N-Q 1 filing836.htm PRIMARY DOCUMENT

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)


Marc Bryant, 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 29

 

 

Date of reporting period:

November 30, 2015


Item 1.

Schedule of Investments




Quarterly Holdings Report
for

Spartan® Short-Term Treasury Bond Index Fund

November 30, 2015







STD-QTLY-0116
1.841647.109





Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.6%   
 Principal Amount Value 
U.S. Treasury Obligations - 99.6%   
U.S. Treasury Bonds:   
8.125% 8/15/19 $1,677,000 $2,083,280 
8.5% 2/15/20 908,000 1,165,716 
8.75% 5/15/17 2,207,000 2,459,856 
8.75% 5/15/20 748,000 977,513 
8.75% 8/15/20 1,157,000 1,528,506 
8.875% 8/15/17 1,389,000 1,577,654 
8.875% 2/15/19 1,602,000 1,986,293 
9% 11/15/18 884,000 1,084,350 
9.125% 5/15/18 817,000 977,304 
U.S. Treasury Notes:   
0.5% 1/31/17 6,236,000 6,216,269 
0.5% 2/28/17 6,192,000 6,170,229 
0.5% 3/31/17 5,986,000 5,962,152 
0.5% 4/30/17 6,653,000 6,623,115 
0.5% 7/31/17 6,996,000 6,954,458 
0.625% 12/15/16 7,098,000 7,089,128 
0.625% 12/31/16 6,398,000 6,388,256 
0.625% 2/15/17 7,393,000 7,380,003 
0.625% 5/31/17 14,665,000 14,616,312 
0.625% 6/30/17 6,141,000 6,119,169 
0.625% 7/31/17 6,261,000 6,236,545 
0.625% 8/31/17 14,973,000 14,902,799 
0.625% 9/30/17 13,890,000 13,820,550 
0.625% 11/30/17 8,758,000 8,699,838 
0.625% 4/30/18 8,032,000 7,944,467 
0.75% 1/15/17 6,856,000 6,854,128 
0.75% 3/15/17 6,721,000 6,717,061 
0.75% 6/30/17 7,833,000 7,818,924 
0.75% 10/31/17 14,126,000 14,078,000 
0.75% 12/31/17 7,336,000 7,299,892 
0.75% 2/28/18 6,849,000 6,804,858 
0.75% 3/31/18 6,464,000 6,418,804 
0.75% 4/15/18 5,835,000 5,791,010 
0.875% 12/31/16 8,725,000 8,735,566 
0.875% 1/31/17 8,845,000 8,853,987 
0.875% 2/28/17 8,502,000 8,510,970 
0.875% 4/15/17 7,832,000 7,839,033 
0.875% 4/30/17 8,568,000 8,574,357 
0.875% 5/15/17 6,629,000 6,633,402 
0.875% 6/15/17 6,543,000 6,546,069 
0.875% 7/15/17 6,597,000 6,597,772 
0.875% 8/15/17 6,683,000 6,681,957 
0.875% 10/15/17 6,655,000 6,650,322 
0.875% 11/15/17 6,412,000 6,403,235 
0.875% 11/30/17 2,746,000 2,742,568 
0.875% 1/15/18 5,678,000 5,661,363 
0.875% 1/31/18 4,784,000 4,769,610 
0.875% 7/15/18 5,815,000 5,775,022 
0.875% 10/15/18 5,925,000 5,868,298 
0.875% 7/31/19 3,512,000 3,443,818 
1% 3/31/17 7,755,000 7,775,597 
1% 9/15/17 6,492,000 6,503,160 
1% 12/15/17 6,089,000 6,091,381 
1% 2/15/18 5,700,000 5,695,104 
1% 3/15/18 6,173,000 6,165,525 
1% 5/15/18 5,345,000 5,331,846 
1% 5/31/18 7,963,000 7,940,919 
1% 8/15/18 5,749,000 5,722,503 
1% 9/15/18 6,136,000 6,103,884 
1% 6/30/19 2,430,000 2,398,296 
1% 8/31/19 3,773,000 3,711,983 
1% 9/30/19 5,235,000 5,145,230 
1% 11/30/19 5,324,000 5,221,470 
1.125% 6/15/18 6,133,000 6,134,435 
1.125% 5/31/19 3,125,000 3,100,588 
1.125% 12/31/19 5,315,000 5,233,197 
1.125% 3/31/20 3,885,000 3,813,065 
1.125% 4/30/20 5,374,000 5,270,508 
1.25% 10/31/18 8,058,000 8,068,387 
1.25% 11/15/18 1,545,000 1,546,207 
1.25% 11/30/18 7,170,000 7,175,041 
1.25% 1/31/19 6,033,000 6,026,400 
1.25% 4/30/19 2,529,000 2,520,406 
1.25% 10/31/19 2,973,000 2,949,656 
1.25% 1/31/20 8,662,000 8,561,166 
1.25% 2/29/20 4,680,000 4,620,770 
1.375% 6/30/18 5,717,000 5,755,190 
1.375% 7/31/18 6,734,000 6,775,037 
1.375% 9/30/18 11,547,000 11,606,987 
1.375% 11/30/18 3,718,000 3,733,976 
1.375% 12/31/18 4,748,000 4,764,694 
1.375% 2/28/19 5,937,000 5,947,437 
1.375% 1/31/20 6,113,000 6,071,450 
1.375% 2/29/20 8,849,000 8,781,942 
1.375% 3/31/20 8,086,000 8,017,140 
1.375% 4/30/20 8,793,000 8,711,937 
1.375% 5/31/20 6,192,000 6,125,727 
1.375% 8/31/20 8,530,000 8,429,372 
1.375% 9/30/20 8,737,000 8,623,008 
1.375% 10/31/20 9,060,000 8,938,252 
1.5% 8/31/18 11,579,000 11,683,026 
1.5% 12/31/18 8,278,000 8,336,525 
1.5% 1/31/19 7,466,000 7,515,291 
1.5% 2/28/19 7,858,000 7,903,734 
1.5% 3/31/19 2,798,000 2,813,848 
1.5% 5/31/19 8,672,000 8,709,940 
1.5% 10/31/19 8,328,000 8,337,111 
1.5% 11/30/19 8,418,000 8,418,657 
1.5% 5/31/20 8,730,000 8,691,806 
1.625% 3/31/19 8,301,000 8,377,527 
1.625% 4/30/19 7,457,000 7,523,412 
1.625% 6/30/19 8,580,000 8,649,713 
1.625% 7/31/19 8,743,000 8,809,254 
1.625% 8/31/19 8,120,000 8,179,000 
1.625% 12/31/19 8,783,000 8,821,426 
1.625% 6/30/20 8,840,000 8,840,690 
1.625% 7/31/20 8,275,000 8,270,474 
1.625% 11/30/20 6,812,000 6,803,751 
1.75% 10/31/18 3,307,000 3,358,930 
1.75% 9/30/19 8,267,000 8,357,747 
1.75% 10/31/20 6,683,000 6,702,581 
1.875% 8/31/17 6,620,000 6,732,487 
1.875% 9/30/17 5,785,000 5,888,274 
1.875% 10/31/17 6,955,000 7,079,703 
1.875% 6/30/20 4,210,000 4,257,363 
2% 7/31/20 5,314,000 5,399,524 
2% 9/30/20 5,456,000 5,543,171 
2% 11/30/20 6,215,000 6,304,825 
2.125% 8/31/20 6,512,000 6,650,634 
2.25% 11/30/17 5,478,000 5,617,092 
2.25% 7/31/18 2,486,000 2,558,832 
2.375% 7/31/17 5,949,000 6,097,725 
2.375% 5/31/18 3,407,000 3,515,332 
2.375% 6/30/18 3,454,000 3,564,366 
2.5% 6/30/17 5,448,000 5,589,523 
2.625% 1/31/18 3,668,000 3,793,944 
2.625% 4/30/18 3,098,000 3,214,054 
2.625% 8/15/20 8,330,000 8,695,412 
2.625% 11/15/20 13,898,000 14,505,495 
2.75% 5/31/17 4,882,000 5,023,119 
2.75% 12/31/17 4,265,000 4,420,105 
2.75% 2/28/18 3,501,000 3,632,970 
2.75% 2/15/19 5,410,000 5,657,464 
2.875% 3/31/18 3,884,000 4,046,945 
3% 2/28/17 5,328,000 5,473,897 
3.125% 1/31/17 6,939,000 7,126,568 
3.125% 4/30/17 5,119,000 5,285,567 
3.125% 5/15/19 7,858,000 8,323,956 
3.25% 12/31/16 5,662,000 5,811,952 
3.25% 3/31/17 5,702,000 5,889,094 
3.375% 11/15/19 9,390,000 10,076,278 
3.5% 2/15/18 6,000,000 6,321,564 
3.5% 5/15/20 8,029,000 8,678,851 
3.625% 8/15/19 7,147,000 7,714,014 
3.625% 2/15/20 10,650,000 11,554,419 
3.75% 11/15/18 6,915,000 7,423,903 
3.875% 5/15/18 3,329,000 3,556,437 
4% 8/15/18 3,536,000 3,810,040 
4.25% 11/15/17 4,525,000 4,814,528 
4.5% 5/15/17 3,069,000 3,233,241 
4.625% 2/15/17 3,727,000 3,898,647 
4.75% 8/15/17 4,144,000 4,417,409 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $958,973,704)  958,445,828 
 Maturity Amount Value 
Cash Equivalents - 0.2%   
Investments in repurchase agreements in a joint trading account at 0.13%, dated 11/30/15 due 12/1/15 (Collateralized by U.S. Government Obligations) #   
(Cost $2,147,000) 2,147,008 2,147,000 
TOTAL INVESTMENT PORTFOLIO - 99.8%   
(Cost $961,120,704)  960,592,828 
NET OTHER ASSETS (LIABILITIES) - 0.2%  1,642,734 
NET ASSETS - 100%  $962,235,562 

Investment Valuation

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. Additional information on valuation inputs is provided later in this section.

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. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by 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 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 reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. 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.

Other Information

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

Repurchase Agreement / Counterparty Value 
$2,147,000 due 12/01/15 at 0.13%  
Commerz Markets LLC $2,147,000 
 $2,147,000 

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $960,598,245. Net unrealized depreciation aggregated $5,417, of which $2,344,301 related to appreciated investment securities and $2,349,718 related to depreciated investment securities.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder 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 Holdings Report
for

Spartan® Long-Term Treasury Bond Index Fund

November 30, 2015







LBX-QTLY-0116
1.841649.109





Investments November 30, 2015 (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:   
2.5% 2/15/45 $40,373,000 $36,420,847 
2.75% 8/15/42 22,859,000 21,924,113 
2.75% 11/15/42 28,191,000 26,979,661 
2.875% 5/15/43 40,213,000 39,382,039 
2.875% 8/15/45 40,771,000 39,861,603 
3% 5/15/42 14,666,000 14,814,948 
3% 11/15/44 40,409,000 40,480,039 
3% 5/15/45 40,356,000 40,411,167 
3% 11/15/45 15,687,000 15,751,348 
3.125% 11/15/41 13,956,000 14,480,983 
3.125% 2/15/42 17,390,000 18,029,900 
3.125% 2/15/43 28,491,000 29,334,590 
3.125% 8/15/44 40,751,000 41,868,474 
3.375% 5/15/44 40,437,000 43,602,449 
3.5% 2/15/39 12,384,000 13,769,943 
3.625% 8/15/43 33,212,000 37,585,356 
3.625% 2/15/44 40,237,000 45,503,943 
3.75% 8/15/41 15,528,000 17,920,275 
3.75% 11/15/43 39,988,000 46,281,430 
3.875% 8/15/40 15,515,000 18,211,336 
4.25% 5/15/39 11,502,000 14,279,998 
4.25% 11/15/40 16,369,000 20,328,890 
4.375% 2/15/38 6,342,000 8,044,180 
4.375% 11/15/39 12,726,000 16,077,507 
4.375% 5/15/40 18,239,000 23,046,691 
4.375% 5/15/41 14,000,000 17,749,368 
4.5% 2/15/36 14,045,000 18,110,915 
4.5% 5/15/38 7,164,000 9,247,155 
4.5% 8/15/39 12,269,000 15,781,958 
4.625% 2/15/40 21,732,000 28,436,670 
4.75% 2/15/37 4,810,000 6,414,212 
4.75% 2/15/41 18,453,000 24,629,717 
5% 5/15/37 6,082,000 8,385,083 
5.25% 11/15/28 7,955,000 10,450,571 
5.25% 2/15/29 6,149,000 8,100,108 
5.375% 2/15/31 12,723,000 17,348,510 
5.5% 8/15/28 6,545,000 8,757,773 
6% 2/15/26 7,630,000 10,259,069 
6.125% 11/15/27 8,918,000 12,429,115 
6.125% 8/15/29 4,888,000 6,977,429 
6.25% 5/15/30 7,848,000 11,442,753 
6.375% 8/15/27 4,109,000 5,813,434 
6.5% 11/15/26 5,243,000 7,387,508 
6.625% 2/15/27 3,144,000 4,488,673 
6.75% 8/15/26 3,464,000 4,943,779 
  921,545,510 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $878,523,659)  921,545,510 
 Maturity Amount Value 
Cash Equivalents - 0.8%   
Investments in repurchase agreements in a joint trading account at 0.13%, dated 11/30/15 due 12/1/15 (Collateralized by U.S. Government Obligations) #   
(Cost $7,259,000) 7,259,026 7,259,000 
TOTAL INVESTMENT PORTFOLIO - 100.2%   
(Cost $885,782,659)  928,804,510 
NET OTHER ASSETS (LIABILITIES) - (0.2)%  (2,167,844) 
NET ASSETS - 100%  $926,636,666 

Investment Valuation

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. Additional information on valuation inputs is provided later in this section.

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. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by 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 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 reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. 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.

Other Information

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

Repurchase Agreement / Counterparty Value 
$7,259,000 due 12/01/15 at 0.13%  
Commerz Markets LLC $7,259,000 
 $7,259,000 

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $891,356,189. Net unrealized appreciation aggregated $37,448,321, of which $49,967,821, related to appreciated investment securities and $12,519,500 related to depreciated investment securities.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder 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 Holdings Report
for

Spartan® Intermediate Treasury Bond Index Fund

November 30, 2015







ITB-QTLY-0116
1.841646.109





Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.5%   
 Principal Amount Value 
U.S. Treasury Obligations - 99.5%   
U.S. Treasury Bonds:   
6.25% 8/15/23 $5,817,000 $7,566,416 
6.875% 8/15/25 3,073,000 4,341,212 
7.125% 2/15/23 3,673,000 4,944,060 
7.25% 8/15/22 3,414,000 4,552,088 
7.5% 11/15/24 2,949,000 4,237,689 
7.625% 11/15/22 2,363,000 3,236,110 
7.625% 2/15/25 2,859,000 4,166,770 
7.875% 2/15/21 2,352,000 3,069,910 
8% 11/15/21 7,674,000 10,330,225 
8.125% 5/15/21 2,859,000 3,800,572 
8.125% 8/15/21 2,716,000 3,644,533 
U.S. Treasury Notes:   
1.5% 1/31/22 22,928,000 22,387,037 
1.625% 8/15/22 17,179,000 16,788,453 
1.625% 11/15/22 26,893,000 26,249,047 
1.75% 2/28/22 21,975,000 21,757,821 
1.75% 3/31/22 23,332,000 23,079,548 
1.75% 4/30/22 22,231,000 21,974,832 
1.75% 5/15/22 19,134,000 18,900,795 
1.75% 9/30/22 22,722,000 22,382,056 
1.75% 5/15/23 39,365,000 38,554,632 
1.875% 11/30/21 22,850,000 22,850,891 
1.875% 5/31/22 22,207,000 22,100,295 
1.875% 8/31/22 22,931,000 22,778,715 
1.875% 10/31/22 23,330,000 23,154,115 
2% 2/28/21 19,601,000 19,850,599 
2% 5/31/21 20,527,000 20,752,325 
2% 8/31/21 22,765,000 22,971,296 
2% 10/31/21 23,048,000 23,226,253 
2% 11/15/21 31,962,000 32,202,962 
2% 2/15/22 23,486,000 23,635,535 
2% 7/31/22 23,321,000 23,371,094 
2% 11/30/22 23,320,000 23,330,937 
2% 2/15/23 39,223,000 39,221,470 
2% 2/15/25 52,248,000 51,333,660 
2% 8/15/25 52,249,000 51,230,562 
2.125% 1/31/21 19,598,000 19,977,711 
2.125% 6/30/21 20,876,000 21,241,330 
2.125% 8/15/21 31,535,000 32,067,153 
2.125% 9/30/21 23,314,000 23,671,917 
2.125% 12/31/21 22,491,000 22,798,497 
2.125% 6/30/22 22,242,000 22,467,022 
2.125% 5/15/25 50,901,000 50,495,370 
2.25% 3/31/21 18,962,000 19,437,529 
2.25% 4/30/21 20,474,000 20,986,648 
2.25% 7/31/21 22,676,000 23,208,364 
2.25% 11/15/24 52,236,000 52,505,328 
2.25% 11/15/25 19,155,000 19,217,848 
2.375% 12/31/20 18,235,000 18,828,349 
2.375% 8/15/24 50,810,000 51,633,681 
2.5% 8/15/23 34,188,000 35,279,076 
2.5% 5/15/24 49,965,000 51,342,935 
2.75% 11/15/23 45,553,000 47,834,203 
2.75% 2/15/24 38,666,000 40,532,833 
3.125% 5/15/21 23,732,000 25,365,426 
3.625% 2/15/21 35,918,000 39,264,265 
  1,326,130,000 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,313,153,454)  1,326,130,000 
 Maturity Amount Value 
Cash Equivalents - 0.4%   
Investments in repurchase agreements in a joint trading account at 0.13%, dated 11/30/15 due 12/1/15 (Collateralized by U.S. Government Obligations) #   
(Cost $5,596,000) 5,596,020 5,596,000 
TOTAL INVESTMENT PORTFOLIO - 99.9%   
(Cost $1,318,749,454)  1,331,726,000 
NET OTHER ASSETS (LIABILITIES) - 0.1%  791,842 
NET ASSETS - 100%  $1,332,517,842 

Investment Valuation

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. Additional information on valuation inputs is provided later in this section.

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. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by 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 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 reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. 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.

Other Information

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

Repurchase Agreement / Counterparty Value 
$5,596,000 due 12/01/15 at 0.13%  
Commerz Markets LLC $5,596,000 
 $5,596,000 

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $1,318,177,779. Net unrealized appreciation aggregated $13,548,221, of which $19,610,208 related to appreciated investment securities and $6,061,987 related to depreciated investment securities.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder 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 Holdings Report
for

Fidelity® SAI Long-Term Treasury Bond Index Fund

November 30, 2015







SV5-QTLY-0116
1.9867819.100





Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.5%   
 Principal Amount Value 
U.S. Treasury Obligations - 99.5%   
U.S. Treasury Bonds:   
2.5% 2/15/45 $34,382,800 $31,017,033 
2.75% 8/15/42 19,187,500 18,402,770 
2.75% 11/15/42 24,040,100 23,007,121 
2.875% 5/15/43 33,929,200 33,228,087 
2.875% 8/15/45 34,805,100 34,028,772 
3% 5/15/42 12,963,700 13,095,359 
3% 11/15/44 34,377,800 34,438,236 
3% 5/15/45 34,856,800 34,904,449 
3% 11/15/45 13,000,000 13,053,326 
3.125% 11/15/41 12,314,700 12,777,942 
3.125% 2/15/42 15,057,100 15,611,156 
3.125% 2/15/43 24,021,600 24,732,856 
3.125% 8/15/44 34,760,800 35,714,011 
3.375% 5/15/44 34,742,800 37,462,501 
3.5% 2/15/39 10,574,200 11,757,601 
3.625% 8/15/43 28,518,600 32,273,929 
3.625% 2/15/44 34,151,500 38,621,863 
3.75% 8/15/41 13,556,700 15,645,272 
3.75% 11/15/43 33,920,100 39,258,549 
3.875% 8/15/40 13,251,700 15,554,700 
4.25% 5/15/39 9,310,100 11,558,703 
4.25% 11/15/40 14,121,800 17,538,061 
4.375% 2/15/38 5,770,200 7,318,910 
4.375% 11/15/39 10,754,200 13,586,415 
4.375% 5/15/40 15,327,700 19,367,990 
4.375% 5/15/41 11,827,700 14,995,300 
4.5% 2/15/36 11,850,600 15,281,254 
4.5% 5/15/38 6,497,300 8,386,591 
4.5% 8/15/39 9,965,000 12,818,259 
4.625% 2/15/40 18,427,900 24,113,202 
4.75% 2/15/37 3,999,000 5,332,730 
4.75% 2/15/41 15,803,900 21,093,892 
5% 5/15/37 5,502,800 7,586,556 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $702,072,038)  693,563,396 
 Maturity Amount Value 
Cash Equivalents - 0.7%   
Investments in repurchase agreements in a joint trading account at 0.13%, dated 11/30/15 due 12/1/15 (Collateralized by U.S. Government Obligations) #   
(Cost $5,158,000) 5,158,019 5,158,000 
TOTAL INVESTMENT PORTFOLIO - 100.2%   
(Cost $707,230,038)  698,721,396 
NET OTHER ASSETS (LIABILITIES) - (0.2)%  (1,439,611) 
NET ASSETS - 100%  $697,281,785 

Investment Valuation

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. Additional information on valuation inputs is provided later in this section.

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. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by 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 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 reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. 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.

Other Information

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

Repurchase Agreement / Counterparty Value 
$5,158,000 due 12/01/15 at 0.13%  
Commerz Markets LLC $5,158,000 

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $707,323,221. Net unrealized depreciation aggregated $8,601,825, of which $41,453 related to appreciated investment securities and $8,643,278 related to depreciated investment securities.





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.

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.


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 Trusts internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trusts last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trusts 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:

January 28, 2016


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:

January 28, 2016



 

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

January 28, 2016