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:

February 28, 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

February 28, 2014

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

1.814340.109

ASDI-QTLY-0414

Investments February 28, 2014 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 18.3%

 

Principal Amount (e)

Value

Convertible Bonds - 10.1%

CONSUMER DISCRETIONARY - 0.4%

Automobiles - 0.0%

Ford Motor Co. 4.25% 11/15/16

$ 860,000

$ 1,548,688

Household Durables - 0.3%

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

6,140,000

6,769,350

Standard Pacific Corp. 1.25% 8/1/32

4,350,000

5,758,313

 

12,527,663

Media - 0.1%

Liberty Media Corp. 1.375% 10/15/23 (g)

2,800,000

2,726,360

TOTAL CONSUMER DISCRETIONARY

16,802,711

ENERGY - 1.3%

Oil, Gas & Consumable Fuels - 1.3%

Alpha Natural Resources, Inc. 3.75% 12/15/17

3,070,000

2,809,050

Chesapeake Energy Corp. 2.5% 5/15/37

18,830,000

19,217,898

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

4,080,000

3,685,056

Cobalt International Energy, Inc. 2.625% 12/1/19

7,970,000

7,681,088

Peabody Energy Corp. 4.75% 12/15/41

5,100,000

4,054,500

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

11,700,000

12,758,850

 

50,206,442

FINANCIALS - 0.7%

Insurance - 0.5%

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

10,060,000

16,498,400

Real Estate Investment Trusts - 0.1%

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

3,930,000

4,264,247

Real Estate Management & Development - 0.1%

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

4,340,000

4,818,702

TOTAL FINANCIALS

25,581,349

HEALTH CARE - 2.0%

Biotechnology - 0.7%

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

4,410,000

4,525,983

Cubist Pharmaceuticals, Inc.:

1.125% 9/1/18 (g)

2,330,000

2,858,619

1.875% 9/1/20 (g)

2,300,000

2,883,625

Gilead Sciences, Inc. 1.625% 5/1/16

750,000

2,727,978

InterMune, Inc. 2.5% 12/15/17

1,260,000

3,014,550

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

HEALTH CARE - continued

Biotechnology - continued

Orexigen Therapeutics, Inc. 2.75% 12/1/20 (g)

$ 1,810,000

$ 2,082,631

Theravance, Inc. 2.125% 1/15/23

4,980,000

7,401,525

 

25,494,911

Health Care Equipment & Supplies - 0.2%

Teleflex, Inc. 3.875% 8/1/17

4,830,000

8,208,102

Health Care Providers & Services - 0.9%

HealthSouth Corp. 2% 12/1/43

17,939,000

18,452,055

Molina Healthcare, Inc. 1.125% 1/15/20 (g)

11,190,000

12,490,838

WellPoint, Inc. 2.75% 10/15/42

3,810,000

5,188,744

 

36,131,637

Pharmaceuticals - 0.2%

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

840,000

1,485,225

ViroPharma, Inc. 2% 3/15/17

2,260,000

6,063,863

 

7,549,088

TOTAL HEALTH CARE

77,383,738

INDUSTRIALS - 1.1%

Air Freight & Logistics - 0.1%

UTi Worldwide, Inc. 4.5% 3/1/19 (g)

3,400,000

3,432,640

Commercial Services & Supplies - 0.4%

Covanta Holding Corp. 3.25% 6/1/14

12,340,000

14,376,717

Construction & Engineering - 0.6%

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

6,450,000

6,757,020

MasTec, Inc.:

4% 6/15/14

2,210,000

5,726,663

4.25% 12/15/14

4,390,000

11,647,219

 

24,130,902

TOTAL INDUSTRIALS

41,940,259

INFORMATION TECHNOLOGY - 3.1%

Communications Equipment - 0.8%

Ciena Corp. 3.75% 10/15/18 (g)

2,760,000

4,074,450

InterDigital, Inc. 2.5% 3/15/16

17,860,000

18,373,475

Liberty Interactive LLC 0.75% 3/30/43 (g)

7,180,000

9,074,084

 

31,522,009

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Internet Software & Services - 0.4%

Akamai Technologies, Inc. 0% 2/15/19 (g)

$ 7,900,000

$ 7,979,000

WebMD Health Corp. 1.5% 12/1/20 (g)

6,160,000

6,484,632

 

14,463,632

Semiconductors & Semiconductor Equipment - 1.0%

GT Advanced Technologies, Inc.:

3% 10/1/17

8,855,000

17,571,641

3% 12/15/20

3,690,000

5,207,697

Intel Corp. 3.25% 8/1/39

11,470,000

15,484,500

 

38,263,838

Software - 0.9%

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

14,260,000

14,135,225

TiVo, Inc. 4% 3/15/16 (g)

14,260,000

19,687,356

 

33,822,581

TOTAL INFORMATION TECHNOLOGY

118,072,060

MATERIALS - 1.1%

Chemicals - 0.1%

RPM International, Inc. 2.25% 12/15/20

1,770,000

2,052,094

Containers & Packaging - 0.6%

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

20,550,000

21,217,875

Metals & Mining - 0.4%

Allegheny Technologies, Inc. 4.25% 6/1/14

720,000

725,400

Goldcorp, Inc. 2% 8/1/14

6,980,000

7,020,484

Horsehead Holding Corp. 3.8% 7/1/17

1,560,000

2,114,580

Newmont Mining Corp. 1.25% 7/15/14

5,390,000

5,396,738

 

15,257,202

Paper & Forest Products - 0.0%

Rayonier TRS Holdings, Inc. 4.5% 8/15/15

1,330,000

1,961,750

TOTAL MATERIALS

40,488,921

TELECOMMUNICATION SERVICES - 0.2%

Wireless Telecommunication Services - 0.2%

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

5,500,000

6,366,250

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

UTILITIES - 0.2%

Electric Utilities - 0.2%

NRG Yield, Inc. 3.5% 2/1/19 (g)

$ 8,000,000

$ 8,072,720

TOTAL CONVERTIBLE BONDS

384,914,450

Nonconvertible Bonds - 8.2%

CONSUMER DISCRETIONARY - 1.1%

Hotels, Restaurants & Leisure - 0.1%

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

3,200,000

3,411,840

Internet & Catalog Retail - 0.0%

Netflix, Inc. 5.75% 3/1/24 (g)

1,270,000

1,320,800

Media - 1.0%

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.25% 9/30/22

7,840,000

7,820,400

5.75% 1/15/24

2,570,000

2,582,850

7.25% 10/30/17

8,000,000

8,500,000

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

2,650,000

2,802,375

Clear Channel Communications, Inc. 4.9% 5/15/15

4,725,000

4,683,656

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

7,145,000

8,073,850

WMG Acquisition Corp. 11.5% 10/1/18

1,340,000

1,524,250

 

35,987,381

TOTAL CONSUMER DISCRETIONARY

40,720,021

CONSUMER STAPLES - 0.5%

Food & Staples Retailing - 0.5%

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

11,935,000

13,038,988

Tops Markets LLC 8.875% 12/15/17

3,760,000

4,117,200

 

17,156,188

Food Products - 0.0%

FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (g)

705,000

749,063

TOTAL CONSUMER STAPLES

17,905,251

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

FINANCIALS - 4.4%

Capital Markets - 0.3%

Chase Capital II 0.7376% 2/1/27 (i)

$ 7,900,000

$ 6,517,500

Chase Capital Trust VI 0.8626% 8/1/28 (i)

5,000,000

4,125,000

JPMorgan Chase Capital XXIII 1.2359% 5/15/47 (i)

2,500,000

1,856,250

Lehman Brothers Holdings, Inc. 1.0633% (d)(i)

1,000,000

0

 

12,498,750

Commercial Banks - 2.1%

Bank of Ireland 10% 7/30/16

EUR

8,293,000

12,405,500

CIT Group, Inc. 4.75% 2/15/15 (g)

3,610,000

3,713,788

Corestates Capital II 0.8889% 1/15/27 (g)(i)

3,000,000

2,490,000

Corestates Capital III 0.8059% 2/15/27 (g)(i)

3,960,000

3,286,800

First Maryland Capital I 1.2389% 1/15/27 (i)

2,500,000

2,075,000

First Maryland Capital II 1.0876% 2/1/27 (i)

4,100,000

3,403,000

JPMorgan Chase Capital XXI 1.1876% 1/15/87 (i)

12,500,000

9,375,000

PNC Capital Trust C 0.8091% 6/1/28 (i)

9,000,000

7,290,000

Wachovia Capital Trust II 0.7389% 1/15/27 (i)

32,014,000

26,571,620

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

5,930,000

4,921,900

Wells Fargo Capital X 5.95% 12/15/36

2,350,000

2,362,462

 

77,895,070

Consumer Finance - 0.4%

Ally Financial, Inc.:

3.5% 1/27/19

1,165,000

1,170,825

4.75% 9/10/18

6,000,000

6,390,000

American Express Co. 6.8% 9/1/66 (i)

2,500,000

2,718,750

GMAC LLC 8% 11/1/31

3,900,000

4,914,000

 

15,193,575

Diversified Financial Services - 1.6%

Central Fidelity Capital Trust I 1.2389% 4/15/27 (i)

2,500,000

2,075,000

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

7,100,000

7,304,125

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

795,000

810,503

Goldman Sachs Capital II 4% (h)(i)

7,653,000

5,854,545

ILFC E-Capital Trust I 5.46% 12/21/65 (g)(i)

33,530,000

31,182,900

JPMorgan Chase Capital XIII 1.1969% 9/30/34 (i)

2,750,000

2,227,500

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

4,300,000

4,052,750

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18

$ 4,945,000

$ 5,340,600

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

2,570,000

2,733,838

 

61,581,761

TOTAL FINANCIALS

167,169,156

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.1%

FWCT-2 Escrow Corp. 6.875% 2/1/22 (g)

930,000

989,288

HealthSouth Corp. 5.75% 11/1/24

2,165,000

2,213,713

 

3,203,001

INDUSTRIALS - 0.5%

Commercial Services & Supplies - 0.0%

APX Group, Inc.:

8.75% 12/1/20

1,694,000

1,765,995

8.75% 12/1/20 (g)

218,000

226,720

 

1,992,715

Construction & Engineering - 0.1%

MasTec, Inc. 4.875% 3/15/23

3,325,000

3,225,250

Marine - 0.1%

Navios Maritime Holdings, Inc. 8.125% 2/15/19

4,150,000

4,264,125

Trading Companies & Distributors - 0.3%

International Lease Finance Corp.:

8.25% 12/15/20

705,000

862,744

8.625% 9/15/15

5,000,000

5,525,000

8.875% 9/1/17

3,000,000

3,600,000

 

9,987,744

TOTAL INDUSTRIALS

19,469,834

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - 0.2%

Computers & Peripherals - 0.1%

Dell, Inc.:

5.4% 9/10/40

$ 1,000,000

$ 720,000

6.5% 4/15/38

4,440,000

3,663,000

 

4,383,000

IT Services - 0.1%

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

5,015,000

5,015,000

TOTAL INFORMATION TECHNOLOGY

9,398,000

MATERIALS - 0.3%

Metals & Mining - 0.3%

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

2,670,000

2,776,800

Severstal Columbus LLC 10.25% 2/15/18

8,310,000

8,754,585

 

11,531,385

TELECOMMUNICATION SERVICES - 0.7%

Diversified Telecommunication Services - 0.4%

CenturyLink, Inc. 6.75% 12/1/23

4,000,000

4,240,000

Sprint Capital Corp.:

6.875% 11/15/28

9,215,000

9,145,888

8.75% 3/15/32

3,000,000

3,367,500

 

16,753,388

Wireless Telecommunication Services - 0.3%

Intelsat Jackson Holdings SA 5.5% 8/1/23 (g)

2,945,000

2,911,869

Sprint Communications, Inc.:

6% 12/1/16

4,660,000

5,099,904

7% 8/15/20

1,500,000

1,638,750

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

585,000

617,906

 

10,268,429

TOTAL TELECOMMUNICATION SERVICES

27,021,817

UTILITIES - 0.4%

Electric Utilities - 0.3%

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

7,950,000

7,850,625

PPL Capital Funding, Inc. 6.7% 3/30/67 (i)

2,510,000

2,516,275

 

10,366,900

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - 0.1%

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

$ 3,000,000

$ 3,067,500

TOTAL UTILITIES

13,434,400

TOTAL NONCONVERTIBLE BONDS

309,852,865

TOTAL CORPORATE BONDS

(Cost $638,073,673)


694,767,315

Common Stocks - 64.9%

Shares

 

CONSUMER DISCRETIONARY - 3.1%

Automobiles - 0.1%

General Motors Co.

144,594

5,234,303

Diversified Consumer Services - 0.2%

H&R Block, Inc.

239,500

7,577,780

Hotels, Restaurants & Leisure - 1.0%

Cedar Fair LP (depositary unit)

124,800

6,639,360

Darden Restaurants, Inc.

48,800

2,491,728

McDonald's Corp.

234,800

22,341,220

Wyndham Worldwide Corp.

60,400

4,401,952

 

35,874,260

Media - 1.1%

Comcast Corp. Class A

459,900

23,772,231

Sinclair Broadcast Group, Inc. Class A (f)

164,600

4,875,452

Time Warner, Inc.

103,400

6,941,242

Viacom, Inc. Class B (non-vtg.)

71,000

6,228,830

 

41,817,755

Multiline Retail - 0.4%

Target Corp.

270,600

16,923,324

Specialty Retail - 0.2%

H&M Hennes & Mauritz AB (B Shares)

133,000

5,999,017

Textiles, Apparel & Luxury Goods - 0.1%

VF Corp.

66,200

3,878,658

TOTAL CONSUMER DISCRETIONARY

117,305,097

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - 7.0%

Beverages - 2.7%

Anheuser-Busch InBev SA NV ADR

77,700

$ 8,128,197

PepsiCo, Inc.

500,700

40,091,049

SABMiller PLC

72,100

3,533,915

The Coca-Cola Co.

1,342,000

51,264,400

 

103,017,561

Food & Staples Retailing - 0.3%

Wal-Mart Stores, Inc.

162,800

12,161,160

Food Products - 0.5%

Kellogg Co.

142,500

8,648,325

Unilever NV (NY Reg.)

215,300

8,517,268

 

17,165,593

Household Products - 2.1%

Procter & Gamble Co.

1,029,258

80,961,434

Tobacco - 1.4%

British American Tobacco PLC sponsored ADR

103,300

11,238,007

Philip Morris International, Inc.

521,718

42,212,203

 

53,450,210

TOTAL CONSUMER STAPLES

266,755,958

ENERGY - 6.5%

Oil, Gas & Consumable Fuels - 6.5%

Access Midstream Partners LP

137,300

7,750,585

Canadian Natural Resources Ltd.

170,600

6,242,854

Chevron Corp.

880,700

101,571,131

ConocoPhillips Co.

615,400

40,924,100

El Paso Pipeline Partners LP

97,200

2,920,860

Enterprise Products Partners LP

44,300

2,972,973

Exxon Mobil Corp.

746,200

71,836,674

Imperial Oil Ltd.

24,000

1,079,816

Markwest Energy Partners LP

52,700

3,364,895

QEP Midstream Partners LP

87,100

1,861,327

Targa Resources Corp.

25,300

2,448,028

Valero Energy Partners LP

36,000

1,331,640

Western Gas Partners LP

25,000

1,582,250

 

245,887,133

FINANCIALS - 20.9%

Capital Markets - 1.6%

Apollo Investment Corp.

99,400

850,864

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

BlackRock, Inc. Class A

77,100

$ 23,503,164

Carlyle Group LP

217,900

7,903,233

KKR & Co. LP

572,900

13,829,806

The Blackstone Group LP

409,100

13,643,485

 

59,730,552

Commercial Banks - 1.8%

Commerce Bancshares, Inc.

94,158

4,205,096

M&T Bank Corp. (f)

123,000

14,340,570

National Penn Bancshares, Inc.

356,500

3,850,200

PNC Financial Services Group, Inc.

131,400

10,745,892

Svenska Handelsbanken AB (A Shares)

142,900

7,466,331

U.S. Bancorp

418,300

17,208,862

Wells Fargo & Co.

194,200

9,014,764

 

66,831,715

Consumer Finance - 0.1%

Capital One Financial Corp.

68,100

5,000,583

Diversified Financial Services - 0.3%

JPMorgan Chase & Co.

180,900

10,278,738

Insurance - 1.9%

ACE Ltd.

82,000

8,025,340

esure Group PLC

574,300

2,591,766

Marsh & McLennan Companies, Inc.

184,400

8,880,704

MetLife, Inc.

469,700

23,799,699

MetLife, Inc. unit

131,400

3,886,812

The Travelers Companies, Inc.

224,800

18,847,232

Zurich Insurance Group AG

23,062

7,066,753

 

73,098,306

Real Estate Investment Trusts - 15.0%

Alexandria Real Estate Equities, Inc.

277,144

20,079,083

AvalonBay Communities, Inc.

78,940

10,180,892

Boston Properties, Inc.

264,696

29,759,771

Camden Property Trust (SBI)

11,962

797,865

Cedar Shopping Centers, Inc.

593,859

3,652,233

Corrections Corp. of America

174,554

5,821,376

Cousins Properties, Inc.

1,275,540

14,732,487

Digital Realty Trust, Inc. (f)

32,200

1,743,952

DuPont Fabros Technology, Inc.

368,372

9,783,960

Equity Lifestyle Properties, Inc.

149,007

5,997,532

Equity One, Inc.

558,448

12,955,994

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Equity Residential (SBI)

234,315

$ 13,700,398

Essex Property Trust, Inc.

156,292

26,139,837

Excel Trust, Inc.

84,377

1,057,244

Federal Realty Investment Trust (SBI)

100,008

11,131,890

FelCor Lodging Trust, Inc.

944,152

8,223,564

Glimcher Realty Trust

1,147,738

11,167,491

HCP, Inc.

466,739

18,095,471

Health Care REIT, Inc.

143,996

8,458,325

Host Hotels & Resorts, Inc.

652,897

12,842,484

Kilroy Realty Corp.

141,982

8,166,805

Kite Realty Group Trust

139,534

862,320

LaSalle Hotel Properties (SBI)

592,413

18,566,223

Lexington Corporate Properties Trust

692,800

7,904,848

Liberty Property Trust (SBI)

280,900

10,747,234

Mack-Cali Realty Corp.

51,700

1,150,325

Mid-America Apartment Communities, Inc.

292,510

19,785,376

National Retail Properties, Inc. (f)

491,762

17,649,338

Piedmont Office Realty Trust, Inc. Class A

616,246

10,648,731

Post Properties, Inc.

185,500

9,002,315

Prologis, Inc.

833,010

34,311,682

Public Storage

205,599

34,746,231

Sabra Health Care REIT, Inc.

88,443

2,517,972

Senior Housing Properties Trust (SBI)

153,500

3,423,050

Simon Property Group, Inc.

408,315

65,857,126

SL Green Realty Corp.

226,173

22,465,764

Spirit Realty Capital, Inc.

54,100

590,772

Sun Communities, Inc.

81,582

3,757,667

Taubman Centers, Inc.

134,700

9,489,615

Terreno Realty Corp.

66,200

1,236,616

UDR, Inc.

229,500

5,923,395

Ventas, Inc.

530,839

33,140,279

Vornado Realty Trust

53,214

5,123,976

Weyerhaeuser Co.

192,547

5,682,062

WP Carey, Inc.

157,800

10,023,456

 

569,095,027

Real Estate Management & Development - 0.2%

Forest City Enterprises, Inc. Class A (a)

348,740

6,793,455

TOTAL FINANCIALS

790,828,376

Common Stocks - continued

Shares

Value

HEALTH CARE - 8.6%

Biotechnology - 0.5%

Amgen, Inc.

163,700

$ 20,302,074

Pharmaceuticals - 8.1%

AbbVie, Inc.

605,700

30,836,187

AstraZeneca PLC (United Kingdom)

100,508

6,832,253

Bristol-Myers Squibb Co.

255,000

13,711,350

Eli Lilly & Co.

359,500

21,429,795

Johnson & Johnson

900,744

82,976,537

Merck & Co., Inc.

1,011,890

57,667,611

Novartis AG

114,072

9,494,226

Pfizer, Inc.

1,680,600

53,964,066

Roche Holding AG (participation certificate)

72,315

22,265,798

Teva Pharmaceutical Industries Ltd. sponsored ADR

122,600

6,116,514

 

305,294,337

TOTAL HEALTH CARE

325,596,411

INDUSTRIALS - 2.9%

Aerospace & Defense - 0.6%

Honeywell International, Inc.

111,900

10,567,836

United Technologies Corp.

101,800

11,912,636

 

22,480,472

Commercial Services & Supplies - 0.1%

KAR Auction Services, Inc.

79,000

2,461,640

Republic Services, Inc.

106,300

3,625,893

 

6,087,533

Electrical Equipment - 0.4%

Eaton Corp. PLC

207,100

15,472,441

Industrial Conglomerates - 1.2%

3M Co.

152,800

20,586,744

General Electric Co.

586,753

14,944,599

Siemens AG

67,472

8,995,870

 

44,527,213

Machinery - 0.4%

Caterpillar, Inc.

69,600

6,749,112

Cummins, Inc.

58,800

8,580,096

 

15,329,208

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Professional Services - 0.2%

SGS SA (Reg.)

2,520

$ 6,243,411

TOTAL INDUSTRIALS

110,140,278

INFORMATION TECHNOLOGY - 9.5%

Communications Equipment - 1.6%

Cisco Systems, Inc.

2,719,200

59,278,560

Computers & Peripherals - 3.2%

Apple, Inc.

204,400

107,563,456

EMC Corp.

571,258

15,064,073

 

122,627,529

IT Services - 1.0%

Accenture PLC Class A

38,500

3,208,975

Automatic Data Processing, Inc.

104,600

8,135,788

Fidelity National Information Services, Inc.

159,500

8,869,795

Paychex, Inc.

378,400

15,801,984

 

36,016,542

Semiconductors & Semiconductor Equipment - 0.7%

Intel Corp.

1,138,500

28,189,260

Software - 3.0%

Microsoft Corp.

3,000,700

114,956,809

TOTAL INFORMATION TECHNOLOGY

361,068,700

MATERIALS - 1.4%

Chemicals - 1.2%

E.I. du Pont de Nemours & Co.

343,900

22,910,618

LyondellBasell Industries NV Class A

150,000

13,212,000

Potash Corp. of Saskatchewan, Inc.

66,400

2,194,744

The Dow Chemical Co.

157,800

7,686,438

 

46,003,800

Paper & Forest Products - 0.2%

International Paper Co.

131,700

6,438,813

TOTAL MATERIALS

52,442,613

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 1.0%

AT&T, Inc.

588,000

18,774,840

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Verizon Communications, Inc.

170,500

$ 8,112,390

Verizon Communications, Inc.

226,435

10,737,548

 

37,624,778

Wireless Telecommunication Services - 0.5%

Vodafone Group PLC

4,696,200

19,568,895

TOTAL TELECOMMUNICATION SERVICES

57,193,673

UTILITIES - 3.5%

Electric Utilities - 2.5%

American Electric Power Co., Inc.

174,100

8,739,820

Cleco Corp.

81,800

4,043,374

Duke Energy Corp.

49,600

3,515,648

IDACORP, Inc.

295,200

16,587,288

ITC Holdings Corp.

61,200

6,279,120

NextEra Energy, Inc.

294,400

26,905,216

Pinnacle West Capital Corp.

169,800

9,449,370

Southern Co.

183,900

7,788,165

Xcel Energy, Inc.

353,600

10,710,544

 

94,018,545

Gas Utilities - 0.2%

Atmos Energy Corp.

133,500

6,154,350

Multi-Utilities - 0.8%

CMS Energy Corp.

147,100

4,182,053

NiSource, Inc.

207,600

7,228,632

Sempra Energy

217,100

20,509,437

 

31,920,122

TOTAL UTILITIES

132,093,017

TOTAL COMMON STOCKS

(Cost $2,104,552,849)


2,459,311,256

Preferred Stocks - 10.9%

Shares

Value

Convertible Preferred Stocks - 4.0%

FINANCIALS - 1.3%

Capital Markets - 0.0%

AMG Capital Trust I 5.10%

23,800

$ 1,488,620

Commercial Banks - 0.7%

Wells Fargo & Co. 7.50%

21,809

25,691,002

Diversified Financial Services - 0.1%

Bank of America Corp. Series L, 7.25%

2,354

2,714,256

Real Estate Investment Trusts - 0.3%

Weyerhaeuser Co. Series A, 6.375%

199,100

10,857,162

Real Estate Management & Development - 0.2%

Forestar Group, Inc. 6.00% (a)

310,000

7,839,900

TOTAL FINANCIALS

48,590,940

HEALTH CARE - 0.2%

Health Care Equipment & Supplies - 0.2%

Alere, Inc. 3.00%

27,412

8,090,652

INDUSTRIALS - 0.3%

Aerospace & Defense - 0.3%

United Technologies Corp. 7.50%

155,300

10,322,791

Machinery - 0.0%

Stanley Black & Decker, Inc. 0.00% (a)

15,200

1,624,880

TOTAL INDUSTRIALS

11,947,671

TELECOMMUNICATION SERVICES - 0.4%

Wireless Telecommunication Services - 0.4%

Crown Castle International Corp. Series A, 4.50% (a)

122,000

12,426,920

UTILITIES - 1.8%

Electric Utilities - 0.8%

NextEra Energy, Inc.:

5.779% (a)

189,000

9,916,830

5.889%

186,100

11,017,120

PPL Corp. 8.75%

195,900

10,298,463

 

31,232,413

Multi-Utilities - 1.0%

CenterPoint Energy, Inc. 2.00% ZENS

330,600

17,606,103

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

UTILITIES - continued

Multi-Utilities - continued

Dominion Resources, Inc.:

Series A, 6.125%

177,300

$ 10,143,333

Series B, 6.00%

177,400

10,143,732

 

37,893,168

TOTAL UTILITIES

69,125,581

TOTAL CONVERTIBLE PREFERRED STOCKS

150,181,764

Nonconvertible Preferred Stocks - 6.9%

ENERGY - 0.1%

Energy Equipment & Services - 0.1%

NuStar Logistics LP 7.625%

180,000

4,815,000

FINANCIALS - 5.2%

Capital Markets - 0.3%

Goldman Sachs Group, Inc. 5.95%

65,219

1,500,037

Morgan Stanley 6.875%

200,000

5,176,000

Morgan Stanley Capital I Trust 6.60%

140,000

3,507,000

 

10,183,037

Commercial Banks - 0.4%

BB&T Corp. Series E, 5.625%

125,000

2,755,000

SunTrust Banks, Inc. Series E, 5.875%

80,000

1,786,400

U.S. Bancorp:

Series A, 3.50%

11,890

9,297,980

Series H, 5.15%

40,000

878,800

 

14,718,180

Consumer Finance - 1.8%

Ally Financial, Inc.:

7.00% (g)

46,758

46,096,084

Series A, 8.50%

410,000

11,213,500

Discover Financial Services Series B, 6.50%

200,000

4,866,000

HSBC U.S.A., Inc. Series F, 3.87%

300,000

6,099,000

 

68,274,584

Diversified Financial Services - 1.2%

Barclays Bank PLC:

Series 2, 6.625%

47,200

1,187,552

Series 4, 7.75%

247,800

6,383,328

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Diversified Financial Services - continued

Citigroup, Inc.:

Series C, 5.80%

300,000

$ 6,756,000

Series J, 7.125%

120,000

3,198,000

GMAC Capital Trust I Series 2, 8.125%

900,698

24,453,951

JPMorgan Chase Capital XXIX 6.70%

155,000

4,002,100

 

45,980,931

Insurance - 0.1%

MetLife, Inc. Series B, 6.50%

111,000

2,800,530

Real Estate Investment Trusts - 1.4%

Chesapeake Lodging Trust Series A, 7.75%

50,000

1,270,000

Digital Realty Trust, Inc. Series G, 5.875%

140,000

2,802,800

Health Care REIT, Inc. Series J, 6.50%

12,000

290,040

Hersha Hospitality Trust:

Series B, 8.00%

48,200

1,224,280

Series C, 6.875%

50,000

1,136,500

Hospitality Properties Trust Series D, 7.125%

60,000

1,499,400

Kimco Realty Corp. Series K, 5.625%

120,000

2,562,000

Public Storage:

Series Q, 6.50%

125,000

3,210,000

Series S, 5.90%

100,000

2,341,000

Series T, 5.75%

74,000

1,679,800

Series V, 5.375%

250,000

5,335,000

Series W, 5.20%

150,000

3,109,500

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

602,000

14,490,140

SL Green Realty Corp. Series I, 6.50%

60,000

1,406,400

Sunstone Hotel Investors, Inc. Series D, 8.00%

226,218

5,874,881

Vornado Realty Trust Series L, 5.40%

230,000

4,809,300

 

53,041,041

Real Estate Management & Development - 0.0%

Ventas Realty LP/Ventas Capital Corp. 5.45%

60,000

1,339,800

TOTAL FINANCIALS

196,338,103

INDUSTRIALS - 0.1%

Commercial Services & Supplies - 0.1%

Pitney Bowes, Inc. 6.70%

120,000

3,030,000

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

TELECOMMUNICATION SERVICES - 0.2%

Diversified Telecommunication Services - 0.2%

Qwest Corp.:

6.125%

160,000

$ 3,377,600

7.375%

70,000

1,778,000

Verizon Communications, Inc. 5.90% (a)

120,828

3,020,700

 

8,176,300

UTILITIES - 1.3%

Electric Utilities - 1.3%

Duquesne Light Co. 6.50%

141,050

7,123,025

Gulf Power Co. 5.60%

30,000

2,617,500

NextEra Energy Capital Holdings, Inc.:

Series G, 5.70%

270,000

6,156,000

Series H, 5.625%

70,000

1,584,800

Series I, 5.125%

377,500

7,738,750

Series J, 5.00%

205,000

4,112,300

SCE Trust I 5.625%

409,500

9,254,700

SCE Trust II 5.10%

15,000

309,150

Southern California Edison Co.:

5.349%

44,479

4,514,619

Series D, 6.50%

54,900

5,517,450

 

48,928,294

Multi-Utilities - 0.0%

DTE Energy Co. 6.50%

700

17,570

TOTAL UTILITIES

48,945,864

TOTAL NONCONVERTIBLE PREFERRED STOCKS

261,305,267

TOTAL PREFERRED STOCKS

(Cost $388,057,562)


411,487,031

Bank Loan Obligations - 1.2%

 

Principal Amount (e)

 

CONSUMER DISCRETIONARY - 0.1%

Media - 0.1%

Nielsen Finance LLC Tranche E, term loan 2.9065% 5/1/16 (i)

$ 3,960,000

3,964,950

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

ENERGY - 0.2%

Oil, Gas & Consumable Fuels - 0.2%

Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (i)

$ 2,300,000

$ 2,348,990

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

3,211,172

3,211,172

 

5,560,162

HEALTH CARE - 0.4%

Health Care Providers & Services - 0.4%

HCA Holdings, Inc. Tranche B 4LN, term loan 2.9966% 5/1/18 (i)

16,254,263

16,234,757

Sheridan Holdings, Inc. Trache 2LN, term loan 9% 12/18/21 (i)

65,000

66,300

 

16,301,057

INFORMATION TECHNOLOGY - 0.2%

IT Services - 0.2%

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

5,481,254

5,467,551

UTILITIES - 0.3%

Electric Utilities - 0.3%

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

12,325,851

12,356,666

TOTAL BANK LOAN OBLIGATIONS

(Cost $43,658,346)


43,650,386

Preferred Securities - 2.4%

 

 

 

 

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

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

975,000

990,113

FINANCIALS - 2.4%

Commercial Banks - 0.4%

PNC Preferred Funding Trust I 1.8929% (g)(h)(i)

3,450,000

3,049,787

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

6,866,000

5,310,470

USB Capital IX 3.5% (h)(i)

8,625,000

7,023,984

 

15,384,241

Diversified Financial Services - 2.0%

Baggot Securities Ltd. 10.24% (g)(h)

EUR

1,530,000

2,283,463

Preferred Securities - continued

Principal Amount (e)

Value

FINANCIALS - continued

Diversified Financial Services - continued

Citigroup, Inc. 5.35% (h)(i)

$ 3,000,000

$ 2,859,497

General Electric Capital Corp.:

5.25% (h)(i)

5,000,000

4,973,558

7.125% (h)(i)

10,000,000

11,498,764

Goldman Sachs Capital III 4% (h)(i)

18,715,000

14,217,162

JPMorgan Chase & Co.:

5.15% (h)(i)

15,000,000

14,431,077

6.75% (h)(i)

10,000,000

10,494,085

7.9% (h)(i)

6,250,000

7,179,238

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

8,091,000

7,923,179

 

75,860,023

TOTAL FINANCIALS

91,244,264

TOTAL PREFERRED SECURITIES

(Cost $88,752,259)


92,234,377

Money Market Funds - 2.7%

Shares

 

Fidelity Cash Central Fund, 0.10% (b)

86,750,562

86,750,562

Fidelity Securities Lending Cash Central Fund, 0.09% (b)(c)

13,928,400

13,928,400

TOTAL MONEY MARKET FUNDS

(Cost $100,678,962)


100,678,962

TOTAL INVESTMENT PORTFOLIO - 100.4%

(Cost $3,363,773,651)

3,802,129,327

NET OTHER ASSETS (LIABILITIES) - (0.4)%

(13,685,110)

NET ASSETS - 100%

$ 3,788,444,217

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 $259,660,194 or 6.9% 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

$ 19,876

Fidelity Securities Lending Cash Central Fund

29,680

Total

$ 49,556

Other Information

The following is a summary of the inputs used, as of February 28, 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

$ 117,305,097

$ 117,305,097

$ -

$ -

Consumer Staples

266,755,958

266,755,958

-

-

Energy

250,702,133

250,702,133

-

-

Financials

1,035,757,419

965,588,841

70,168,578

-

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Health Care

$ 333,687,063

$ 295,094,786

$ 38,592,277

$ -

Industrials

125,117,949

116,122,079

8,995,870

-

Information Technology

361,068,700

361,068,700

-

-

Materials

52,442,613

52,442,613

-

-

Telecommunication Services

77,796,893

45,801,078

31,995,815

-

Utilities

250,164,462

201,502,251

48,662,211

-

Corporate Bonds

694,767,315

-

694,767,315

-

Bank Loan Obligations

43,650,386

-

43,650,386

-

Preferred Securities

92,234,377

-

91,244,264

990,113

Money Market Funds

100,678,962

100,678,962

-

-

Total Investments in Securities:

$ 3,802,129,327

$ 2,773,062,498

$ 1,028,076,716

$ 990,113

Income Tax Information

At February 28, 2014, the cost of investment securities for income tax purposes was $3,363,114,443. Net unrealized appreciation aggregated $439,014,884, of which $487,451,151 related to appreciated investment securities and $48,436,267 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

February 28, 2014 

1.814104.109

SDI-QTLY-0414

Investments February 28, 2014 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 18.3%

 

Principal Amount (e)

Value

Convertible Bonds - 10.1%

CONSUMER DISCRETIONARY - 0.4%

Automobiles - 0.0%

Ford Motor Co. 4.25% 11/15/16

$ 860,000

$ 1,548,688

Household Durables - 0.3%

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

6,140,000

6,769,350

Standard Pacific Corp. 1.25% 8/1/32

4,350,000

5,758,313

 

12,527,663

Media - 0.1%

Liberty Media Corp. 1.375% 10/15/23 (g)

2,800,000

2,726,360

TOTAL CONSUMER DISCRETIONARY

16,802,711

ENERGY - 1.3%

Oil, Gas & Consumable Fuels - 1.3%

Alpha Natural Resources, Inc. 3.75% 12/15/17

3,070,000

2,809,050

Chesapeake Energy Corp. 2.5% 5/15/37

18,830,000

19,217,898

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

4,080,000

3,685,056

Cobalt International Energy, Inc. 2.625% 12/1/19

7,970,000

7,681,088

Peabody Energy Corp. 4.75% 12/15/41

5,100,000

4,054,500

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

11,700,000

12,758,850

 

50,206,442

FINANCIALS - 0.7%

Insurance - 0.5%

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

10,060,000

16,498,400

Real Estate Investment Trusts - 0.1%

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

3,930,000

4,264,247

Real Estate Management & Development - 0.1%

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

4,340,000

4,818,702

TOTAL FINANCIALS

25,581,349

HEALTH CARE - 2.0%

Biotechnology - 0.7%

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

4,410,000

4,525,983

Cubist Pharmaceuticals, Inc.:

1.125% 9/1/18 (g)

2,330,000

2,858,619

1.875% 9/1/20 (g)

2,300,000

2,883,625

Gilead Sciences, Inc. 1.625% 5/1/16

750,000

2,727,978

InterMune, Inc. 2.5% 12/15/17

1,260,000

3,014,550

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

HEALTH CARE - continued

Biotechnology - continued

Orexigen Therapeutics, Inc. 2.75% 12/1/20 (g)

$ 1,810,000

$ 2,082,631

Theravance, Inc. 2.125% 1/15/23

4,980,000

7,401,525

 

25,494,911

Health Care Equipment & Supplies - 0.2%

Teleflex, Inc. 3.875% 8/1/17

4,830,000

8,208,102

Health Care Providers & Services - 0.9%

HealthSouth Corp. 2% 12/1/43

17,939,000

18,452,055

Molina Healthcare, Inc. 1.125% 1/15/20 (g)

11,190,000

12,490,838

WellPoint, Inc. 2.75% 10/15/42

3,810,000

5,188,744

 

36,131,637

Pharmaceuticals - 0.2%

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

840,000

1,485,225

ViroPharma, Inc. 2% 3/15/17

2,260,000

6,063,863

 

7,549,088

TOTAL HEALTH CARE

77,383,738

INDUSTRIALS - 1.1%

Air Freight & Logistics - 0.1%

UTi Worldwide, Inc. 4.5% 3/1/19 (g)

3,400,000

3,432,640

Commercial Services & Supplies - 0.4%

Covanta Holding Corp. 3.25% 6/1/14

12,340,000

14,376,717

Construction & Engineering - 0.6%

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

6,450,000

6,757,020

MasTec, Inc.:

4% 6/15/14

2,210,000

5,726,663

4.25% 12/15/14

4,390,000

11,647,219

 

24,130,902

TOTAL INDUSTRIALS

41,940,259

INFORMATION TECHNOLOGY - 3.1%

Communications Equipment - 0.8%

Ciena Corp. 3.75% 10/15/18 (g)

2,760,000

4,074,450

InterDigital, Inc. 2.5% 3/15/16

17,860,000

18,373,475

Liberty Interactive LLC 0.75% 3/30/43 (g)

7,180,000

9,074,084

 

31,522,009

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Internet Software & Services - 0.4%

Akamai Technologies, Inc. 0% 2/15/19 (g)

$ 7,900,000

$ 7,979,000

WebMD Health Corp. 1.5% 12/1/20 (g)

6,160,000

6,484,632

 

14,463,632

Semiconductors & Semiconductor Equipment - 1.0%

GT Advanced Technologies, Inc.:

3% 10/1/17

8,855,000

17,571,641

3% 12/15/20

3,690,000

5,207,697

Intel Corp. 3.25% 8/1/39

11,470,000

15,484,500

 

38,263,838

Software - 0.9%

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

14,260,000

14,135,225

TiVo, Inc. 4% 3/15/16 (g)

14,260,000

19,687,356

 

33,822,581

TOTAL INFORMATION TECHNOLOGY

118,072,060

MATERIALS - 1.1%

Chemicals - 0.1%

RPM International, Inc. 2.25% 12/15/20

1,770,000

2,052,094

Containers & Packaging - 0.6%

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

20,550,000

21,217,875

Metals & Mining - 0.4%

Allegheny Technologies, Inc. 4.25% 6/1/14

720,000

725,400

Goldcorp, Inc. 2% 8/1/14

6,980,000

7,020,484

Horsehead Holding Corp. 3.8% 7/1/17

1,560,000

2,114,580

Newmont Mining Corp. 1.25% 7/15/14

5,390,000

5,396,738

 

15,257,202

Paper & Forest Products - 0.0%

Rayonier TRS Holdings, Inc. 4.5% 8/15/15

1,330,000

1,961,750

TOTAL MATERIALS

40,488,921

TELECOMMUNICATION SERVICES - 0.2%

Wireless Telecommunication Services - 0.2%

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

5,500,000

6,366,250

Corporate Bonds - continued

 

Principal Amount (e)

Value

Convertible Bonds - continued

UTILITIES - 0.2%

Electric Utilities - 0.2%

NRG Yield, Inc. 3.5% 2/1/19 (g)

$ 8,000,000

$ 8,072,720

TOTAL CONVERTIBLE BONDS

384,914,450

Nonconvertible Bonds - 8.2%

CONSUMER DISCRETIONARY - 1.1%

Hotels, Restaurants & Leisure - 0.1%

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

3,200,000

3,411,840

Internet & Catalog Retail - 0.0%

Netflix, Inc. 5.75% 3/1/24 (g)

1,270,000

1,320,800

Media - 1.0%

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.25% 9/30/22

7,840,000

7,820,400

5.75% 1/15/24

2,570,000

2,582,850

7.25% 10/30/17

8,000,000

8,500,000

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

2,650,000

2,802,375

Clear Channel Communications, Inc. 4.9% 5/15/15

4,725,000

4,683,656

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

7,145,000

8,073,850

WMG Acquisition Corp. 11.5% 10/1/18

1,340,000

1,524,250

 

35,987,381

TOTAL CONSUMER DISCRETIONARY

40,720,021

CONSUMER STAPLES - 0.5%

Food & Staples Retailing - 0.5%

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

11,935,000

13,038,988

Tops Markets LLC 8.875% 12/15/17

3,760,000

4,117,200

 

17,156,188

Food Products - 0.0%

FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (g)

705,000

749,063

TOTAL CONSUMER STAPLES

17,905,251

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

FINANCIALS - 4.4%

Capital Markets - 0.3%

Chase Capital II 0.7376% 2/1/27 (i)

$ 7,900,000

$ 6,517,500

Chase Capital Trust VI 0.8626% 8/1/28 (i)

5,000,000

4,125,000

JPMorgan Chase Capital XXIII 1.2359% 5/15/47 (i)

2,500,000

1,856,250

Lehman Brothers Holdings, Inc. 1.0633% (d)(i)

1,000,000

0

 

12,498,750

Commercial Banks - 2.1%

Bank of Ireland 10% 7/30/16

EUR

8,293,000

12,405,500

CIT Group, Inc. 4.75% 2/15/15 (g)

3,610,000

3,713,788

Corestates Capital II 0.8889% 1/15/27 (g)(i)

3,000,000

2,490,000

Corestates Capital III 0.8059% 2/15/27 (g)(i)

3,960,000

3,286,800

First Maryland Capital I 1.2389% 1/15/27 (i)

2,500,000

2,075,000

First Maryland Capital II 1.0876% 2/1/27 (i)

4,100,000

3,403,000

JPMorgan Chase Capital XXI 1.1876% 1/15/87 (i)

12,500,000

9,375,000

PNC Capital Trust C 0.8091% 6/1/28 (i)

9,000,000

7,290,000

Wachovia Capital Trust II 0.7389% 1/15/27 (i)

32,014,000

26,571,620

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

5,930,000

4,921,900

Wells Fargo Capital X 5.95% 12/15/36

2,350,000

2,362,462

 

77,895,070

Consumer Finance - 0.4%

Ally Financial, Inc.:

3.5% 1/27/19

1,165,000

1,170,825

4.75% 9/10/18

6,000,000

6,390,000

American Express Co. 6.8% 9/1/66 (i)

2,500,000

2,718,750

GMAC LLC 8% 11/1/31

3,900,000

4,914,000

 

15,193,575

Diversified Financial Services - 1.6%

Central Fidelity Capital Trust I 1.2389% 4/15/27 (i)

2,500,000

2,075,000

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

7,100,000

7,304,125

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

795,000

810,503

Goldman Sachs Capital II 4% (h)(i)

7,653,000

5,854,545

ILFC E-Capital Trust I 5.46% 12/21/65 (g)(i)

33,530,000

31,182,900

JPMorgan Chase Capital XIII 1.1969% 9/30/34 (i)

2,750,000

2,227,500

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

4,300,000

4,052,750

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18

$ 4,945,000

$ 5,340,600

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

2,570,000

2,733,838

 

61,581,761

TOTAL FINANCIALS

167,169,156

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.1%

FWCT-2 Escrow Corp. 6.875% 2/1/22 (g)

930,000

989,288

HealthSouth Corp. 5.75% 11/1/24

2,165,000

2,213,713

 

3,203,001

INDUSTRIALS - 0.5%

Commercial Services & Supplies - 0.0%

APX Group, Inc.:

8.75% 12/1/20

1,694,000

1,765,995

8.75% 12/1/20 (g)

218,000

226,720

 

1,992,715

Construction & Engineering - 0.1%

MasTec, Inc. 4.875% 3/15/23

3,325,000

3,225,250

Marine - 0.1%

Navios Maritime Holdings, Inc. 8.125% 2/15/19

4,150,000

4,264,125

Trading Companies & Distributors - 0.3%

International Lease Finance Corp.:

8.25% 12/15/20

705,000

862,744

8.625% 9/15/15

5,000,000

5,525,000

8.875% 9/1/17

3,000,000

3,600,000

 

9,987,744

TOTAL INDUSTRIALS

19,469,834

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - 0.2%

Computers & Peripherals - 0.1%

Dell, Inc.:

5.4% 9/10/40

$ 1,000,000

$ 720,000

6.5% 4/15/38

4,440,000

3,663,000

 

4,383,000

IT Services - 0.1%

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

5,015,000

5,015,000

TOTAL INFORMATION TECHNOLOGY

9,398,000

MATERIALS - 0.3%

Metals & Mining - 0.3%

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

2,670,000

2,776,800

Severstal Columbus LLC 10.25% 2/15/18

8,310,000

8,754,585

 

11,531,385

TELECOMMUNICATION SERVICES - 0.7%

Diversified Telecommunication Services - 0.4%

CenturyLink, Inc. 6.75% 12/1/23

4,000,000

4,240,000

Sprint Capital Corp.:

6.875% 11/15/28

9,215,000

9,145,888

8.75% 3/15/32

3,000,000

3,367,500

 

16,753,388

Wireless Telecommunication Services - 0.3%

Intelsat Jackson Holdings SA 5.5% 8/1/23 (g)

2,945,000

2,911,869

Sprint Communications, Inc.:

6% 12/1/16

4,660,000

5,099,904

7% 8/15/20

1,500,000

1,638,750

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

585,000

617,906

 

10,268,429

TOTAL TELECOMMUNICATION SERVICES

27,021,817

UTILITIES - 0.4%

Electric Utilities - 0.3%

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

7,950,000

7,850,625

PPL Capital Funding, Inc. 6.7% 3/30/67 (i)

2,510,000

2,516,275

 

10,366,900

Corporate Bonds - continued

 

Principal Amount (e)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - 0.1%

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

$ 3,000,000

$ 3,067,500

TOTAL UTILITIES

13,434,400

TOTAL NONCONVERTIBLE BONDS

309,852,865

TOTAL CORPORATE BONDS

(Cost $638,073,673)


694,767,315

Common Stocks - 64.9%

Shares

 

CONSUMER DISCRETIONARY - 3.1%

Automobiles - 0.1%

General Motors Co.

144,594

5,234,303

Diversified Consumer Services - 0.2%

H&R Block, Inc.

239,500

7,577,780

Hotels, Restaurants & Leisure - 1.0%

Cedar Fair LP (depositary unit)

124,800

6,639,360

Darden Restaurants, Inc.

48,800

2,491,728

McDonald's Corp.

234,800

22,341,220

Wyndham Worldwide Corp.

60,400

4,401,952

 

35,874,260

Media - 1.1%

Comcast Corp. Class A

459,900

23,772,231

Sinclair Broadcast Group, Inc. Class A (f)

164,600

4,875,452

Time Warner, Inc.

103,400

6,941,242

Viacom, Inc. Class B (non-vtg.)

71,000

6,228,830

 

41,817,755

Multiline Retail - 0.4%

Target Corp.

270,600

16,923,324

Specialty Retail - 0.2%

H&M Hennes & Mauritz AB (B Shares)

133,000

5,999,017

Textiles, Apparel & Luxury Goods - 0.1%

VF Corp.

66,200

3,878,658

TOTAL CONSUMER DISCRETIONARY

117,305,097

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - 7.0%

Beverages - 2.7%

Anheuser-Busch InBev SA NV ADR

77,700

$ 8,128,197

PepsiCo, Inc.

500,700

40,091,049

SABMiller PLC

72,100

3,533,915

The Coca-Cola Co.

1,342,000

51,264,400

 

103,017,561

Food & Staples Retailing - 0.3%

Wal-Mart Stores, Inc.

162,800

12,161,160

Food Products - 0.5%

Kellogg Co.

142,500

8,648,325

Unilever NV (NY Reg.)

215,300

8,517,268

 

17,165,593

Household Products - 2.1%

Procter & Gamble Co.

1,029,258

80,961,434

Tobacco - 1.4%

British American Tobacco PLC sponsored ADR

103,300

11,238,007

Philip Morris International, Inc.

521,718

42,212,203

 

53,450,210

TOTAL CONSUMER STAPLES

266,755,958

ENERGY - 6.5%

Oil, Gas & Consumable Fuels - 6.5%

Access Midstream Partners LP

137,300

7,750,585

Canadian Natural Resources Ltd.

170,600

6,242,854

Chevron Corp.

880,700

101,571,131

ConocoPhillips Co.

615,400

40,924,100

El Paso Pipeline Partners LP

97,200

2,920,860

Enterprise Products Partners LP

44,300

2,972,973

Exxon Mobil Corp.

746,200

71,836,674

Imperial Oil Ltd.

24,000

1,079,816

Markwest Energy Partners LP

52,700

3,364,895

QEP Midstream Partners LP

87,100

1,861,327

Targa Resources Corp.

25,300

2,448,028

Valero Energy Partners LP

36,000

1,331,640

Western Gas Partners LP

25,000

1,582,250

 

245,887,133

FINANCIALS - 20.9%

Capital Markets - 1.6%

Apollo Investment Corp.

99,400

850,864

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

BlackRock, Inc. Class A

77,100

$ 23,503,164

Carlyle Group LP

217,900

7,903,233

KKR & Co. LP

572,900

13,829,806

The Blackstone Group LP

409,100

13,643,485

 

59,730,552

Commercial Banks - 1.8%

Commerce Bancshares, Inc.

94,158

4,205,096

M&T Bank Corp. (f)

123,000

14,340,570

National Penn Bancshares, Inc.

356,500

3,850,200

PNC Financial Services Group, Inc.

131,400

10,745,892

Svenska Handelsbanken AB (A Shares)

142,900

7,466,331

U.S. Bancorp

418,300

17,208,862

Wells Fargo & Co.

194,200

9,014,764

 

66,831,715

Consumer Finance - 0.1%

Capital One Financial Corp.

68,100

5,000,583

Diversified Financial Services - 0.3%

JPMorgan Chase & Co.

180,900

10,278,738

Insurance - 1.9%

ACE Ltd.

82,000

8,025,340

esure Group PLC

574,300

2,591,766

Marsh & McLennan Companies, Inc.

184,400

8,880,704

MetLife, Inc.

469,700

23,799,699

MetLife, Inc. unit

131,400

3,886,812

The Travelers Companies, Inc.

224,800

18,847,232

Zurich Insurance Group AG

23,062

7,066,753

 

73,098,306

Real Estate Investment Trusts - 15.0%

Alexandria Real Estate Equities, Inc.

277,144

20,079,083

AvalonBay Communities, Inc.

78,940

10,180,892

Boston Properties, Inc.

264,696

29,759,771

Camden Property Trust (SBI)

11,962

797,865

Cedar Shopping Centers, Inc.

593,859

3,652,233

Corrections Corp. of America

174,554

5,821,376

Cousins Properties, Inc.

1,275,540

14,732,487

Digital Realty Trust, Inc. (f)

32,200

1,743,952

DuPont Fabros Technology, Inc.

368,372

9,783,960

Equity Lifestyle Properties, Inc.

149,007

5,997,532

Equity One, Inc.

558,448

12,955,994

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Equity Residential (SBI)

234,315

$ 13,700,398

Essex Property Trust, Inc.

156,292

26,139,837

Excel Trust, Inc.

84,377

1,057,244

Federal Realty Investment Trust (SBI)

100,008

11,131,890

FelCor Lodging Trust, Inc.

944,152

8,223,564

Glimcher Realty Trust

1,147,738

11,167,491

HCP, Inc.

466,739

18,095,471

Health Care REIT, Inc.

143,996

8,458,325

Host Hotels & Resorts, Inc.

652,897

12,842,484

Kilroy Realty Corp.

141,982

8,166,805

Kite Realty Group Trust

139,534

862,320

LaSalle Hotel Properties (SBI)

592,413

18,566,223

Lexington Corporate Properties Trust

692,800

7,904,848

Liberty Property Trust (SBI)

280,900

10,747,234

Mack-Cali Realty Corp.

51,700

1,150,325

Mid-America Apartment Communities, Inc.

292,510

19,785,376

National Retail Properties, Inc. (f)

491,762

17,649,338

Piedmont Office Realty Trust, Inc. Class A

616,246

10,648,731

Post Properties, Inc.

185,500

9,002,315

Prologis, Inc.

833,010

34,311,682

Public Storage

205,599

34,746,231

Sabra Health Care REIT, Inc.

88,443

2,517,972

Senior Housing Properties Trust (SBI)

153,500

3,423,050

Simon Property Group, Inc.

408,315

65,857,126

SL Green Realty Corp.

226,173

22,465,764

Spirit Realty Capital, Inc.

54,100

590,772

Sun Communities, Inc.

81,582

3,757,667

Taubman Centers, Inc.

134,700

9,489,615

Terreno Realty Corp.

66,200

1,236,616

UDR, Inc.

229,500

5,923,395

Ventas, Inc.

530,839

33,140,279

Vornado Realty Trust

53,214

5,123,976

Weyerhaeuser Co.

192,547

5,682,062

WP Carey, Inc.

157,800

10,023,456

 

569,095,027

Real Estate Management & Development - 0.2%

Forest City Enterprises, Inc. Class A (a)

348,740

6,793,455

TOTAL FINANCIALS

790,828,376

Common Stocks - continued

Shares

Value

HEALTH CARE - 8.6%

Biotechnology - 0.5%

Amgen, Inc.

163,700

$ 20,302,074

Pharmaceuticals - 8.1%

AbbVie, Inc.

605,700

30,836,187

AstraZeneca PLC (United Kingdom)

100,508

6,832,253

Bristol-Myers Squibb Co.

255,000

13,711,350

Eli Lilly & Co.

359,500

21,429,795

Johnson & Johnson

900,744

82,976,537

Merck & Co., Inc.

1,011,890

57,667,611

Novartis AG

114,072

9,494,226

Pfizer, Inc.

1,680,600

53,964,066

Roche Holding AG (participation certificate)

72,315

22,265,798

Teva Pharmaceutical Industries Ltd. sponsored ADR

122,600

6,116,514

 

305,294,337

TOTAL HEALTH CARE

325,596,411

INDUSTRIALS - 2.9%

Aerospace & Defense - 0.6%

Honeywell International, Inc.

111,900

10,567,836

United Technologies Corp.

101,800

11,912,636

 

22,480,472

Commercial Services & Supplies - 0.1%

KAR Auction Services, Inc.

79,000

2,461,640

Republic Services, Inc.

106,300

3,625,893

 

6,087,533

Electrical Equipment - 0.4%

Eaton Corp. PLC

207,100

15,472,441

Industrial Conglomerates - 1.2%

3M Co.

152,800

20,586,744

General Electric Co.

586,753

14,944,599

Siemens AG

67,472

8,995,870

 

44,527,213

Machinery - 0.4%

Caterpillar, Inc.

69,600

6,749,112

Cummins, Inc.

58,800

8,580,096

 

15,329,208

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Professional Services - 0.2%

SGS SA (Reg.)

2,520

$ 6,243,411

TOTAL INDUSTRIALS

110,140,278

INFORMATION TECHNOLOGY - 9.5%

Communications Equipment - 1.6%

Cisco Systems, Inc.

2,719,200

59,278,560

Computers & Peripherals - 3.2%

Apple, Inc.

204,400

107,563,456

EMC Corp.

571,258

15,064,073

 

122,627,529

IT Services - 1.0%

Accenture PLC Class A

38,500

3,208,975

Automatic Data Processing, Inc.

104,600

8,135,788

Fidelity National Information Services, Inc.

159,500

8,869,795

Paychex, Inc.

378,400

15,801,984

 

36,016,542

Semiconductors & Semiconductor Equipment - 0.7%

Intel Corp.

1,138,500

28,189,260

Software - 3.0%

Microsoft Corp.

3,000,700

114,956,809

TOTAL INFORMATION TECHNOLOGY

361,068,700

MATERIALS - 1.4%

Chemicals - 1.2%

E.I. du Pont de Nemours & Co.

343,900

22,910,618

LyondellBasell Industries NV Class A

150,000

13,212,000

Potash Corp. of Saskatchewan, Inc.

66,400

2,194,744

The Dow Chemical Co.

157,800

7,686,438

 

46,003,800

Paper & Forest Products - 0.2%

International Paper Co.

131,700

6,438,813

TOTAL MATERIALS

52,442,613

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 1.0%

AT&T, Inc.

588,000

18,774,840

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Verizon Communications, Inc.

170,500

$ 8,112,390

Verizon Communications, Inc.

226,435

10,737,548

 

37,624,778

Wireless Telecommunication Services - 0.5%

Vodafone Group PLC

4,696,200

19,568,895

TOTAL TELECOMMUNICATION SERVICES

57,193,673

UTILITIES - 3.5%

Electric Utilities - 2.5%

American Electric Power Co., Inc.

174,100

8,739,820

Cleco Corp.

81,800

4,043,374

Duke Energy Corp.

49,600

3,515,648

IDACORP, Inc.

295,200

16,587,288

ITC Holdings Corp.

61,200

6,279,120

NextEra Energy, Inc.

294,400

26,905,216

Pinnacle West Capital Corp.

169,800

9,449,370

Southern Co.

183,900

7,788,165

Xcel Energy, Inc.

353,600

10,710,544

 

94,018,545

Gas Utilities - 0.2%

Atmos Energy Corp.

133,500

6,154,350

Multi-Utilities - 0.8%

CMS Energy Corp.

147,100

4,182,053

NiSource, Inc.

207,600

7,228,632

Sempra Energy

217,100

20,509,437

 

31,920,122

TOTAL UTILITIES

132,093,017

TOTAL COMMON STOCKS

(Cost $2,104,552,849)


2,459,311,256

Preferred Stocks - 10.9%

Shares

Value

Convertible Preferred Stocks - 4.0%

FINANCIALS - 1.3%

Capital Markets - 0.0%

AMG Capital Trust I 5.10%

23,800

$ 1,488,620

Commercial Banks - 0.7%

Wells Fargo & Co. 7.50%

21,809

25,691,002

Diversified Financial Services - 0.1%

Bank of America Corp. Series L, 7.25%

2,354

2,714,256

Real Estate Investment Trusts - 0.3%

Weyerhaeuser Co. Series A, 6.375%

199,100

10,857,162

Real Estate Management & Development - 0.2%

Forestar Group, Inc. 6.00% (a)

310,000

7,839,900

TOTAL FINANCIALS

48,590,940

HEALTH CARE - 0.2%

Health Care Equipment & Supplies - 0.2%

Alere, Inc. 3.00%

27,412

8,090,652

INDUSTRIALS - 0.3%

Aerospace & Defense - 0.3%

United Technologies Corp. 7.50%

155,300

10,322,791

Machinery - 0.0%

Stanley Black & Decker, Inc. 0.00% (a)

15,200

1,624,880

TOTAL INDUSTRIALS

11,947,671

TELECOMMUNICATION SERVICES - 0.4%

Wireless Telecommunication Services - 0.4%

Crown Castle International Corp. Series A, 4.50% (a)

122,000

12,426,920

UTILITIES - 1.8%

Electric Utilities - 0.8%

NextEra Energy, Inc.:

5.779% (a)

189,000

9,916,830

5.889%

186,100

11,017,120

PPL Corp. 8.75%

195,900

10,298,463

 

31,232,413

Multi-Utilities - 1.0%

CenterPoint Energy, Inc. 2.00% ZENS

330,600

17,606,103

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

UTILITIES - continued

Multi-Utilities - continued

Dominion Resources, Inc.:

Series A, 6.125%

177,300

$ 10,143,333

Series B, 6.00%

177,400

10,143,732

 

37,893,168

TOTAL UTILITIES

69,125,581

TOTAL CONVERTIBLE PREFERRED STOCKS

150,181,764

Nonconvertible Preferred Stocks - 6.9%

ENERGY - 0.1%

Energy Equipment & Services - 0.1%

NuStar Logistics LP 7.625%

180,000

4,815,000

FINANCIALS - 5.2%

Capital Markets - 0.3%

Goldman Sachs Group, Inc. 5.95%

65,219

1,500,037

Morgan Stanley 6.875%

200,000

5,176,000

Morgan Stanley Capital I Trust 6.60%

140,000

3,507,000

 

10,183,037

Commercial Banks - 0.4%

BB&T Corp. Series E, 5.625%

125,000

2,755,000

SunTrust Banks, Inc. Series E, 5.875%

80,000

1,786,400

U.S. Bancorp:

Series A, 3.50%

11,890

9,297,980

Series H, 5.15%

40,000

878,800

 

14,718,180

Consumer Finance - 1.8%

Ally Financial, Inc.:

7.00% (g)

46,758

46,096,084

Series A, 8.50%

410,000

11,213,500

Discover Financial Services Series B, 6.50%

200,000

4,866,000

HSBC U.S.A., Inc. Series F, 3.87%

300,000

6,099,000

 

68,274,584

Diversified Financial Services - 1.2%

Barclays Bank PLC:

Series 2, 6.625%

47,200

1,187,552

Series 4, 7.75%

247,800

6,383,328

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Diversified Financial Services - continued

Citigroup, Inc.:

Series C, 5.80%

300,000

$ 6,756,000

Series J, 7.125%

120,000

3,198,000

GMAC Capital Trust I Series 2, 8.125%

900,698

24,453,951

JPMorgan Chase Capital XXIX 6.70%

155,000

4,002,100

 

45,980,931

Insurance - 0.1%

MetLife, Inc. Series B, 6.50%

111,000

2,800,530

Real Estate Investment Trusts - 1.4%

Chesapeake Lodging Trust Series A, 7.75%

50,000

1,270,000

Digital Realty Trust, Inc. Series G, 5.875%

140,000

2,802,800

Health Care REIT, Inc. Series J, 6.50%

12,000

290,040

Hersha Hospitality Trust:

Series B, 8.00%

48,200

1,224,280

Series C, 6.875%

50,000

1,136,500

Hospitality Properties Trust Series D, 7.125%

60,000

1,499,400

Kimco Realty Corp. Series K, 5.625%

120,000

2,562,000

Public Storage:

Series Q, 6.50%

125,000

3,210,000

Series S, 5.90%

100,000

2,341,000

Series T, 5.75%

74,000

1,679,800

Series V, 5.375%

250,000

5,335,000

Series W, 5.20%

150,000

3,109,500

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

602,000

14,490,140

SL Green Realty Corp. Series I, 6.50%

60,000

1,406,400

Sunstone Hotel Investors, Inc. Series D, 8.00%

226,218

5,874,881

Vornado Realty Trust Series L, 5.40%

230,000

4,809,300

 

53,041,041

Real Estate Management & Development - 0.0%

Ventas Realty LP/Ventas Capital Corp. 5.45%

60,000

1,339,800

TOTAL FINANCIALS

196,338,103

INDUSTRIALS - 0.1%

Commercial Services & Supplies - 0.1%

Pitney Bowes, Inc. 6.70%

120,000

3,030,000

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

TELECOMMUNICATION SERVICES - 0.2%

Diversified Telecommunication Services - 0.2%

Qwest Corp.:

6.125%

160,000

$ 3,377,600

7.375%

70,000

1,778,000

Verizon Communications, Inc. 5.90% (a)

120,828

3,020,700

 

8,176,300

UTILITIES - 1.3%

Electric Utilities - 1.3%

Duquesne Light Co. 6.50%

141,050

7,123,025

Gulf Power Co. 5.60%

30,000

2,617,500

NextEra Energy Capital Holdings, Inc.:

Series G, 5.70%

270,000

6,156,000

Series H, 5.625%

70,000

1,584,800

Series I, 5.125%

377,500

7,738,750

Series J, 5.00%

205,000

4,112,300

SCE Trust I 5.625%

409,500

9,254,700

SCE Trust II 5.10%

15,000

309,150

Southern California Edison Co.:

5.349%

44,479

4,514,619

Series D, 6.50%

54,900

5,517,450

 

48,928,294

Multi-Utilities - 0.0%

DTE Energy Co. 6.50%

700

17,570

TOTAL UTILITIES

48,945,864

TOTAL NONCONVERTIBLE PREFERRED STOCKS

261,305,267

TOTAL PREFERRED STOCKS

(Cost $388,057,562)


411,487,031

Bank Loan Obligations - 1.2%

 

Principal Amount (e)

 

CONSUMER DISCRETIONARY - 0.1%

Media - 0.1%

Nielsen Finance LLC Tranche E, term loan 2.9065% 5/1/16 (i)

$ 3,960,000

3,964,950

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

ENERGY - 0.2%

Oil, Gas & Consumable Fuels - 0.2%

Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (i)

$ 2,300,000

$ 2,348,990

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

3,211,172

3,211,172

 

5,560,162

HEALTH CARE - 0.4%

Health Care Providers & Services - 0.4%

HCA Holdings, Inc. Tranche B 4LN, term loan 2.9966% 5/1/18 (i)

16,254,263

16,234,757

Sheridan Holdings, Inc. Trache 2LN, term loan 9% 12/18/21 (i)

65,000

66,300

 

16,301,057

INFORMATION TECHNOLOGY - 0.2%

IT Services - 0.2%

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

5,481,254

5,467,551

UTILITIES - 0.3%

Electric Utilities - 0.3%

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

12,325,851

12,356,666

TOTAL BANK LOAN OBLIGATIONS

(Cost $43,658,346)


43,650,386

Preferred Securities - 2.4%

 

 

 

 

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

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

975,000

990,113

FINANCIALS - 2.4%

Commercial Banks - 0.4%

PNC Preferred Funding Trust I 1.8929% (g)(h)(i)

3,450,000

3,049,787

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

6,866,000

5,310,470

USB Capital IX 3.5% (h)(i)

8,625,000

7,023,984

 

15,384,241

Diversified Financial Services - 2.0%

Baggot Securities Ltd. 10.24% (g)(h)

EUR

1,530,000

2,283,463

Preferred Securities - continued

Principal Amount (e)

Value

FINANCIALS - continued

Diversified Financial Services - continued

Citigroup, Inc. 5.35% (h)(i)

$ 3,000,000

$ 2,859,497

General Electric Capital Corp.:

5.25% (h)(i)

5,000,000

4,973,558

7.125% (h)(i)

10,000,000

11,498,764

Goldman Sachs Capital III 4% (h)(i)

18,715,000

14,217,162

JPMorgan Chase & Co.:

5.15% (h)(i)

15,000,000

14,431,077

6.75% (h)(i)

10,000,000

10,494,085

7.9% (h)(i)

6,250,000

7,179,238

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

8,091,000

7,923,179

 

75,860,023

TOTAL FINANCIALS

91,244,264

TOTAL PREFERRED SECURITIES

(Cost $88,752,259)


92,234,377

Money Market Funds - 2.7%

Shares

 

Fidelity Cash Central Fund, 0.10% (b)

86,750,562

86,750,562

Fidelity Securities Lending Cash Central Fund, 0.09% (b)(c)

13,928,400

13,928,400

TOTAL MONEY MARKET FUNDS

(Cost $100,678,962)


100,678,962

TOTAL INVESTMENT PORTFOLIO - 100.4%

(Cost $3,363,773,651)

3,802,129,327

NET OTHER ASSETS (LIABILITIES) - (0.4)%

(13,685,110)

NET ASSETS - 100%

$ 3,788,444,217

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 $259,660,194 or 6.9% 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

$ 19,876

Fidelity Securities Lending Cash Central Fund

29,680

Total

$ 49,556

Other Information

The following is a summary of the inputs used, as of February 28, 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

$ 117,305,097

$ 117,305,097

$ -

$ -

Consumer Staples

266,755,958

266,755,958

-

-

Energy

250,702,133

250,702,133

-

-

Financials

1,035,757,419

965,588,841

70,168,578

-

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Health Care

$ 333,687,063

$ 295,094,786

$ 38,592,277

$ -

Industrials

125,117,949

116,122,079

8,995,870

-

Information Technology

361,068,700

361,068,700

-

-

Materials

52,442,613

52,442,613

-

-

Telecommunication Services

77,796,893

45,801,078

31,995,815

-

Utilities

250,164,462

201,502,251

48,662,211

-

Corporate Bonds

694,767,315

-

694,767,315

-

Bank Loan Obligations

43,650,386

-

43,650,386

-

Preferred Securities

92,234,377

-

91,244,264

990,113

Money Market Funds

100,678,962

100,678,962

-

-

Total Investments in Securities:

$ 3,802,129,327

$ 2,773,062,498

$ 1,028,076,716

$ 990,113

Income Tax Information

At February 28, 2014, the cost of investment securities for income tax purposes was $3,363,114,443. Net unrealized appreciation aggregated $439,014,884, of which $487,451,151 related to appreciated investment securities and $48,436,267 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:

April 29, 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:

April 29, 2014

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

April 29, 2014