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)

245 Summer St., Boston, Massachusetts 02210
 (Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

245 Summer St.

Boston, Massachusetts 02210
(Name and address of agent for service)

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

Date of fiscal year end:

November 30

 

 

Date of reporting period:

August 31, 2014

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity Advisor® Strategic
Dividend & Income Fund
Class A
Class T
Class B
Class C
Institutional Class

August 31, 2014

Class A, Class T, Class B, Class C and
Institutional Class
are classes of Fidelity® Strategic
Dividend & Income Fund 

1.805772.110

ASDI-QTLY-1014

Investments August 31, 2014 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 16.9%

 

Principal Amount (e)

Value

Convertible Bonds - 9.8%

CONSUMER DISCRETIONARY - 0.9%

Automobiles - 0.2%

Ford Motor Co. 4.25% 11/15/16

$ 3,870,000

$ 7,827,462

Diversified Consumer Services - 0.1%

Carriage Services, Inc. 2.75% 3/15/21 (g)

2,810,000

3,033,044

Household Durables - 0.4%

Lennar Corp. 3.25% 11/15/21 (g)

4,430,000

7,663,900

M/I Homes, Inc. 3% 3/1/18

6,140,000

6,405,248

Standard Pacific Corp. 1.25% 8/1/32

4,350,000

5,293,406

 

19,362,554

Media - 0.2%

Liberty Media Corp.:

1.375% 10/15/23 (g)

2,800,000

2,867,760

3.5% 1/15/31

11,620,000

6,288,744

 

9,156,504

TOTAL CONSUMER DISCRETIONARY

39,379,564

CONSUMER STAPLES - 0.4%

Tobacco - 0.4%

Vector Group Ltd. 2.5% 1/15/19 (i)

12,500,000

18,328,738

ENERGY - 1.3%

Oil, Gas & Consumable Fuels - 1.3%

Chesapeake Energy Corp. 2.5% 5/15/37

18,830,000

19,515,412

Clean Energy Fuels Corp. 5.25% 10/1/18 (g)

7,230,000

6,821,505

Peabody Energy Corp. 4.75% 12/15/41

5,662,000

4,069,563

Scorpio Tankers, Inc. 2.375% 7/1/19 (g)

13,090,000

13,459,138

Ship Finance International Ltd. 3.25% 2/1/18

11,400,000

13,355,100

 

57,220,718

FINANCIALS - 0.8%

Capital Markets - 0.2%

Ares Capital Corp. 5.75% 2/1/16

6,670,000

7,053,525

Insurance - 0.4%

Fidelity National Financial, Inc. 4.25% 8/15/18

9,860,000

16,244,350

Real Estate Investment Trusts - 0.1%

American Realty Capital Properties, Inc. 3% 8/1/18

3,930,000

3,993,863

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - 0.1%

Forestar Group, Inc. 3.75% 3/1/20

$ 4,340,000

$ 4,797,002

TOTAL FINANCIALS

32,088,740

HEALTH CARE - 1.8%

Biotechnology - 0.5%

Acorda Therapeutics, Inc. 1.75% 6/15/21

3,100,000

3,189,280

Aegerion Pharmaceuticals, Inc. 2% 8/15/19 (g)

2,350,000

2,367,860

Array BioPharma, Inc. 3% 6/1/20

1,220,000

1,119,350

Cubist Pharmaceuticals, Inc.:

1.125% 9/1/18 (g)

6,560,000

7,285,700

1.875% 9/1/20 (g)

6,570,000

7,465,163

 

21,427,353

Health Care Providers & Services - 0.7%

HealthSouth Corp. 2% 12/1/43

14,659,000

16,750,839

WellPoint, Inc. 2.75% 10/15/42

7,610,000

12,428,081

 

29,178,920

Pharmaceuticals - 0.6%

Jazz Investments I Ltd. 1.875% 8/15/21 (g)

8,780,000

9,888,914

Salix Pharmaceuticals Ltd. 1.5% 3/15/19 (g)

840,000

2,059,575

Theravance, Inc. 2.125% 1/15/23

11,020,000

12,728,155

 

24,676,644

TOTAL HEALTH CARE

75,282,917

INDUSTRIALS - 0.6%

Construction & Engineering - 0.3%

Layne Christensen Co. 4.25% 11/15/18 (g)

5,000,000

4,201,745

MasTec, Inc. 4.25% 12/15/14

4,890,000

9,666,919

 

13,868,664

Machinery - 0.3%

Navistar International Corp. 4.75% 4/15/19 (g)

10,770,000

11,403,276

TOTAL INDUSTRIALS

25,271,940

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

INFORMATION TECHNOLOGY - 3.1%

Communications Equipment - 0.8%

Ciena Corp. 3.75% 10/15/18 (g)

$ 2,760,000

$ 3,584,550

InterDigital, Inc. 2.5% 3/15/16

18,320,000

19,351,416

Liberty Interactive LLC 0.75% 3/30/43

8,680,000

11,816,084

 

34,752,050

Electronic Equipment & Components - 0.2%

InvenSense, Inc. 1.75% 11/1/18 (g)

6,360,000

8,379,936

Internet Software & Services - 0.1%

Blucora, Inc. 4.25% 4/1/19 (g)

2,440,000

2,452,200

WebMD Health Corp. 1.5% 12/1/20 (g)

1,410,000

1,560,024

 

4,012,224

Semiconductors & Semiconductor Equipment - 1.0%

Canadian Solar, Inc. 4.25% 2/15/19 (g)

11,030,000

12,215,725

GT Advanced Technologies, Inc.:

3% 10/1/17

4,845,000

11,403,919

3% 12/15/20

11,390,000

18,722,882

 

42,342,526

Software - 1.0%

Nuance Communications, Inc. 2.75% 11/1/31

16,090,000

16,029,663

Synchronoss Technologies, Inc. 0.75% 8/15/19

3,400,000

3,723,000

TiVo, Inc. 4% 3/15/16 (g)

17,560,000

24,582,244

 

44,334,907

TOTAL INFORMATION TECHNOLOGY

133,821,643

MATERIALS - 0.5%

Containers & Packaging - 0.4%

Owens-Brockway Glass Container, Inc. 3% 6/1/15 (g)

16,750,000

16,949,325

Metals & Mining - 0.1%

Horsehead Holding Corp. 3.8% 7/1/17

1,560,000

2,289,300

TOTAL MATERIALS

19,238,625

TELECOMMUNICATION SERVICES - 0.1%

Wireless Telecommunication Services - 0.1%

Clearwire Communications LLC/Clearwire Finance, Inc. 8.25% 12/1/40 (g)

3,420,000

3,881,700

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

UTILITIES - 0.3%

Electric Utilities - 0.3%

NRG Yield, Inc. 3.5% 2/1/19 (g)

$ 11,960,000

$ 14,832,553

TOTAL CONVERTIBLE BONDS

419,347,138

Nonconvertible Bonds - 7.1%

CONSUMER DISCRETIONARY - 1.3%

Hotels, Restaurants & Leisure - 0.1%

MGM Mirage, Inc. 6.625% 7/15/15

3,200,000

3,328,000

Internet & Catalog Retail - 0.0%

Netflix, Inc. 5.75% 3/1/24 (g)

1,270,000

1,330,325

Media - 0.9%

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.25% 9/30/22

7,840,000

7,957,600

7.25% 10/30/17

14,600,000

15,257,000

8.125% 4/30/20

5,000,000

5,362,500

Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (g)

2,650,000

2,782,500

Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (g)

7,145,000

8,020,263

 

39,379,863

Multiline Retail - 0.3%

JC Penney Corp., Inc.:

5.75% 2/15/18

4,860,000

4,665,600

6.375% 10/15/36

3,500,000

2,992,500

7.4% 4/1/37

3,000,000

2,685,000

 

10,343,100

TOTAL CONSUMER DISCRETIONARY

54,381,288

CONSUMER STAPLES - 0.4%

Food & Staples Retailing - 0.4%

BI-LO LLC/BI-LO Finance Corp. 9.25% 2/15/19 (g)

11,935,000

12,412,400

Tops Markets LLC 8.875% 12/15/17

3,760,000

4,013,800

 

16,426,200

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

FINANCIALS - 3.3%

Banks - 1.9%

Bank of Ireland 10% 7/30/16

EUR

8,293,000

$ 11,871,832

CIT Group, Inc. 4.75% 2/15/15 (g)

$ 3,610,000

3,655,125

Corestates Capital II 0.8836% 1/15/27 (g)(i)

3,000,000

2,640,000

Corestates Capital III 0.8036% 2/15/27 (g)(i)

3,960,000

3,484,800

First Maryland Capital I 1.2336% 1/15/27 (i)

2,500,000

2,300,000

First Maryland Capital II 1.0896% 2/1/27 (i)

4,100,000

3,772,000

JPMorgan Chase Capital XXI 1.1891% 1/15/87 (i)

12,500,000

10,812,500

PNC Capital Trust C 0.7974% 6/1/28 (i)

9,000,000

7,740,000

Wachovia Capital Trust II 0.7336% 1/15/27 (i)

32,014,000

28,172,320

Wells Fargo Capital II 0.7361% 1/30/27 (i)

5,930,000

5,218,400

Wells Fargo Capital X 5.95% 12/15/36

2,350,000

2,397,000

 

82,063,977

Capital Markets - 0.3%

Chase Capital II 0.7396% 2/1/27 (i)

7,900,000

6,961,875

Chase Capital Trust VI 0.8646% 8/1/28 (i)

5,000,000

4,406,250

JPMorgan Chase Capital XXIII 1.2336% 5/15/47 (i)

2,500,000

2,061,250

Lehman Brothers Holdings, Inc. 0% (d)(i)

1,000,000

0

 

13,429,375

Consumer Finance - 0.3%

Ally Financial, Inc. 4.75% 9/10/18

7,455,000

7,846,388

American Express Co. 6.8% 9/1/66 (i)

2,500,000

2,712,500

 

10,558,888

Diversified Financial Services - 0.8%

Central Fidelity Capital Trust I 1.2336% 4/15/27 (i)

2,500,000

2,200,000

Denali Borrower LLC/Denali Finance Corp. 5.625% 10/15/20 (g)

7,100,000

7,490,500

General Motors Financial Co., Inc. 2.75% 5/15/16

795,000

802,831

ILFC E-Capital Trust I 5.02% 12/21/65 (g)(i)

16,530,000

15,972,113

JPMorgan Chase Capital XIII 1.1841% 9/30/34 (i)

2,750,000

2,392,500

National Rural Utilities Cooperative Finance Corp. 4.75% 4/30/43 (i)

4,300,000

4,269,900

TransUnion Holding Co., Inc. 9.625% 6/15/18 pay-in-kind (i)

2,570,000

2,682,438

 

35,810,282

TOTAL FINANCIALS

141,862,522

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.1%

HealthSouth Corp. 5.75% 11/1/24

$ 2,165,000

$ 2,273,250

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.1%

TransDigm, Inc. 6.5% 7/15/24 (g)

4,310,000

4,417,750

Commercial Services & Supplies - 0.2%

APX Group, Inc.:

8.75% 12/1/20

7,522,000

7,484,390

8.75% 12/1/20 (g)

2,230,000

2,218,850

 

9,703,240

Construction & Engineering - 0.1%

MasTec, Inc. 4.875% 3/15/23

3,325,000

3,241,875

Trading Companies & Distributors - 0.2%

International Lease Finance Corp.:

8.25% 12/15/20

705,000

861,863

8.625% 9/15/15

5,000,000

5,359,375

8.875% 9/1/17

3,000,000

3,487,500

 

9,708,738

TOTAL INDUSTRIALS

27,071,603

INFORMATION TECHNOLOGY - 0.2%

IT Services - 0.1%

Compiler Finance Sub, Inc. 7% 5/1/21 (g)

5,015,000

4,789,325

Technology Hardware, Storage & Peripherals - 0.1%

Dell, Inc.:

5.4% 9/10/40

1,000,000

825,000

6.5% 4/15/38

4,440,000

4,051,500

 

4,876,500

TOTAL INFORMATION TECHNOLOGY

9,665,825

MATERIALS - 0.1%

Containers & Packaging - 0.0%

Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (g)(i)

535,000

544,909

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - 0.1%

JMC Steel Group, Inc. 8.25% 3/15/18 (g)

$ 4,930,000

$ 4,991,625

TOTAL MATERIALS

5,536,534

TELECOMMUNICATION SERVICES - 0.8%

Diversified Telecommunication Services - 0.6%

Sprint Capital Corp.:

6.875% 11/15/28

9,215,000

8,984,625

8.75% 3/15/32

14,125,000

15,749,375

 

24,734,000

Wireless Telecommunication Services - 0.2%

Intelsat Jackson Holdings SA 5.5% 8/1/23

11,245,000

11,202,831

T-Mobile U.S.A., Inc. 5.25% 9/1/18

585,000

603,281

 

11,806,112

TOTAL TELECOMMUNICATION SERVICES

36,540,112

UTILITIES - 0.3%

Electric Utilities - 0.2%

NextEra Energy Capital Holdings, Inc. 6.35% 10/1/66 (i)

7,950,000

7,950,000

Multi-Utilities - 0.1%

Wisconsin Energy Corp. 6.25% 5/15/67 (i)

3,000,000

3,116,250

TOTAL UTILITIES

11,066,250

TOTAL NONCONVERTIBLE BONDS

304,823,584

TOTAL CORPORATE BONDS

(Cost $675,413,122)


724,170,722

Common Stocks - 62.5%

Shares

 

CONSUMER DISCRETIONARY - 3.0%

Diversified Consumer Services - 0.2%

H&R Block, Inc.

239,500

8,030,435

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - 0.9%

Cedar Fair LP (depositary unit)

71,300

$ 3,528,637

Darden Restaurants, Inc.

144,800

6,851,936

McDonald's Corp.

222,600

20,862,072

Starwood Hotels & Resorts Worldwide, Inc.

31,100

2,629,194

Wyndham Worldwide Corp.

60,400

4,888,776

 

38,760,615

Media - 0.9%

CBS Outdoor Americas, Inc.

74,100

2,546,817

Comcast Corp. Class A

459,900

25,170,327

Sinclair Broadcast Group, Inc. Class A (f)

164,600

4,781,630

Time Warner, Inc.

103,400

7,964,902

 

40,463,676

Multiline Retail - 0.5%

Target Corp.

342,200

20,555,954

Specialty Retail - 0.2%

Foot Locker, Inc.

67,600

3,793,036

H&M Hennes & Mauritz AB (B Shares)

133,000

5,657,388

 

9,450,424

Textiles, Apparel & Luxury Goods - 0.3%

Coach, Inc.

221,200

8,146,796

VF Corp.

66,200

4,244,744

 

12,391,540

TOTAL CONSUMER DISCRETIONARY

129,652,644

CONSUMER STAPLES - 7.9%

Beverages - 2.7%

Anheuser-Busch InBev SA NV ADR

77,700

8,685,306

PepsiCo, Inc.

500,700

46,309,743

SABMiller PLC

72,100

3,977,525

The Coca-Cola Co.

1,342,000

55,988,240

 

114,960,814

Food & Staples Retailing - 0.4%

CVS Caremark Corp.

129,300

10,272,885

Walgreen Co.

144,500

8,745,140

 

19,018,025

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food Products - 0.5%

ConAgra Foods, Inc.

369,700

$ 11,904,340

Kellogg Co.

142,500

9,258,225

 

21,162,565

Household Products - 2.0%

Procter & Gamble Co.

1,029,258

85,541,632

Tobacco - 2.3%

Altria Group, Inc.

294,300

12,678,444

British American Tobacco PLC sponsored ADR

115,500

13,677,510

Philip Morris International, Inc.

772,718

66,129,206

Reynolds American, Inc.

144,000

8,419,680

 

100,904,840

TOTAL CONSUMER STAPLES

341,587,876

ENERGY - 8.0%

Oil, Gas & Consumable Fuels - 8.0%

Canadian Natural Resources Ltd.

170,600

7,435,606

Cheniere Energy, Inc. (a)

52,300

4,197,598

Chevron Corp.

961,700

124,492,065

ConocoPhillips Co.

450,700

36,605,854

El Paso Pipeline Partners LP

97,200

4,039,632

Enterprise Products Partners LP

88,600

3,599,818

EQT Midstream Partners LP

95,500

9,310,295

Exxon Mobil Corp.

861,800

85,714,628

Imperial Oil Ltd.

85,800

4,565,794

Kinder Morgan Holding Co. LLC (f)

380,600

15,322,956

Markwest Energy Partners LP

98,700

7,869,351

MPLX LP

109,300

6,667,300

Phillips 66 Partners LP

139,845

10,348,530

PrairieSky Royalty Ltd.

27,400

995,401

QEP Midstream Partners LP

87,100

2,264,600

Targa Resources Corp.

62,800

8,763,740

Tesoro Logistics LP

31,500

2,213,820

Valero Energy Partners LP

50,500

2,692,155

Western Gas Partners LP

25,000

1,937,250

Williams Partners LP

78,600

4,166,586

 

343,202,979

Common Stocks - continued

Shares

Value

FINANCIALS - 19.5%

Banks - 1.6%

JPMorgan Chase & Co.

227,700

$ 13,536,765

M&T Bank Corp.

103,300

12,770,979

National Penn Bancshares, Inc.

36,652

366,520

Prosperity Bancshares, Inc.

73,700

4,451,480

Regions Financial Corp.

931,000

9,449,650

Svenska Handelsbanken AB (A Shares)

120,100

5,629,325

U.S. Bancorp

351,500

14,861,420

Wells Fargo & Co.

163,200

8,395,008

 

69,461,147

Capital Markets - 1.5%

BlackRock, Inc. Class A

64,700

21,385,291

Carlyle Group LP

256,300

8,524,538

KKR & Co. LP

572,900

13,457,421

The Blackstone Group LP

647,200

21,700,616

 

65,067,866

Consumer Finance - 0.1%

Capital One Financial Corp.

57,200

4,693,832

Insurance - 1.5%

ACE Ltd.

69,000

7,336,770

Arthur J. Gallagher & Co.

233,400

11,023,482

MetLife, Inc.

394,700

21,605,878

The Travelers Companies, Inc.

188,900

17,890,719

Zurich Insurance Group AG

19,380

5,847,459

 

63,704,308

Real Estate Investment Trusts - 14.5%

Acadia Realty Trust (SBI)

61,400

1,769,548

Alexandria Real Estate Equities, Inc.

276,944

21,895,193

American Campus Communities, Inc.

82,300

3,251,673

Ashford Hospitality Prime, Inc.

286,400

4,636,816

AvalonBay Communities, Inc.

34,540

5,322,614

Boston Properties, Inc.

276,796

33,608,570

Cedar Shopping Centers, Inc.

741,859

4,799,828

Corrections Corp. of America

174,554

6,221,105

Cousins Properties, Inc.

85,440

1,084,234

DCT Industrial Trust, Inc.

1,888,900

15,016,755

Digital Realty Trust, Inc. (f)

335,500

21,891,375

Douglas Emmett, Inc.

320,900

9,168,113

Duke Realty LP

288,600

5,367,960

Equity Lifestyle Properties, Inc.

224,007

10,234,880

Equity Residential (SBI)

166,215

11,048,311

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Essex Property Trust, Inc.

140,592

$ 27,197,522

Excel Trust, Inc.

235,377

3,045,778

Extra Space Storage, Inc.

181,000

9,538,700

Federal Realty Investment Trust (SBI)

179,008

22,336,618

FelCor Lodging Trust, Inc.

1,345,152

13,908,872

HCP, Inc.

789,739

34,219,391

Health Care REIT, Inc.

101,196

6,838,826

Host Hotels & Resorts, Inc.

476,597

10,875,944

Kite Realty Group Trust

306,783

7,890,459

LaSalle Hotel Properties (SBI)

466,613

17,054,705

Lexington Corporate Properties Trust

497,500

5,412,800

Mid-America Apartment Communities, Inc.

255,210

18,456,787

National Retail Properties, Inc. (f)

420,562

15,619,673

Piedmont Office Realty Trust, Inc. Class A (f)

974,946

19,001,698

Post Properties, Inc.

281,700

15,499,134

Prologis, Inc.

297,210

12,167,777

Public Storage

148,499

26,014,055

Ramco-Gershenson Properties Trust (SBI)

77,900

1,321,184

Select Income (REIT)

47,000

1,311,300

Senior Housing Properties Trust (SBI)

757,400

17,670,142

Simon Property Group, Inc.

396,215

67,368,436

SL Green Realty Corp.

210,473

23,015,223

Spirit Realty Capital, Inc.

535,500

6,324,255

Sun Communities, Inc.

87,882

4,713,112

Taubman Centers, Inc.

249,800

19,027,266

Terreno Realty Corp.

191,900

3,884,056

UDR, Inc.

506,600

15,157,472

Ventas, Inc.

220,939

14,533,367

Vornado Realty Trust

35,714

3,781,041

Washington Prime Group, Inc. (a)

326,557

6,374,393

Weyerhaeuser Co.

136,147

4,622,191

WP Carey, Inc.

192,200

13,123,416

 

622,622,568

Real Estate Management & Development - 0.3%

Forest City Enterprises, Inc. Class A (a)

621,140

12,919,712

TOTAL FINANCIALS

838,469,433

HEALTH CARE - 8.4%

Biotechnology - 0.4%

Amgen, Inc.

121,300

16,906,794

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - 0.1%

Cardinal Health, Inc.

61,100

$ 4,503,070

Pharmaceuticals - 7.9%

AbbVie, Inc.

735,400

40,652,912

Bristol-Myers Squibb Co.

423,900

21,470,535

Eli Lilly & Co.

359,500

22,849,820

GlaxoSmithKline PLC sponsored ADR

178,300

8,754,530

Johnson & Johnson

1,017,144

105,508,347

Merck & Co., Inc.

1,144,290

68,783,272

Novartis AG

65,761

5,908,393

Pfizer, Inc.

1,505,700

44,252,523

Roche Holding AG (participation certificate)

50,660

14,795,657

Teva Pharmaceutical Industries Ltd. sponsored ADR

122,600

6,438,952

 

339,414,941

TOTAL HEALTH CARE

360,824,805

INDUSTRIALS - 2.3%

Aerospace & Defense - 0.6%

Honeywell International, Inc.

111,900

10,656,237

United Technologies Corp.

139,200

15,030,816

 

25,687,053

Commercial Services & Supplies - 0.1%

KAR Auction Services, Inc.

79,000

2,382,640

Republic Services, Inc.

106,300

4,180,779

 

6,563,419

Industrial Conglomerates - 0.9%

3M Co.

119,700

17,236,800

General Electric Co.

830,453

21,575,169

 

38,811,969

Machinery - 0.4%

Caterpillar, Inc.

69,600

7,591,272

Cummins, Inc.

58,800

8,532,468

 

16,123,740

Road & Rail - 0.3%

CSX Corp.

411,200

12,710,192

TOTAL INDUSTRIALS

99,896,373

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - 7.8%

Communications Equipment - 1.6%

Cisco Systems, Inc.

2,719,200

$ 67,952,808

IT Services - 1.0%

Automatic Data Processing, Inc.

104,600

8,732,008

Fidelity National Information Services, Inc.

159,500

9,051,625

IBM Corp.

44,200

8,499,660

Paychex, Inc.

378,400

15,760,360

 

42,043,653

Semiconductors & Semiconductor Equipment - 1.0%

Broadcom Corp. Class A

109,200

4,300,296

Intel Corp.

1,138,500

39,756,420

 

44,056,716

Software - 0.4%

Microsoft Corp.

241,500

10,971,345

Symantec Corp.

288,800

7,012,064

 

17,983,409

Technology Hardware, Storage & Peripherals - 3.8%

Apple, Inc.

1,439,200

147,517,992

EMC Corp.

571,258

16,869,249

 

164,387,241

TOTAL INFORMATION TECHNOLOGY

336,423,827

MATERIALS - 1.6%

Chemicals - 1.2%

E.I. du Pont de Nemours & Co.

322,000

21,287,420

LyondellBasell Industries NV Class A

154,900

17,712,815

Potash Corp. of Saskatchewan, Inc. (f)

66,400

2,332,214

The Dow Chemical Co.

157,800

8,450,190

 

49,782,639

Metals & Mining - 0.3%

Freeport-McMoRan Copper & Gold, Inc.

226,300

8,230,531

SunCoke Energy Partners LP

101,410

3,069,681

 

11,300,212

Paper & Forest Products - 0.1%

International Paper Co.

131,700

6,380,865

TOTAL MATERIALS

67,463,716

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 1.1%

AT&T, Inc.

651,100

$ 22,762,456

Verizon Communications, Inc.

459,835

22,908,980

 

45,671,436

Wireless Telecommunication Services - 0.1%

Vodafone Group PLC

1,934,500

6,648,646

TOTAL TELECOMMUNICATION SERVICES

52,320,082

UTILITIES - 2.8%

Electric Utilities - 1.9%

American Electric Power Co., Inc.

230,400

12,372,480

Exelon Corp.

173,200

5,788,344

IDACORP, Inc.

181,900

10,317,368

NRG Yield, Inc. Class A

79,200

4,307,688

Pinnacle West Capital Corp.

64,592

3,678,514

PPL Corp.

736,536

25,506,242

Xcel Energy, Inc.

664,800

21,306,840

 

83,277,476

Gas Utilities - 0.2%

Atmos Energy Corp.

137,400

6,946,944

Independent Power and Renewable Electricity Producers - 0.2%

Pattern Energy Group, Inc.

187,400

6,040,839

Multi-Utilities - 0.5%

CMS Energy Corp.

546,300

16,684,002

GDF Suez

221,900

5,465,395

 

22,149,397

TOTAL UTILITIES

118,414,656

TOTAL COMMON STOCKS

(Cost $2,191,043,166)


2,688,256,391

Preferred Stocks - 10.2%

 

 

 

 

Convertible Preferred Stocks - 3.7%

CONSUMER STAPLES - 0.1%

Food Products - 0.1%

Post Holdings, Inc. 5.25% (a)

35,800

3,043,000

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

FINANCIALS - 1.6%

Banks - 0.7%

Wells Fargo & Co. 7.50%

25,809

$ 31,382,970

Real Estate Investment Trusts - 0.7%

American Tower Corp. Series A, 5.25%

34,500

3,906,780

Crown Castle International Corp. Series A, 4.50%

157,000

16,323,290

Weyerhaeuser Co. Series A, 6.375%

139,500

8,056,125

 

28,286,195

Real Estate Management & Development - 0.2%

Forestar Group, Inc. 6.00% (a)

288,400

7,504,168

TOTAL FINANCIALS

67,173,333

HEALTH CARE - 0.3%

Health Care Equipment & Supplies - 0.2%

Alere, Inc. 3.00%

27,412

8,520,472

Health Care Providers & Services - 0.1%

AmSurg Corp. Series A-1, 5.25% (a)

50,300

5,709,050

TOTAL HEALTH CARE

14,229,522

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.1%

United Technologies Corp. 7.50%

82,300

4,942,938

TELECOMMUNICATION SERVICES - 0.2%

Diversified Telecommunication Services - 0.2%

Intelsat SA Series A, 5.75%

176,600

8,467,970

UTILITIES - 1.4%

Electric Utilities - 0.5%

Exelon Corp. 6.50% (a)

209,000

10,554,500

NextEra Energy, Inc.:

5.779%

189,000

10,413,900

5.889%

23,400

1,458,990

 

22,427,390

Gas Utilities - 0.1%

Laclede Group, Inc. 6.75% (a)

90,300

5,034,225

Multi-Utilities - 0.8%

CenterPoint Energy, Inc. 2.00% ZENS (a)

219,000

13,495,875

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

UTILITIES - continued

Multi-Utilities - continued

Dominion Resources, Inc.:

6.375% (a)

251,400

$ 12,778,662

Series A, 6.125%

87,300

4,954,275

 

31,228,812

TOTAL UTILITIES

58,690,427

TOTAL CONVERTIBLE PREFERRED STOCKS

156,547,190

Nonconvertible Preferred Stocks - 6.5%

ENERGY - 0.1%

Energy Equipment & Services - 0.1%

NuStar Logistics LP 7.625%

180,000

4,860,000

FINANCIALS - 4.7%

Banks - 0.8%

BB&T Corp. Series E, 5.625%

125,000

2,995,000

Citigroup, Inc. Series C, 5.80%

300,000

7,194,000

SunTrust Banks, Inc. Series E, 5.875%

677,800

16,199,420

U.S. Bancorp:

Series A, 3.50%

11,890

9,833,387

Series H, 5.15%

40,000

924,000

 

37,145,807

Capital Markets - 0.3%

Goldman Sachs Group, Inc.:

5.95%

65,219

1,579,604

Series K, 6.375%

80,000

2,079,200

Morgan Stanley 6.875%

200,000

5,402,000

Morgan Stanley Capital I Trust 6.60%

140,000

3,550,400

 

12,611,204

Consumer Finance - 1.4%

Ally Financial, Inc.:

7.00% (g)

41,122

41,344,318

Series A, 8.50%

477,300

13,015,971

Discover Financial Services Series B, 6.50%

200,000

5,116,000

 

59,476,289

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Diversified Financial Services - 0.8%

GMAC Capital Trust I Series 2, 8.125%

1,090,698

$ 29,317,962

JPMorgan Chase Capital XXIX 6.70%

155,000

4,020,700

 

33,338,662

Insurance - 0.1%

MetLife, Inc. Series B, 6.50%

111,000

2,839,380

Real Estate Investment Trusts - 1.3%

Chesapeake Lodging Trust Series A, 7.75%

50,000

1,321,000

Digital Realty Trust, Inc. Series G, 5.875%

140,000

3,238,200

Health Care REIT, Inc. Series J, 6.50%

4,046

104,670

Hersha Hospitality Trust:

Series B, 8.00%

38,793

1,028,790

Series C, 6.875%

49,887

1,281,597

Hospitality Properties Trust Series D, 7.125%

60,000

1,575,600

Kimco Realty Corp. Series K, 5.625%

120,000

2,868,000

Public Storage:

Series Q, 6.50%

125,000

3,352,500

Series S, 5.90%

100,000

2,496,000

Series T, 5.75%

74,000

1,835,940

Series V, 5.375%

250,000

5,917,500

Series W, 5.20%

150,000

3,477,000

Sabra Health Care REIT, Inc. Series A, 7.125%

602,000

15,170,400

SL Green Realty Corp. Series I, 6.50%

60,000

1,522,800

Sunstone Hotel Investors, Inc. Series D, 8.00%

226,218

6,030,972

Vornado Realty Trust Series L, 5.40%

230,000

5,494,700

 

56,715,669

Real Estate Management & Development - 0.0%

Ventas Realty LP/Ventas Capital Corp. 5.45%

71,050

1,707,332

TOTAL FINANCIALS

203,834,343

INDUSTRIALS - 0.1%

Commercial Services & Supplies - 0.1%

Pitney Bowes, Inc. 6.70%

120,000

3,112,800

TELECOMMUNICATION SERVICES - 0.4%

Diversified Telecommunication Services - 0.4%

Qwest Corp.:

6.125%

259,452

6,177,552

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Qwest Corp.: - continued

7.375%

70,000

$ 1,820,000

Verizon Communications, Inc. 5.90%

370,828

9,734,235

 

17,731,787

UTILITIES - 1.2%

Electric Utilities - 1.2%

Duquesne Light Co. 6.50%

141,050

7,108,920

Gulf Power Co. 5.60%

30,000

2,766,195

NextEra Energy Capital Holdings, Inc.:

Series G, 5.70%

270,000

6,609,600

Series H, 5.625%

70,000

1,697,500

Series I, 5.125%

377,500

8,323,875

Series J, 5.00%

205,000

4,452,600

SCE Trust I 5.625%

409,500

9,979,515

SCE Trust II 5.10%

15,000

334,800

Southern California Edison Co.:

5.349%

44,479

4,556,874

Series D, 6.50%

54,900

5,750,775

 

51,580,654

Multi-Utilities - 0.0%

DTE Energy Co. 6.50%

700

18,543

TOTAL UTILITIES

51,599,197

TOTAL NONCONVERTIBLE PREFERRED STOCKS

281,138,127

TOTAL PREFERRED STOCKS

(Cost $404,019,250)


437,685,317

Bank Loan Obligations - 0.9%

 

Principal Amount (e)

 

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Ruby Western Pipeline Holdings LLC Tranche B, term loan 3.5% 3/27/20 (i)

$ 3,019,574

3,000,702

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

HEALTH CARE - 0.4%

Health Care Providers & Services - 0.4%

HCA Holdings, Inc. Tranche B 4LN, term loan 2.9841% 5/1/18 (i)

$ 16,172,788

$ 16,132,356

INFORMATION TECHNOLOGY - 0.1%

IT Services - 0.1%

Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.25% 4/29/20 (i)

5,453,649

5,385,478

UTILITIES - 0.3%

Electric Utilities - 0.3%

La Frontera Generation, LLC Tranche B, term loan 4.5% 9/30/20 (i)

14,291,392

14,345,699

TOTAL BANK LOAN OBLIGATIONS

(Cost $39,009,023)


38,864,235

Preferred Securities - 2.2%

 

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

NBCUniversal Enterprise, Inc. 5.25% (g)(h)

975,000

1,026,731

FINANCIALS - 2.2%

Banks - 1.1%

JPMorgan Chase & Co.:

5.15% (h)(i)

15,000,000

14,864,450

6.75% (h)(i)

10,000,000

10,794,361

7.9% (h)(i)

6,250,000

7,081,344

PNC Preferred Funding Trust I 1.8806% (g)(h)(i)

3,450,000

3,343,307

SunTrust Preferred Capital I 4% 12/15/49 (i)

6,866,000

5,620,965

USB Capital IX 3.5% (h)(i)

8,625,000

7,328,375

 

49,032,802

Diversified Financial Services - 1.1%

General Electric Capital Corp.:

5.25% (h)(i)

5,000,000

5,162,193

7.125% (h)(i)

10,000,000

11,939,344

Goldman Sachs Capital II 4% (h)(i)

7,653,000

6,122,400

Preferred Securities - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Diversified Financial Services - continued

Goldman Sachs Capital III 4% (h)(i)

$ 18,715,000

$ 14,923,133

Wachovia Capital Trust III 5.5698% (h)(i)

8,091,000

8,026,821

 

46,173,891

TOTAL FINANCIALS

95,206,693

TOTAL PREFERRED SECURITIES

(Cost $88,440,123)


96,233,424

Money Market Funds - 8.2%

Shares

 

Fidelity Cash Central Fund, 0.11% (b)

302,481,771

302,481,771

Fidelity Securities Lending Cash Central Fund, 0.11% (b)(c)

48,355,500

48,355,500

TOTAL MONEY MARKET FUNDS

(Cost $350,837,271)


350,837,271

TOTAL INVESTMENT PORTFOLIO - 100.9%

(Cost $3,748,761,955)

4,336,047,361

NET OTHER ASSETS (LIABILITIES) - (0.9)%

(37,375,816)

NET ASSETS - 100%

$ 4,298,671,545

Currency Abbreviations

EUR

-

European Monetary Unit

Legend

(a) Non-income producing

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(c) Investment made with cash collateral received from securities on loan.

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

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

(f) Security or a portion of the security is on loan at period end.

(g) 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 $287,396,328 or 6.7% of net assets.

(h) Security is perpetual in nature with no stated maturity date.

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

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

$ 97,625

Fidelity Securities Lending Cash Central Fund

123,903

Total

$ 221,528

Other Information

The following is a summary of the inputs used, as of August 31, 2014, 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:

Equities:

Consumer Discretionary

$ 129,652,644

$ 129,652,644

$ -

$ -

Consumer Staples

344,630,876

344,630,876

-

-

Energy

348,062,979

348,062,979

-

-

Financials

1,109,477,109

1,036,249,208

73,227,901

-

Health Care

375,054,327

354,350,277

20,704,050

-

Industrials

107,952,111

107,952,111

-

-

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Information Technology

$ 336,423,827

$ 336,423,827

$ -

$ -

Materials

67,463,716

67,463,716

-

-

Telecommunication Services

78,519,839

71,871,193

6,648,646

-

Utilities

228,704,280

203,874,300

24,829,980

-

Corporate Bonds

724,170,722

-

724,170,722

-

Bank Loan Obligations

38,864,235

-

38,864,235

-

Preferred Securities

96,233,424

-

96,233,424

-

Money Market Funds

350,837,271

350,837,271

-

-

Total Investments in Securities:

$ 4,336,047,361

$ 3,351,368,402

$ 984,678,958

$ -

Income Tax Information

At August 31, 2014, the cost of investment securities for income tax purposes was $3,747,404,439. Net unrealized appreciation aggregated $588,642,922, of which $617,415,759 related to appreciated investment securities and $28,772,837 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. Corporate bonds, bank loan obligations and preferred securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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.

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

Quarterly Holdings Report

for

Fidelity ® Strategic
Dividend & Income Fund

August 31, 2014 

1.806764.110

SDI-QTLY-1014

Investments August 31, 2014 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 16.9%

 

Principal Amount (e)

Value

Convertible Bonds - 9.8%

CONSUMER DISCRETIONARY - 0.9%

Automobiles - 0.2%

Ford Motor Co. 4.25% 11/15/16

$ 3,870,000

$ 7,827,462

Diversified Consumer Services - 0.1%

Carriage Services, Inc. 2.75% 3/15/21 (g)

2,810,000

3,033,044

Household Durables - 0.4%

Lennar Corp. 3.25% 11/15/21 (g)

4,430,000

7,663,900

M/I Homes, Inc. 3% 3/1/18

6,140,000

6,405,248

Standard Pacific Corp. 1.25% 8/1/32

4,350,000

5,293,406

 

19,362,554

Media - 0.2%

Liberty Media Corp.:

1.375% 10/15/23 (g)

2,800,000

2,867,760

3.5% 1/15/31

11,620,000

6,288,744

 

9,156,504

TOTAL CONSUMER DISCRETIONARY

39,379,564

CONSUMER STAPLES - 0.4%

Tobacco - 0.4%

Vector Group Ltd. 2.5% 1/15/19 (i)

12,500,000

18,328,738

ENERGY - 1.3%

Oil, Gas & Consumable Fuels - 1.3%

Chesapeake Energy Corp. 2.5% 5/15/37

18,830,000

19,515,412

Clean Energy Fuels Corp. 5.25% 10/1/18 (g)

7,230,000

6,821,505

Peabody Energy Corp. 4.75% 12/15/41

5,662,000

4,069,563

Scorpio Tankers, Inc. 2.375% 7/1/19 (g)

13,090,000

13,459,138

Ship Finance International Ltd. 3.25% 2/1/18

11,400,000

13,355,100

 

57,220,718

FINANCIALS - 0.8%

Capital Markets - 0.2%

Ares Capital Corp. 5.75% 2/1/16

6,670,000

7,053,525

Insurance - 0.4%

Fidelity National Financial, Inc. 4.25% 8/15/18

9,860,000

16,244,350

Real Estate Investment Trusts - 0.1%

American Realty Capital Properties, Inc. 3% 8/1/18

3,930,000

3,993,863

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - 0.1%

Forestar Group, Inc. 3.75% 3/1/20

$ 4,340,000

$ 4,797,002

TOTAL FINANCIALS

32,088,740

HEALTH CARE - 1.8%

Biotechnology - 0.5%

Acorda Therapeutics, Inc. 1.75% 6/15/21

3,100,000

3,189,280

Aegerion Pharmaceuticals, Inc. 2% 8/15/19 (g)

2,350,000

2,367,860

Array BioPharma, Inc. 3% 6/1/20

1,220,000

1,119,350

Cubist Pharmaceuticals, Inc.:

1.125% 9/1/18 (g)

6,560,000

7,285,700

1.875% 9/1/20 (g)

6,570,000

7,465,163

 

21,427,353

Health Care Providers & Services - 0.7%

HealthSouth Corp. 2% 12/1/43

14,659,000

16,750,839

WellPoint, Inc. 2.75% 10/15/42

7,610,000

12,428,081

 

29,178,920

Pharmaceuticals - 0.6%

Jazz Investments I Ltd. 1.875% 8/15/21 (g)

8,780,000

9,888,914

Salix Pharmaceuticals Ltd. 1.5% 3/15/19 (g)

840,000

2,059,575

Theravance, Inc. 2.125% 1/15/23

11,020,000

12,728,155

 

24,676,644

TOTAL HEALTH CARE

75,282,917

INDUSTRIALS - 0.6%

Construction & Engineering - 0.3%

Layne Christensen Co. 4.25% 11/15/18 (g)

5,000,000

4,201,745

MasTec, Inc. 4.25% 12/15/14

4,890,000

9,666,919

 

13,868,664

Machinery - 0.3%

Navistar International Corp. 4.75% 4/15/19 (g)

10,770,000

11,403,276

TOTAL INDUSTRIALS

25,271,940

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

INFORMATION TECHNOLOGY - 3.1%

Communications Equipment - 0.8%

Ciena Corp. 3.75% 10/15/18 (g)

$ 2,760,000

$ 3,584,550

InterDigital, Inc. 2.5% 3/15/16

18,320,000

19,351,416

Liberty Interactive LLC 0.75% 3/30/43

8,680,000

11,816,084

 

34,752,050

Electronic Equipment & Components - 0.2%

InvenSense, Inc. 1.75% 11/1/18 (g)

6,360,000

8,379,936

Internet Software & Services - 0.1%

Blucora, Inc. 4.25% 4/1/19 (g)

2,440,000

2,452,200

WebMD Health Corp. 1.5% 12/1/20 (g)

1,410,000

1,560,024

 

4,012,224

Semiconductors & Semiconductor Equipment - 1.0%

Canadian Solar, Inc. 4.25% 2/15/19 (g)

11,030,000

12,215,725

GT Advanced Technologies, Inc.:

3% 10/1/17

4,845,000

11,403,919

3% 12/15/20

11,390,000

18,722,882

 

42,342,526

Software - 1.0%

Nuance Communications, Inc. 2.75% 11/1/31

16,090,000

16,029,663

Synchronoss Technologies, Inc. 0.75% 8/15/19

3,400,000

3,723,000

TiVo, Inc. 4% 3/15/16 (g)

17,560,000

24,582,244

 

44,334,907

TOTAL INFORMATION TECHNOLOGY

133,821,643

MATERIALS - 0.5%

Containers & Packaging - 0.4%

Owens-Brockway Glass Container, Inc. 3% 6/1/15 (g)

16,750,000

16,949,325

Metals & Mining - 0.1%

Horsehead Holding Corp. 3.8% 7/1/17

1,560,000

2,289,300

TOTAL MATERIALS

19,238,625

TELECOMMUNICATION SERVICES - 0.1%

Wireless Telecommunication Services - 0.1%

Clearwire Communications LLC/Clearwire Finance, Inc. 8.25% 12/1/40 (g)

3,420,000

3,881,700

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

UTILITIES - 0.3%

Electric Utilities - 0.3%

NRG Yield, Inc. 3.5% 2/1/19 (g)

$ 11,960,000

$ 14,832,553

TOTAL CONVERTIBLE BONDS

419,347,138

Nonconvertible Bonds - 7.1%

CONSUMER DISCRETIONARY - 1.3%

Hotels, Restaurants & Leisure - 0.1%

MGM Mirage, Inc. 6.625% 7/15/15

3,200,000

3,328,000

Internet & Catalog Retail - 0.0%

Netflix, Inc. 5.75% 3/1/24 (g)

1,270,000

1,330,325

Media - 0.9%

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.25% 9/30/22

7,840,000

7,957,600

7.25% 10/30/17

14,600,000

15,257,000

8.125% 4/30/20

5,000,000

5,362,500

Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (g)

2,650,000

2,782,500

Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (g)

7,145,000

8,020,263

 

39,379,863

Multiline Retail - 0.3%

JC Penney Corp., Inc.:

5.75% 2/15/18

4,860,000

4,665,600

6.375% 10/15/36

3,500,000

2,992,500

7.4% 4/1/37

3,000,000

2,685,000

 

10,343,100

TOTAL CONSUMER DISCRETIONARY

54,381,288

CONSUMER STAPLES - 0.4%

Food & Staples Retailing - 0.4%

BI-LO LLC/BI-LO Finance Corp. 9.25% 2/15/19 (g)

11,935,000

12,412,400

Tops Markets LLC 8.875% 12/15/17

3,760,000

4,013,800

 

16,426,200

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

FINANCIALS - 3.3%

Banks - 1.9%

Bank of Ireland 10% 7/30/16

EUR

8,293,000

$ 11,871,832

CIT Group, Inc. 4.75% 2/15/15 (g)

$ 3,610,000

3,655,125

Corestates Capital II 0.8836% 1/15/27 (g)(i)

3,000,000

2,640,000

Corestates Capital III 0.8036% 2/15/27 (g)(i)

3,960,000

3,484,800

First Maryland Capital I 1.2336% 1/15/27 (i)

2,500,000

2,300,000

First Maryland Capital II 1.0896% 2/1/27 (i)

4,100,000

3,772,000

JPMorgan Chase Capital XXI 1.1891% 1/15/87 (i)

12,500,000

10,812,500

PNC Capital Trust C 0.7974% 6/1/28 (i)

9,000,000

7,740,000

Wachovia Capital Trust II 0.7336% 1/15/27 (i)

32,014,000

28,172,320

Wells Fargo Capital II 0.7361% 1/30/27 (i)

5,930,000

5,218,400

Wells Fargo Capital X 5.95% 12/15/36

2,350,000

2,397,000

 

82,063,977

Capital Markets - 0.3%

Chase Capital II 0.7396% 2/1/27 (i)

7,900,000

6,961,875

Chase Capital Trust VI 0.8646% 8/1/28 (i)

5,000,000

4,406,250

JPMorgan Chase Capital XXIII 1.2336% 5/15/47 (i)

2,500,000

2,061,250

Lehman Brothers Holdings, Inc. 0% (d)(i)

1,000,000

0

 

13,429,375

Consumer Finance - 0.3%

Ally Financial, Inc. 4.75% 9/10/18

7,455,000

7,846,388

American Express Co. 6.8% 9/1/66 (i)

2,500,000

2,712,500

 

10,558,888

Diversified Financial Services - 0.8%

Central Fidelity Capital Trust I 1.2336% 4/15/27 (i)

2,500,000

2,200,000

Denali Borrower LLC/Denali Finance Corp. 5.625% 10/15/20 (g)

7,100,000

7,490,500

General Motors Financial Co., Inc. 2.75% 5/15/16

795,000

802,831

ILFC E-Capital Trust I 5.02% 12/21/65 (g)(i)

16,530,000

15,972,113

JPMorgan Chase Capital XIII 1.1841% 9/30/34 (i)

2,750,000

2,392,500

National Rural Utilities Cooperative Finance Corp. 4.75% 4/30/43 (i)

4,300,000

4,269,900

TransUnion Holding Co., Inc. 9.625% 6/15/18 pay-in-kind (i)

2,570,000

2,682,438

 

35,810,282

TOTAL FINANCIALS

141,862,522

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.1%

HealthSouth Corp. 5.75% 11/1/24

$ 2,165,000

$ 2,273,250

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.1%

TransDigm, Inc. 6.5% 7/15/24 (g)

4,310,000

4,417,750

Commercial Services & Supplies - 0.2%

APX Group, Inc.:

8.75% 12/1/20

7,522,000

7,484,390

8.75% 12/1/20 (g)

2,230,000

2,218,850

 

9,703,240

Construction & Engineering - 0.1%

MasTec, Inc. 4.875% 3/15/23

3,325,000

3,241,875

Trading Companies & Distributors - 0.2%

International Lease Finance Corp.:

8.25% 12/15/20

705,000

861,863

8.625% 9/15/15

5,000,000

5,359,375

8.875% 9/1/17

3,000,000

3,487,500

 

9,708,738

TOTAL INDUSTRIALS

27,071,603

INFORMATION TECHNOLOGY - 0.2%

IT Services - 0.1%

Compiler Finance Sub, Inc. 7% 5/1/21 (g)

5,015,000

4,789,325

Technology Hardware, Storage & Peripherals - 0.1%

Dell, Inc.:

5.4% 9/10/40

1,000,000

825,000

6.5% 4/15/38

4,440,000

4,051,500

 

4,876,500

TOTAL INFORMATION TECHNOLOGY

9,665,825

MATERIALS - 0.1%

Containers & Packaging - 0.0%

Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (g)(i)

535,000

544,909

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - 0.1%

JMC Steel Group, Inc. 8.25% 3/15/18 (g)

$ 4,930,000

$ 4,991,625

TOTAL MATERIALS

5,536,534

TELECOMMUNICATION SERVICES - 0.8%

Diversified Telecommunication Services - 0.6%

Sprint Capital Corp.:

6.875% 11/15/28

9,215,000

8,984,625

8.75% 3/15/32

14,125,000

15,749,375

 

24,734,000

Wireless Telecommunication Services - 0.2%

Intelsat Jackson Holdings SA 5.5% 8/1/23

11,245,000

11,202,831

T-Mobile U.S.A., Inc. 5.25% 9/1/18

585,000

603,281

 

11,806,112

TOTAL TELECOMMUNICATION SERVICES

36,540,112

UTILITIES - 0.3%

Electric Utilities - 0.2%

NextEra Energy Capital Holdings, Inc. 6.35% 10/1/66 (i)

7,950,000

7,950,000

Multi-Utilities - 0.1%

Wisconsin Energy Corp. 6.25% 5/15/67 (i)

3,000,000

3,116,250

TOTAL UTILITIES

11,066,250

TOTAL NONCONVERTIBLE BONDS

304,823,584

TOTAL CORPORATE BONDS

(Cost $675,413,122)


724,170,722

Common Stocks - 62.5%

Shares

 

CONSUMER DISCRETIONARY - 3.0%

Diversified Consumer Services - 0.2%

H&R Block, Inc.

239,500

8,030,435

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - 0.9%

Cedar Fair LP (depositary unit)

71,300

$ 3,528,637

Darden Restaurants, Inc.

144,800

6,851,936

McDonald's Corp.

222,600

20,862,072

Starwood Hotels & Resorts Worldwide, Inc.

31,100

2,629,194

Wyndham Worldwide Corp.

60,400

4,888,776

 

38,760,615

Media - 0.9%

CBS Outdoor Americas, Inc.

74,100

2,546,817

Comcast Corp. Class A

459,900

25,170,327

Sinclair Broadcast Group, Inc. Class A (f)

164,600

4,781,630

Time Warner, Inc.

103,400

7,964,902

 

40,463,676

Multiline Retail - 0.5%

Target Corp.

342,200

20,555,954

Specialty Retail - 0.2%

Foot Locker, Inc.

67,600

3,793,036

H&M Hennes & Mauritz AB (B Shares)

133,000

5,657,388

 

9,450,424

Textiles, Apparel & Luxury Goods - 0.3%

Coach, Inc.

221,200

8,146,796

VF Corp.

66,200

4,244,744

 

12,391,540

TOTAL CONSUMER DISCRETIONARY

129,652,644

CONSUMER STAPLES - 7.9%

Beverages - 2.7%

Anheuser-Busch InBev SA NV ADR

77,700

8,685,306

PepsiCo, Inc.

500,700

46,309,743

SABMiller PLC

72,100

3,977,525

The Coca-Cola Co.

1,342,000

55,988,240

 

114,960,814

Food & Staples Retailing - 0.4%

CVS Caremark Corp.

129,300

10,272,885

Walgreen Co.

144,500

8,745,140

 

19,018,025

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food Products - 0.5%

ConAgra Foods, Inc.

369,700

$ 11,904,340

Kellogg Co.

142,500

9,258,225

 

21,162,565

Household Products - 2.0%

Procter & Gamble Co.

1,029,258

85,541,632

Tobacco - 2.3%

Altria Group, Inc.

294,300

12,678,444

British American Tobacco PLC sponsored ADR

115,500

13,677,510

Philip Morris International, Inc.

772,718

66,129,206

Reynolds American, Inc.

144,000

8,419,680

 

100,904,840

TOTAL CONSUMER STAPLES

341,587,876

ENERGY - 8.0%

Oil, Gas & Consumable Fuels - 8.0%

Canadian Natural Resources Ltd.

170,600

7,435,606

Cheniere Energy, Inc. (a)

52,300

4,197,598

Chevron Corp.

961,700

124,492,065

ConocoPhillips Co.

450,700

36,605,854

El Paso Pipeline Partners LP

97,200

4,039,632

Enterprise Products Partners LP

88,600

3,599,818

EQT Midstream Partners LP

95,500

9,310,295

Exxon Mobil Corp.

861,800

85,714,628

Imperial Oil Ltd.

85,800

4,565,794

Kinder Morgan Holding Co. LLC (f)

380,600

15,322,956

Markwest Energy Partners LP

98,700

7,869,351

MPLX LP

109,300

6,667,300

Phillips 66 Partners LP

139,845

10,348,530

PrairieSky Royalty Ltd.

27,400

995,401

QEP Midstream Partners LP

87,100

2,264,600

Targa Resources Corp.

62,800

8,763,740

Tesoro Logistics LP

31,500

2,213,820

Valero Energy Partners LP

50,500

2,692,155

Western Gas Partners LP

25,000

1,937,250

Williams Partners LP

78,600

4,166,586

 

343,202,979

Common Stocks - continued

Shares

Value

FINANCIALS - 19.5%

Banks - 1.6%

JPMorgan Chase & Co.

227,700

$ 13,536,765

M&T Bank Corp.

103,300

12,770,979

National Penn Bancshares, Inc.

36,652

366,520

Prosperity Bancshares, Inc.

73,700

4,451,480

Regions Financial Corp.

931,000

9,449,650

Svenska Handelsbanken AB (A Shares)

120,100

5,629,325

U.S. Bancorp

351,500

14,861,420

Wells Fargo & Co.

163,200

8,395,008

 

69,461,147

Capital Markets - 1.5%

BlackRock, Inc. Class A

64,700

21,385,291

Carlyle Group LP

256,300

8,524,538

KKR & Co. LP

572,900

13,457,421

The Blackstone Group LP

647,200

21,700,616

 

65,067,866

Consumer Finance - 0.1%

Capital One Financial Corp.

57,200

4,693,832

Insurance - 1.5%

ACE Ltd.

69,000

7,336,770

Arthur J. Gallagher & Co.

233,400

11,023,482

MetLife, Inc.

394,700

21,605,878

The Travelers Companies, Inc.

188,900

17,890,719

Zurich Insurance Group AG

19,380

5,847,459

 

63,704,308

Real Estate Investment Trusts - 14.5%

Acadia Realty Trust (SBI)

61,400

1,769,548

Alexandria Real Estate Equities, Inc.

276,944

21,895,193

American Campus Communities, Inc.

82,300

3,251,673

Ashford Hospitality Prime, Inc.

286,400

4,636,816

AvalonBay Communities, Inc.

34,540

5,322,614

Boston Properties, Inc.

276,796

33,608,570

Cedar Shopping Centers, Inc.

741,859

4,799,828

Corrections Corp. of America

174,554

6,221,105

Cousins Properties, Inc.

85,440

1,084,234

DCT Industrial Trust, Inc.

1,888,900

15,016,755

Digital Realty Trust, Inc. (f)

335,500

21,891,375

Douglas Emmett, Inc.

320,900

9,168,113

Duke Realty LP

288,600

5,367,960

Equity Lifestyle Properties, Inc.

224,007

10,234,880

Equity Residential (SBI)

166,215

11,048,311

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Essex Property Trust, Inc.

140,592

$ 27,197,522

Excel Trust, Inc.

235,377

3,045,778

Extra Space Storage, Inc.

181,000

9,538,700

Federal Realty Investment Trust (SBI)

179,008

22,336,618

FelCor Lodging Trust, Inc.

1,345,152

13,908,872

HCP, Inc.

789,739

34,219,391

Health Care REIT, Inc.

101,196

6,838,826

Host Hotels & Resorts, Inc.

476,597

10,875,944

Kite Realty Group Trust

306,783

7,890,459

LaSalle Hotel Properties (SBI)

466,613

17,054,705

Lexington Corporate Properties Trust

497,500

5,412,800

Mid-America Apartment Communities, Inc.

255,210

18,456,787

National Retail Properties, Inc. (f)

420,562

15,619,673

Piedmont Office Realty Trust, Inc. Class A (f)

974,946

19,001,698

Post Properties, Inc.

281,700

15,499,134

Prologis, Inc.

297,210

12,167,777

Public Storage

148,499

26,014,055

Ramco-Gershenson Properties Trust (SBI)

77,900

1,321,184

Select Income (REIT)

47,000

1,311,300

Senior Housing Properties Trust (SBI)

757,400

17,670,142

Simon Property Group, Inc.

396,215

67,368,436

SL Green Realty Corp.

210,473

23,015,223

Spirit Realty Capital, Inc.

535,500

6,324,255

Sun Communities, Inc.

87,882

4,713,112

Taubman Centers, Inc.

249,800

19,027,266

Terreno Realty Corp.

191,900

3,884,056

UDR, Inc.

506,600

15,157,472

Ventas, Inc.

220,939

14,533,367

Vornado Realty Trust

35,714

3,781,041

Washington Prime Group, Inc. (a)

326,557

6,374,393

Weyerhaeuser Co.

136,147

4,622,191

WP Carey, Inc.

192,200

13,123,416

 

622,622,568

Real Estate Management & Development - 0.3%

Forest City Enterprises, Inc. Class A (a)

621,140

12,919,712

TOTAL FINANCIALS

838,469,433

HEALTH CARE - 8.4%

Biotechnology - 0.4%

Amgen, Inc.

121,300

16,906,794

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - 0.1%

Cardinal Health, Inc.

61,100

$ 4,503,070

Pharmaceuticals - 7.9%

AbbVie, Inc.

735,400

40,652,912

Bristol-Myers Squibb Co.

423,900

21,470,535

Eli Lilly & Co.

359,500

22,849,820

GlaxoSmithKline PLC sponsored ADR

178,300

8,754,530

Johnson & Johnson

1,017,144

105,508,347

Merck & Co., Inc.

1,144,290

68,783,272

Novartis AG

65,761

5,908,393

Pfizer, Inc.

1,505,700

44,252,523

Roche Holding AG (participation certificate)

50,660

14,795,657

Teva Pharmaceutical Industries Ltd. sponsored ADR

122,600

6,438,952

 

339,414,941

TOTAL HEALTH CARE

360,824,805

INDUSTRIALS - 2.3%

Aerospace & Defense - 0.6%

Honeywell International, Inc.

111,900

10,656,237

United Technologies Corp.

139,200

15,030,816

 

25,687,053

Commercial Services & Supplies - 0.1%

KAR Auction Services, Inc.

79,000

2,382,640

Republic Services, Inc.

106,300

4,180,779

 

6,563,419

Industrial Conglomerates - 0.9%

3M Co.

119,700

17,236,800

General Electric Co.

830,453

21,575,169

 

38,811,969

Machinery - 0.4%

Caterpillar, Inc.

69,600

7,591,272

Cummins, Inc.

58,800

8,532,468

 

16,123,740

Road & Rail - 0.3%

CSX Corp.

411,200

12,710,192

TOTAL INDUSTRIALS

99,896,373

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - 7.8%

Communications Equipment - 1.6%

Cisco Systems, Inc.

2,719,200

$ 67,952,808

IT Services - 1.0%

Automatic Data Processing, Inc.

104,600

8,732,008

Fidelity National Information Services, Inc.

159,500

9,051,625

IBM Corp.

44,200

8,499,660

Paychex, Inc.

378,400

15,760,360

 

42,043,653

Semiconductors & Semiconductor Equipment - 1.0%

Broadcom Corp. Class A

109,200

4,300,296

Intel Corp.

1,138,500

39,756,420

 

44,056,716

Software - 0.4%

Microsoft Corp.

241,500

10,971,345

Symantec Corp.

288,800

7,012,064

 

17,983,409

Technology Hardware, Storage & Peripherals - 3.8%

Apple, Inc.

1,439,200

147,517,992

EMC Corp.

571,258

16,869,249

 

164,387,241

TOTAL INFORMATION TECHNOLOGY

336,423,827

MATERIALS - 1.6%

Chemicals - 1.2%

E.I. du Pont de Nemours & Co.

322,000

21,287,420

LyondellBasell Industries NV Class A

154,900

17,712,815

Potash Corp. of Saskatchewan, Inc. (f)

66,400

2,332,214

The Dow Chemical Co.

157,800

8,450,190

 

49,782,639

Metals & Mining - 0.3%

Freeport-McMoRan Copper & Gold, Inc.

226,300

8,230,531

SunCoke Energy Partners LP

101,410

3,069,681

 

11,300,212

Paper & Forest Products - 0.1%

International Paper Co.

131,700

6,380,865

TOTAL MATERIALS

67,463,716

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 1.1%

AT&T, Inc.

651,100

$ 22,762,456

Verizon Communications, Inc.

459,835

22,908,980

 

45,671,436

Wireless Telecommunication Services - 0.1%

Vodafone Group PLC

1,934,500

6,648,646

TOTAL TELECOMMUNICATION SERVICES

52,320,082

UTILITIES - 2.8%

Electric Utilities - 1.9%

American Electric Power Co., Inc.

230,400

12,372,480

Exelon Corp.

173,200

5,788,344

IDACORP, Inc.

181,900

10,317,368

NRG Yield, Inc. Class A

79,200

4,307,688

Pinnacle West Capital Corp.

64,592

3,678,514

PPL Corp.

736,536

25,506,242

Xcel Energy, Inc.

664,800

21,306,840

 

83,277,476

Gas Utilities - 0.2%

Atmos Energy Corp.

137,400

6,946,944

Independent Power and Renewable Electricity Producers - 0.2%

Pattern Energy Group, Inc.

187,400

6,040,839

Multi-Utilities - 0.5%

CMS Energy Corp.

546,300

16,684,002

GDF Suez

221,900

5,465,395

 

22,149,397

TOTAL UTILITIES

118,414,656

TOTAL COMMON STOCKS

(Cost $2,191,043,166)


2,688,256,391

Preferred Stocks - 10.2%

 

 

 

 

Convertible Preferred Stocks - 3.7%

CONSUMER STAPLES - 0.1%

Food Products - 0.1%

Post Holdings, Inc. 5.25% (a)

35,800

3,043,000

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

FINANCIALS - 1.6%

Banks - 0.7%

Wells Fargo & Co. 7.50%

25,809

$ 31,382,970

Real Estate Investment Trusts - 0.7%

American Tower Corp. Series A, 5.25%

34,500

3,906,780

Crown Castle International Corp. Series A, 4.50%

157,000

16,323,290

Weyerhaeuser Co. Series A, 6.375%

139,500

8,056,125

 

28,286,195

Real Estate Management & Development - 0.2%

Forestar Group, Inc. 6.00% (a)

288,400

7,504,168

TOTAL FINANCIALS

67,173,333

HEALTH CARE - 0.3%

Health Care Equipment & Supplies - 0.2%

Alere, Inc. 3.00%

27,412

8,520,472

Health Care Providers & Services - 0.1%

AmSurg Corp. Series A-1, 5.25% (a)

50,300

5,709,050

TOTAL HEALTH CARE

14,229,522

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.1%

United Technologies Corp. 7.50%

82,300

4,942,938

TELECOMMUNICATION SERVICES - 0.2%

Diversified Telecommunication Services - 0.2%

Intelsat SA Series A, 5.75%

176,600

8,467,970

UTILITIES - 1.4%

Electric Utilities - 0.5%

Exelon Corp. 6.50% (a)

209,000

10,554,500

NextEra Energy, Inc.:

5.779%

189,000

10,413,900

5.889%

23,400

1,458,990

 

22,427,390

Gas Utilities - 0.1%

Laclede Group, Inc. 6.75% (a)

90,300

5,034,225

Multi-Utilities - 0.8%

CenterPoint Energy, Inc. 2.00% ZENS (a)

219,000

13,495,875

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

UTILITIES - continued

Multi-Utilities - continued

Dominion Resources, Inc.:

6.375% (a)

251,400

$ 12,778,662

Series A, 6.125%

87,300

4,954,275

 

31,228,812

TOTAL UTILITIES

58,690,427

TOTAL CONVERTIBLE PREFERRED STOCKS

156,547,190

Nonconvertible Preferred Stocks - 6.5%

ENERGY - 0.1%

Energy Equipment & Services - 0.1%

NuStar Logistics LP 7.625%

180,000

4,860,000

FINANCIALS - 4.7%

Banks - 0.8%

BB&T Corp. Series E, 5.625%

125,000

2,995,000

Citigroup, Inc. Series C, 5.80%

300,000

7,194,000

SunTrust Banks, Inc. Series E, 5.875%

677,800

16,199,420

U.S. Bancorp:

Series A, 3.50%

11,890

9,833,387

Series H, 5.15%

40,000

924,000

 

37,145,807

Capital Markets - 0.3%

Goldman Sachs Group, Inc.:

5.95%

65,219

1,579,604

Series K, 6.375%

80,000

2,079,200

Morgan Stanley 6.875%

200,000

5,402,000

Morgan Stanley Capital I Trust 6.60%

140,000

3,550,400

 

12,611,204

Consumer Finance - 1.4%

Ally Financial, Inc.:

7.00% (g)

41,122

41,344,318

Series A, 8.50%

477,300

13,015,971

Discover Financial Services Series B, 6.50%

200,000

5,116,000

 

59,476,289

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Diversified Financial Services - 0.8%

GMAC Capital Trust I Series 2, 8.125%

1,090,698

$ 29,317,962

JPMorgan Chase Capital XXIX 6.70%

155,000

4,020,700

 

33,338,662

Insurance - 0.1%

MetLife, Inc. Series B, 6.50%

111,000

2,839,380

Real Estate Investment Trusts - 1.3%

Chesapeake Lodging Trust Series A, 7.75%

50,000

1,321,000

Digital Realty Trust, Inc. Series G, 5.875%

140,000

3,238,200

Health Care REIT, Inc. Series J, 6.50%

4,046

104,670

Hersha Hospitality Trust:

Series B, 8.00%

38,793

1,028,790

Series C, 6.875%

49,887

1,281,597

Hospitality Properties Trust Series D, 7.125%

60,000

1,575,600

Kimco Realty Corp. Series K, 5.625%

120,000

2,868,000

Public Storage:

Series Q, 6.50%

125,000

3,352,500

Series S, 5.90%

100,000

2,496,000

Series T, 5.75%

74,000

1,835,940

Series V, 5.375%

250,000

5,917,500

Series W, 5.20%

150,000

3,477,000

Sabra Health Care REIT, Inc. Series A, 7.125%

602,000

15,170,400

SL Green Realty Corp. Series I, 6.50%

60,000

1,522,800

Sunstone Hotel Investors, Inc. Series D, 8.00%

226,218

6,030,972

Vornado Realty Trust Series L, 5.40%

230,000

5,494,700

 

56,715,669

Real Estate Management & Development - 0.0%

Ventas Realty LP/Ventas Capital Corp. 5.45%

71,050

1,707,332

TOTAL FINANCIALS

203,834,343

INDUSTRIALS - 0.1%

Commercial Services & Supplies - 0.1%

Pitney Bowes, Inc. 6.70%

120,000

3,112,800

TELECOMMUNICATION SERVICES - 0.4%

Diversified Telecommunication Services - 0.4%

Qwest Corp.:

6.125%

259,452

6,177,552

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Qwest Corp.: - continued

7.375%

70,000

$ 1,820,000

Verizon Communications, Inc. 5.90%

370,828

9,734,235

 

17,731,787

UTILITIES - 1.2%

Electric Utilities - 1.2%

Duquesne Light Co. 6.50%

141,050

7,108,920

Gulf Power Co. 5.60%

30,000

2,766,195

NextEra Energy Capital Holdings, Inc.:

Series G, 5.70%

270,000

6,609,600

Series H, 5.625%

70,000

1,697,500

Series I, 5.125%

377,500

8,323,875

Series J, 5.00%

205,000

4,452,600

SCE Trust I 5.625%

409,500

9,979,515

SCE Trust II 5.10%

15,000

334,800

Southern California Edison Co.:

5.349%

44,479

4,556,874

Series D, 6.50%

54,900

5,750,775

 

51,580,654

Multi-Utilities - 0.0%

DTE Energy Co. 6.50%

700

18,543

TOTAL UTILITIES

51,599,197

TOTAL NONCONVERTIBLE PREFERRED STOCKS

281,138,127

TOTAL PREFERRED STOCKS

(Cost $404,019,250)


437,685,317

Bank Loan Obligations - 0.9%

 

Principal Amount (e)

 

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Ruby Western Pipeline Holdings LLC Tranche B, term loan 3.5% 3/27/20 (i)

$ 3,019,574

3,000,702

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

HEALTH CARE - 0.4%

Health Care Providers & Services - 0.4%

HCA Holdings, Inc. Tranche B 4LN, term loan 2.9841% 5/1/18 (i)

$ 16,172,788

$ 16,132,356

INFORMATION TECHNOLOGY - 0.1%

IT Services - 0.1%

Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.25% 4/29/20 (i)

5,453,649

5,385,478

UTILITIES - 0.3%

Electric Utilities - 0.3%

La Frontera Generation, LLC Tranche B, term loan 4.5% 9/30/20 (i)

14,291,392

14,345,699

TOTAL BANK LOAN OBLIGATIONS

(Cost $39,009,023)


38,864,235

Preferred Securities - 2.2%

 

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

NBCUniversal Enterprise, Inc. 5.25% (g)(h)

975,000

1,026,731

FINANCIALS - 2.2%

Banks - 1.1%

JPMorgan Chase & Co.:

5.15% (h)(i)

15,000,000

14,864,450

6.75% (h)(i)

10,000,000

10,794,361

7.9% (h)(i)

6,250,000

7,081,344

PNC Preferred Funding Trust I 1.8806% (g)(h)(i)

3,450,000

3,343,307

SunTrust Preferred Capital I 4% 12/15/49 (i)

6,866,000

5,620,965

USB Capital IX 3.5% (h)(i)

8,625,000

7,328,375

 

49,032,802

Diversified Financial Services - 1.1%

General Electric Capital Corp.:

5.25% (h)(i)

5,000,000

5,162,193

7.125% (h)(i)

10,000,000

11,939,344

Goldman Sachs Capital II 4% (h)(i)

7,653,000

6,122,400

Preferred Securities - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Diversified Financial Services - continued

Goldman Sachs Capital III 4% (h)(i)

$ 18,715,000

$ 14,923,133

Wachovia Capital Trust III 5.5698% (h)(i)

8,091,000

8,026,821

 

46,173,891

TOTAL FINANCIALS

95,206,693

TOTAL PREFERRED SECURITIES

(Cost $88,440,123)


96,233,424

Money Market Funds - 8.2%

Shares

 

Fidelity Cash Central Fund, 0.11% (b)

302,481,771

302,481,771

Fidelity Securities Lending Cash Central Fund, 0.11% (b)(c)

48,355,500

48,355,500

TOTAL MONEY MARKET FUNDS

(Cost $350,837,271)


350,837,271

TOTAL INVESTMENT PORTFOLIO - 100.9%

(Cost $3,748,761,955)

4,336,047,361

NET OTHER ASSETS (LIABILITIES) - (0.9)%

(37,375,816)

NET ASSETS - 100%

$ 4,298,671,545

Currency Abbreviations

EUR

-

European Monetary Unit

Legend

(a) Non-income producing

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(c) Investment made with cash collateral received from securities on loan.

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

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

(f) Security or a portion of the security is on loan at period end.

(g) 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 $287,396,328 or 6.7% of net assets.

(h) Security is perpetual in nature with no stated maturity date.

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

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

$ 97,625

Fidelity Securities Lending Cash Central Fund

123,903

Total

$ 221,528

Other Information

The following is a summary of the inputs used, as of August 31, 2014, 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:

Equities:

Consumer Discretionary

$ 129,652,644

$ 129,652,644

$ -

$ -

Consumer Staples

344,630,876

344,630,876

-

-

Energy

348,062,979

348,062,979

-

-

Financials

1,109,477,109

1,036,249,208

73,227,901

-

Health Care

375,054,327

354,350,277

20,704,050

-

Industrials

107,952,111

107,952,111

-

-

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Information Technology

$ 336,423,827

$ 336,423,827

$ -

$ -

Materials

67,463,716

67,463,716

-

-

Telecommunication Services

78,519,839

71,871,193

6,648,646

-

Utilities

228,704,280

203,874,300

24,829,980

-

Corporate Bonds

724,170,722

-

724,170,722

-

Bank Loan Obligations

38,864,235

-

38,864,235

-

Preferred Securities

96,233,424

-

96,233,424

-

Money Market Funds

350,837,271

350,837,271

-

-

Total Investments in Securities:

$ 4,336,047,361

$ 3,351,368,402

$ 984,678,958

$ -

Income Tax Information

At August 31, 2014, the cost of investment securities for income tax purposes was $3,747,404,439. Net unrealized appreciation aggregated $588,642,922, of which $617,415,759 related to appreciated investment securities and $28,772,837 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. Corporate bonds, bank loan obligations and preferred securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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.

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

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:

October 30, 2014

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:

October 30, 2014

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

October 30, 2014