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:	March 31

Date of reporting period:	June 30, 2012

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity® Inflation-Protected
Bond Fund

June 30, 2012

1.804977.108

IFB-QTLY-0812

Investments June 30, 2012 (Unaudited)

Showing Percentage of Net Assets

U.S. Treasury Inflation Protected Obligations - 99.4%
	Principal Amount		Value
U.S. Treasury Inflation-Indexed Bonds:
0.75% 2/15/42	$ 76,361,250		$ 80,536,034
1.75% 1/15/28	78,104,047		97,989,184
2% 1/15/26	92,150,835		117,845,969
2.125% 2/15/40	47,866,518		68,113,124
2.125% 2/15/41	83,602,769		119,683,790
2.375% 1/15/25	125,321,967		165,351,185
2.375% 1/15/27	92,861,934		124,748,304
2.5% 1/15/29	78,866,080		109,538,351
3.375% 4/15/32	1,296		2,092
3.625% 4/15/28	104,476,749		161,300,010
3.875% 4/15/29	113,636,152		183,671,261
U.S. Treasury Inflation-Indexed Notes:
0.125% 4/15/16	195,335,779		203,611,145
0.125% 4/15/17	81,032,800		85,652,955
0.125% 1/15/22	183,777,776		194,902,187
0.5% 4/15/15	62,846,720		65,305,974
0.625% 4/15/13	4,185,090		4,195,823
0.625% 7/15/21	183,839,897		205,237,841
1.125% 1/15/21	99,911,500		115,241,571
1.25% 4/15/14	79,791,672		82,468,139
1.25% 7/15/20	166,149,900		193,465,456
1.375% 7/15/18	49,473,359		56,573,391
1.375% 1/15/20	30,320,865		35,335,623
1.625% 1/15/15	68,954,138		73,365,007
1.625% 1/15/18	108,594,737		124,288,510
1.875% 7/15/13	112,172,121		114,953,089
1.875% 7/15/15	190,427,580		207,407,270
1.875% 7/15/19	85,228,668		102,101,243
2% 1/15/14	124,180,049		129,058,530
2% 7/15/14	115,166,103		122,146,051
2% 1/15/16	44,162,853		48,917,181
2.125% 1/15/19	76,980,152		92,273,959
2.375% 1/15/17	79,400,376		91,788,320
2.5% 7/15/16	99,679,125		114,310,965
2.625% 7/15/17	96,352,582		114,680,865
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS (Cost $3,383,178,682)		3,806,060,399
Asset-Backed Securities - 0.0%
	Principal Amount		Value
Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 5.4888% 3/25/32 (MGIC Investment Corp. Insured) (b)	$ 50,104		$ 15,534
Morgan Stanley ABS Capital I Trust Series 2004-NC8 Class M6, 1.4953% 9/25/34 (b)	117,826		48,509
TOTAL ASSET-BACKED SECURITIES (Cost $101,409)		64,043

Cash Equivalents - 0.2%
	Maturity Amount
Investments in repurchase agreements in a joint trading account at 0.14%, dated 6/29/12 due 7/2/12 (Collateralized by U.S. Government Obligations) # (Cost $9,283,000)	9,283,111		9,283,000
TOTAL INVESTMENT PORTFOLIO - 99.6% (Cost $3,392,563,091)			3,815,407,442
NET OTHER ASSETS (LIABILITIES) - 0.4%			14,239,975
NET ASSETS - 100%		$ 3,829,647,417

Swap Agreements
	Expiration Date	Notional Amount	Value
Credit Default Swaps
Receive monthly notional amount multiplied by 1.545% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Ca) (a)	August 2034	$ 98,135	$ (72,229)
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-C) (a)	Oct. 2034	144,944	(79,601)
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (a)	Sept. 2034	96,180	(81,627)
		$ 339,259	$ (233,457)

Legend

(a) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk.

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

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value
$9,283,000 due 7/02/12 at 0.14%
Credit Agricole CIB New York Branch	$ 1,443,657
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2,887,315
RBS Securities, Inc.	2,064,713
UBS Securities LLC	2,887,315
	$ 9,283,000

Other Information

The following is a summary of the inputs used, as of June 30, 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 table 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:
U.S. Government and Government Agency Obligations	$ 3,806,060,399	$ -	$ 3,806,060,399	$ -
Asset-Backed Securities	64,043	-	-	64,043
Cash Equivalents	9,283,000	-	9,283,000	-
Total Investments in Securities:	$ 3,815,407,442	$ -	$ 3,815,343,399	$ 64,043
Derivative Instruments:
Liabilities
Swap Agreements	$ (233,457)	$ -	$ -	$ (233,457)

Income Tax Information

At June 30, 2012, the cost of investment securities for income tax purposes was $3,391,636,995. Net unrealized appreciation aggregated $423,770,447, of which $426,547,705 related to appreciated investment securities and $2,777,258 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 vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by security type and may include market or security 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 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 and are generally categorized as Level 2 in the hierarchy.

For asset backed 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 and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from third party pricing vendors or broker-supplied valuations. Pricing vendors utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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.

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a basket of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.

As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

Credit default swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation). Any upfront premiums paid or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap.

The Fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to close out a credit default swap in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter (OTC) derivatives such as credit default swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivatives contracts under an ISDA Master Agreement exceed certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on OTC derivatives in an amount not less than the counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $339,259 representing 0.01% of net assets.

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® Inflation-Protected Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

June 30, 2012

Class A, Class T, Class B, Class C and
Institutional Class
are classes of Fidelity®
Inflation-Protected Bond Fund

1.804848.108

AIFB-QTLY-0812

Investments June 30, 2012 (Unaudited)

Showing Percentage of Net Assets

U.S. Treasury Inflation Protected Obligations - 99.4%
	Principal Amount		Value
U.S. Treasury Inflation-Indexed Bonds:
0.75% 2/15/42	$ 76,361,250		$ 80,536,034
1.75% 1/15/28	78,104,047		97,989,184
2% 1/15/26	92,150,835		117,845,969
2.125% 2/15/40	47,866,518		68,113,124
2.125% 2/15/41	83,602,769		119,683,790
2.375% 1/15/25	125,321,967		165,351,185
2.375% 1/15/27	92,861,934		124,748,304
2.5% 1/15/29	78,866,080		109,538,351
3.375% 4/15/32	1,296		2,092
3.625% 4/15/28	104,476,749		161,300,010
3.875% 4/15/29	113,636,152		183,671,261
U.S. Treasury Inflation-Indexed Notes:
0.125% 4/15/16	195,335,779		203,611,145
0.125% 4/15/17	81,032,800		85,652,955
0.125% 1/15/22	183,777,776		194,902,187
0.5% 4/15/15	62,846,720		65,305,974
0.625% 4/15/13	4,185,090		4,195,823
0.625% 7/15/21	183,839,897		205,237,841
1.125% 1/15/21	99,911,500		115,241,571
1.25% 4/15/14	79,791,672		82,468,139
1.25% 7/15/20	166,149,900		193,465,456
1.375% 7/15/18	49,473,359		56,573,391
1.375% 1/15/20	30,320,865		35,335,623
1.625% 1/15/15	68,954,138		73,365,007
1.625% 1/15/18	108,594,737		124,288,510
1.875% 7/15/13	112,172,121		114,953,089
1.875% 7/15/15	190,427,580		207,407,270
1.875% 7/15/19	85,228,668		102,101,243
2% 1/15/14	124,180,049		129,058,530
2% 7/15/14	115,166,103		122,146,051
2% 1/15/16	44,162,853		48,917,181
2.125% 1/15/19	76,980,152		92,273,959
2.375% 1/15/17	79,400,376		91,788,320
2.5% 7/15/16	99,679,125		114,310,965
2.625% 7/15/17	96,352,582		114,680,865
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS (Cost $3,383,178,682)		3,806,060,399
Asset-Backed Securities - 0.0%
	Principal Amount		Value
Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 5.4888% 3/25/32 (MGIC Investment Corp. Insured) (b)	$ 50,104		$ 15,534
Morgan Stanley ABS Capital I Trust Series 2004-NC8 Class M6, 1.4953% 9/25/34 (b)	117,826		48,509
TOTAL ASSET-BACKED SECURITIES (Cost $101,409)		64,043

Cash Equivalents - 0.2%
	Maturity Amount
Investments in repurchase agreements in a joint trading account at 0.14%, dated 6/29/12 due 7/2/12 (Collateralized by U.S. Government Obligations) # (Cost $9,283,000)	9,283,111		9,283,000
TOTAL INVESTMENT PORTFOLIO - 99.6% (Cost $3,392,563,091)			3,815,407,442
NET OTHER ASSETS (LIABILITIES) - 0.4%			14,239,975
NET ASSETS - 100%		$ 3,829,647,417

Swap Agreements
	Expiration Date	Notional Amount	Value
Credit Default Swaps
Receive monthly notional amount multiplied by 1.545% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Ca) (a)	August 2034	$ 98,135	$ (72,229)
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-C) (a)	Oct. 2034	144,944	(79,601)
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (a)	Sept. 2034	96,180	(81,627)
		$ 339,259	$ (233,457)

Legend

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

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value
$9,283,000 due 7/02/12 at 0.14%
Credit Agricole CIB New York Branch	$ 1,443,657
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2,887,315
RBS Securities, Inc.	2,064,713
UBS Securities LLC	2,887,315
	$ 9,283,000

Other Information

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
U.S. Government and Government Agency Obligations	$ 3,806,060,399	$ -	$ 3,806,060,399	$ -
Asset-Backed Securities	64,043	-	-	64,043
Cash Equivalents	9,283,000	-	9,283,000	-
Total Investments in Securities:	$ 3,815,407,442	$ -	$ 3,815,343,399	$ 64,043
Derivative Instruments:
Liabilities
Swap Agreements	$ (233,457)	$ -	$ -	$ (233,457)

Income Tax Information

Investment Valuation

Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Credit Default Swap Agreements

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/John R. Hebble
	John R. Hebble
	President and Treasurer

Date:	August 29, 2012

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/John R. Hebble
	John R. Hebble
	President and Treasurer

Date:	August 29, 2012

By:	/s/Christine Reynolds
	Christine Reynolds
	Chief Financial Officer

Date:	August 29, 2012