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:

February 28

 

 

Date of reporting period:

May 31, 2014

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Select Money Market Portfolio

May 31, 2014

1.802201.110
MON-QTLY-0714

Investments May 31, 2014 (Unaudited)

Showing Percentage of Net Assets

Certificate of Deposit - 59.9%

 

 

Yield (a)

Principal Amount

Value

Domestic Certificates Of Deposit - 7.9%

Branch Banking & Trust Co.

 

8/28/14 to 9/25/14

0.22

$ 38,000,000

$ 38,000,000

Citibank NA

 

6/23/14 to 10/3/14

0.21

186,000,000

186,000,000

RBS Citizens NA

 

6/27/14

0.30

22,000,000

22,000,000

Wells Fargo Bank NA

 

11/4/14 to 3/9/15

0.20 to 0.21 (c)

108,000,000

108,000,000

 

 

354,000,000

London Branch, Eurodollar, Foreign Banks - 2.1%

BNP Paribas SA

 

6/13/14

0.25

3,000,000

3,000,000

Credit Agricole SA

 

6/2/14 to 9/2/14

0.25 to 0.26

48,000,000

48,000,000

Mizuho Corporate Bank Ltd.

 

7/29/14

0.25

19,000,000

18,992,352

National Australia Bank Ltd.

 

6/30/14

0.20

21,000,000

21,000,000

 

 

90,992,352

New York Branch, Yankee Dollar, Foreign Banks - 49.9%

Bank of Montreal Chicago CD Program

 

2/12/15

0.24 (c)

40,000,000

40,000,000

Bank of Nova Scotia

 

7/7/14 to 5/15/15

0.20 to 0.29 (c)

198,000,000

198,000,000

Bank of Tokyo-Mitsubishi UFJ Ltd.

 

6/3/14 to 11/21/14

0.24 to 0.25

187,000,000

187,000,000

BNP Paribas New York Branch

 

8/6/14 to 9/12/14

0.26 to 0.27

103,000,000

103,000,000

Canadian Imperial Bank of Commerce

 

10/31/14 to 2/11/15

0.24 to 0.29 (c)

98,000,000

98,000,000

Credit Agricole CIB

 

7/7/14 to 9/2/14

0.24 to 0.25

82,000,000

82,000,000

Credit Industriel et Commercial

 

6/3/14 to 6/5/14

0.13

83,000,000

83,000,000

Credit Suisse AG

 

7/9/14 to 11/3/14

0.30 to 0.31 (c)

112,000,000

112,000,000

Deutsche Bank

 

7/28/14

0.23

43,000,000

43,000,000

KBC Bank NV

 

6/3/14 to 6/5/14

0.16

93,000,000

93,000,000

Mitsubishi UFJ Trust & Banking Corp.

 

10/10/14

0.28

9,000,000

9,000,000

Mizuho Corporate Bank Ltd.

 

6/6/14 to 9/5/14

0.25

148,000,000

148,000,000

Natexis Banques Populaires New York Branch

 

6/3/14 to 8/4/14

0.13 to 0.23

218,000,000

218,000,000

 

 

 

Yield (a)

Principal Amount

Value

National Bank of Canada yankee

 

8/8/14 to 11/17/14

0.30 to 0.34% (c)

$ 144,000,000

$ 143,992,287

Nordea Bank Finland PLC

 

9/29/14

0.20

32,000,000

32,000,000

Royal Bank of Canada

 

6/3/14 to 4/9/15

0.20 to
0.23 (c)

35,000,000

35,000,000

Skandinaviska Enskilda Banken

 

8/1/14

0.24

36,000,000

36,000,000

Societe Generale

 

7/7/14

0.25 (c)

70,000,000

70,000,000

Sumitomo Mitsui Banking Corp.

 

6/10/14 to 11/17/14

0.21 to
0.31 (c)

224,000,000

224,000,000

Sumitomo Mitsui Trust Banking Ltd.

 

6/23/14 to 9/17/14

0.25 to 0.27

153,000,000

153,000,000

Toronto-Dominion Bank

 

9/10/14 to 10/10/14

0.25

46,000,000

46,000,000

UBS AG

 

7/11/14 to 10/3/14

0.25 to
0.27 (c)

73,000,000

73,000,000

 

 

2,226,992,287

TOTAL CERTIFICATE OF DEPOSIT

(Cost $2,671,984,639)


2,671,984,639

Financial Company Commercial Paper - 9.8%

 

Barclays U.S. Funding Corp.

 

6/25/14

0.23

17,000,000

16,997,393

BAT International Finance PLC

 

6/2/14 to 7/14/14

0.27

7,000,000

6,998,853

BNP Paribas Finance, Inc.

 

6/2/14 to 6/24/14

0.25

74,000,000

73,995,799

Credit Agricole North America

 

6/2/14 to 7/2/14

0.11 to 0.26

93,000,000

92,988,066

JPMorgan Securities LLC

 

9/3/14

0.27

19,000,000

18,986,605

Landesbank Baden-Wurttemberg

 

6/6/14 to 6/9/14

0.15 to 0.20

68,000,000

67,998,087

Lloyds Bank PLC

 

6/3/14

0.09

64,000,000

63,999,680

Natexis Banques Populaires U.S. Finance Co. LLC

 

8/1/14

0.23

5,000,000

4,998,051

Skandinaviska Enskilda Banken AB

 

8/11/14 to 8/19/14

0.24

53,000,000

52,974,085

Financial Company Commercial Paper - continued

 

 

Yield (a)

Principal Amount

Value

Svenska Handelsbanken, Inc.

 

9/22/14

0.22

26,000,000

25,982,046

Toronto Dominion Holdings (U.S.A.)

 

2/3/15

0.24

10,000,000

9,983,533

TOTAL FINANCIAL COMPANY COMMERCIAL PAPER

(Cost $435,902,198)


435,902,198

Other Commercial Paper - 0.7%

 

Comcast Corp.

 

6/4/14

0.20

2,000,000

1,999,967

Hewlett-Packard Co.

 

7/3/14

0.27

1,000,000

999,760

NBCUniversal Enterprise, Inc.

 

6/13/14 to 6/27/14

0.24

5,000,000

4,999,320

Verizon Communications, Inc.

 

7/14/14

0.35 (c)

23,000,000

23,000,000

TOTAL OTHER COMMERCIAL PAPER

(Cost $30,999,047)


30,999,047

Treasury Debt - 6.2%

 

U.S. Treasury Obligations - 6.2%

U.S. Treasury Bills

 

8/14/14 to 3/5/15

0.11 to 0.13

75,000,000

74,964,957

U.S. Treasury Notes

 

6/15/14 to 2/28/15

0.10 to 0.18

199,000,000

199,255,731

TOTAL TREASURY DEBT

(Cost $274,220,688)


274,220,688

Other Note - 1.4%

 

Medium-Term Notes - 1.4%

Dominion Resources, Inc.

 

7/14/14

0.35 (b)(c)

14,000,000

14,000,000

Svenska Handelsbanken AB

 

11/14/14 to 11/26/14

0.28 (b)(c)

50,000,000

50,000,000

TOTAL OTHER NOTE

(Cost $64,000,000)


64,000,000

Variable Rate Demand Note - 1.1%

 

Delaware - 0.2%

LP Pinewood SPV LLC Taxable, LOC Wells Fargo Bank NA, VRDN

 

6/6/14

0.15 (c)

10,000,000

10,000,000

Florida - 0.9%

Florida Timber Fin. III LLC Taxable, LOC Wells Fargo Bank NA, VRDN

 

6/6/14

0.15 (c)

40,000,000

40,000,000

 

 

 

Yield (a)

Principal Amount

Value

TOTAL VARIABLE RATE DEMAND NOTE

(Cost $50,000,000)


50,000,000

Government Agency Debt - 4.7%

 

Federal Agencies - 4.7%

Fannie Mae

 

10/21/15

0.14% (c)

$ 52,000,000

$ 51,992,638

Federal Home Loan Bank

 

6/25/14

0.13 (c)

44,000,000

43,999,413

Freddie Mac

 

12/5/14 to 7/16/15

0.14 to
0.15 (c)

115,000,000

114,991,806

TOTAL GOVERNMENT AGENCY DEBT

(Cost $210,983,857)


210,983,857

Other Instrument - 0.4%

 

Time Deposits - 0.4%

ING Bank NV

(Cost $17,000,000)

6/3/14

0.11

17,000,000


17,000,000

Other Municipal Debt - 0.5%

 

 

 

 

Massachusetts - 0.1%

Massachusetts Indl. Fin. Agcy. Poll. Cont. Rev. Bonds (New England Pwr. Co. Proj.) Series 1992, 0.27% tender 6/26/14, CP mode

4,700,000

4,700,000

New Hampshire - 0.4%

New Hampshire Bus. Fin. Auth. Poll. Cont. Rev. Bonds Series 1990 A2, 0.32% tender 6/27/14, CP mode (d)

16,500,000

16,500,000

TOTAL OTHER MUNICIPAL DEBT

(Cost $21,200,000)


21,200,000

Government Agency Repurchase Agreement - 2.0%

Maturity Amount

Value

In a joint trading account at 0.09% dated 5/30/14 due 6/2/14 (Collateralized by U.S. Government Obligations) #

$ 63,403,470

$ 63,403,000

With:

Mitsubishi UFJ Securities (U.S.A.), Inc. at 0.1%, dated 5/30/14 due 6/6/14 (Collateralized by U.S. Government Obligations valued at $11,224,815, 2.32% - 5%, 1/1/27 - 1/1/44)

11,001,864

11,000,000

Mizuho Securities U.S.A., Inc. at 0.15%, dated 5/19/14 due 6/6/14 (Collateralized by U.S. Government Obligations valued at $14,460,921, 2%, 3/25/38)

14,007,058

14,000,000

TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENT

(Cost $88,403,000)


88,403,000

Treasury Repurchase Agreement - 0.3%

 

 

 

 

With Federal Reserve Bank of New York at 0.05%, dated 5/30/14 due 6/2/14 (Collateralized by U.S. Treasury Obligations valued at $15,000,063, 3.88%, 8/15/40)

(Cost $15,000,000)

15,000,063


15,000,000

Other Repurchase Agreement - 10.5%

 

 

 

 

Other Repurchase Agreement - 10.5%

With:

BNP Paribas Securities Corp. at:

0.25%, dated 5/13/14 due 6/6/14 (Collateralized by Corporate Obligations valued at $5,277,690, 5.88%, 8/15/23)

5,001,042

5,000,000

0.44%, dated 5/12/14 due 6/6/14 (Collateralized by Corporate Obligations valued at $1,083,339, 9.25%, 3/1/21)

1,000,733

1,000,000

Citigroup Global Markets, Inc. at:

0.81%, dated 4/16/14 due 7/15/14 (Collateralized by Corporate Obligations valued at $7,567,995, 2% - 3.5%, 6/1/16 - 12/15/37)

7,014,175

7,000,000

0.98%, dated 5/20/14 due 9/2/14 (Collateralized by Corporate Obligations valued at $11,890,884, 0.32% - 5.46%, 11/25/35 - 6/12/47)

11,054,199

11,000,000

 

Maturity Amount

Value

Credit Suisse Securities (U.S.A.) LLC at:

0.19%, dated:

5/27/14 due 6/3/14 (Collateralized by U.S. Government Obligations valued at $3,090,737, 4.4%, 5/16/51)

$ 3,000,111

$ 3,000,000

5/30/14 due 6/6/14 (Collateralized by U.S. Government Obligations valued at $8,240,101, 4.35% - 6%, 6/15/25 - 7/15/40)

8,000,296

8,000,000

0.42%, dated 5/27/14 due 6/3/14 (Collateralized by Corporate Obligations valued at $18,362,611, 7.25% - 11.38%, 5/1/19 - 5/15/21)

17,001,388

17,000,000

0.63%, dated 5/2/14 due 8/5/14 (Collateralized by Corporate Obligations valued at $8,645,751, 6.13% - 9.88%, 8/15/18 - 12/15/20)

8,013,300

8,000,000

0.64%, dated 5/9/14 due 8/7/14 (Collateralized by Corporate Obligations valued at $9,725,820, 5.13% - 12.63%, 1/15/19 - 5/1/22)

9,014,400

9,000,000

0.7%, dated:

1/10/14 due 7/9/14 (Collateralized by Corporate Obligations valued at $9,747,989, 12.63% , 1/15/21)

9,031,500

9,000,000

1/21/14 due 7/21/14 (Collateralized by Corporate Obligations valued at $2,166,530, 7% - 9.25%, 5/15/18 - 8/15/21)

2,007,039

2,000,000

4/16/14 due 10/14/14 (Collateralized by Corporate Obligations valued at $5,410,108, 6.5% - 8.25%, 2/15/18 - 11/15/22)

5,017,597

5,000,000

4/21/14 due 10/20/14 (Collateralized by Corporate Obligations valued at $4,326,798, 11.88% , 2/1/19)

4,014,156

4,000,000

0.71%, dated:

12/6/13 due 6/4/14 (Collateralized by Corporate Obligations valued at $9,754,613, 7.75% - 10%, 12/1/19 - 9/1/21)

9,031,950

9,000,000

1/6/14 due 7/3/14 (Collateralized by Corporate Obligations valued at $4,336,986, 11.5% - 11.75%, 8/1/19 - 12/15/19)

4,014,042

4,000,000

Other Repurchase Agreement - continued

Maturity Amount

Value

Other Repurchase Agreement - continued

With: - continued

ING Financial Markets LLC at 0.31%, dated 5/30/14 due 6/2/14 (Collateralized by Corporate Obligations valued at $70,202,754, 4% - 12.5%, 9/1/16 - 3/15/29)

$ 65,001,679

$ 65,000,000

J.P. Morgan Clearing Corp. at:

0.5%, dated 4/30/14 due 8/28/14 (Collateralized by Equity Securities valued at $6,524,555)

6,015,000

6,000,000

0.59%, dated 2/14/14 due 6/13/14 (Collateralized by Corporate Obligations valued at $7,622,034, 3.5%, 2/1/19)

7,013,652

7,000,000

0.61%, dated:

2/12/14 due 8/28/14 (Collateralized by Corporate Obligations valued at $9,800,713, 3.5%, 2/1/19)

9,032,025

9,000,000

4/23/14 due 9/22/14 (Collateralized by Corporate Obligations valued at $9,789,943, 3.5%, 2/1/19)

9,023,180

9,000,000

0.64%, dated 4/8/14 due 10/6/14 (Collateralized by Corporate Obligations valued at $2,176,661, 3.25%, 8/15/37)

2,006,436

2,000,000

J.P. Morgan Securities, Inc. at:

0.19%, dated 5/28/14 due 6/4/14 (Collateralized by U.S. Government Obligations valued at $8,243,042, 3.25% - 4.4%, 5/16/51 - 9/16/53)

8,000,296

8,000,000

0.59%, dated 2/5/14 due 8/28/14 (Collateralized by Commercial Paper Obligations valued at $4,132,119, 7/2/14 - 11/17/14)

4,013,701

4,000,000

0.61%, dated:

2/5/14 due 8/28/14 (Collateralized by Mortgage Loan Obligations valued at $18,397,138, 1.35% - 5.29%, 3/15/22 - 4/25/45)

17,060,204

17,000,000

3/5/14 due 8/28/14 (Collateralized by Mortgage Loan Obligations valued at $6,490,333, 0.45% - 6.01%, 11/25/33 - 12/10/49)

6,022,672

6,000,000

3/12/14 due 7/10/14 (Collateralized by Mortgage Loan Obligations valued at $2,163,723, 5.51% - 9.57%, 4/25/35 - 12/11/40)

2,004,067

2,000,000

 

Maturity Amount

Value

With: - continued

J.P. Morgan Securities, Inc. at:

0.61%, dated:

5/14/14 due 8/28/14 (Collateralized by Mortgage Loan Obligations valued at $5,401,584, 0.45%, 11/25/33)

$ 5,017,792

$ 5,000,000

0.62%, dated 1/14/14 due 9/15/14 (Collateralized by Mortgage Loan Obligations valued at $22,734,648, 0.00% - 6.18%, 4/25/36 - 2/12/51)

21,088,247

21,000,000

Merrill Lynch, Pierce, Fenner & Smith at:

0.23%, dated 5/29/14 due 6/5/14 (Collateralized by U.S. Government Obligations valued at $22,440,574, 2% - 5.30%, 11/20/42 - 4/20/64)

22,000,984

22,000,000

0.58%, dated 5/30/14 due 6/2/14 (Collateralized by Corporate Obligations valued at $1,080,053, 0.95%, 6/25/45)

1,000,048

1,000,000

0.78%, dated:

5/5/14 due 8/4/14 (Collateralized by Corporate Obligations valued at $5,404,014, 3.25% , 3/15/16)

5,009,858

5,000,000

5/8/14 due 8/6/14 (Collateralized by Corporate Obligations valued at $10,805,722, 0.00% - 4.75%, 3/15/16 - 12/15/66)

10,019,500

10,000,000

5/16/14 due 8/14/14 (Collateralized by Corporate Obligations valued at $15,127,185, 0.25% - 3.25%, 3/15/16)

14,027,300

14,000,000

0.85%, dated 4/28/14 due 7/1/14 (Collateralized by Corporate Obligations valued at $15,197,236, 0.22% - 9.75%, 5/15/18 - 4/10/51)

14,021,156

14,000,000

Mitsubishi UFJ Securities (U.S.A.), Inc. at:

0.22%, dated 5/27/14 due 6/3/14 (Collateralized by Corporate Obligations valued at $4,200,155, 0.61% - 6.19%, 6/24/14 - 5/15/44)

4,000,171

4,000,000

0.26%, dated:

5/2/14 due 6/2/14 (Collateralized by Equity Securities valued at $3,240,733)

3,000,672

3,000,000

5/6/14 due 6/6/14 (Collateralized by Equity Securities valued at $2,160,466)

2,000,448

2,000,000

Other Repurchase Agreement - continued

Maturity Amount

Value

Other Repurchase Agreement - continued

With: - continued

Mitsubishi UFJ Securities (U.S.A.), Inc. at:

0.26%, dated:

5/12/14 due 6/6/14 (Collateralized by Equity Securities valued at $5,400,846)

$ 5,001,119

$ 5,000,000

5/19/14 due 6/6/14 (Collateralized by Equity Securities valued at $9,721,026)

9,002,015

9,000,000

0.29%, dated 5/14/14 due 6/6/14 (Collateralized by Municipal Bond Obligations valued at $5,250,804, 0.61% - 7.43%, 6/24/14 - 2/19/43)

5,001,208

5,000,000

Mizuho Securities U.S.A., Inc. at:

0.3%, dated:

5/19/14 due 6/2/14 (Collateralized by Equity Securities valued at $3,247,500)

3,000,350

3,000,000

5/27/14 due 6/6/14 (Collateralized by Equity Securities valued at $5,400,302)

5,000,583

5,000,000

0.52%, dated 5/6/14 due 6/5/14 (Collateralized by U.S. Government Obligations valued at $2,055,792, 0.00% - 6.5%, 9/30/14 - 2/25/46)

2,000,867

2,000,000

0.91%, dated:

4/21/14 due 7/21/14 (Collateralized by U.S. Government Obligations valued at $3,108,669, 0.00% - 8.88%, 9/30/14 - 7/16/45)

3,006,901

3,000,000

4/24/14 due 7/23/14 (Collateralized by Corporate Obligations valued at $3,269,718, 0.66% - 1.09%, 9/25/34 - 5/25/35)

3,006,825

3,000,000

5/2/14 due 8/4/14 (Collateralized by Corporate Obligations valued at $5,379,513, 0.24% - 6.63%, 9/27/23 - 4/25/47)

5,011,881

5,000,000

5/9/14 due 8/7/14 (Collateralized by U.S. Government Obligations valued at $3,124,401, 0.00% - 6.65%, 2/5/15 - 4/25/47)

3,006,825

3,000,000

 

Maturity Amount

Value

Mizuho Securities U.S.A., Inc. at:

0.92%, dated 3/4/14 due 6/2/14 (Collateralized by Corporate Obligations valued at $5,271,309, 0.00% - 8.5%, 8/1/15 - 4/25/47)

$ 5,011,500

$ 5,000,000

1.03%, dated 5/9/14 due 9/5/14 (Collateralized by U.S. Government Obligations valued at $3,094,023, 0.00% - 7.5%, 2/5/15 - 4/25/47)

3,010,214

3,000,000

RBC Capital Markets Co. at:

0.24%, dated 5/27/14 due 6/6/14 (Collateralized by U.S. Government Obligations valued at $5,150,206, 0.00% - 11.73%, 7/15/25 - 1/20/44)

5,000,467

5,000,000

0.29%, dated 3/24/14 due 6/6/14 (Collateralized by U.S. Government Obligations valued at $6,183,062, 3% - 14.43%, 8/1/26 - 1/20/44)

6,004,398

6,000,000

0.38%, dated:

5/20/14 due 6/3/14 (Collateralized by Corporate Obligations valued at $4,320,593, 3.75% - 12.75%, 9/1/16 - 10/23/43)

4,000,591

4,000,000

5/23/14 due 6/6/14 (Collateralized by Corporate Obligations valued at $5,400,571, 4.25% - 11.5%, 1/15/18 - 10/23/43)

5,000,739

5,000,000

0.4%, dated 5/20/14 due 6/3/14 (Collateralized by Mortgage Loan Obligations valued at $2,124,188, 3.40% - 5.51%, 11/15/26 - 3/10/39)

2,000,311

2,000,000

RBS Securities, Inc. at 0.6%, dated 5/27/14 due 6/3/14 (Collateralized by U.S. Government Obligations valued at $9,180,478, 4% - 6%, 4/1/18 - 4/1/29)

9,001,050

9,000,000

SG Americas Securities, LLC at:

0.25%, dated 5/28/14 due 6/4/14 (Collateralized by Corporate Obligations valued at $5,250,183, 0.68% - 9.25%, 4/1/15 - 12/15/55)

5,000,243

5,000,000

0.26%, dated:

5/27/14 due 6/3/14 (Collateralized by Equity Securities valued at $11,880,648)

11,000,556

11,000,000

5/29/14 due 6/5/14 (Collateralized by Equity Securities valued at $9,720,281)

9,000,455

9,000,000

Other Repurchase Agreement - continued

Maturity Amount

Value

Other Repurchase Agreement - continued

With: - continued

SG Americas Securities, LLC at:

0.34%, dated 5/28/14 due 6/4/14 (Collateralized by Corporate Obligations valued at $9,485,000, 1% - 12.25%, 3/1/15 - 3/30/67)

$ 9,000,595

$ 9,000,000

UBS Securities LLC at 0.43%, dated:

4/8/14 due 6/6/14 (Collateralized by Corporate Obligations valued at $9,678,900, 0.00% - 9%, 5/1/15 - 4/1/42)

9,009,783

9,000,000

4/15/14 due 6/6/14 (Collateralized by Corporate Obligations valued at $5,401,818, 0% - 9%, 5/1/15 - 4/1/42)

5,005,375

5,000,000

TOTAL OTHER REPURCHASE AGREEMENT

(Cost $468,000,000)


468,000,000

TOTAL INVESTMENT PORTFOLIO - 97.5%

(Cost $4,347,693,429)

4,347,693,429

NET OTHER ASSETS (LIABILITIES) - 2.5%

113,191,133

NET ASSETS - 100%

$ 4,460,884,562

Security Type Abbreviations

CP

-

COMMERCIAL PAPER

VRDN

-

VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)

Legend

(a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(b) 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 $64,000,000 or 1.4% of net assets.

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

(d) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

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

Repurchase Agreement / Counterparty

Value

$63,403,000 due 6/02/14 at 0.09%

BNY Mellon Capital Markets LLC

$ 12,972,825

Bank of America NA

36,131,720

Mizuho Securities USA, Inc.

6,863,929

Societe Generale

7,434,526

 

$ 63,403,000

Other Information

The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.

All investments are categorized as Level 2 under the Fair Value Hierarchy. 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, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At May 31, 2014, the cost of investment securities for income tax purposes was $4,347,693,429.

Investment Valuation

Security transactions are accounted for as of trade date. 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).

As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Spartan ® Intermediate
Treasury Bond Index Fund

May 31, 2014

1.832120.108
ITB-QTLY-0714

Investments May 31, 2014 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.4%

 

Principal Amount

Value

U.S. Treasury Obligations - 99.4%

U.S. Treasury Bonds:

6.25% 8/15/23

$ 6,066,000

$ 8,043,140

7.125% 2/15/23

3,504,000

4,850,850

7.25% 8/15/22

3,446,000

4,762,748

7.625% 11/15/22

1,928,000

2,734,295

7.875% 2/15/21

2,262,000

3,111,311

8% 11/15/21

6,914,000

9,744,419

8.125% 8/15/19

4,227,000

5,615,307

8.125% 5/15/21

2,301,000

3,222,838

8.125% 8/15/21

2,173,000

3,064,099

8.5% 2/15/20

2,151,000

2,948,382

8.75% 5/15/20

1,651,000

2,305,854

8.75% 8/15/20

4,133,000

5,814,614

U.S. Treasury Notes:

0.875% 7/31/19

10,924,000

10,528,005

1% 6/30/19

8,877,000

8,625,950

1% 8/31/19

12,947,000

12,534,314

1% 9/30/19

15,153,000

14,647,511

1% 11/30/19

16,958,000

16,336,642

1.125% 12/31/19

16,780,000

16,245,137

1.125% 3/31/20

14,216,000

13,688,458

1.125% 4/30/20

17,783,000

17,098,070

1.25% 10/31/19

10,382,000

10,160,573

1.25% 2/29/20

14,911,000

14,490,465

1.375% 1/31/20

17,133,000

16,789,004

1.375% 5/31/20

18,316,000

17,846,653

1.625% 8/15/22

16,776,000

15,968,655

1.625% 11/15/22

27,691,000

26,230,743

1.75% 10/31/20

20,839,000

20,604,561

1.75% 5/15/22

20,048,000

19,347,884

1.75% 5/15/23

44,205,000

41,960,226

1.875% 6/30/20

12,104,000

12,121,962

2% 7/31/20

17,755,000

17,904,817

2% 9/30/20

15,614,000

15,692,070

2% 11/30/20

20,272,000

20,327,424

2% 2/28/21

21,583,000

21,569,511

2% 5/31/21

20,246,000

20,166,919

2% 11/15/21

32,021,000

31,718,305

2% 2/15/22

23,325,000

23,026,160

2% 2/15/23

38,257,000

37,231,827

2.125% 8/31/20

20,003,000

20,278,041

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2.125% 1/31/21

$ 19,838,000

$ 19,999,184

2.125% 8/15/21

30,641,000

30,717,603

2.25% 3/31/21

21,309,000

21,615,317

2.25% 4/30/21

21,748,000

22,043,642

2.375% 12/31/20

18,541,000

19,005,971

2.5% 8/15/23

33,664,000

33,961,186

2.5% 5/15/24

15,783,000

15,819,995

2.625% 8/15/20

26,791,000

27,971,465

2.625% 11/15/20

42,533,000

44,343,970

2.75% 11/15/23

48,623,000

49,994,315

2.75% 2/15/24

48,242,000

49,497,064

3.125% 5/15/21

21,907,000

23,479,857

3.375% 11/15/19

28,220,000

30,770,834

3.5% 5/15/20

23,306,000

25,565,587

3.625% 8/15/19

21,529,000

23,730,685

3.625% 2/15/20

32,297,000

35,657,890

3.625% 2/15/21

35,234,000

38,933,570

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,065,238,763)

1,082,465,879

Cash Equivalents - 0.5%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.07%, dated 5/30/14 due 6/2/14 (Collateralized by U.S. Government Obligations) #
(Cost $5,426,000)

$ 5,426,031


5,426,000

TOTAL INVESTMENT PORTFOLIO - 99.9%

(Cost $1,070,664,763)

1,087,891,879

NET OTHER ASSETS (LIABILITIES) - 0.1%

580,354

NET ASSETS - 100%

$ 1,088,472,233

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

Repurchase Agreement / Counterparty

Value

$5,426,000 due 6/02/14 at 0.07%

BNP Paribas Securities Corp.

$ 759,902

Commerz Markets LLC

3,110,732

Mizuho Securities USA, Inc.

1,555,366

 

$ 5,426,000

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. 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, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At May 31, 2014, the cost of investment securities for income tax purposes was $1,070,251,607. Net unrealized appreciation aggregated $17,640,272, of which $26,673,375 related to appreciated investment securities and $9,033,103 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. U.S. government and government agency obligations 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.

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

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

Quarterly Report

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

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

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Spartan® Long-Term
Treasury Bond Index Fund

May 31, 2014

1.832125.108
LBX-QTLY-0714

Investments May 31, 2014 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.2%

 

Principal Amount

Value

U.S. Treasury Obligations - 99.2%

U.S. Treasury Bonds:

2.75% 8/15/42

$ 13,140,000

$ 11,776,725

2.75% 11/15/42

15,617,000

13,972,343

2.875% 5/15/43

20,432,000

18,714,445

3% 5/15/42

8,394,000

7,936,267

3.125% 11/15/41

7,853,000

7,628,451

3.125% 2/15/42

10,710,000

10,388,700

3.125% 2/15/43

16,411,000

15,839,175

3.375% 5/15/44

7,177,000

7,244,284

3.5% 2/15/39

6,060,000

6,343,117

3.625% 8/15/43

19,408,000

20,554,275

3.625% 2/15/44

20,680,000

21,888,498

3.75% 8/15/41

8,921,000

9,718,314

3.75% 11/15/43

20,838,000

22,557,135

3.875% 8/15/40

8,326,000

9,265,273

4.25% 5/15/39

5,646,000

6,652,575

4.25% 11/15/40

9,170,000

10,830,632

4.375% 2/15/38

3,255,000

3,899,389

4.375% 11/15/39

7,549,000

9,071,777

4.375% 5/15/40

9,429,000

11,342,795

4.375% 5/15/41

7,114,000

8,576,816

4.5% 2/15/36

7,259,000

8,843,502

4.5% 5/15/38

3,729,000

4,550,543

4.5% 8/15/39

7,384,000

9,031,555

4.625% 2/15/40

10,680,000

13,324,966

4.75% 2/15/37

2,420,000

3,052,225

4.75% 2/15/41

9,522,000

12,134,599

5% 5/15/37

3,144,000

4,095,060

5.25% 11/15/28

4,015,000

5,165,546

5.25% 2/15/29

3,223,000

4,149,613

5.375% 2/15/31

6,654,000

8,771,842

5.5% 8/15/28

3,359,000

4,416,037

6% 2/15/26

3,982,000

5,352,680

6.125% 11/15/27

5,176,000

7,150,965

6.125% 8/15/29

2,399,000

3,363,098

6.25% 5/15/30

4,057,000

5,788,199

6.375% 8/15/27

1,861,000

2,617,904

6.5% 11/15/26

2,579,000

3,634,778

6.625% 2/15/27

1,722,000

2,456,810

6.75% 8/15/26

1,908,000

2,731,420

6.875% 8/15/25

1,911,000

2,722,579

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Bonds: - continued

7.5% 11/15/24

$ 2,017,000

$ 2,959,948

7.625% 2/15/25

1,869,000

2,776,633

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $324,146,926)

353,291,488

Cash Equivalents - 1.1%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.07%, dated 5/30/14 due 6/2/14 (Collateralized by U.S. Government Obligations) #
(Cost $3,997,000)

$ 3,997,023


3,997,000

TOTAL INVESTMENT PORTFOLIO - 100.3%

(Cost $328,143,926)

357,288,488

NET OTHER ASSETS (LIABILITIES) - (0.3)%

(1,184,385)

NET ASSETS - 100%

$ 356,104,103

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

Repurchase Agreement / Counterparty

Value

$3,997,000 due 6/02/14 at 0.07%

BNP Paribas Securities Corp.

$ 559,773

Commerz Markets LLC

2,291,485

Mizuho Securities USA, Inc.

1,145,742

 

$ 3,997,000

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. 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, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At May 31, 2014, the cost of investment securities for income tax purposes was $329,236,360. Net unrealized appreciation aggregated $28,052,128, of which $31,350,775 related to appreciated investment securities and $3,298,647 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. U.S. government and government agency obligations 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.

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

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

Quarterly Report

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

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

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Spartan ® Short-Term Treasury
Bond Index Fund

May 31, 2014

1.832122.108
STD-QTLY-0714

Investments May 31, 2014 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.0%

 

Principal Amount

Value

U.S. Treasury Obligations - 99.0%

U.S. Treasury Bonds:

7.25% 5/15/16

$ 2,554,000

$ 2,895,398

7.5% 11/15/16

1,983,000

2,318,407

8.75% 5/15/17

1,605,000

1,979,166

8.875% 8/15/17

945,000

1,183,834

8.875% 2/15/19

1,109,000

1,487,446

9% 11/15/18

667,000

888,778

9.125% 5/15/18

537,000

702,841

9.25% 2/15/16

564,000

650,098

9.875% 11/15/15

1,037,000

1,182,666

10.625% 8/15/15

761,000

856,601

U.S. Treasury Notes:

0.25% 7/15/15

5,969,000

5,976,694

0.25% 7/31/15

6,714,000

6,722,654

0.25% 8/15/15

6,116,000

6,123,884

0.25% 9/15/15

6,271,000

6,277,860

0.25% 9/30/15

6,471,000

6,478,079

0.25% 10/15/15

6,145,000

6,150,279

0.25% 10/31/15

6,245,000

6,250,364

0.25% 11/30/15

6,118,000

6,121,108

0.25% 12/15/15

6,107,000

6,109,150

0.25% 12/31/15

6,073,000

6,074,658

0.25% 2/29/16

6,299,000

6,295,554

0.25% 4/15/16

6,273,000

6,263,446

0.25% 5/15/16

6,185,000

6,172,197

0.375% 6/15/15

6,498,000

6,515,005

0.375% 6/30/15

6,768,000

6,786,504

0.375% 8/31/15

6,632,000

6,650,649

0.375% 11/15/15

6,402,000

6,417,506

0.375% 1/15/16

6,210,000

6,222,370

0.375% 1/31/16

6,355,000

6,367,411

0.375% 2/15/16

6,132,000

6,142,063

0.375% 3/15/16

6,092,000

6,099,853

0.375% 3/31/16

6,392,000

6,399,242

0.375% 4/30/16

6,411,000

6,414,757

0.375% 5/31/16

5,927,000

5,927,000

0.5% 6/15/16

6,221,000

6,234,612

0.5% 7/31/17

6,161,000

6,087,838

0.625% 7/15/16

6,232,000

6,258,779

0.625% 8/15/16

6,376,000

6,399,413

0.625% 10/15/16

5,870,000

5,882,380

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

0.625% 11/15/16

$ 5,867,000

$ 5,874,791

0.625% 12/15/16

5,859,000

5,861,748

0.625% 2/15/17

5,905,000

5,897,619

0.625% 5/31/17

6,785,000

6,747,893

0.625% 8/31/17

6,712,000

6,648,551

0.625% 9/30/17

6,013,000

5,947,705

0.625% 11/30/17

6,894,000

6,799,208

0.625% 4/30/18

6,137,000

6,006,589

0.75% 1/15/17

5,826,000

5,842,383

0.75% 3/15/17

5,971,000

5,978,464

0.75% 6/30/17

6,383,000

6,365,051

0.75% 10/31/17

5,885,000

5,837,643

0.75% 12/31/17

5,979,000

5,913,602

0.75% 2/28/18

5,775,000

5,695,143

0.75% 3/31/18

5,185,000

5,105,198

0.875% 9/15/16

6,023,000

6,074,292

0.875% 11/30/16

6,842,000

6,891,714

0.875% 12/31/16

6,956,000

7,001,103

0.875% 1/31/17

6,915,000

6,953,897

0.875% 2/28/17

6,606,000

6,638,515

0.875% 4/15/17

5,999,000

6,021,496

0.875% 4/30/17

6,817,000

6,837,771

0.875% 5/15/17

5,804,000

5,820,779

0.875% 1/31/18

4,375,000

4,340,823

1% 8/31/16

6,931,000

7,013,306

1% 9/30/16

6,788,000

6,864,894

1% 10/31/16

6,931,000

7,006,264

1% 3/31/17

6,499,000

6,547,743

1% 5/31/18

6,600,000

6,543,794

1.125% 5/31/19

2,440,000

2,390,819

1.25% 8/31/15

7,035,000

7,131,457

1.25% 9/30/15

6,896,000

6,994,592

1.25% 10/31/15

7,055,000

7,159,724

1.25% 10/31/18

6,348,000

6,316,260

1.25% 11/30/18

6,596,000

6,554,775

1.25% 1/31/19

4,648,000

4,606,967

1.25% 4/30/19

1,891,000

1,867,658

1.375% 11/30/15

7,185,000

7,308,776

1.375% 6/30/18

4,896,000

4,920,480

1.375% 7/31/18

5,892,000

5,915,933

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.375% 9/30/18

$ 9,491,000

$ 9,505,819

1.375% 11/30/18

2,671,000

2,669,956

1.375% 12/31/18

3,340,000

3,334,519

1.375% 2/28/19

4,929,000

4,905,893

1.5% 6/30/16

6,257,000

6,397,783

1.5% 7/31/16

6,791,000

6,945,387

1.5% 8/31/18

9,145,000

9,219,303

1.5% 12/31/18

6,949,000

6,974,517

1.5% 1/31/19

7,022,000

7,039,007

1.5% 2/28/19

6,913,000

6,924,344

1.5% 3/31/19

2,334,000

2,335,277

1.5% 5/31/19

7,036,000

7,022,808

1.625% 3/31/19

6,875,000

6,917,969

1.625% 4/30/19

6,998,000

7,032,990

1.75% 7/31/15

7,207,000

7,341,569

1.75% 5/31/16

4,533,000

4,656,597

1.75% 10/31/18

2,441,000

2,482,956

1.875% 6/30/15

7,385,000

7,524,333

1.875% 8/31/17

5,303,000

5,465,404

1.875% 9/30/17

4,524,000

4,660,426

1.875% 10/31/17

5,215,000

5,371,450

2% 1/31/16

6,690,000

6,882,598

2% 4/30/16

4,529,000

4,671,768

2.125% 12/31/15

7,108,000

7,318,461

2.125% 2/29/16

3,085,000

3,184,056

2.25% 3/31/16

4,382,000

4,536,737

2.25% 11/30/17

4,322,000

4,504,674

2.25% 7/31/18

1,895,000

1,970,800

2.375% 3/31/16

3,213,000

3,334,869

2.375% 7/31/17

4,325,000

4,526,722

2.375% 5/31/18

2,148,000

2,246,170

2.375% 6/30/18

2,738,000

2,863,135

2.5% 6/30/17

3,945,000

4,143,481

2.625% 2/29/16

2,497,000

2,599,320

2.625% 4/30/16

2,646,000

2,761,247

2.625% 1/31/18

3,038,000

3,206,989

2.625% 4/30/18

2,197,000

2,318,520

2.75% 11/30/16

4,670,000

4,921,013

2.75% 5/31/17

4,023,000

4,254,323

2.75% 12/31/17

3,337,000

3,536,960

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2.75% 2/28/18

$ 2,544,000

$ 2,698,230

2.75% 2/15/19

4,856,000

5,141,669

2.875% 3/31/18

3,046,000

3,243,990

3% 8/31/16

4,531,000

4,787,282

3% 9/30/16

4,733,000

5,006,624

3% 2/28/17

4,260,000

4,526,582

3.125% 10/31/16

5,289,000

5,616,257

3.125% 1/31/17

5,144,000

5,479,965

3.125% 4/30/17

3,926,000

4,192,230

3.125% 5/15/19

6,300,000

6,780,866

3.25% 5/31/16

3,178,000

3,359,991

3.25% 6/30/16

3,493,000

3,698,486

3.25% 7/31/16

4,377,000

4,642,356

3.25% 12/31/16

4,351,000

4,644,014

3.25% 3/31/17

4,498,000

4,815,671

3.5% 2/15/18

4,552,000

4,948,880

3.75% 11/15/18

5,337,000

5,893,633

3.875% 5/15/18

2,411,000

2,662,648

4% 8/15/18

2,725,000

3,032,200

4.25% 8/15/15

5,761,000

6,045,000

4.25% 11/15/17

3,296,000

3,660,363

4.5% 11/15/15

4,598,000

4,884,658

4.5% 2/15/16

3,865,000

4,143,098

4.5% 5/15/17

2,438,000

2,702,372

4.625% 11/15/16

3,586,000

3,941,236

4.625% 2/15/17

2,969,000

3,284,456

4.75% 8/15/17

3,011,000

3,379,143

4.875% 8/15/16

3,260,000

3,576,067

5.125% 5/15/16

2,953,000

3,226,383

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $757,324,416)

760,736,464

Cash Equivalents - 0.6%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 0.07%, dated 5/30/14 due 6/2/14 (Collateralized by U.S. Government Obligations) #
(Cost $4,515,000)

$ 4,515,026

$ 4,515,000

TOTAL INVESTMENT PORTFOLIO - 99.6%

(Cost $761,839,416)

765,251,464

NET OTHER ASSETS (LIABILITIES) - 0.4%

2,867,735

NET ASSETS - 100%

$ 768,119,199

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

Repurchase Agreement / Counterparty

Value

$4,515,000 due 6/02/14 at 0.07%

BNP Paribas Securities Corp.

$ 632,318

Commerz Markets LLC

2,588,455

Mizuho Securities USA, Inc.

1,294,227

 

$ 4,515,000

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. 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, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At May 31, 2014, the cost of investment securities for income tax purposes was $761,891,329. Net unrealized appreciation aggregated $3,360,135, of which $4,775,773 related to appreciated investment securities and $1,415,638 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. U.S. government and government agency obligations 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.

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

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

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:

July 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:

July 30, 2014

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

July 30, 2014