700,339

HEALTH CARE - 0.4%

Health Care Providers & Services - 0.4%

Brookdale Senior Living, Inc. (a)

110,972

2,809,811

Capital Senior Living Corp. (a)

12,600

235,494

Emeritus Corp. (a)

125,105

3,092,596

 

6,137,901

TOTAL COMMON STOCKS

(Cost $179,310,629)


180,289,187

Preferred Stocks - 1.7%

 

 

 

 

Convertible Preferred Stocks - 0.2%

FINANCIALS - 0.2%

Real Estate Investment Trusts - 0.2%

CommonWealth REIT 6.50%

22,800

526,224

Excel Trust, Inc. 7.00% (e)

43,800

1,100,840

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Health Care REIT, Inc. Series I, 6.50%

3,800

$ 217,194

Lexington Corporate Properties Trust Series C, 6.50%

13,700

652,942

 

2,497,200

Nonconvertible Preferred Stocks - 1.5%

CONSUMER DISCRETIONARY - 0.0%

Hotels, Restaurants & Leisure - 0.0%

Red Lion Hotels Capital Trust 9.50%

26,265

665,818

FINANCIALS - 1.5%

Real Estate Investment Trusts - 1.5%

AG Mortgage Investment Trust, Inc. 8.00% (a)

12,379

308,856

American Home Mortgage Investment Corp.:

Series A, 9.375% (a)

81,500

8

Series B, 9.25% (a)

233,544

23

Annaly Capital Management, Inc.:

Series A, 7.875%

35,200

895,840

Series C, 7.625%

2,324

58,332

Series D, 7.50%

11,671

290,258

Anworth Mortgage Asset Corp. Series A, 8.625%

41,700

1,069,605

Apollo Commercial Real Estate Finance, Inc. Series A, 8.625%

13,174

344,500

Apollo Residential Mortgage, Inc. Series A, 8.00%

6,647

164,779

BioMed Realty Trust, Inc. Series A, 7.375%

3,800

96,862

CapLease, Inc. Series B, 8.375%

40,000

1,047,600

CBL & Associates Properties, Inc. 7.375%

10,347

259,192

Cedar Shopping Centers, Inc.:

8.875%

2,158

54,619

Series B, 7.25%

12,171

297,581

CenterPoint Properties Trust Series D, 5.377%

5,280

2,956,800

Chesapeake Lodging Trust Series A, 7.75%

4,050

107,244

Coresite Realty Corp. Series A, 7.25% (a)

11,776

296,873

Cousins Properties, Inc.:

Series A, 7.75%

15,100

381,728

Series B, 7.50%

8,259

206,640

Cys Investments, Inc. Series A, 7.75%

2,162

53,985

DDR Corp. Series J, 6.50%

6,519

159,455

Duke Realty LP Series L, 6.60%

1,034

25,953

Dynex Capital, Inc. Series A, 8.50%

20,755

531,120

Equity Lifestyle Properties, Inc. Series C, 6.75%

25,000

641,250

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Essex Property Trust, Inc. Series H, 7.125%

1,900

$ 49,248

Excel Trust, Inc. Series B, 8.125%

24,000

625,200

First Potomac Realty Trust 7.75%

22,008

564,945

Glimcher Realty Trust Series G, 8.125%

6,290

158,319

Hatteras Financial Corp. Series A, 7.625%

5,740

143,328

Hersha Hospitality Trust Series A, 8.00%

3,449

87,260

Hospitality Properties Trust Series C, 7.00%

7,491

188,923

Hudson Pacific Properties, Inc. 8.375%

10,200

265,812

Invesco Mortgage Capital, Inc. Series A, 7.75%

6,507

162,285

Kite Realty Group Trust 8.25%

900

23,085

LaSalle Hotel Properties Series G, 7.25%

16,540

416,146

LBA Realty Fund II Series B, 7.625% (a)

27,795

535,054

Lexington Realty Trust 7.55%

3,785

94,663

MFA Financial, Inc.:

8.00%

11,262

290,109

Series A, 8.50%

71,600

1,838,688

NorthStar Realty Finance Corp. Series C, 8.875% (a)

10,582

260,317

Parkway Properties, Inc. Series D, 8.00%

5,000

125,050

Pebblebrook Hotel Trust:

Series A, 7.875%

11,500

297,965

Series B, 8.00%

7,600

197,524

Pennsylvania (REIT) 7.375%

4,082

103,315

Prologis, Inc.:

Series O, 7.00%

100

2,521

Series Q, 8.54%

3,700

230,325

Saul Centers, Inc.:

8.00%

8,600

221,020

Series B (depositary shares) 9.00%

5,600

145,544

Stag Industrial, Inc. Series A, 9.00%

40,000

1,070,400

Summit Hotel Properties, Inc. Series B, 7.875% (a)

9,827

250,589

Sun Communities, Inc. Series A, 7.125%

15,940

398,003

Sunstone Hotel Investors, Inc. Series A, 8.00%

8,600

213,366

UMH Properties, Inc. Series A, 8.25%

14,000

361,060

Weingarten Realty Investors (SBI) Series F, 6.50%

14,746

368,060

 

19,937,227

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Management & Development - 0.0%

Kennedy-Wilson, Inc. 7.75% (a)

7,372

$ 184,300

TOTAL FINANCIALS

20,121,527

TOTAL NONCONVERTIBLE PREFERRED STOCKS

20,787,345

TOTAL PREFERRED STOCKS

(Cost $31,867,302)


23,284,545

Floating Rate Loans - 0.9%

 

Principal
Amount (d)

 

CONSUMER DISCRETIONARY - 0.3%

Hotels, Restaurants & Leisure - 0.1%

Extended Stay America, Inc. REL

$ 1,500,000

1,500,000

Household Durables - 0.1%

TOUSA, Inc. Tranche 1LN, term loan 7/31/49 (c)

3,000,000

1,515,000

Media - 0.1%

PRIMEDIA, Inc. Tranche B, term loan 7.5% 1/13/18 (f)

1,132,750

1,084,608

Specialty Retail - 0.0%

The Pep Boys - Manny, Moe & Jack Tranche B, term loan 5% 10/11/18 (f)

285,000

287,138

TOTAL CONSUMER DISCRETIONARY

4,386,746

FINANCIALS - 0.6%

Diversified Financial Services - 0.2%

Blackstone REL 10% 10/1/2017

3,000,000

3,082,500

Real Estate Management & Development - 0.4%

CB Richard Ellis Services, Inc. Tranche D, term loan 3.71% 9/4/19 (f)

185,150

185,150

CityCenter term loan 8.75% 7/1/13 (f)

2,606,094

2,606,094

EOP Operating LP term loan 5.25% 2/5/13 (f)

500,000

485,350

Equity Inns Reality LLC Tranche A, term loan 9.5% 11/4/13 (f)

1,000,000

900,528

Realogy Corp.:

Credit-Linked Deposit 3.2143% 10/10/13 (f)

50,082

48,329

Floating Rate Loans - continued

 

Principal
Amount (d)

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Realogy Corp.: - continued

Credit-Linked Deposit 4.4643% 10/10/16 (f)

$ 34,201

$ 34,372

term loan 4.461% 10/10/16 (f)

472,817

475,181

 

4,735,004

TOTAL FINANCIALS

7,817,504

HEALTH CARE - 0.0%

Health Care Providers & Services - 0.0%

Community Health Systems, Inc. term loan 3.8105% 1/25/17 (f)

91,500

91,957

INDUSTRIALS - 0.0%

Construction & Engineering - 0.0%

Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (f)

739,140

692,944

TOTAL FLOATING RATE LOANS

(Cost $14,392,540)


12,989,151

Commodity Funds - 22.9%

 

Shares

 

Fidelity Commodity Strategy Central Fund (g)
(Cost $377,972,729)

29,830,285


313,814,596

Fixed-Income Funds - 25.1%

 

 

Fidelity Floating Rate Central Fund (g)
(Cost $332,138,253)

3,278,105


344,135,463

Preferred Securities - 0.0%

Principal
Amount (d)

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

Crest Clarendon Street 2002-1 Ltd. Series 2002-1A Class PS, 12/28/35 (e)

(Cost $570,649)

$ 500,000


25,000

Money Market Funds - 1.3%

Shares

Value

Fidelity Cash Central Fund, 0.18% (b)
(Cost $17,883,828)

17,883,828

$ 17,883,828

TOTAL INVESTMENT PORTFOLIO - 99.7%

(Cost $1,389,533,096)

1,368,812,830

NET OTHER ASSETS (LIABILITIES) - 0.3%

3,679,542

NET ASSETS - 100%

$ 1,372,492,372

Currency Abbreviations

CAD

-

Canadian dollar

Legend

(a) Non-income producing

(b) Affiliated fund that is 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.

(c) Non-income producing - Security is in default.

(d) Amount is stated in United States dollars unless otherwise noted.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $35,296,210 or 2.6% of net assets.

(f) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(g) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in Fidelity Central Funds, other than the Commodity Strategy and Money Market Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(i) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,635,335 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

ACGS Series 2004-1 Class P, 7.4651% 8/1/19

2/17/11

$ 1,618,111

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Cash Central Fund

$ 7,330

Fidelity Commodity Strategy Central Fund

149,151

Fidelity Floating Rate Central Fund

4,539,287

Fidelity Securities Lending Cash Central Fund

12

Total

$ 4,695,780

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Commodity Strategy Central Fund

$ 332,803,865

$ 2,497,392

$ -

$ 313,814,596

63.0%

Fidelity Floating Rate Central Fund

334,845,337

7,752,453

-

344,135,463

21.9%

Total

$ 667,649,202

$ 10,249,845

$ -

$ 657,950,059

Other Information

The following is a summary of the inputs used, as of December 31, 2012, 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 in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 7,116,765

$ 1,532,004

$ -

$ 5,584,761

Financials

190,319,066

184,353,814

2,334,002

3,631,250

Health Care

6,137,901

6,137,901

-

-

Corporate Bonds

30,926,853

-

28,003,548

2,923,305

U.S. Government and Government Agency Obligations

401,795,075

-

401,795,075

-

Asset-Backed Securities

14,967,190

-

9,067,638

5,899,552

Collateralized Mortgage Obligations

845,337

-

845,337

-

Commercial Mortgage Securities

27,856,605

-

21,282,482

6,574,123

Floating Rate Loans

12,989,151

-

5,315,207

7,673,944

Fixed-Income Funds

344,135,463

344,135,463

-

-

Preferred Securities

25,000

-

-

25,000

Money Market Funds

17,883,828

17,883,828

-

-

Commodity Funds

313,814,596

313,814,596

-

-

Total Investments in Securities:

$ 1,368,812,830

$ 867,857,606

$ 468,643,289

$ 32,311,935

Valuation Inputs at Reporting Date:

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

Investments in Securities:

Beginning Balance

$ 37,420,737

Total Realized Gain (Loss)

(12,590,682)

Total Unrealized Gain (Loss)

13,771,401

Cost of Purchases

4,618,349

Proceeds of Sales

(8,223,631)

Amortization/Accretion

11,504

Transfers in to Level 3

553,000

Transfers out of Level 3

(3,248,743)

Ending Balance

$ 32,311,935

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at December 31, 2012

$ 795,846

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At December 31, 2012, the cost of investment securities for income tax purposes was $1,405,894,188. Net unrealized depreciation aggregated $37,081,358, of which $77,985,976 related to appreciated investment securities and $115,067,334 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, floating rate loans, preferred securities and U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

For asset backed securities, collateralized mortgage obligations and commercial mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker.

Asset Type

Fair Value
at
12/31/12

Valuation
Technique(s)

Unobservable
Input(s)

Range

Weighted
Average

Asset-Backed Securities

$ 516,357

Discounted cash flow

Yield

6.1% - 10%

8.8%

 

 

Expected distribution

Recovery rate

100%

100%

Common Stocks

$ 5,584,761

Adjusted book value

Book value multiple

1.0%

1.0%

Corporate Bonds

$ 2,923,305

Discounted cash flow

Yield

30%

30%

Floating Rate Loans

$ 5,688,594

Discounted cash flow

Yield

8.9% - 9.7%

9.3%

For the unobservable inputs listed in the table above, a significant increase in yields could result in a significant decrease to the fair value measurement. A significant increase in estimated recovery rates or book value multiples could result in a significant increase to the fair value measurement.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity Advisor® Strategic
Real Return Fund
Class A
Class T
Class B
Class C
Institutional Class

December 31, 2012 

1.828814.107

ARRS-QTLY-0213

Investments December 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 2.2%

 

Principal
Amount (d)

Value

Convertible Bonds - 0.1%

CONSUMER DISCRETIONARY - 0.0%

Hotels, Restaurants & Leisure - 0.0%

Morgans Hotel Group Co. 2.375% 10/15/14

$ 125,000

$ 117,813

FINANCIALS - 0.1%

Real Estate Investment Trusts - 0.1%

Annaly Capital Management, Inc. 5% 5/15/15

700,000

707,438

CapLease, Inc. 7.5% 10/1/27 (e)

1,042,000

1,042,000

 

1,749,438

Real Estate Management & Development - 0.0%

Grubb & Ellis Co. 7.95% 5/1/15 (c)(e)

360,000

720

TOTAL FINANCIALS

1,750,158

TOTAL CONVERTIBLE BONDS

1,867,971

Nonconvertible Bonds - 2.1%

CONSUMER DISCRETIONARY - 0.6%

Hotels, Restaurants & Leisure - 0.1%

Times Square Hotel Trust 8.528% 8/1/26 (e)

595,377

702,548

Household Durables - 0.5%

D.R. Horton, Inc. 6.5% 4/15/16

189,000

209,790

KB Home:

5.875% 1/15/15

284,000

295,360

6.25% 6/15/15

966,000

1,026,375

7.25% 6/15/18

470,000

513,475

8% 3/15/20

140,000

158,550

9.1% 9/15/17

550,000

639,375

Lennar Corp. 5.6% 5/31/15

284,000

302,460

M/I Homes, Inc. 8.625% 11/15/18

1,181,000

1,290,243

Meritage Homes Corp. 7% 4/1/22

470,000

513,475

Ryland Group, Inc. 8.4% 5/15/17

129,000

153,833

Standard Pacific Corp.:

8.375% 5/15/18

1,458,000

1,691,280

Corporate Bonds - continued

 

Principal
Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Standard Pacific Corp.: - continued

10.75% 9/15/16

$ 301,000

$ 373,993

William Lyon Homes, Inc. 8.5% 11/15/20 (e)

95,000

99,750

 

7,267,959

Multiline Retail - 0.0%

JC Penney Corp., Inc. 5.75% 2/15/18

165,000

145,200

Sears Holdings Corp. 6.625% 10/15/18

127,000

115,570

 

260,770

TOTAL CONSUMER DISCRETIONARY

8,231,277

FINANCIALS - 1.4%

Diversified Financial Services - 0.0%

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 7.75% 1/15/16

508,000

526,415

Real Estate Investment Trusts - 0.9%

Camden Property Trust 5% 6/15/15

265,000

288,256

Commercial Net Lease Realty, Inc. 6.15% 12/15/15

214,000

241,588

Developers Diversified Realty Corp.:

7.5% 7/15/18

563,000

692,125

9.625% 3/15/16

526,000

645,570

Duke Realty LP 6.25% 5/15/13

142,000

144,809

Equity One, Inc.:

5.375% 10/15/15

95,000

103,814

6% 9/15/16

189,000

212,773

6.25% 1/15/17

189,000

215,705

Health Care Property Investors, Inc.:

6% 3/1/15

284,000

308,822

6.3% 9/15/16

900,000

1,038,231

7.072% 6/8/15

95,000

106,364

Healthcare Realty Trust, Inc.:

5.125% 4/1/14

189,000

197,769

6.5% 1/17/17

119,000

136,025

Highwoods/Forsyth LP 5.85% 3/15/17

607,000

684,573

Hospitality Properties Trust:

5.625% 3/15/17

292,000

322,337

6.7% 1/15/18

189,000

216,929

7.875% 8/15/14

95,000

101,415

Corporate Bonds - continued

 

Principal
Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

iStar Financial, Inc.:

5.875% 3/15/16

$ 1,954,000

$ 1,954,000

5.95% 10/15/13

662,000

676,068

6.05% 4/15/15

618,000

621,090

7.125% 2/15/18

265,000

268,313

9% 6/1/17

395,000

429,563

National Retail Properties, Inc. 6.875% 10/15/17

379,000

457,021

Omega Healthcare Investors, Inc. 7.5% 2/15/20

189,000

207,428

Potlatch Corp. 7.5% 11/1/19

189,000

206,010

ProLogis LP 7.625% 7/1/17

297,000

347,865

Reckson Operating Partnership LP/SL Green Realty Corp./SL Green Operating Partnership LP 7.75% 3/15/20

189,000

234,114

Senior Housing Properties Trust 6.75% 4/15/20

134,000

152,468

United Dominion Realty Trust, Inc.:

5.25% 1/15/15

95,000

102,100

5.25% 1/15/16

189,000

208,140

 

11,521,285

Real Estate Management & Development - 0.3%

Brandywine Operating Partnership LP:

5.4% 11/1/14

284,000

303,351

6% 4/1/16

189,000

212,705

7.5% 5/15/15

95,000

106,661

CB Richard Ellis Services, Inc. 11.625% 6/15/17

189,000

206,955

Colonial Properties Trust:

6.15% 4/15/13

237,000

239,987

6.25% 6/15/14

302,000

321,587

Colonial Realty LP 6.05% 9/1/16

284,000

316,690

First Industrial LP 5.75% 1/15/16

189,000

199,540

Forest City Enterprises, Inc.:

6.5% 2/1/17

1,022,000

1,001,560

7.625% 6/1/15

61,000

61,000

Kennedy-Wilson, Inc. 8.75% 4/1/19 (e)

400,000

424,000

Regency Centers LP 5.875% 6/15/17

114,000

131,802

Toys 'R' Us Property Co. I LLC 10.75% 7/15/17

475,000

511,813

Ventas Realty LP 4% 4/30/19

141,000

151,452

 

4,189,103

Corporate Bonds - continued

 

Principal
Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Thrifts & Mortgage Finance - 0.2%

Wrightwood Capital LLC 1.9% 4/20/20 (c)

$ 5,128,606

$ 2,923,305

TOTAL FINANCIALS

19,160,108

HEALTH CARE - 0.1%

Health Care Equipment & Supplies - 0.0%

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19

195,000

208,163

Health Care Providers & Services - 0.1%

Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18

818,000

869,125

TOTAL HEALTH CARE

1,077,288

INDUSTRIALS - 0.0%

Industrial Conglomerates - 0.0%

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 7.375% 10/1/17 (e)

165,000

169,538

MATERIALS - 0.0%

Paper & Forest Products - 0.0%

Plum Creek Timberlands LP 5.875% 11/15/15

379,000

420,671

TOTAL NONCONVERTIBLE BONDS

29,058,882

TOTAL CORPORATE BONDS

(Cost $30,958,810)


30,926,853

U.S. Treasury Inflation Protected Obligations - 29.3%

 

U.S. Treasury Inflation-Indexed Bonds:

0.75% 2/15/42

7,933,830

8,680,244

1.75% 1/15/28

10,794,366

13,984,227

2% 1/15/26

11,314,383

14,854,832

2.125% 2/15/40

5,660,446

8,291,729

2.125% 2/15/41

7,982,459

11,771,171

2.375% 1/15/25

11,656,983

15,743,538

2.375% 1/15/27

13,519,131

18,648,985

2.5% 1/15/29

4,404,452

6,282,698

3.625% 4/15/28

6,252,834

9,933,473

U.S. Treasury Inflation Protected Obligations - continued

 

Principal
Amount (d)

Value

U.S. Treasury Inflation-Indexed Bonds: - continued

3.875% 4/15/29

$ 8,937,963

$ 14,808,039

U.S. Treasury Inflation-Indexed Notes:

0.125% 4/15/16

5,404,433

5,688,162

0.125% 4/15/17

13,799,862

14,763,404

0.125% 1/15/22

16,301,379

17,697,656

0.125% 7/15/22

16,446,465

17,848,237

0.5% 4/15/15

9,934,385

10,364,803

0.625% 4/15/13

902,880

901,908

0.625% 7/15/21

11,465,244

13,033,576

1.125% 1/15/21

14,566,374

17,115,525

1.25% 4/15/14

6,336,237

6,534,179

1.25% 7/15/20

16,432,209

19,491,658

1.375% 7/15/18

6,477,023

7,536,043

1.375% 1/15/20

9,668,039

11,457,134

1.625% 1/15/15

12,148,421

12,907,690

1.625% 1/15/18

7,102,021

8,233,086

1.875% 7/15/15

18,507,109

20,190,345

1.875% 7/15/19

11,109,959

13,519,888

2% 1/15/14

11,023,068

11,380,006

2% 7/15/14

10,742,734

11,336,601

2% 1/15/16

3,945,116

4,375,938

2.125% 1/15/19

8,166,768

9,916,747

2.375% 1/15/17

8,264,495

9,603,335

2.5% 7/15/16

23,058,450

26,511,845

2.625% 7/15/17

7,001,358

8,388,373

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

(Cost $360,400,909)


401,795,075

Asset-Backed Securities - 1.1%

 

Anthracite CDO I Ltd. Series 2002-CIBA Class B, 6.633% 5/24/37 (e)

41,453

41,453

Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.5707% 3/23/19 (e)(f)

257,121

251,310

Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (e)

420,475

424,512

CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.6003% 1/20/37 (e)(f)

213,821

197,249

CapLease CDO Ltd. Series 2005-1A Class A, 4.926% 1/29/40 (e)

1,145,097

1,007,686

CBRE Realty Finance CDO LLC Series 2007-1A Class A1, 0.6013% 4/7/52 (e)(f)

695,654

633,045

Asset-Backed Securities - continued

 

Principal
Amount (d)

Value

Conseco Finance Securitizations Corp.:

Series 2002-1 Class M2, 9.546% 12/1/33

$ 284,000

$ 240,578

Series 2002-2 Class M2, 9.163% 3/1/33

474,000

428,692

Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A:

Class B1, 6.065% 12/28/35 (e)

145,705

145,720

Class B2, 1.66% 12/28/35 (e)(f)

143,193

138,897

Class D, 9% 12/28/35 (e)

518,237

329,184

Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A:

Class B1, 1.81% 6/28/38 (e)(f)

510,000

509,031

Class D, 9% 6/28/38 (e)

1,140,344

764,030

Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27

381,000

359,023

Fairfield Street Solar Corp. Series 2004-1A Class E1, 3.6765% 11/28/39 (e)(f)

891,893

26,757

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class E, 1.8597% 9/25/46 (e)(f)

750,000

262,500

Lehman ABS Manufactured Housing Contract Trust Series 2001-B Class M2, 7.17% 4/15/40

810,194

293,350

Merit Securities Corp. Series 13 Class M1, 7.8888% 12/28/33 (f)

1,900,000

2,051,533

N-Star Real Estate CDO Ltd. Series 1A:

Class B1, 1.9865% 8/28/38 (e)(f)

836,000

777,480

Class C1B, 7.696% 8/28/38 (e)

1,211,876

993,739

Residential Asset Securities Corp. Series 2003-KS10 Class MI3, 6.41% 12/25/33

60,893

17,018

Taberna Preferred Funding III Ltd. Series 2005-3A Class D, 2.9628% 2/5/36 (e)(f)

303,228

30

Wachovia Ltd./Wachovia LLC:

Series 2006-1 Class 1ML, 5.81% 9/25/26 (e)(f)

568,000

287,408

Series 2006-1A:

Class A1A, 0.57% 9/25/26 (e)(f)

358,259

326,517

Class A1B, 0.64% 9/25/26 (e)(f)

609,000

519,233

Class A2A, 0.53% 9/25/26 (e)(f)

346,330

338,538

Class C 0.84% 9/25/26 (e)(f)

250,000

201,500

Class F, 1.46% 9/25/26 (e)(f)

426,000

319,926

Class G, 1.66% 9/25/26 (e)(f)

296,000

214,896

Class H, 1.96% 9/25/26 (e)(f)

814,000

570,614

Asset-Backed Securities - continued

 

Principal
Amount (d)

Value

Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A:

Class A1, 0.6315% 11/21/40 (e)(f)

$ 2,250,823

$ 2,025,741

Class F, 2.2615% 11/21/40 (e)(f)

1,500,000

270,000

TOTAL ASSET-BACKED SECURITIES

(Cost $16,621,381)


14,967,190

Collateralized Mortgage Obligations - 0.1%

 

Private Sponsor - 0.1%

COMM pass-thru certificates Series 2007-FL14 Class AJ, 0.389% 6/15/22 (e)(f)

300,714

295,591

Countrywide Home Loans, Inc. Series 2003-J15:

Class B3, 4.6989% 1/25/19 (e)(f)

30,852

12,796

Class B4, 4.6989% 1/25/19 (e)(f)

61,704

19,475

FREMF Mortgage Trust:

Series 2010 K7 Class B, 5.6187% 4/25/20 (e)(f)

95,000

107,284

Series 2010-K6 Class B, 5.5327% 12/25/46 (e)(f)

189,000

212,106

Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (e)

189,000

198,085

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $730,173)


845,337

Commercial Mortgage Securities - 2.0%

 

ACGS Series 2004-1 Class P, 7.4651% 8/1/19 (i)

1,670,973

1,635,335

Banc of America Commercial Mortgage Trust:

sequential payer Series 2005-1 Class A3, 4.877% 11/10/42

8,431

8,425

Series 2005-1 Class CJ, 5.3621% 11/10/42 (f)

275,000

289,310

Banc of America Large Loan Trust floater Series 2010-HLTN Class HLTN, 2.509% 11/15/15 (e)(f)

2,490,112

2,484,671

Banc of America Large Loan, Inc. floater Series 2005-MIB1 Class K, 2.209% 3/15/22 (e)(f)

498,000

299,309

Banc of America REMIC Trust Series 2012-CLMZ Class A, 7.709% 8/15/17 (e)(f)

210,000

215,775

Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.6193% 3/11/39 (f)

568,000

567,596

Chase Commercial Mortgage Securities Corp. Series 1998-1 Class H, 6.34% 5/18/30 (e)

379,000

334,261

Claregold Trust Series 2007-2A:

Class F, 5.01% 5/15/44 (e)(f)

CAD

1,605,000

1,390,898

Commercial Mortgage Securities - continued

 

Principal
Amount (d)

Value

Claregold Trust Series 2007-2A: - continued

Class G, 5.01% 5/15/44 (e)(f)

CAD

351,000

$ 285,885

Class H, 5.01% 5/15/44 (e)(f)

CAD

235,000

164,493

Class J, 5.01% 5/15/44 (e)(f)

CAD

235,000

155,142

Class K, 5.01% 5/15/44 (e)(f)

CAD

118,000

65,659

Class L, 5.01% 5/15/44 (e)(f)

CAD

421,000

206,060

Class M, 5.01% 5/15/44 (e)(f)

CAD

1,927,737

878,499

COMM pass-thru certificates:

floater Series 2006-FL12 Class AJ, 0.339% 12/15/20 (e)(f)

379,000

352,885

sequential payer Series 2004-RS1 Class A, 5.648% 3/3/41 (e)

197,137

198,812

Communication Mortgage Trust Series 2011-THL Class F, 4.867% 6/9/28 (e)

850,000

785,598

Credit Suisse First Boston Mortgage Securities Corp.:

Series 1998-C2 Class F, 6.75% 11/15/30 (e)

189,000

201,279

Series 2003-C3 Class D, 4.131% 5/15/38

379,000

380,925

DBUBS Mortgage Trust Series 2011-LC1A Class E, 5.7283% 11/10/46 (e)(f)

580,000

603,166

Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31

454,000

456,169

DLJ Commercial Mortgage Corp. Series 1998-CG1 Class B4, 7.4366% 6/10/31 (e)(f)

415,168

425,538

Freddie Mac pass-thru certificates:

Series K011 Class X3, 2.662% 12/25/43 (f)(h)

1,156,048

183,637

Series K012 Class X3, 2.3658% 1/25/41 (f)(h)

665,148

96,476

Series K013 Class X3, 2.8847% 1/25/43 (f)(h)

1,124,000

195,849

G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (e)

1,054,111

1,059,592

GCCFC Commercial Mortgage Trust sequential payer Series 2003-C1 Class D, 4.29% 7/5/35 (e)

189,000

190,545

GMAC Commercial Mortgage Securities, Inc.:

Series 1997-C2 Class G, 6.75% 4/15/29 (f)

195,347

216,184

Series 1999-C1 Class F, 6.02% 5/15/33 (e)

194,337

198,151

Series 1999-C3 Class J, 6.974% 8/15/36

516,000

508,084

Series 2000-C1 Class K, 7% 3/15/33

33,919

25,789

GS Mortgage Securities Corp. II:

floater Series 2007-EOP Class L, 5.4585% 3/6/20 (e)(f)

530,000

533,731

Series 2012-GCJ7:

Class C, 5.906% 5/10/45 (f)

500,000

554,684

Class D, 5.906% 5/10/45 (e)(f)

500,000

486,616

GS Mortgage Securities Corp. Trust Series 2011-ALF Class E, 4.953% 2/10/21 (e)

500,000

502,850

Commercial Mortgage Securities - continued

 

Principal
Amount (d)

Value

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2009-IWST Class D, 7.6935% 12/5/27 (e)(f)

$ 641,000

$ 755,386

Series 2010-CNTM Class MZ, 8.5% 8/5/20 (e)

1,000,000

1,053,406

Series 2010-CNTR Class D, 6.3899% 8/5/32 (e)(f)

284,000

299,298

LB Commercial Conduit Mortgage Trust Series 1998-C4 Class G, 5.6% 10/15/35 (e)

172,498

177,455

LB-UBS Commercial Mortgage Trust Series 2006-C4 Class AJ, 6.0828% 6/15/38 (f)

589,000

567,179

LStar Commercial Mortgage Trust:

Series 2011-1 Class D, 5.583% 6/25/43 (e)(f)

365,500

353,738

Series 2011-1 Class B, 5.583% 6/25/43 (e)(f)

443,000

466,371

Mezz Capital Commercial Mortgage Trust:

sequential payer Series 2004-C2 Class A, 5.318% 10/15/40 (e)

587,481

484,672

Series 2005-C3:

Class D, 7.7% 5/15/44 (e)

600,000

60

Class F, 10.813% 5/15/44 (e)

171,201

17

Morgan Stanley Capital I Trust:

sequential payer:

Series 2004-RR2 Class A2, 5.45% 10/28/33 (e)

135,763

136,442

Series 2006-HQ10 Class AM, 5.36% 11/12/41

881,000

982,304

Series 1997-RR Class F, 7.4009% 4/30/39 (e)(f)

52,266

48,999

Series 1998-CF1 Class G, 7.35% 7/15/32 (e)

385,100

282,434

Series 2006-IQ12 Class AMFX, 5.37% 12/15/43

758,000

841,574

Series 2011-C2:

Class D, 5.4944% 6/15/44 (e)(f)

358,000

381,424

Class E, 5.4944% 6/15/44 (e)(f)

454,000

443,579

Class F, 5.4944% 6/15/44 (e)(f)

343,000

284,157

Class XB, 0.5393% 6/15/44 (e)(f)(h)

12,067,221

413,713

NationsLink Funding Corp. Series 1999-SL Class X, 11/10/30 (h)

229,534

229,259

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (e)

213,657

271,858

TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (e)

474,000

490,162

UBS Commercial Mortgage Trust Series 2007-FL1 Class F, 0.784% 7/15/24 (e)(f)

341,000

272,445

Wachovia Bank Commercial Mortgage Trust:

Series 2004-C10 Class E, 4.931% 2/15/41

379,000

387,636

Commercial Mortgage Securities - continued

 

Principal
Amount (d)

Value

Wachovia Bank Commercial Mortgage Trust: - continued

Series 2004-C12 Class D, 5.4859% 7/15/41 (f)

$ 426,000

$ 430,710

Series 2004-C14 Class B, 5.17% 8/15/41

632,000

664,449

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $26,685,893)


27,856,605

Common Stocks - 13.1%

Shares

 

CONSUMER DISCRETIONARY - 0.5%

Hotels, Restaurants & Leisure - 0.0%

Hyatt Hotels Corp. Class A (a)

7,800

300,846

Household Durables - 0.5%

NVR, Inc. (a)

100

92,000

Standard Pacific Corp. (a)

64,400

473,340

Stanley Martin Communities LLC Class B (a)

6,300

5,584,761

 

6,150,101

TOTAL CONSUMER DISCRETIONARY

6,450,947

FINANCIALS - 12.2%

Capital Markets - 0.0%

HFF, Inc.

12,100

180,290

Real Estate Investment Trusts - 12.0%

Acadia Realty Trust (SBI)

200,990

5,040,829

Alexandria Real Estate Equities, Inc.

7,285

504,996

American Campus Communities, Inc.

10,800

498,204

American Residential Properties, Inc. (e)

32,900

674,450

American Tower Corp.

10,800

834,516

AmREIT, Inc.

10,700

183,505

Anworth Mortgage Asset Corp.

63,600

367,608

Apartment Investment & Management Co. Class A

89,300

2,416,458

Associated Estates Realty Corp.

15,500

249,860

AvalonBay Communities, Inc.

23,578

3,196,941

Boston Properties, Inc.

49,415

5,228,601

Camden Property Trust (SBI)

86,335

5,888,910

CapLease, Inc.

152,800

851,096

CBL & Associates Properties, Inc.

268,034

5,685,001

Cedar Shopping Centers, Inc.

198,100

1,045,968

Chesapeake Lodging Trust

140,066

2,924,578

CommonWealth REIT

23,900

378,576

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Cousins Properties, Inc.

99,160

$ 827,986

Cys Investments, Inc.

39,580

467,440

DCT Industrial Trust, Inc.

270,427

1,755,071

DiamondRock Hospitality Co.

22,882

205,938

Douglas Emmett, Inc.

147,530

3,437,449

DuPont Fabros Technology, Inc.

4,700

113,552

Dynex Capital, Inc.

63,900

603,216

EastGroup Properties, Inc.

4,000

215,240

Education Realty Trust, Inc.

326,124

3,469,959

Equity Lifestyle Properties, Inc.

42,400

2,853,096

Equity One, Inc.

135,226

2,841,098

Equity Residential (SBI)

55,439

3,141,728

Essex Property Trust, Inc.

31,658

4,642,646

Excel Trust, Inc.

72,528

918,930

First Potomac Realty Trust

82,600

1,020,936

General Growth Properties, Inc.

119,641

2,374,874

Glimcher Realty Trust

223,498

2,478,593

Hatteras Financial Corp.

8,300

205,923

HCP, Inc.

116,513

5,264,057

Health Care REIT, Inc.

45,375

2,781,034

Highwoods Properties, Inc. (SBI)

109,073

3,648,492

Home Properties, Inc.

51,100

3,132,941

Host Hotels & Resorts, Inc.

150,403

2,356,815

Kimco Realty Corp.

16,226

313,486

Kite Realty Group Trust

133,033

743,654

Lexington Corporate Properties Trust

193,600

2,023,120

LTC Properties, Inc.

17,400

612,306

MFA Financial, Inc.

351,866

2,853,633

Mid-America Apartment Communities, Inc.

5,100

330,225

Monmouth Real Estate Investment Corp. Class A

15,500

160,580

National Retail Properties, Inc.

6,900

215,280

Newcastle Investment Corp.

109,700

952,196

NorthStar Realty Finance Corp.

29,300

206,272

Prologis, Inc.

300,468

10,964,077

Public Storage

72,258

10,474,520

Retail Properties America, Inc.

66,800

799,596

Select Income (REIT)

10,966

271,628

Senior Housing Properties Trust (SBI)

28,800

680,832

Simon Property Group, Inc.

112,380

17,766,154

SL Green Realty Corp.

75,719

5,803,861

Sovran Self Storage, Inc.

9,900

614,790

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Stag Industrial, Inc.

66,450

$ 1,194,107

Summit Hotel Properties, Inc.

29,000

275,500

Sun Communities, Inc.

23,470

936,218

Sunstone Hotel Investors, Inc. (a)

231,082

2,474,888

Terreno Realty Corp.

10,200

157,488

Two Harbors Investment Corp.

17,700

196,116

Ventas, Inc.

220,647

14,280,274

Vornado Realty Trust

35,272

2,824,582

Washington (REIT) (SBI)

14,000

366,100

Weyerhaeuser Co.

12,900

358,878

WP Carey, Inc.

7,900

411,985

 

163,989,457

Real Estate Management & Development - 0.2%

CBRE Group, Inc. (a)

70,171

1,396,403

Forest City Enterprises, Inc. Class A (a)

81,713

1,319,665

Kennedy-Wilson Holdings, Inc.

17,300

241,854

 

2,957,922

Thrifts & Mortgage Finance - 0.0%

Home Loan Servicing Solutions Ltd.

30,300

572,670

TOTAL FINANCIALS

167,700,339

HEALTH CARE - 0.4%

Health Care Providers & Services - 0.4%

Brookdale Senior Living, Inc. (a)

110,972

2,809,811

Capital Senior Living Corp. (a)

12,600

235,494

Emeritus Corp. (a)

125,105

3,092,596

 

6,137,901

TOTAL COMMON STOCKS

(Cost $179,310,629)


180,289,187

Preferred Stocks - 1.7%

 

 

 

 

Convertible Preferred Stocks - 0.2%

FINANCIALS - 0.2%

Real Estate Investment Trusts - 0.2%

CommonWealth REIT 6.50%

22,800

526,224

Excel Trust, Inc. 7.00% (e)

43,800

1,100,840

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Health Care REIT, Inc. Series I, 6.50%

3,800

$ 217,194

Lexington Corporate Properties Trust Series C, 6.50%

13,700

652,942

 

2,497,200

Nonconvertible Preferred Stocks - 1.5%

CONSUMER DISCRETIONARY - 0.0%

Hotels, Restaurants & Leisure - 0.0%

Red Lion Hotels Capital Trust 9.50%

26,265

665,818

FINANCIALS - 1.5%

Real Estate Investment Trusts - 1.5%

AG Mortgage Investment Trust, Inc. 8.00% (a)

12,379

308,856

American Home Mortgage Investment Corp.:

Series A, 9.375% (a)

81,500

8

Series B, 9.25% (a)

233,544

23

Annaly Capital Management, Inc.:

Series A, 7.875%

35,200

895,840

Series C, 7.625%

2,324

58,332

Series D, 7.50%

11,671

290,258

Anworth Mortgage Asset Corp. Series A, 8.625%

41,700

1,069,605

Apollo Commercial Real Estate Finance, Inc. Series A, 8.625%

13,174

344,500

Apollo Residential Mortgage, Inc. Series A, 8.00%

6,647

164,779

BioMed Realty Trust, Inc. Series A, 7.375%

3,800

96,862

CapLease, Inc. Series B, 8.375%

40,000

1,047,600

CBL & Associates Properties, Inc. 7.375%

10,347

259,192

Cedar Shopping Centers, Inc.:

8.875%

2,158

54,619

Series B, 7.25%

12,171

297,581

CenterPoint Properties Trust Series D, 5.377%

5,280

2,956,800

Chesapeake Lodging Trust Series A, 7.75%

4,050

107,244

Coresite Realty Corp. Series A, 7.25% (a)

11,776

296,873

Cousins Properties, Inc.:

Series A, 7.75%

15,100

381,728

Series B, 7.50%

8,259

206,640

Cys Investments, Inc. Series A, 7.75%

2,162

53,985

DDR Corp. Series J, 6.50%

6,519

159,455

Duke Realty LP Series L, 6.60%

1,034

25,953

Dynex Capital, Inc. Series A, 8.50%

20,755

531,120

Equity Lifestyle Properties, Inc. Series C, 6.75%

25,000

641,250

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Essex Property Trust, Inc. Series H, 7.125%

1,900

$ 49,248

Excel Trust, Inc. Series B, 8.125%

24,000

625,200

First Potomac Realty Trust 7.75%

22,008

564,945

Glimcher Realty Trust Series G, 8.125%

6,290

158,319

Hatteras Financial Corp. Series A, 7.625%

5,740

143,328

Hersha Hospitality Trust Series A, 8.00%

3,449

87,260

Hospitality Properties Trust Series C, 7.00%

7,491

188,923

Hudson Pacific Properties, Inc. 8.375%

10,200

265,812

Invesco Mortgage Capital, Inc. Series A, 7.75%

6,507

162,285

Kite Realty Group Trust 8.25%

900

23,085

LaSalle Hotel Properties Series G, 7.25%

16,540

416,146

LBA Realty Fund II Series B, 7.625% (a)

27,795

535,054

Lexington Realty Trust 7.55%

3,785

94,663

MFA Financial, Inc.:

8.00%

11,262

290,109

Series A, 8.50%

71,600

1,838,688

NorthStar Realty Finance Corp. Series C, 8.875% (a)

10,582

260,317

Parkway Properties, Inc. Series D, 8.00%

5,000

125,050

Pebblebrook Hotel Trust:

Series A, 7.875%

11,500

297,965

Series B, 8.00%

7,600

197,524

Pennsylvania (REIT) 7.375%

4,082

103,315

Prologis, Inc.:

Series O, 7.00%

100

2,521

Series Q, 8.54%

3,700

230,325

Saul Centers, Inc.:

8.00%

8,600

221,020

Series B (depositary shares) 9.00%

5,600

145,544

Stag Industrial, Inc. Series A, 9.00%

40,000

1,070,400

Summit Hotel Properties, Inc. Series B, 7.875% (a)

9,827

250,589

Sun Communities, Inc. Series A, 7.125%

15,940

398,003

Sunstone Hotel Investors, Inc. Series A, 8.00%

8,600

213,366

UMH Properties, Inc. Series A, 8.25%

14,000

361,060

Weingarten Realty Investors (SBI) Series F, 6.50%

14,746

368,060

 

19,937,227

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Management & Development - 0.0%

Kennedy-Wilson, Inc. 7.75% (a)

7,372

$ 184,300

TOTAL FINANCIALS

20,121,527

TOTAL NONCONVERTIBLE PREFERRED STOCKS

20,787,345

TOTAL PREFERRED STOCKS

(Cost $31,867,302)


23,284,545

Floating Rate Loans - 0.9%

 

Principal
Amount (d)

 

CONSUMER DISCRETIONARY - 0.3%

Hotels, Restaurants & Leisure - 0.1%

Extended Stay America, Inc. REL

$ 1,500,000

1,500,000

Household Durables - 0.1%

TOUSA, Inc. Tranche 1LN, term loan 7/31/49 (c)

3,000,000

1,515,000

Media - 0.1%

PRIMEDIA, Inc. Tranche B, term loan 7.5% 1/13/18 (f)

1,132,750

1,084,608

Specialty Retail - 0.0%

The Pep Boys - Manny, Moe & Jack Tranche B, term loan 5% 10/11/18 (f)

285,000

287,138

TOTAL CONSUMER DISCRETIONARY

4,386,746

FINANCIALS - 0.6%

Diversified Financial Services - 0.2%

Blackstone REL 10% 10/1/2017

3,000,000

3,082,500

Real Estate Management & Development - 0.4%

CB Richard Ellis Services, Inc. Tranche D, term loan 3.71% 9/4/19 (f)

185,150

185,150

CityCenter term loan 8.75% 7/1/13 (f)

2,606,094

2,606,094

EOP Operating LP term loan 5.25% 2/5/13 (f)

500,000

485,350

Equity Inns Reality LLC Tranche A, term loan 9.5% 11/4/13 (f)

1,000,000

900,528

Realogy Corp.:

Credit-Linked Deposit 3.2143% 10/10/13 (f)

50,082

48,329

Floating Rate Loans - continued

 

Principal
Amount (d)

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Realogy Corp.: - continued

Credit-Linked Deposit 4.4643% 10/10/16 (f)

$ 34,201

$ 34,372

term loan 4.461% 10/10/16 (f)

472,817

475,181

 

4,735,004

TOTAL FINANCIALS

7,817,504

HEALTH CARE - 0.0%

Health Care Providers & Services - 0.0%

Community Health Systems, Inc. term loan 3.8105% 1/25/17 (f)

91,500

91,957

INDUSTRIALS - 0.0%

Construction & Engineering - 0.0%

Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (f)

739,140

692,944

TOTAL FLOATING RATE LOANS

(Cost $14,392,540)


12,989,151

Commodity Funds - 22.9%

 

Shares

 

Fidelity Commodity Strategy Central Fund (g)
(Cost $377,972,729)

29,830,285


313,814,596

Fixed-Income Funds - 25.1%

 

 

Fidelity Floating Rate Central Fund (g)
(Cost $332,138,253)

3,278,105


344,135,463

Preferred Securities - 0.0%

Principal
Amount (d)

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

Crest Clarendon Street 2002-1 Ltd. Series 2002-1A Class PS, 12/28/35 (e)

(Cost $570,649)

$ 500,000


25,000

Money Market Funds - 1.3%

Shares

Value

Fidelity Cash Central Fund, 0.18% (b)
(Cost $17,883,828)

17,883,828

$ 17,883,828

TOTAL INVESTMENT PORTFOLIO - 99.7%

(Cost $1,389,533,096)

1,368,812,830

NET OTHER ASSETS (LIABILITIES) - 0.3%

3,679,542

NET ASSETS - 100%

$ 1,372,492,372

Currency Abbreviations

CAD

-

Canadian dollar

Legend

(a) Non-income producing

(b) Affiliated fund that is 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.

(c) Non-income producing - Security is in default.

(d) Amount is stated in United States dollars unless otherwise noted.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $35,296,210 or 2.6% of net assets.

(f) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(g) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in Fidelity Central Funds, other than the Commodity Strategy and Money Market Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(i) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,635,335 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

ACGS Series 2004-1 Class P, 7.4651% 8/1/19

2/17/11

$ 1,618,111

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Cash Central Fund

$ 7,330

Fidelity Commodity Strategy Central Fund

149,151

Fidelity Floating Rate Central Fund

4,539,287

Fidelity Securities Lending Cash Central Fund

12

Total

$ 4,695,780

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Commodity Strategy Central Fund

$ 332,803,865

$ 2,497,392

$ -

$ 313,814,596

63.0%

Fidelity Floating Rate Central Fund

334,845,337

7,752,453

-

344,135,463

21.9%

Total

$ 667,649,202

$ 10,249,845

$ -

$ 657,950,059

Other Information

The following is a summary of the inputs used, as of December 31, 2012, 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 in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 7,116,765

$ 1,532,004

$ -

$ 5,584,761

Financials

190,319,066

184,353,814

2,334,002

3,631,250

Health Care

6,137,901

6,137,901

-

-

Corporate Bonds

30,926,853

-

28,003,548

2,923,305

U.S. Government and Government Agency Obligations

401,795,075

-

401,795,075

-

Asset-Backed Securities

14,967,190

-

9,067,638

5,899,552

Collateralized Mortgage Obligations

845,337

-

845,337

-

Commercial Mortgage Securities

27,856,605

-

21,282,482

6,574,123

Floating Rate Loans

12,989,151

-

5,315,207

7,673,944

Fixed-Income Funds

344,135,463

344,135,463

-

-

Preferred Securities

25,000

-

-

25,000

Money Market Funds

17,883,828

17,883,828

-

-

Commodity Funds

313,814,596

313,814,596

-

-

Total Investments in Securities:

$ 1,368,812,830

$ 867,857,606

$ 468,643,289

$ 32,311,935

Valuation Inputs at Reporting Date:

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

Investments in Securities:

Beginning Balance

$ 37,420,737

Total Realized Gain (Loss)

(12,590,682)

Total Unrealized Gain (Loss)

13,771,401

Cost of Purchases

4,618,349

Proceeds of Sales

(8,223,631)

Amortization/Accretion

11,504

Transfers in to Level 3

553,000

Transfers out of Level 3

(3,248,743)

Ending Balance

$ 32,311,935

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at December 31, 2012

$ 795,846

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At December 31, 2012, the cost of investment securities for income tax purposes was $1,405,894,188. Net unrealized depreciation aggregated $37,081,358, of which $77,985,976 related to appreciated investment securities and $115,067,334 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, floating rate loans, preferred securities and U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

For asset backed securities, collateralized mortgage obligations and commercial mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker.

Asset Type

Fair Value
at
12/31/12

Valuation
Technique(s)

Unobservable
Input(s)

Range

Weighted
Average

Asset-Backed Securities

$ 516,357

Discounted cash flow

Yield

6.1% - 10%

8.8%

 

 

Expected distribution

Recovery rate

100%

100%

Common Stocks

$ 5,584,761

Adjusted book value

Book value multiple

1.0%

1.0%

Corporate Bonds

$ 2,923,305

Discounted cash flow

Yield

30%

30%

Floating Rate Loans

$ 5,688,594

Discounted cash flow

Yield

8.9% - 9.7%

9.3%

For the unobservable inputs listed in the table above, a significant increase in yields could result in a significant decrease to the fair value measurement. A significant increase in estimated recovery rates or book value multiples could result in a significant increase to the fair value measurement.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please visit advisor.fidelity.com or call Fidelity at 1-877-208-0098 for a free copy of the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Salem Street Trust's (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 Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

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.

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/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

March 1, 2013

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/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

March 1, 2013

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

March 1, 2013