N-CSRS 1 filing836.htm PRIMARY DOCUMENT

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES


Investment Company Act file number   811-2105


Fidelity Salem Street Trust

(Exact name of registrant as specified in charter)


245 Summer St., Boston, MA 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:

January 31


Date of reporting period:

July 31, 2018


Item 1.

Reports to Stockholders




Fidelity® Series Large Cap Value Index Fund (formerly Fidelity® Series 1000 Value Index Fund)



Semi-Annual Report

July 31, 2018



Fidelity Investments


Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2018 FMR LLC. All rights reserved.



This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Investment Summary (Unaudited)

Top Ten Stocks as of July 31, 2018

 % of fund's net assets 
JPMorgan Chase & Co. 2.9 
Exxon Mobil Corp. 2.6 
Berkshire Hathaway, Inc. Class B 2.5 
Bank of America Corp. 2.2 
Johnson & Johnson 2.2 
Wells Fargo & Co. 1.9 
Chevron Corp. 1.8 
AT&T, Inc. 1.7 
Pfizer, Inc. 1.7 
Intel Corp. 1.7 
 21.2 

Top Market Sectors as of July 31, 2018

 % of fund's net assets 
Financials 23.6 
Health Care 14.3 
Energy 10.8 
Information Technology 9.7 
Consumer Discretionary 8.2 
Industrials 8.1 
Consumer Staples 7.2 
Utilities 5.6 
Real Estate 4.7 
Materials 4.1 

Asset Allocation (% of fund's net assets)

As of July 31, 2018* 
   Stocks and Equity Futures 100.1% 
 Short-Term Investments and Net Other Assets (Liabilities)** (0.1)% 


 * Foreign investments – 5.6%

 ** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

Schedule of Investments July 31, 2018 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 99.8%   
 Shares Value 
CONSUMER DISCRETIONARY - 8.2%   
Auto Components - 0.3%   
Adient PLC 26,620 $1,267,911 
Aptiv PLC 9,954 976,189 
BorgWarner, Inc. 59,549 2,740,445 
Gentex Corp. 24,852 576,566 
Lear Corp. 16,870 3,038,793 
The Goodyear Tire & Rubber Co. 68,402 1,656,012 
Visteon Corp. (a) 3,074 359,904 
  10,615,820 
Automobiles - 0.7%   
Ford Motor Co. 1,111,569 11,160,153 
General Motors Co. 373,092 14,143,918 
Harley-Davidson, Inc. 47,409 2,033,372 
Thor Industries, Inc. 2,427 230,201 
  27,567,644 
Distributors - 0.2%   
Genuine Parts Co. 40,709 3,961,393 
LKQ Corp. (a) 73,186 2,453,195 
  6,414,588 
Diversified Consumer Services - 0.1%   
Bright Horizons Family Solutions, Inc. (a) 2,447 261,805 
Graham Holdings Co. 1,196 668,564 
H&R Block, Inc. 48,808 1,228,009 
Service Corp. International 26,844 1,056,311 
  3,214,689 
Hotels, Restaurants & Leisure - 1.8%   
ARAMARK Holdings Corp. 69,552 2,796,686 
Caesars Entertainment Corp. (a)(b) 169,071 1,910,502 
Carnival Corp. 115,447 6,839,080 
Darden Restaurants, Inc. 17,497 1,871,129 
Extended Stay America, Inc. unit 21,594 459,736 
Hyatt Hotels Corp. Class A 12,946 1,012,766 
International Game Technology PLC (b) 26,468 669,111 
Las Vegas Sands Corp. 39,566 2,844,795 
McDonald's Corp. 180,495 28,435,182 
MGM Mirage, Inc. 134,673 4,224,692 
Norwegian Cruise Line Holdings Ltd. (a) 58,386 2,921,052 
Royal Caribbean Cruises Ltd. 48,020 5,414,735 
U.S. Foods Holding Corp. (a) 57,705 1,951,006 
Yum China Holdings, Inc. 96,518 3,482,369 
Yum! Brands, Inc. 65,225 5,171,690 
  70,004,531 
Household Durables - 0.5%   
D.R. Horton, Inc. 40,515 1,770,506 
Garmin Ltd. 32,400 2,023,380 
Leggett & Platt, Inc. 37,287 1,624,595 
Lennar Corp.:   
Class A 35,350 1,847,745 
Class B 4,604 198,893 
Mohawk Industries, Inc. (a) 17,705 3,334,914 
Newell Brands, Inc. 128,376 3,362,167 
PulteGroup, Inc. 50,335 1,434,044 
Toll Brothers, Inc. 19,722 695,398 
Whirlpool Corp. 19,722 2,585,554 
  18,877,196 
Internet & Direct Marketing Retail - 0.1%   
Liberty Interactive Corp. QVC Group Series A (a) 123,804 2,635,787 
Leisure Products - 0.1%   
Brunswick Corp. 22,292 1,433,376 
Hasbro, Inc. 7,028 700,059 
Mattel, Inc. (b) 76,320 1,211,198 
  3,344,633 
Media - 3.0%   
Charter Communications, Inc. Class A (a) 14,965 4,558,040 
Cinemark Holdings, Inc. (b) 30,483 1,094,949 
Comcast Corp. Class A 1,301,706 46,575,041 
Discovery Communications, Inc.:   
Class A (a)(b) 64,588 1,716,749 
Class C (non-vtg.) (a) 75,518 1,853,967 
DISH Network Corp. Class A (a) 63,184 1,994,087 
GCI Liberty, Inc. (a) 28,686 1,380,083 
Interpublic Group of Companies, Inc. 98,190 2,214,185 
John Wiley & Sons, Inc. Class A 12,626 797,332 
Liberty Broadband Corp.:   
Class A (a) 6,045 479,610 
Class C (a) 30,826 2,449,742 
Liberty Media Corp.:   
Liberty Formula One Group Series C (a) 55,010 1,939,103 
Liberty Media Class A (a)(b) 8,277 277,362 
Liberty SiriusXM Series A (a) 17,516 825,704 
Liberty SiriusXM Series C (a) 54,837 2,589,952 
Lions Gate Entertainment Corp.:   
Class A 5,783 137,925 
Class B 32,785 749,793 
News Corp.:   
Class A 106,411 1,603,614 
Class B 36,877 564,218 
Omnicom Group, Inc. 21,753 1,497,259 
The Madison Square Garden Co. (a) 4,719 1,473,177 
The Walt Disney Co. 120,617 13,697,267 
Tribune Media Co. Class A 24,928 843,813 
Twenty-First Century Fox, Inc.:   
Class A 297,135 13,371,075 
Class B 139,242 6,185,130 
Viacom, Inc.:   
Class A 769 26,454 
Class B (non-vtg.) 103,090 2,994,765 
  113,890,396 
Multiline Retail - 0.6%   
Dollar Tree, Inc. (a) 55,446 5,061,111 
Kohl's Corp. 47,570 3,513,996 
Macy's, Inc. 87,062 3,458,973 
Target Corp. 152,765 12,325,080 
  24,359,160 
Specialty Retail - 0.5%   
Advance Auto Parts, Inc. 14,050 1,984,282 
AutoNation, Inc. (a)(b) 15,789 766,240 
AutoZone, Inc. (a) 958 675,898 
Best Buy Co., Inc. 51,289 3,848,214 
CarMax, Inc. (a) 19,966 1,491,061 
Dick's Sporting Goods, Inc. 21,993 750,841 
Foot Locker, Inc. 33,420 1,631,230 
Gap, Inc. 58,363 1,760,812 
L Brands, Inc. 53,619 1,698,114 
Michaels Companies, Inc. (a) 25,965 529,946 
Penske Automotive Group, Inc. 10,105 527,481 
Tiffany & Co., Inc. 29,046 3,995,568 
Williams-Sonoma, Inc. 18,267 1,068,437 
  20,728,124 
Textiles, Apparel & Luxury Goods - 0.3%   
Columbia Sportswear Co. 7,602 661,222 
Michael Kors Holdings Ltd. (a) 18,796 1,254,257 
PVH Corp. 21,784 3,344,280 
Ralph Lauren Corp. 15,632 2,110,007 
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) 19,954 553,125 
Tapestry, Inc. 65,839 3,102,334 
Under Armour, Inc.:   
Class A (sub. vtg.) (a)(b) 11,413 227,918 
Class C (non-vtg.) (a)(b) 14,414 270,118 
VF Corp. 21,170 1,949,122 
  13,472,383 
TOTAL CONSUMER DISCRETIONARY  315,124,951 
CONSUMER STAPLES - 7.2%   
Beverages - 0.5%   
Molson Coors Brewing Co. Class B 49,393 3,309,331 
PepsiCo, Inc. 45,601 5,244,115 
The Coca-Cola Co. 244,102 11,382,476 
  19,935,922 
Food & Staples Retailing - 1.6%   
Casey's General Stores, Inc. 10,606 1,160,084 
Kroger Co. 242,135 7,021,915 
Walgreens Boots Alliance, Inc. 241,016 16,297,502 
Walmart, Inc. 406,484 36,270,567 
  60,750,068 
Food Products - 2.1%   
Archer Daniels Midland Co. 158,970 7,671,892 
Bunge Ltd. 40,060 2,769,348 
Campbell Soup Co. (b) 15,641 639,717 
ConAgra Foods, Inc. 107,324 3,939,864 
Flowers Foods, Inc. 51,087 1,042,175 
General Mills, Inc. 160,196 7,378,628 
Hormel Foods Corp. (b) 77,335 2,781,740 
Ingredion, Inc. 20,479 2,074,523 
Kellogg Co. 35,346 2,510,626 
Lamb Weston Holdings, Inc. 41,703 2,930,470 
McCormick & Co., Inc. (non-vtg.) 32,594 3,831,099 
Mondelez International, Inc. 412,562 17,896,940 
Pilgrim's Pride Corp. (a)(b) 14,579 259,798 
Pinnacle Foods, Inc. 33,702 2,238,487 
Post Holdings, Inc. (a) 7,880 682,093 
Seaboard Corp. 75 272,850 
The Hain Celestial Group, Inc. (a) 27,149 772,118 
The Hershey Co. 3,583 351,886 
The J.M. Smucker Co. 31,318 3,480,056 
The Kraft Heinz Co. 171,608 10,339,382 
TreeHouse Foods, Inc. (a) 15,425 732,533 
Tyson Foods, Inc. Class A 82,782 4,772,382 
  79,368,607 
Household Products - 1.9%   
Church & Dwight Co., Inc. 10,539 589,130 
Clorox Co. 4,797 648,410 
Colgate-Palmolive Co. 197,736 13,250,289 
Energizer Holdings, Inc. 7,080 450,854 
Kimberly-Clark Corp. 12,946 1,474,032 
Procter & Gamble Co. 717,343 58,018,702 
Spectrum Brands Holdings, Inc. 6,285 549,120 
  74,980,537 
Personal Products - 0.1%   
Coty, Inc. Class A 132,596 1,778,112 
Herbalife Nutrition Ltd. (a) 26,802 1,383,787 
Nu Skin Enterprises, Inc. Class A 10,850 790,423 
  3,952,322 
Tobacco - 1.0%   
Philip Morris International, Inc. 442,580 38,194,654 
TOTAL CONSUMER STAPLES  277,182,110 
ENERGY - 10.8%   
Energy Equipment & Services - 1.1%   
Baker Hughes, a GE Co. Class A 118,522 4,098,491 
Helmerich & Payne, Inc. 30,215 1,853,690 
Nabors Industries Ltd. 97,209 581,310 
National Oilwell Varco, Inc. 108,741 5,286,987 
Patterson-UTI Energy, Inc. 62,240 1,070,528 
RPC, Inc. (b) 9,506 140,689 
Schlumberger Ltd. 394,885 26,662,635 
Transocean Ltd. (United States) (a)(b) 122,049 1,570,771 
Weatherford International PLC (a)(b) 283,512 961,106 
  42,226,207 
Oil, Gas & Consumable Fuels - 9.7%   
Anadarko Petroleum Corp. 97,379 7,123,274 
Andeavor 40,097 6,016,956 
Antero Resources Corp. (a)(b) 32,083 658,985 
Apache Corp. 101,911 4,687,906 
Cabot Oil & Gas Corp. 33,512 787,532 
Centennial Resource Development, Inc. Class A (a)(b) 52,114 935,967 
Cheniere Energy, Inc. (a) 18,158 1,153,033 
Chesapeake Energy Corp. (a)(b) 255,871 1,207,711 
Chevron Corp. 542,708 68,527,739 
Cimarex Energy Co. 23,412 2,308,423 
CNX Resources Corp. (a) 61,023 993,454 
Concho Resources, Inc. (a) 48,178 7,026,761 
ConocoPhillips Co. 333,579 24,074,396 
Continental Resources, Inc. (a) 12,898 823,795 
Devon Energy Corp. 148,731 6,694,382 
Diamondback Energy, Inc. 20,679 2,728,594 
Energen Corp. (a) 24,871 1,844,931 
EOG Resources, Inc. 146,064 18,833,492 
EQT Corp. 75,383 3,745,027 
Extraction Oil & Gas, Inc. (a)(b) 31,524 476,643 
Exxon Mobil Corp. 1,207,091 98,389,987 
Hess Corp. 75,447 4,951,587 
HollyFrontier Corp. 46,081 3,436,721 
Kinder Morgan, Inc. 540,281 9,606,196 
Kosmos Energy Ltd. (a)(b) 54,659 414,315 
Marathon Oil Corp. 242,279 5,116,932 
Marathon Petroleum Corp. 130,337 10,535,140 
Murphy Oil Corp. 46,707 1,553,475 
Newfield Exploration Co. (a) 36,059 1,035,614 
Noble Energy, Inc. 136,612 4,930,327 
Occidental Petroleum Corp. 218,254 18,318,058 
ONEOK, Inc. 68,370 4,815,983 
Parsley Energy, Inc. Class A (a) 22,627 711,167 
PBF Energy, Inc. Class A 31,736 1,482,071 
Phillips 66 Co. 119,725 14,766,882 
Pioneer Natural Resources Co. 21,649 4,097,506 
QEP Resources, Inc. (a) 67,253 698,759 
Range Resources Corp. (b) 59,791 922,575 
SM Energy Co. 31,591 869,068 
Targa Resources Corp. 61,541 3,142,899 
The Williams Companies, Inc. 235,884 7,017,549 
Valero Energy Corp. 122,597 14,509,355 
Whiting Petroleum Corp. (a) 25,520 1,267,068 
WPX Energy, Inc. (a) 112,979 2,120,616 
  375,358,851 
TOTAL ENERGY  417,585,058 
FINANCIALS - 23.6%   
Banks - 12.0%   
Associated Banc-Corp. 48,341 1,305,207 
Bank of America Corp. 2,692,760 83,152,429 
Bank of Hawaii Corp. 11,160 898,268 
Bank of the Ozarks, Inc. 34,613 1,415,672 
BankUnited, Inc. 29,670 1,152,976 
BB&T Corp. 221,851 11,272,249 
BOK Financial Corp. 7,455 725,595 
CIT Group, Inc. 36,191 1,915,590 
Citigroup, Inc. 726,787 52,248,717 
Citizens Financial Group, Inc. 138,056 5,491,868 
Comerica, Inc. 45,994 4,458,658 
Commerce Bancshares, Inc. 27,129 1,812,217 
Cullen/Frost Bankers, Inc. 16,302 1,801,208 
East West Bancorp, Inc. 38,069 2,464,587 
Fifth Third Bancorp 195,147 5,774,400 
First Citizen Bancshares, Inc. 2,235 909,243 
First Hawaiian, Inc. 19,601 553,924 
First Horizon National Corp. 92,233 1,650,048 
First Republic Bank 45,699 4,517,803 
FNB Corp., Pennsylvania 92,369 1,185,094 
Huntington Bancshares, Inc. 312,188 4,820,183 
JPMorgan Chase & Co. 965,352 110,967,203 
KeyCorp 300,899 6,279,762 
M&T Bank Corp. 41,275 7,155,021 
PacWest Bancorp 35,667 1,791,197 
Peoples United Financial, Inc. 98,974 1,804,296 
Pinnacle Financial Partners, Inc. 11,900 743,750 
PNC Financial Services Group, Inc. 133,665 19,358,702 
Popular, Inc. 28,686 1,423,686 
Prosperity Bancshares, Inc. 19,024 1,334,534 
Regions Financial Corp. 319,748 5,950,510 
Signature Bank 5,685 623,701 
Sterling Bancorp 63,472 1,409,078 
SunTrust Banks, Inc. 132,276 9,533,131 
SVB Financial Group (a) 3,487 1,073,578 
Synovus Financial Corp. 30,605 1,512,499 
TCF Financial Corp. 47,072 1,181,978 
Texas Capital Bancshares, Inc. (a) 4,936 448,189 
U.S. Bancorp 438,017 23,219,281 
Umpqua Holdings Corp. 61,742 1,315,105 
Webster Financial Corp. 26,116 1,685,265 
Wells Fargo & Co. 1,251,437 71,694,826 
Western Alliance Bancorp. (a) 11,238 637,419 
Wintrust Financial Corp. 15,980 1,401,925 
Zions Bancorporation 55,427 2,865,576 
  464,936,148 
Capital Markets - 3.5%   
Affiliated Managers Group, Inc. 15,412 2,466,074 
Ameriprise Financial, Inc. 34,475 5,021,973 
Bank of New York Mellon Corp. 266,256 14,236,708 
BGC Partners, Inc. Class A 74,317 798,165 
BlackRock, Inc. Class A 35,082 17,637,826 
Brighthouse Financial, Inc. 34,167 1,483,873 
Cboe Global Markets, Inc. 2,283 221,748 
CME Group, Inc. 88,052 14,010,834 
E*TRADE Financial Corp. (a) 58,251 3,483,992 
Franklin Resources, Inc. 90,133 3,093,365 
Goldman Sachs Group, Inc. 100,812 23,935,793 
Interactive Brokers Group, Inc. 1,702 101,882 
IntercontinentalExchange, Inc. 78,564 5,806,665 
Invesco Ltd. 115,436 3,115,618 
Lazard Ltd. Class A 2,927 158,936 
Legg Mason, Inc. 23,849 813,966 
Morgan Stanley 355,468 17,972,462 
Northern Trust Corp. 42,469 4,638,464 
Raymond James Financial, Inc. 26,358 2,414,129 
State Street Corp. 96,673 8,537,193 
T. Rowe Price Group, Inc. 4,724 562,534 
The NASDAQ OMX Group, Inc. 33,379 3,050,841 
  133,563,041 
Consumer Finance - 0.9%   
Ally Financial, Inc. 122,629 3,281,552 
American Express Co. 64,210 6,390,179 
Capital One Financial Corp. 127,306 12,007,502 
Credit Acceptance Corp. (a)(b) 271 103,956 
Discover Financial Services 53,763 3,839,216 
Navient Corp. 74,403 982,864 
OneMain Holdings, Inc. (a) 20,233 672,747 
Santander Consumer U.S.A. Holdings, Inc. 28,578 549,841 
SLM Corp. (a) 123,934 1,399,215 
Synchrony Financial 140,327 4,061,063 
  33,288,135 
Diversified Financial Services - 2.6%   
AXA Equitable Holdings, Inc. (b) 39,085 859,479 
Berkshire Hathaway, Inc. Class B (a) 482,384 95,449,322 
Jefferies Financial Group, Inc. 88,320 2,141,760 
Voya Financial, Inc. 44,614 2,253,899 
  100,704,460 
Insurance - 4.3%   
AFLAC, Inc. 217,559 10,125,196 
Alleghany Corp. 3,706 2,332,075 
Allstate Corp. 99,932 9,505,532 
American Financial Group, Inc. 20,455 2,305,074 
American International Group, Inc. 219,104 12,096,732 
American National Insurance Co. 2,116 272,943 
Arch Capital Group Ltd. (a) 92,670 2,831,995 
Arthur J. Gallagher & Co. 51,363 3,664,750 
Aspen Insurance Holdings Ltd. 16,710 675,920 
Assurant, Inc. 14,925 1,646,228 
Assured Guaranty Ltd. 31,402 1,222,166 
Athene Holding Ltd. (a) 45,177 2,072,269 
Axis Capital Holdings Ltd. 20,843 1,178,880 
Brown & Brown, Inc. 61,698 1,805,283 
Chubb Ltd. 131,985 18,440,944 
Cincinnati Financial Corp. 43,724 3,306,846 
CNA Financial Corp. 8,092 378,544 
Erie Indemnity Co. Class A 1,692 210,214 
Everest Re Group Ltd. 6,965 1,520,808 
First American Financial Corp. 30,884 1,729,504 
FNF Group 75,162 3,044,061 
Hanover Insurance Group, Inc. 12,075 1,514,447 
Hartford Financial Services Group, Inc. 101,764 5,362,963 
Lincoln National Corp. 62,134 4,231,325 
Loews Corp. 79,994 4,062,095 
Markel Corp. (a) 3,527 4,126,590 
Marsh & McLennan Companies, Inc. 76,992 6,418,053 
Mercury General Corp. 7,804 401,360 
MetLife, Inc. 245,848 11,245,088 
Old Republic International Corp. 80,641 1,718,460 
Principal Financial Group, Inc. 80,495 4,675,150 
Prudential Financial, Inc. 119,551 12,063,891 
Reinsurance Group of America, Inc. 18,342 2,595,393 
RenaissanceRe Holdings Ltd. 10,331 1,362,142 
The Travelers Companies, Inc. 61,874 8,052,282 
Torchmark Corp. 29,995 2,641,660 
Unum Group 59,623 2,368,822 
W.R. Berkley Corp. 27,053 2,050,888 
White Mountains Insurance Group Ltd. 869 793,423 
Willis Group Holdings PLC 37,471 5,973,627 
XL Group Ltd. 46,208 2,598,276 
  164,621,899 
Mortgage Real Estate Investment Trusts - 0.3%   
AGNC Investment Corp. 119,535 2,327,346 
Annaly Capital Management, Inc. 329,178 3,528,788 
Chimera Investment Corp. 52,962 1,011,574 
MFA Financial, Inc. 112,971 909,417 
New Residential Investment Corp. 94,979 1,699,174 
Starwood Property Trust, Inc. 72,486 1,655,580 
Two Harbors Investment Corp. 69,843 1,082,567 
  12,214,446 
Thrifts & Mortgage Finance - 0.0%   
New York Community Bancorp, Inc. 135,877 1,463,395 
TFS Financial Corp. 10,534 160,327 
  1,623,722 
TOTAL FINANCIALS  910,951,851 
HEALTH CARE - 14.3%   
Biotechnology - 0.4%   
Agios Pharmaceuticals, Inc. (a)(b) 970 83,818 
Alexion Pharmaceuticals, Inc. (a) 10,390 1,381,454 
Alnylam Pharmaceuticals, Inc. (a) 2,940 279,300 
Amgen, Inc. 11,167 2,194,874 
Biogen, Inc. (a) 3,130 1,046,578 
bluebird bio, Inc. (a) 4,526 701,077 
Gilead Sciences, Inc. 94,090 7,323,025 
United Therapeutics Corp. (a) 12,236 1,503,927 
  14,514,053 
Health Care Equipment & Supplies - 3.6%   
Abbott Laboratories 487,503 31,950,947 
Baxter International, Inc. 126,529 9,167,026 
Becton, Dickinson & Co. 68,601 17,175,632 
Boston Scientific Corp. (a) 90,702 3,048,494 
Danaher Corp. 176,089 18,063,210 
Dentsply Sirona, Inc. 63,663 3,062,827 
Hill-Rom Holdings, Inc. 6,563 618,235 
Hologic, Inc. (a) 77,243 3,314,497 
Integra LifeSciences Holdings Corp. (a) 4,588 285,970 
Medtronic PLC 385,522 34,785,650 
Steris PLC 23,847 2,729,766 
Teleflex, Inc. 10,497 2,862,637 
The Cooper Companies, Inc. 11,583 3,017,372 
West Pharmaceutical Services, Inc. 16,013 1,755,825 
Zimmer Biomet Holdings, Inc. 57,971 7,276,520 
  139,114,608 
Health Care Providers & Services - 2.6%   
Acadia Healthcare Co., Inc. (a)(b) 24,627 972,274 
Aetna, Inc. 58,125 10,950,169 
Anthem, Inc. 72,764 18,409,292 
Cardinal Health, Inc. 88,466 4,418,877 
Centene Corp. (a) 6,706 873,993 
Cigna Corp. 40,470 7,261,127 
CVS Health Corp. 289,534 18,779,175 
DaVita HealthCare Partners, Inc. (a) 18,516 1,301,304 
Envision Healthcare Corp. (a) 27,427 1,213,919 
Express Scripts Holding Co. (a) 146,811 11,665,602 
HCA Holdings, Inc. 22,645 2,813,188 
Henry Schein, Inc. (a) 37,223 2,955,878 
Humana, Inc. 1,999 628,046 
Laboratory Corp. of America Holdings (a) 27,325 4,791,166 
McKesson Corp. 51,404 6,456,342 
MEDNAX, Inc. (a) 26,309 1,125,762 
Molina Healthcare, Inc. (a) 2,697 280,731 
Premier, Inc. (a)(b) 10,049 375,833 
Quest Diagnostics, Inc. 38,626 4,160,793 
Universal Health Services, Inc. Class B 24,089 2,941,267 
Wellcare Health Plans, Inc. (a) 869 232,388 
  102,607,126 
Health Care Technology - 0.1%   
Cerner Corp. (a) 49,926 3,099,406 
Life Sciences Tools & Services - 1.2%   
Agilent Technologies, Inc. 91,791 6,061,878 
Bio-Rad Laboratories, Inc. Class A (a) 6,020 1,846,033 
Bruker Corp. 17,096 553,910 
Charles River Laboratories International, Inc. (a) 3,816 474,329 
PerkinElmer, Inc. 31,323 2,480,155 
QIAGEN NV (a) 63,105 2,279,353 
Quintiles Transnational Holdings, Inc. (a) 46,368 5,654,114 
Thermo Fisher Scientific, Inc. 107,494 25,210,568 
Waters Corp. (a) 1,570 309,714 
  44,870,054 
Pharmaceuticals - 6.4%   
Allergan PLC 96,536 17,771,312 
Bristol-Myers Squibb Co. 218,139 12,815,666 
Catalent, Inc. (a) 29,294 1,221,560 
Eli Lilly & Co. 105,469 10,421,392 
Jazz Pharmaceuticals PLC (a) 1,384 239,543 
Johnson & Johnson 627,323 83,132,844 
Merck & Co., Inc. 715,899 47,156,267 
Mylan NV (a) 146,180 5,453,976 
Perrigo Co. PLC 36,811 2,964,022 
Pfizer, Inc. 1,653,323 66,017,187 
  247,193,769 
TOTAL HEALTH CARE  551,399,016 
INDUSTRIALS - 8.1%   
Aerospace & Defense - 1.6%   
Arconic, Inc. 123,137 2,670,842 
Curtiss-Wright Corp. 11,547 1,536,097 
General Dynamics Corp. 40,596 8,109,457 
Hexcel Corp. 20,089 1,386,342 
Huntington Ingalls Industries, Inc. 1,793 417,859 
L3 Technologies, Inc. 22,277 4,777,080 
Lockheed Martin Corp. 6,144 2,003,558 
Rockwell Collins, Inc. 40,381 5,612,555 
Teledyne Technologies, Inc. (a) 10,060 2,207,365 
Textron, Inc. 60,773 4,148,973 
United Technologies Corp. 213,345 28,959,450 
  61,829,578 
Airlines - 0.7%   
Alaska Air Group, Inc. 34,202 2,148,912 
American Airlines Group, Inc. 119,531 4,726,256 
Copa Holdings SA Class A 8,880 864,379 
Delta Air Lines, Inc. 138,371 7,530,150 
JetBlue Airways Corp. (a) 89,991 1,619,838 
Southwest Airlines Co. 43,780 2,546,245 
United Continental Holdings, Inc. (a) 70,812 5,693,285 
  25,129,065 
Building Products - 0.4%   
Allegion PLC 4,456 363,342 
Fortune Brands Home & Security, Inc. 24,261 1,407,138 
Johnson Controls International PLC 263,185 9,872,069 
Lennox International, Inc. 677 146,963 
Masco Corp. 28,014 1,129,805 
Owens Corning 31,197 1,941,077 
USG Corp. (a) 23,216 1,003,396 
  15,863,790 
Commercial Services & Supplies - 0.2%   
Clean Harbors, Inc. (a) 14,646 833,797 
KAR Auction Services, Inc. 2,269 134,892 
Republic Services, Inc. 58,528 4,242,109 
Stericycle, Inc. (a) 23,593 1,648,207 
Waste Management, Inc. 18,686 1,681,740 
  8,540,745 
Construction & Engineering - 0.2%   
AECOM (a) 45,467 1,525,873 
Fluor Corp. 39,924 2,046,105 
Jacobs Engineering Group, Inc. 36,298 2,454,834 
Quanta Services, Inc. (a) 30,217 1,029,493 
Valmont Industries, Inc. 6,289 878,259 
  7,934,564 
Electrical Equipment - 0.6%   
Acuity Brands, Inc. 11,575 1,609,272 
AMETEK, Inc. 52,529 4,086,756 
Eaton Corp. PLC 124,426 10,348,510 
Emerson Electric Co. 51,835 3,746,634 
Fortive Corp. 7,154 587,200 
GrafTech International Ltd. 10,802 229,002 
Hubbell, Inc. Class B 5,026 619,455 
Regal Beloit Corp. 12,459 1,070,851 
Sensata Technologies, Inc. PLC (a) 21,936 1,192,660 
  23,490,340 
Industrial Conglomerates - 1.6%   
3M Co. 27,109 5,755,783 
Carlisle Companies, Inc. 16,955 2,082,752 
General Electric Co. 2,455,988 33,475,116 
Honeywell International, Inc. 80,465 12,846,237 
ITT, Inc. 24,931 1,412,840 
Roper Technologies, Inc. 23,479 7,088,310 
  62,661,038 
Machinery - 1.4%   
AGCO Corp. 18,963 1,195,048 
Apergy Corp. (a) 22,100 906,100 
Caterpillar, Inc. 13,403 1,927,351 
Colfax Corp. (a) 25,426 821,260 
Crane Co. 14,249 1,290,532 
Cummins, Inc. 27,780 3,967,262 
Donaldson Co., Inc. 2,544 121,349 
Dover Corp. 43,172 3,582,413 
Flowserve Corp. 37,270 1,652,179 
Gardner Denver Holdings, Inc. (a) 20,419 584,188 
Gates Industrial Corp. PLC (a) 12,063 187,821 
IDEX Corp. 1,125 172,778 
Ingersoll-Rand PLC 32,361 3,187,882 
Middleby Corp. (a)(b) 6,392 655,052 
Nordson Corp. 1,021 136,926 
Oshkosh Corp. 20,950 1,576,488 
PACCAR, Inc. 97,738 6,423,341 
Parker Hannifin Corp. 30,963 5,234,295 
Pentair PLC 45,820 2,045,863 
Snap-On, Inc. 15,969 2,708,183 
Stanley Black & Decker, Inc. 43,986 6,574,587 
Terex Corp. 19,383 855,178 
Timken Co. 19,548 962,739 
Trinity Industries, Inc. 41,851 1,594,523 
Wabtec Corp. (b) 15,653 1,726,839 
Xylem, Inc. 22,528 1,724,744 
  51,814,921 
Marine - 0.0%   
Kirby Corp. (a) 16,772 1,399,623 
Professional Services - 0.4%   
Dun & Bradstreet Corp. 5,980 752,822 
Equifax, Inc. 24,800 3,112,400 
IHS Markit Ltd. (a) 110,835 5,877,580 
Manpower, Inc. 18,683 1,742,377 
Nielsen Holdings PLC 101,486 2,391,010 
  13,876,189 
Road & Rail - 0.9%   
AMERCO 2,001 754,537 
CSX Corp. 125,950 8,902,146 
Genesee & Wyoming, Inc. Class A (a) 13,366 1,149,476 
Kansas City Southern 29,125 3,386,364 
Knight-Swift Transportation Holdings, Inc. Class A 36,657 1,193,185 
Norfolk Southern Corp. 80,412 13,589,628 
Ryder System, Inc. 14,812 1,159,780 
Schneider National, Inc. Class B 11,382 297,525 
Union Pacific Corp. 17,767 2,663,096 
  33,095,737 
Trading Companies & Distributors - 0.1%   
Air Lease Corp. Class A 25,594 1,125,112 
HD Supply Holdings, Inc. (a) 36,999 1,627,216 
MSC Industrial Direct Co., Inc. Class A 7,016 593,764 
Univar, Inc. (a) 28,068 771,589 
Watsco, Inc. 1,682 290,162 
WESCO International, Inc. (a) 13,391 816,851 
  5,224,694 
Transportation Infrastructure - 0.0%   
Macquarie Infrastructure Co. LLC (b) 22,617 1,027,038 
TOTAL INDUSTRIALS  311,887,322 
INFORMATION TECHNOLOGY - 9.7%   
Communications Equipment - 1.8%   
Arris International PLC (a) 49,677 1,254,841 
Cisco Systems, Inc. 1,374,050 58,108,575 
CommScope Holding Co., Inc. (a) 54,037 1,735,128 
EchoStar Holding Corp. Class A (a) 13,614 612,494 
Juniper Networks, Inc. 98,327 2,589,933 
Motorola Solutions, Inc. 40,927 4,964,445 
  69,265,416 
Electronic Equipment & Components - 0.7%   
ADT, Inc. (b) 29,376 264,678 
Arrow Electronics, Inc. (a) 24,775 1,878,936 
Avnet, Inc. 33,347 1,462,266 
Coherent, Inc. (a) 1,992 314,856 
Corning, Inc. 232,769 7,723,275 
Dell Technologies, Inc. (a) 52,761 4,881,448 
Dolby Laboratories, Inc. Class A 17,213 1,109,378 
FLIR Systems, Inc. 34,832 2,041,155 
Jabil, Inc. 47,657 1,342,498 
Keysight Technologies, Inc. (a) 53,292 3,090,936 
Littelfuse, Inc. 1,134 245,874 
National Instruments Corp. 5,967 261,414 
Trimble, Inc. (a) 71,007 2,506,547 
  27,123,261 
Internet Software & Services - 0.2%   
Akamai Technologies, Inc. (a) 2,778 209,072 
eBay, Inc. (a) 208,591 6,977,369 
LogMeIn, Inc. 4,978 403,467 
Zillow Group, Inc.:   
Class A (a) 4,911 276,833 
Class C (a)(b) 8,438 469,997 
  8,336,738 
IT Services - 1.2%   
Amdocs Ltd. 40,674 2,748,749 
Booz Allen Hamilton Holding Corp. Class A 2,096 99,078 
Cognizant Technology Solutions Corp. Class A 16,287 1,327,391 
Conduent, Inc. (a) 54,230 973,971 
CoreLogic, Inc. (a) 8,699 423,641 
DXC Technology Co. 81,254 6,885,464 
Euronet Worldwide, Inc. (a) 6,959 639,810 
Fidelity National Information Services, Inc. 85,889 8,857,733 
Genpact Ltd. 27,090 822,994 
IBM Corp. 73,543 10,658,587 
Leidos Holdings, Inc. 40,715 2,785,720 
Sabre Corp. 13,165 324,122 
Teradata Corp. (a) 9,896 378,918 
The Western Union Co. 95,020 1,915,603 
Worldpay, Inc. (a) 75,731 6,224,331 
  45,066,112 
Semiconductors & Semiconductor Equipment - 3.5%   
Analog Devices, Inc. 88,555 8,513,678 
Broadcom, Inc. 49,257 10,923,725 
Cypress Semiconductor Corp. 31,026 552,573 
First Solar, Inc. (a) 23,319 1,220,750 
Intel Corp. 1,329,258 63,937,310 
Marvell Technology Group Ltd. 113,360 2,415,702 
Micron Technology, Inc. (a) 71,545 3,776,861 
NXP Semiconductors NV (a) 92,765 8,844,215 
Qorvo, Inc. (a) 35,952 2,939,436 
Qualcomm, Inc. 422,416 27,072,641 
Skyworks Solutions, Inc. 15,114 1,429,482 
Teradyne, Inc. 45,724 1,977,563 
  133,603,936 
Software - 1.6%   
Aspen Technology, Inc. (a) 1,092 104,603 
Autodesk, Inc. (a) 10,005 1,285,042 
CA Technologies, Inc. 89,330 3,949,279 
FireEye, Inc. (a) 17,586 273,111 
Microsoft Corp. 114,437 12,139,477 
Nuance Communications, Inc. (a) 83,716 1,236,485 
Oracle Corp. 739,203 35,245,199 
SS&C Technologies Holdings, Inc. 4,080 216,526 
Symantec Corp. 176,206 3,562,885 
Synopsys, Inc. (a) 38,180 3,414,437 
Take-Two Interactive Software, Inc. (a) 13,088 1,479,206 
Zynga, Inc. (a) 218,092 826,569 
  63,732,819 
Technology Hardware, Storage & Peripherals - 0.7%   
Hewlett Packard Enterprise Co. 442,076 6,825,653 
HP, Inc. 467,888 10,798,855 
NCR Corp. (a) 6,009 167,771 
Western Digital Corp. 85,307 5,984,286 
Xerox Corp. 63,489 1,648,809 
  25,425,374 
TOTAL INFORMATION TECHNOLOGY  372,553,656 
MATERIALS - 4.1%   
Chemicals - 2.7%   
Air Products & Chemicals, Inc. 62,428 10,248,805 
Albemarle Corp. U.S. (b) 31,355 2,953,641 
Ashland Global Holdings, Inc. 17,737 1,456,385 
Axalta Coating Systems Ltd. (a) 36,859 1,114,985 
Cabot Corp. 17,275 1,141,878 
Celanese Corp. Class A 14,142 1,670,312 
CF Industries Holdings, Inc. 66,370 2,948,155 
DowDuPont, Inc. 661,512 45,492,180 
Eastman Chemical Co. 40,564 4,203,242 
Ecolab, Inc. 39,760 5,594,232 
FMC Corp. 22,633 2,034,254 
Huntsman Corp. 62,094 2,082,012 
International Flavors & Fragrances, Inc. 12,966 1,721,366 
LyondellBasell Industries NV Class A 47,725 5,287,453 
NewMarket Corp. 134 54,865 
Olin Corp. 47,491 1,401,459 
Platform Specialty Products Corp. (a) 31,644 391,120 
PPG Industries, Inc. 66,351 7,342,402 
Praxair, Inc. 8,676 1,453,230 
RPM International, Inc. 29,790 1,917,582 
The Mosaic Co. 99,924 3,008,712 
The Scotts Miracle-Gro Co. Class A 5,779 459,026 
Valvoline, Inc. 55,728 1,258,896 
W.R. Grace & Co. 4,908 362,505 
Westlake Chemical Corp. 679 72,802 
  105,671,499 
Construction Materials - 0.1%   
Eagle Materials, Inc. 1,478 146,839 
Martin Marietta Materials, Inc. 1,498 298,731 
nVent Electric PLC 45,787 1,254,564 
Vulcan Materials Co. 2,268 254,016 
  1,954,150 
Containers & Packaging - 0.6%   
Aptargroup, Inc. 17,696 1,812,601 
Ardagh Group SA 4,868 77,255 
Ball Corp. 97,843 3,812,942 
Bemis Co., Inc. 25,766 1,182,917 
Berry Global Group, Inc. (a) 18,683 912,665 
Graphic Packaging Holding Co. 73,061 1,061,576 
International Paper Co. 104,533 5,616,558 
Owens-Illinois, Inc. (a) 45,883 857,094 
Sealed Air Corp. 20,578 906,872 
Silgan Holdings, Inc. 14,509 399,143 
Sonoco Products Co. 27,986 1,562,179 
WestRock Co. 72,310 4,192,534 
  22,394,336 
Metals & Mining - 0.7%   
Alcoa Corp. (a) 53,166 2,300,493 
Freeport-McMoRan, Inc. 411,941 6,797,027 
Newmont Mining Corp. 151,731 5,565,493 
Nucor Corp. 90,554 6,060,779 
Reliance Steel & Aluminum Co. 19,973 1,801,565 
Royal Gold, Inc. 10,902 922,418 
Steel Dynamics, Inc. 54,541 2,568,336 
United States Steel Corp. 50,164 1,827,475 
  27,843,586 
Paper & Forest Products - 0.0%   
Domtar Corp. 17,817 859,136 
TOTAL MATERIALS  158,722,707 
REAL ESTATE - 4.7%   
Equity Real Estate Investment Trusts (REITs) - 4.5%   
Alexandria Real Estate Equities, Inc. 26,681 3,400,227 
American Campus Communities, Inc. 38,764 1,599,015 
American Homes 4 Rent Class A 73,531 1,627,976 
Apartment Investment & Management Co. Class A 44,437 1,895,238 
Apple Hospitality (REIT), Inc. 61,655 1,109,173 
AvalonBay Communities, Inc. 39,270 6,944,900 
Boston Properties, Inc. 43,961 5,518,424 
Brandywine Realty Trust (SBI) 50,076 825,753 
Brixmor Property Group, Inc. 85,846 1,518,616 
Camden Property Trust (SBI) 25,269 2,339,657 
Colony NorthStar, Inc. (b) 130,884 806,245 
Columbia Property Trust, Inc. 33,699 781,143 
Corporate Office Properties Trust (SBI) 29,087 865,047 
Crown Castle International Corp. 29,004 3,214,513 
CubeSmart 51,760 1,571,434 
CyrusOne, Inc. 27,895 1,727,258 
DCT Industrial Trust, Inc. 26,775 1,790,444 
DDR Corp. 43,488 595,786 
Digital Realty Trust, Inc. 58,509 7,104,163 
Douglas Emmett, Inc. 45,689 1,774,561 
Duke Realty Corp. 101,505 2,955,826 
Empire State Realty Trust, Inc. 38,417 640,411 
EPR Properties 21,050 1,399,615 
Equity Commonwealth (a) 33,355 1,075,365 
Equity Residential (SBI) 102,114 6,681,319 
Essex Property Trust, Inc. 18,706 4,497,858 
Extra Space Storage, Inc. 4,622 434,329 
Federal Realty Investment Trust (SBI) 20,729 2,601,490 
Forest City Realty Trust, Inc. Class A 60,588 1,512,882 
Gaming & Leisure Properties 36,549 1,327,460 
General Growth Properties, Inc. 176,923 3,771,998 
HCP, Inc. 133,832 3,466,249 
Healthcare Trust of America, Inc. 58,049 1,585,899 
Highwoods Properties, Inc. (SBI) 28,943 1,421,391 
Hospitality Properties Trust (SBI) 46,336 1,309,919 
Host Hotels & Resorts, Inc. 208,401 4,363,917 
Hudson Pacific Properties, Inc. 38,507 1,319,250 
Invitation Homes, Inc. 84,965 1,963,541 
Iron Mountain, Inc. 80,832 2,838,012 
JBG SMITH Properties 29,156 1,064,194 
Kilroy Realty Corp. 27,582 2,012,107 
Kimco Realty Corp. 115,688 1,930,833 
Lamar Advertising Co. Class A 2,213 162,943 
Liberty Property Trust (SBI) 42,055 1,802,477 
Life Storage, Inc. 12,296 1,179,924 
Medical Properties Trust, Inc. 103,477 1,491,104 
Mid-America Apartment Communities, Inc. 32,260 3,251,163 
National Retail Properties, Inc. 43,648 1,947,137 
Omega Healthcare Investors, Inc. 51,027 1,514,992 
Outfront Media, Inc. 39,673 843,051 
Paramount Group, Inc. 59,023 911,315 
Park Hotels & Resorts, Inc. 57,141 1,787,370 
Prologis, Inc. 150,887 9,901,205 
Rayonier, Inc. 36,713 1,285,322 
Realty Income Corp. 80,922 4,513,020 
Regency Centers Corp. 43,207 2,749,261 
Retail Properties America, Inc. 62,446 783,697 
Senior Housing Properties Trust (SBI) 67,028 1,195,780 
Simon Property Group, Inc. 7,184 1,265,893 
SL Green Realty Corp. 24,296 2,505,161 
Spirit Realty Capital, Inc. 121,775 1,019,257 
Store Capital Corp. 50,784 1,394,021 
Sun Communities, Inc. 22,189 2,151,445 
The Macerich Co. 38,692 2,285,150 
UDR, Inc. 75,520 2,906,010 
Uniti Group, Inc. (b) 46,931 829,740 
Ventas, Inc. 101,313 5,712,027 
VEREIT, Inc. 275,925 2,105,308 
Vornado Realty Trust 49,051 3,527,748 
Weingarten Realty Investors (SBI) 34,040 1,028,689 
Welltower, Inc. 105,955 6,632,783 
Weyerhaeuser Co. 215,550 7,367,499 
WP Carey, Inc. 30,148 1,971,076 
  175,205,006 
Real Estate Management & Development - 0.2%   
CBRE Group, Inc. (a) 46,939 2,337,562 
Howard Hughes Corp. (a) 6,583 892,326 
Jones Lang LaSalle, Inc. 12,903 2,206,542 
Realogy Holdings Corp. (b) 36,113 789,791 
Retail Value, Inc. (a) 4,253 140,519 
VICI Properties, Inc. 77,592 1,578,997 
  7,945,737 
TOTAL REAL ESTATE  183,150,743 
TELECOMMUNICATION SERVICES - 3.5%   
Diversified Telecommunication Services - 3.4%   
AT&T, Inc. 2,071,070 66,212,108 
CenturyLink, Inc. 272,223 5,109,626 
Verizon Communications, Inc. 1,178,617 60,863,782 
  132,185,516 
Wireless Telecommunication Services - 0.1%   
Sprint Corp. (a)(b) 183,309 995,368 
T-Mobile U.S., Inc. (a) 30,346 1,820,760 
Telephone & Data Systems, Inc. 27,828 702,657 
U.S. Cellular Corp. (a) 3,739 128,472 
  3,647,257 
TOTAL TELECOMMUNICATION SERVICES  135,832,773 
UTILITIES - 5.6%   
Electric Utilities - 3.3%   
Alliant Energy Corp. 65,980 2,835,161 
American Electric Power Co., Inc. 140,426 9,989,906 
Duke Energy Corp. 199,789 16,306,778 
Edison International 90,458 6,027,217 
Entergy Corp. 51,476 4,183,969 
Evergy, Inc. 77,118 4,325,549 
Eversource Energy 90,137 5,473,119 
Exelon Corp. 274,660 11,673,050 
FirstEnergy Corp. 135,835 4,812,634 
Hawaiian Electric Industries, Inc. 30,920 1,087,456 
NextEra Energy, Inc. 134,143 22,474,318 
OGE Energy Corp. 56,790 2,058,070 
PG&E Corp. 147,170 6,340,084 
Pinnacle West Capital Corp. 31,801 2,557,754 
PPL Corp. 199,407 5,736,939 
Southern Co. 288,377 14,015,122 
Vistra Energy Corp. (a) 116,617 2,635,544 
Xcel Energy, Inc. 144,815 6,786,031 
  129,318,701 
Gas Utilities - 0.2%   
Atmos Energy Corp. 30,959 2,844,203 
National Fuel Gas Co. 23,112 1,241,114 
UGI Corp. 49,126 2,610,556 
  6,695,873 
Independent Power and Renewable Electricity Producers - 0.1%   
NRG Energy, Inc. 89,516 2,834,972 
The AES Corp. 188,139 2,513,537 
  5,348,509 
Multi-Utilities - 1.8%   
Ameren Corp. 69,235 4,296,724 
Avangrid, Inc. 16,015 801,711 
CenterPoint Energy, Inc. 122,852 3,498,825 
CMS Energy Corp. 80,159 3,874,886 
Consolidated Edison, Inc. 88,560 6,990,041 
Dominion Resources, Inc. 185,533 13,304,571 
DTE Energy Co. 51,452 5,584,600 
MDU Resources Group, Inc. 55,280 1,603,120 
NiSource, Inc. 103,212 2,702,090 
Public Service Enterprise Group, Inc. 143,612 7,404,635 
SCANA Corp. 40,557 1,621,874 
Sempra Energy 75,262 8,699,535 
Vectren Corp. 23,675 1,692,052 
WEC Energy Group, Inc. 89,831 5,962,083 
  68,036,747 
Water Utilities - 0.2%   
American Water Works Co., Inc. 50,730 4,476,923 
Aqua America, Inc. 50,785 1,875,998 
  6,352,921 
TOTAL UTILITIES  215,752,751 
TOTAL COMMON STOCKS   
(Cost $3,232,842,234)  3,850,142,938 
Money Market Funds - 0.9%   
Fidelity Cash Central Fund, 1.96% (c) 3,985,784 3,986,581 
Fidelity Securities Lending Cash Central Fund 1.97% (c)(d) 31,888,345 31,891,534 
TOTAL MONEY MARKET FUNDS   
(Cost $35,878,122)  35,878,115 
TOTAL INVESTMENT IN SECURITIES - 100.7%   
(Cost $3,268,720,356)  3,886,021,053 
NET OTHER ASSETS (LIABILITIES) - (0.7)%  (25,479,084) 
NET ASSETS - 100%  $3,860,541,969 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Equity Index Contracts      
CME E-mini S&P 500 Index Contracts (United States) 77 Sept. 2018 $10,845,835 $154,760 $154,760 

The notional amount of futures purchased as a percentage of Net Assets is 0.3%

Legend

 (a) Non-income producing

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

 (c) 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.

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

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 $79,370 
Fidelity Securities Lending Cash Central Fund 56,481 
Total $135,851  

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.

Investment Valuation

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 in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Consumer Discretionary $315,124,951 $315,124,951 $-- $-- 
Consumer Staples 277,182,110 277,182,110 -- -- 
Energy 417,585,058 417,585,058 -- -- 
Financials 910,951,851 910,951,851 -- -- 
Health Care 551,399,016 551,399,016 -- -- 
Industrials 311,887,322 311,887,322 -- -- 
Information Technology 372,553,656 372,553,656 -- -- 
Materials 158,722,707 158,722,707 -- -- 
Real Estate 183,150,743 183,150,743 -- -- 
Telecommunication Services 135,832,773 135,832,773 -- -- 
Utilities 215,752,751 215,752,751 -- -- 
Money Market Funds 35,878,115 35,878,115 -- -- 
Total Investments in Securities: $3,886,021,053 $3,886,021,053 $-- $-- 
Derivative Instruments:     
Assets     
Futures Contracts $154,760 $154,760 $-- $-- 
Total Assets $154,760 $154,760 $-- $-- 
Total Derivative Instruments: $154,760 $154,760 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2018. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Equity Risk   
Futures Contracts(a) $154,760 $0 
Total Equity Risk 154,760 0 
Total Value of Derivatives $154,760 $0 

 (a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).

See accompanying notes which are an integral part of the financial statements.


Financial Statements

Statement of Assets and Liabilities

  July 31, 2018 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $31,301,409) — See accompanying schedule:
Unaffiliated issuers (cost $3,232,842,234) 		$3,850,142,938  
Fidelity Central Funds (cost $35,878,122) 35,878,115  
Total Investment in Securities (cost $3,268,720,356)  $3,886,021,053 
Segregated cash with brokers for derivative instruments  358,400 
Receivable for investments sold  99,334,489 
Receivable for fund shares sold  19,054 
Dividends receivable  4,543,156 
Distributions receivable from Fidelity Central Funds  14,794 
Receivable for daily variation margin on futures contracts  43,847 
Total assets  3,990,334,793 
Liabilities   
Payable for investments purchased $284,332  
Payable for fund shares redeemed 97,609,948  
Other payables and accrued expenses 18,619  
Collateral on securities loaned 31,879,925  
Total liabilities  129,792,824 
Net Assets  $3,860,541,969 
Net Assets consist of:   
Paid in capital  $3,147,227,091 
Undistributed net investment income  46,281,879 
Accumulated undistributed net realized gain (loss) on investments  49,577,542 
Net unrealized appreciation (depreciation) on investments  617,455,457 
Net Assets  $3,860,541,969 
Net Asset Value, offering price and redemption price per share ($3,860,541,969 ÷ 297,531,245 shares)  $12.98 

See accompanying notes which are an integral part of the financial statements.


Statement of Operations

  Six months ended July 31, 2018 (Unaudited) 
Investment Income   
Dividends  $46,454,754 
Interest  9,054 
Income from Fidelity Central Funds  135,851 
Total income  46,599,659 
Expenses   
Custodian fees and expenses $30,261  
Independent trustees' fees and expenses 8,187  
Interest 3,264  
Commitment fees 5,366  
Total expenses  47,078 
Net investment income (loss)  46,552,581 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 57,239,809  
Fidelity Central Funds 2,765  
Futures contracts 708,914  
Total net realized gain (loss)  57,951,488 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (168,036,213)  
Fidelity Central Funds (1,510)  
Futures contracts (383,991)  
Total change in net unrealized appreciation (depreciation)  (168,421,714) 
Net gain (loss)  (110,470,226) 
Net increase (decrease) in net assets resulting from operations  $(63,917,645) 

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets

 Six months ended July 31, 2018 (Unaudited) Year ended January 31, 2018 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $46,552,581 $89,665,724 
Net realized gain (loss) 57,951,488 67,820,057 
Change in net unrealized appreciation (depreciation) (168,421,714) 449,647,036 
Net increase (decrease) in net assets resulting from operations (63,917,645) 607,132,817 
Distributions to shareholders from net investment income (4,557,638) (89,211,981) 
Distributions to shareholders from net realized gain (6,684,536) (65,574,355) 
Total distributions (11,242,174) (154,786,336) 
Share transactions - net increase (decrease) (88,570,477) (28,820,316) 
Total increase (decrease) in net assets (163,730,296) 423,526,165 
Net Assets   
Beginning of period 4,024,272,265 3,600,746,100 
End of period $3,860,541,969 $4,024,272,265 
Other Information   
Undistributed net investment income end of period $46,281,879 $4,286,936 

See accompanying notes which are an integral part of the financial statements.


Financial Highlights

Fidelity Series Large Cap Value Index Fund

 Six months ended (Unaudited) July 31, Years endedJanuary 31,     
 2018 2018 2017 2016 2015 2014 A 
Selected Per–Share Data       
Net asset value, beginning of period $13.22 $11.75 $9.68 $10.89 $10.01 $10.00 
Income from Investment Operations       
Net investment income (loss)B .15 .30 .26 .26 .24 .04 
Net realized and unrealized gain (loss) (.35) 1.69 2.10 (.78) 1.06 .01 
Total from investment operations (.20) 1.99 2.36 (.52) 1.30 .05 
Distributions from net investment income (.02) (.30) (.19) (.26) (.24) (.04) 
Distributions from net realized gain (.02) (.22) (.10) (.43) (.18) – 
Total distributions (.04) (.52) (.29) (.69) (.42) (.04) 
Net asset value, end of period $12.98 $13.22 $11.75 $9.68 $10.89 $10.01 
Total ReturnC,D (1.53)% 17.16% 24.44% (4.98)% 12.86% .44% 
Ratios to Average Net AssetsE,F       
Expenses before reductions - %G,H .03% .10% .10% .10% .10%G 
Expenses net of fee waivers, if any - %G,H .03% .10% .10% .10% .10%G 
Expenses net of all reductions - %G,H .03% .10% .10% .10% .10%G 
Net investment income (loss) 2.42%G 2.39% 2.41% 2.35% 2.18% 1.91%G 
Supplemental Data       
Net assets, end of period (000 omitted) $3,860,542 $4,024,272 $1,529,003 $759,885 $852,575 $832,317 
Portfolio turnover rateI 31%G 17% 16% 20% 16% 2%J 

 A For the period November 7, 2013 (commencement of operations) to January 31, 2014.

 B Calculated based on average shares outstanding during the period.

 C Total returns for periods of less than one year are not annualized.

 D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

 H Amount represents less than .005%.

 I Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 J Amount not annualized.

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements (Unaudited)

For the period ended July 31, 2018

1. Organization.

Fidelity Series Large Cap Value Index Fund (the Fund) (formerly Fidelity Series 1000 Value Index Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares of the Fund are only available for purchase by mutual funds for which FMR or an affiliate serves as an investment manager. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Effective August 28, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were exchanged for shares of Series Large Cap Value Index.

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. 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. 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 as shown below:

  • 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)

Valuation techniques used to value the Fund's investments by major category are as follows:

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.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2018 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, foreign currency transactions, market discount, partnerships, and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $782,577,970 
Gross unrealized depreciation (170,466,303) 
Net unrealized appreciation (depreciation) $612,111,667 
Tax cost $3,274,064,146 

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Equity Risk Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $586,285,488 and $633,312,244, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company (FMR) or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. The Fund's activity in this program during the period for which loans were outstanding was as follows:

Borrower or Lender Average Loan Balance Weighted Average Interest Rate Interest Expense 
Borrower $11,367,000 2.07% $3,264 

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $5,366 and is reflected in Commitment fees on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. At period end, there were no security loans outstanding with FCM. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $56,481, including $390 from securities loaned to FCM.

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended
July 31, 2018 		Year ended
January 31, 2018 
From net investment income   
Series Large Cap Value Index $4,557,638 $86,916,367 
Class F – 2,295,614 
Total $4,557,638 $89,211,981 
From net realized gain   
Series Large Cap Value Index $6,684,536 $64,338,255 
Class F – 1,236,100 
Total $6,684,536 $65,574,355 

10. Share Transactions.

Transactions for each class of shares were as follows:

 Shares Shares Dollars Dollars 
 Six months ended July 31, 2018 Year ended January 31, 2018 Six months ended July 31, 2018 Year ended January 31, 2018 
Series Large Cap Value Index     
Shares sold 10,853,270 195,535,706 $136,238,068 $2,379,540,138 
Reinvestment of distributions 872,840 11,956,005 11,242,174 151,254,621 
Shares redeemed (18,532,308) (33,319,128) (236,050,719) (417,036,365) 
Net increase (decrease) (6,806,198) 174,172,583 $(88,570,477) $2,113,758,394 
Class F     
Shares sold – 12,563,131 $– $152,132,779 
Reinvestment of distributions – 291,155 – 3,531,713 
Shares redeemed – (189,185,896) – (2,298,243,202) 
Net increase (decrease) – (176,331,610) $– $(2,142,578,710) 

11. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2018 to July 31, 2018).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 Annualized Expense Ratio-A Beginning
Account Value
February 1, 2018 		Ending
Account Value
July 31, 2018 		Expenses Paid
During Period-B
February 1, 2018
to July 31, 2018 
Series Large Cap Value Index - %-C    
Actual  $1,000.00 $984.70 $--D 
Hypothetical-E  $1,000.00 $1,024.79 $--D 

 A Annualized expense ratio reflects expenses net of applicable fee waivers.

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 C Amount represents less than .005%.

 D Amount represents less than $.005.

 E 5% return per year before expenses

Board Approval of Investment Advisory Contracts

Fidelity Series Large Cap Value Index Fund

At its July 2018 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated sub-advisory agreement with Geode Capital Management, LLC (Geode) for the fund (the Amended Contract) to decrease the sub-advisory fee rate paid by Fidelity Management & Research Company (FMR), the fund's investment adviser, to Geode by 0.15 basis points. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided.  The Board noted that it previously received and considered materials relating to the nature, extent and quality of services provided by FMR and Geode to the fund, including the resources dedicated to investment management and support services, shareholder and administrative services, the benefits to shareholders of investment in a large fund family, and the investment performance of the fund in connection with the annual renewal of the fund's current management and sub-advisory agreements. At its September 2017 meeting, the Board concluded that the nature, extent and quality of the services provided to the fund under the existing management and sub-advisory agreements should benefit the fund's shareholders. The Board noted that approval of the Amended Contract would not change the fund's portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated or trading and compliance operations. The Board concluded that the nature, extent, and quality of services to be provided to the fund under the Amended Contract will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered that it received and reviewed information regarding the fund's management fee rate and total expense ratio compared to "mapped groups" of competitive funds and classes at the current management fee and expense levels in connection with the annual renewal of the management contract and sub-advisory agreements. Based on its review, the Board concluded at its September 2017 meeting that the fund's current management fee and total expenses are fair and reasonable in light of the services that the fund receives and the other factors considered.

In its review of the proposed sub-advisory fee rate under the Amended Contract, the Board considered that the proposed fee rate is lower by 0.15 basis points than the current sub-advisory fee rate. The Board noted that FMR, and not the fund, pays the sub-advisory fee out of its management fee. The Board also considered that the Amended Contract would not result in any changes to the fund's management fee rate, and that the management fee rate would continue to rank below the median of its competitor funds based on the competitive mapped group data provided to the Board in connection with the annual renewal of the existing management contract. The Board also considered that FMR will retain its obligation to pay fund-level operating expenses, with certain limited exceptions, under the management contract.

Based on its review, the Board concluded that the management fee and the total expenses continue to be fair and reasonable in light of the services that the fund receives and the other factors considered.

Costs of the Services and Profitability.  The Board considered that it previously reviewed information regarding the revenues earned, the expenses incurred by FMR in providing services to the fund and the level of FMR's profitability. At its September 2017 meeting, the Board concluded that it was satisfied that the profitability of FMR in connection with the operation of the fund was not excessive under the circumstances. Because the Board was approving an arrangement that would not result in any changes to the management fee rate, the Board did not consider FMR's costs of services and profitability to be significant factors in its decision to approve the Amended Contract.

Economies of Scale.  The Board considered that it previously received and reviewed information regarding whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is a potential realization of any further economies of scale and that it concluded, at its September 2017 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the fund's advisory fee structures are fair and reasonable, and that the fund's Amended Contract should be approved.





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

XS6-SANN-0918
1.967966.104

Fidelity® Tax-Free Bond Fund



Semi-Annual Report

July 31, 2018



Fidelity Investments


Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2018 FMR LLC. All rights reserved.



This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Investment Summary (Unaudited)

Top Five States as of July 31, 2018

 % of fund's net assets 
Illinois 17.9 
Florida 11.3 
Texas 11.2 
New York 6.0 
California 4.4 

Top Five Sectors as of July 31, 2018

 % of fund's net assets 
General Obligations 27.5 
Health Care 22.1 
Transportation 17.2 
Electric Utilities 8.9 
Special Tax 5.6 

Quality Diversification (% of fund's net assets)

As of July 31, 2018 
   AAA 2.9% 
   AA,A 76.3% 
   BBB 13.3% 
   BB and Below 1.8% 
   Not Rated 3.2% 
   Short-Term Investments and Net Other Assets 2.5% 


We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Schedule of Investments July 31, 2018 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 97.4%   
 Principal Amount Value 
Alabama - 0.1%   
Montgomery Med. Clinic Facilities 5% 3/1/36 2,450,000 2,628,654 
Univ. of Alabama at Birmingham Hosp. Rev. Series 2008 A, 5.75% 9/1/22 (Pre-Refunded to 9/1/18 @ 100) 1,000,000 1,003,540 
TOTAL ALABAMA  3,632,194 
Alaska - 0.3%   
Alaska Gen. Oblig. Series 2016 A, 5% 8/1/31 4,340,000 4,939,962 
Alaska Int'l. Arpts. Revs. Series 2016 B:   
5% 10/1/31 $1,685,000 $1,922,871 
5% 10/1/33 2,200,000 2,496,824 
5% 10/1/35 1,600,000 1,810,352 
North Slope Borough Gen. Oblig. Series 2017 A, 5% 6/30/21 (Pre-Refunded to 6/30/20 @ 100) 965,000 1,025,177 
TOTAL ALASKA  12,195,186 
Arizona - 2.5%   
Arizona Board of Regents Ctfs. of Prtn.:   
(Univ. of Arizona Univ. Revs.) Series 2018 B:   
5% 6/1/26 1,100,000 1,293,578 
5% 6/1/27 500,000 591,955 
5% 6/1/29 1,725,000 2,036,087 
(Univ. of Arizona Univ. Revs.). Series 2018 B, 5% 6/1/30 1,470,000 1,728,220 
Arizona Ctfs. of Prtn. Series 2010 A:   
5% 10/1/18 (FSA Insured) 1,000,000 1,005,930 
5.25% 10/1/23 (FSA Insured) 5,000,000 5,200,050 
5.25% 10/1/26 (FSA Insured) 1,000,000 1,039,650 
5.25% 10/1/28 (FSA Insured) 500,000 519,825 
Arizona Health Facilities Auth. Rev. (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 2.376%, tender 1/1/37 (a)(b) 1,000,000 946,730 
Arizona Indl. Dev. Auth. Rev. (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018:   
5% 5/1/37 1,090,000 1,215,405 
5% 5/1/43 1,000,000 1,108,970 
Glendale Gen. Oblig.:   
Series 2015, 4% 7/1/21 (FSA Insured) 1,205,000 1,275,685 
Series 2017, 5% 7/1/24 3,475,000 3,972,342 
Glendale Indl. Dev. Auth. (Terraces of Phoenix Proj.) Series 2018 A:   
5% 7/1/38 155,000 162,958 
5% 7/1/48 200,000 208,762 
Maricopa County Indl. Dev. Auth. Rev. Series 2016 A, 5% 1/1/34 12,000,000 13,686,480 
Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016:   
5.75% 1/1/36 (c) 455,000 460,719 
6% 1/1/48 (c) 2,825,000 2,882,743 
Maricopa County School District #28 Kyrene Elementary Series 2010 B, 4% 7/1/21 375,000 398,093 
Maricopa County Unified School District #48 Scottsdale Series 2017 B:   
5% 7/1/29 1,150,000 1,362,279 
5% 7/1/30 1,500,000 1,770,360 
5% 7/1/31 800,000 940,728 
5% 7/1/32 3,250,000 3,807,700 
Mesa Util. Sys. Rev. Series 2017, 4% 7/1/25 11,840,000 13,040,102 
Phoenix Civic Impt. Board Arpt. Rev.:   
Series 2015 A, 5% 7/1/45 3,170,000 3,521,331 
Series 2017 B:   
5% 7/1/30 4,000,000 4,665,800 
5% 7/1/34 2,000,000 2,302,340 
5% 7/1/35 2,000,000 2,297,280 
Phoenix Civic Impt. Corp. District Rev. (Plaza Expansion Proj.) Series 2005 B, 5.5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 5,000,000 6,561,500 
Pima County Swr. Sys. Rev. Series 2012 A, 5% 7/1/27 1,000,000 1,105,230 
Salt Verde Finl. Corp. Sr. Gas Rev. Series 2007:   
5.25% 12/1/23 2,500,000 2,825,025 
5.5% 12/1/29 2,100,000 2,513,910 
Scottsdale Indl. Dev. Auth. Hosp. Rev. (Scottsdale Healthcare Proj.) Series 2006 C, 5% 9/1/35 (FSA Insured) 285,000 301,496 
Tempe Indl. Dev. Auth. Rev. (Mirabella At Asu, Inc. Proj.):   
Series 2017 A:   
6.125% 10/1/47 (c) 285,000 312,488 
6.125% 10/1/52 (c) 285,000 311,166 
Series 2017 B:   
4% 10/1/23 (c) 4,300,000 4,326,402 
6% 10/1/37 (c) 140,000 152,761 
TOTAL ARIZONA  91,852,080 
California - 4.4%   
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds:   
Series A, 2.95%, tender 4/1/26 (a) 4,695,000 4,867,072 
Series B, 2.85%, tender 4/1/25 (a) 3,840,000 3,965,146 
Series C, 2.1%, tender 4/1/22 (a) 3,585,000 3,605,793 
Cabrillo Cmnty. College District Series B, 0% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 2,155,000 2,038,070 
California Gen. Oblig.:   
Series 2007, 5.625% 5/1/20 5,000 5,017 
Series 2009, 6% 4/1/38 1,625,000 1,671,881 
Series 2016, 5% 9/1/29 1,485,000 1,757,468 
5% 8/1/20 5,000 5,016 
5% 8/1/29 3,765,000 4,452,414 
5.25% 12/1/33 35,000 35,111 
5.25% 4/1/35 4,300,000 4,757,520 
5.5% 4/1/30 5,000 5,017 
5.5% 3/1/40 600,000 634,818 
5.6% 3/1/36 300,000 318,213 
California Health Facilities Fing. Auth. Rev.:   
(Providence Health and Svcs. Proj.) Series C, 6.5% 10/1/38 (Pre-Refunded to 10/1/18 @ 100) 45,000 45,391 
Series 2013 A, 5% 8/15/52 15,070,000 16,395,407 
California Pub. Works Board Lease Rev.:   
(Coalinga State Hosp. Proj.) Series 2013 E, 5% 6/1/26 5,265,000 5,944,659 
(Various Judicial Council Projs.) Series 2011 D, 5% 12/1/22 1,400,000 1,547,504 
Series 2017 C:   
5% 3/1/22 2,750,000 3,058,853 
5% 3/1/23 3,870,000 4,401,158 
5% 3/1/26 2,860,000 3,411,866 
5% 3/1/27 3,935,000 4,747,774 
5% 3/1/28 4,025,000 4,794,258 
California Statewide Cmntys. Dev. Auth. Series 2016:   
5% 5/15/25 1,000,000 1,147,050 
5% 5/15/26 1,000,000 1,156,700 
5% 5/15/27 1,000,000 1,149,890 
5% 5/15/28 1,000,000 1,146,130 
5% 5/15/32 1,250,000 1,406,675 
5% 5/15/33 1,500,000 1,683,615 
Carlsbad Unified School District Series 2009 B, 0% 5/1/34 (Pre-Refunded to 5/1/24 @ 100) (d) 1,450,000 1,685,277 
Fontana Unified School District Gen. Oblig.:   
5% 5/1/21 (Assured Guaranty Corp. Insured) 1,880,000 1,928,391 
5% 5/1/22 (Assured Guaranty Corp. Insured) 1,840,000 1,886,938 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:   
Series 2013 A, 5% 6/1/29 2,500,000 2,781,450 
Series 2017 A1:   
5% 6/1/21 1,110,000 1,208,857 
5% 6/1/22 1,555,000 1,734,074 
5% 6/1/23 1,780,000 2,020,282 
5% 6/1/24 1,000,000 1,127,300 
Los Angeles Muni. Impt. Corp. Lease Rev. Series 2012 C, 5% 3/1/25 1,000,000 1,107,900 
Madera County Ctfs. of Prtn. (Children's Hosp. Central California Proj.) Series 2010, 5.375% 3/15/36 (Pre-Refunded to 3/15/20 @ 100) 1,000,000 1,062,580 
Merced Union High School District Series A, 0% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,455,000 1,374,830 
Northern California Transmission Agcy. Rev. Series 2009:   
5% 5/1/23 1,000,000 1,025,210 
5% 5/1/23 (Pre-Refunded to 5/1/19 @ 100) 1,235,000 1,268,469 
5% 5/1/24 675,000 691,963 
5% 5/1/24 (Pre-Refunded to 5/1/19 @ 100) 835,000 857,629 
Oakland Unified School District Alameda County Series 2015 A, 5% 8/1/28 (FSA Insured) 1,500,000 1,761,435 
Oakland-Alameda County Coliseum Auth. (Oakland Coliseum Proj.) Series 2012 A:   
5% 2/1/19 1,500,000 1,527,420 
5% 2/1/24 2,915,000 3,203,789 
Poway Unified School District:   
(District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32 1,300,000 796,575 
Series B:   
0% 8/1/33 4,350,000 2,539,922 
0% 8/1/37 8,000,000 3,848,000 
0% 8/1/38 4,225,000 1,940,120 
0% 8/1/39 7,220,000 3,169,219 
0% 8/1/41 4,900,000 1,970,780 
Poway Unified School District Pub. Fing.:   
5% 9/1/27 1,050,000 1,182,332 
5% 9/1/30 1,370,000 1,513,220 
Riverside Swr. Rev. Series 2015 A:   
5% 8/1/30 2,880,000 3,327,581 
5% 8/1/31 1,630,000 1,875,429 
Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,600,000 1,225,168 
Sacramento Muni. Util. District Elec. Rev. Series 2012 Y, 5% 8/15/28 4,475,000 5,015,177 
San Bernardino County Ctfs. of Prtn. (Arrowhead Proj.) Series 2009 A, 5.25% 8/1/26 1,000,000 1,035,660 
San Diego Cmnty. College District Series 2011, 0% 8/1/35 3,000,000 1,655,070 
San Diego Unified School District:   
Series 2008 C:   
0% 7/1/34 1,300,000 733,356 
0% 7/1/37 5,105,000 2,504,870 
Series 2008 E, 0% 7/1/47 (d) 2,600,000 1,762,774 
San Jose Fing. Auth. Lease Rev. (Civic Ctr. Proj.) Series 2013 A:   
5% 6/1/24 1,000,000 1,142,410 
5% 6/1/27 1,000,000 1,132,530 
San Marcos Redev. Agcy. Successor Series 2015 A, 5% 10/1/28 2,590,000 3,025,146 
San Marcos Unified School District Series 2010 B, 0% 8/1/47 3,700,000 1,163,502 
Santa Monica-Malibu Unified School District Series 1999, 0% 8/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,000,000 968,860 
Santa Rosa Wastewtr. Rev. Series 2002 B, 0% 9/1/25 (AMBAC Insured) 1,700,000 1,416,831 
Univ. of California Revs.:   
Series 2016, 5.25% 5/15/39 (Pre-Refunded to 5/15/19 @ 100) 550,000 567,188 
Series 2017 AV, 5% 5/15/36 1,610,000 1,877,292 
Washington Township Health Care District Gen. Oblig. Series 2013 B, 5.5% 8/1/38 2,000,000 2,327,400 
Washington Township Health Care District Rev.:   
Series 2009 A:   
5.5% 7/1/19 390,000 402,293 
6% 7/1/29 1,000,000 1,028,650 
Series 2010 A, 5.25% 7/1/30 1,900,000 1,994,829 
Yuba City Unified School District Series A, 0% 9/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,000,000 912,740 
TOTAL CALIFORNIA  162,464,204 
Colorado - 1.0%   
Arkansas River Pwr. Auth. Rev. Series 2018 A:   
5% 10/1/38 1,450,000 1,609,703 
5% 10/1/43 1,810,000 1,999,652 
Colorado Health Facilities Auth.:   
(Parkview Episcopal Med. Ctr., Co. Proj.) Series 2017:   
5% 9/1/23 270,000 303,658 
5% 9/1/24 225,000 256,271 
5% 9/1/25 260,000 299,205 
5% 9/1/28 2,200,000 2,536,094 
(Parkview Med. Ctr., Inc. Proj.) Series 2016, 5% 9/1/46 3,700,000 4,035,886 
Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.):   
Series B, 0% 7/15/20 (Escrowed to Maturity) 2,000,000 1,927,120 
0% 7/15/22 (Escrowed to Maturity) 4,500,000 4,125,555 
Colorado Reg'l. Trans. District Ctfs. of Prtn. Series 2013 A, 5% 6/1/20 1,450,000 1,535,304 
Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2017C-2, 5%, tender 3/1/22 (a) 3,825,000 4,148,174 
Denver City & County Arpt. Rev. Series 2017 B, 5% 11/15/33 6,500,000 7,563,725 
E-470 Pub. Hwy. Auth. Rev.:   
Series 2000 B, 0% 9/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 2,090,000 2,003,161 
Series 2010 C, 5.375% 9/1/26 1,000,000 1,068,430 
Univ. of Colorado Enterprise Sys. Rev.:   
Series 2009 A, 5.5% 6/1/26 (Pre-Refunded to 6/1/19 @ 100) 1,250,000 1,291,088 
Series 2016 A, 5% 6/1/47 3,115,000 3,535,151 
TOTAL COLORADO  38,238,177 
Connecticut - 1.2%   
Connecticut Gen. Oblig.:   
Series 2016 B, 5% 5/15/27 10,000,000 11,253,400 
Series 2016 E:   
5% 10/15/26 2,030,000 2,318,443 
5% 10/15/29 2,930,000 3,285,263 
Connecticut Health & Edl. Facilities Auth. Rev.:   
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1:   
5% 7/1/34 1,050,000 1,188,579 
5% 7/1/35 1,200,000 1,354,416 
5% 7/1/36 400,000 450,160 
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1, 5% 7/1/37 1,555,000 1,746,172 
Series 2016 K, 4% 7/1/46 4,465,000 4,283,408 
Series K1:   
5% 7/1/31 1,400,000 1,565,886 
5% 7/1/35 1,180,000 1,303,204 
Connecticut State Revolving Fund Gen. Rev. Series 2017 A:   
5% 5/1/33 3,125,000 3,652,344 
5% 5/1/35 2,325,000 2,701,673 
Hbr. Point Infra Impt. District Series 2017:   
5% 4/1/30 (c) 2,430,000 2,652,807 
5% 4/1/39 (c) 3,125,000 3,328,094 
New Haven Gen. Oblig. Series 2016 A:   
5% 8/15/19 (Escrowed to Maturity) 260,000 268,910 
5% 8/15/19 (FSA Insured) 1,990,000 2,055,690 
5% 8/15/25 (FSA Insured) 570,000 659,028 
TOTAL CONNECTICUT  44,067,477 
Delaware - 0.4%   
Delaware Trans. Auth. (U.S. 301 Proj.) Series 2015, 5% 6/1/55 13,000,000 14,208,090 
District Of Columbia - 0.8%   
District of Columbia Gen. Oblig. Series 2017 A, 5% 6/1/33 2,300,000 2,679,661 
District of Columbia Hosp. Rev. Series 2015:   
5% 7/15/29 4,000,000 4,565,080 
5% 7/15/30 6,495,000 7,379,879 
District of Columbia Income Tax Rev. Series 2011 A, 5% 12/1/36 2,340,000 2,545,312 
District of Columbia Rev. Series B, 4.75% 6/1/32 800,000 835,208 
Washington Convention & Sports Auth. Series 2018 A, 5% 10/1/22 5,250,000 5,851,650 
Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 B, 5% 7/1/33 4,545,000 5,286,017 
TOTAL DISTRICT OF COLUMBIA  29,142,807 
Florida - 11.3%   
Brevard County School Board Ctfs. of Prtn.:   
Series 2014, 5% 7/1/27 1,700,000 1,941,298 
Series 2015 C:   
5% 7/1/25 1,375,000 1,599,579 
5% 7/1/27 1,455,000 1,668,696 
Broward County Arpt. Sys. Rev.:   
Series 2012 P-2, 5% 10/1/21 1,630,000 1,784,410 
series 2012 Q1, 5% 10/1/22 2,000,000 2,239,360 
Broward County School Board Ctfs. of Prtn.:   
(Broward County School District Proj.) Series 2016 A, 5% 7/1/28 1,595,000 1,852,321 
(Broward County School District) Series 2012 A, 5% 7/1/24 4,345,000 4,791,883 
Series 2012 A, 5% 7/1/24 (Pre-Refunded to 7/1/22 @ 100) 4,485,000 4,987,230 
Series 2015 A:   
5% 7/1/24 940,000 1,079,571 
5% 7/1/26 3,635,000 4,201,151 
Series 2016, 5% 7/1/32 1,020,000 1,163,504 
Central Expwy Auth. Sr Lien Orlando & Orange County Expressway Auth. Rev. Series 2017:   
5% 7/1/37 5,500,000 6,303,715 
5% 7/1/38 3,000,000 3,433,350 
5% 7/1/39 1,250,000 1,428,475 
Citizens Property Ins. Corp.:   
Series 2011 A1, 5% 6/1/20 1,000,000 1,058,280 
Series 2012 A1, 5% 6/1/21 4,525,000 4,910,983 
Collier County Indl. Dev. Auth. Healthcare Facilities Rev. (NCH Healthcare Sys. Proj.) Series 2011, 6.25% 10/1/39 8,060,000 8,864,549 
Duval County School Board Ctfs. of Prtn. Series 2015 B, 5% 7/1/29 6,380,000 7,278,113 
Florida Board of Ed. Pub. Ed. Cap. Outlay Series 2011 E, 5% 6/1/24 2,385,000 2,588,441 
Florida Mid-Bay Bridge Auth. Rev.:   
Series 2015 A, 5% 10/1/35 2,600,000 2,864,160 
Series 2015 C, 5% 10/1/35 2,000,000 2,183,240 
Florida Muni. Pwr. Agcy. Rev.:   
(Pwr. Supply Proj.) Series 2017 A:   
5% 10/1/26 4,000,000 4,734,200 
5% 10/1/27 5,000,000 5,941,300 
5% 10/1/28 400,000 480,888 
(Requirements Pwr. Supply Proj.) Series 2016 A:   
5% 10/1/30 985,000 1,140,581 
5% 10/1/31 1,075,000 1,237,175 
(St. Lucie Proj.) Series 2012 A, 5% 10/1/26 1,125,000 1,237,871 
Series 2015 B, 5% 10/1/29 1,250,000 1,432,575 
Gainesville Utils. Sys. Rev. Series 2017 A:   
5% 10/1/30 2,810,000 3,323,977 
5% 10/1/31 2,100,000 2,474,787 
5% 10/1/35 5,000,000 5,817,600 
Halifax Hosp. Med. Ctr. Rev.:   
4% 6/1/27 585,000 608,751 
5% 6/1/24 835,000 948,059 
5% 6/1/28 655,000 733,620 
Highlands County Health Facilities Auth. Rev. Series 2008:   
6% 11/15/37 4,990,000 5,291,346 
6% 11/15/37 (Pre-Refunded to 11/15/19 @ 100) 10,000 10,560 
Hillsborough County Indl. Dev. Auth. Indl. Dev. Rev. (Health Facilities/Univ. Cmnty. Hosp. Proj.) Series 2008 B, 8% 8/15/32 (Pre-Refunded to 8/15/19 @ 101) 1,500,000 1,613,640 
Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 8,000,000 9,256,960 
Indian River County School Board Ctfs. of Prtn. Series 2014, 5% 7/1/24 2,600,000 2,964,416 
Jacksonville Elec. Auth. Elec. Sys. Rev.:   
Series 2012 A:   
4% 10/1/23 175,000 183,566 
4% 10/1/23 (Pre-Refunded to 4/1/21 @ 100) 2,160,000 2,285,906 
Series Three 2010 D, 5% 10/1/38 (Pre-Refunded to 4/1/20 @ 100) 2,800,000 2,955,624 
Jacksonville Fla Health Care F (Baptist Med. Ctr. Proj.) Series 2017:   
5% 8/15/26 2,000,000 2,328,720 
5% 8/15/34 2,750,000 3,142,700 
Jacksonville Sales Tax Rev. Series 2012, 5% 10/1/25 2,250,000 2,495,498 
Lake County School Board Ctfs. of Prtn. Series 2014 A, 5% 6/1/29 (FSA Insured) 1,500,000 1,672,065 
Miami-Dade County Aviation Rev.:   
Series 2010 A, 5.5% 10/1/41 1,500,000 1,613,250 
Series 2010 A1, 5.375% 10/1/35 4,240,000 4,539,598 
Series 2010, 5.5% 10/1/30 755,000 813,173 
Series 2014 A, 5% 10/1/37 8,500,000 9,500,535 
Series 2014 B, 5% 10/1/34 2,225,000 2,497,585 
Series 2016 A, 5% 10/1/41 8,500,000 9,669,770 
Miami-Dade County Cap. Asset Acquisition Series 2012 A, 5% 10/1/24 1,000,000 1,113,330 
Miami-Dade County Expressway Auth.:   
Series 2010 A, 5% 7/1/40 3,300,000 3,468,366 
Series 2014 A:   
5% 7/1/25 1,430,000 1,634,662 
5% 7/1/27 1,000,000 1,136,620 
5% 7/1/28 2,225,000 2,521,148 
5% 7/1/29 1,010,000 1,142,058 
5% 7/1/44 18,800,000 20,716,096 
Series 2014 B, 5% 7/1/30 2,500,000 2,821,025 
Miami-Dade County School Board Ctfs. of Prtn.:   
Series 2008 A, 5% 8/1/21 (AMBAC Insured) 1,500,000 1,500,000 
Series 2011 B, 5.625% 5/1/31 2,195,000 2,390,596 
Series 2014 D:   
5% 11/1/22 2,085,000 2,323,107 
5% 11/1/25 6,655,000 7,661,369 
Series 2015 A, 5% 5/1/29 12,370,000 13,934,805 
Series 2015 B:   
5% 5/1/27 13,000,000 14,806,740 
5% 5/1/28 7,305,000 8,262,539 
Series 2016 A, 5% 5/1/32 10,000,000 11,247,900 
Series 2016 B, 5% 8/1/26 4,505,000 5,266,976 
Miami-Dade County Transit Sales Surtax Rev. Series 2012:   
5% 7/1/22 765,000 848,232 
5% 7/1/42 800,000 867,272 
Miami-Dade County Wtr. & Swr. Rev. Series 2008 A, 5.25% 10/1/22 (FSA Insured) 6,000,000 6,790,560 
North Brevard County Hosp. District Rev.:   
5.75% 10/1/38 (Pre-Refunded to 10/1/18 @ 100) 2,285,000 2,301,543 
5.75% 10/1/38 (Pre-Refunded to 10/1/18 @ 100) 915,000 921,542 
5.75% 10/1/43 (Pre-Refunded to 10/1/18 @ 100) 715,000 720,177 
5.75% 10/1/43 (Pre-Refunded to 10/1/18 @ 100) 285,000 287,038 
Orange County Health Facilities Auth.:   
(Orlando Health, Inc.) Series 2009, 5.375% 10/1/23 2,500,000 2,609,825 
Series 2012 A, 5% 10/1/42 6,315,000 6,834,282 
Series 2012 B, 5% 10/1/42 2,500,000 2,705,575 
Orange County School Board Ctfs. of Prtn.:   
Series 2015 C, 5% 8/1/28 5,000,000 5,777,050 
Series 2016 C, 5% 8/1/33 19,050,000 21,784,818 
Orlando & Orange County Expressway Auth. Rev. Series 2012, 5% 7/1/23 1,150,000 1,273,292 
Orlando Utils. Commission Util. Sys. Rev. Series 2009 B:   
5% 10/1/33 3,540,000 3,618,836 
5% 10/1/33 (Pre-Refunded to 4/1/19 @ 100) 2,660,000 2,722,111 
Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014:   
5% 12/1/23 190,000 211,455 
5% 12/1/24 380,000 427,238 
5% 12/1/31 1,500,000 1,629,360 
Palm Beach County School Board Ctfs. of Prtn.:   
(Palm Beach County School District Proj.) Series 2018 A:   
5% 8/1/24 760,000 872,966 
5% 8/1/27 3,375,000 3,994,346 
Series 2014 B:   
5% 8/1/22 3,025,000 3,362,106 
5% 8/1/23 3,550,000 4,026,943 
Series 2015 B:   
5% 8/1/23 1,500,000 1,701,525 
5% 8/1/25 875,000 1,016,453 
Series 2015 D:   
5% 8/1/28 1,980,000 2,274,030 
5% 8/1/29 6,765,000 7,741,731 
5% 8/1/30 6,985,000 7,969,606 
5% 8/1/31 7,015,000 7,979,983 
Saint Lucie County School Board Ctfs. of Prtn. Series 2013 A, 5% 7/1/26 2,515,000 2,800,302 
South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015:   
5% 10/1/27 500,000 580,995 
5% 10/1/28 4,000,000 4,629,920 
5% 10/1/30 2,000,000 2,295,580 
5% 10/1/32 3,310,000 3,777,140 
South Lake County Hosp. District (South Lake Hosp., Inc.) Series 2009 A, 6% 4/1/29 2,375,000 2,430,100 
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017:   
5% 8/15/29 1,480,000 1,719,109 
5% 8/15/32 3,920,000 4,506,354 
5% 8/15/35 705,000 802,699 
5% 8/15/37 5,000,000 5,667,750 
5% 8/15/42 3,400,000 3,834,248 
5% 8/15/47 5,200,000 5,838,248 
Tallahassee Health Facilities Rev.:   
(Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A:   
5% 12/1/29 1,425,000 1,584,472 
5% 12/1/36 1,100,000 1,195,436 
Series 2015 A, 5% 12/1/40 1,000,000 1,075,280 
Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2011 B:   
5% 10/1/19 (Escrowed to Maturity) 1,420,000 1,475,252 
5% 10/1/19 (Escrowed to Maturity) 1,305,000 1,356,548 
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2012 A, 5% 9/1/25 900,000 994,113 
Volusia County School Board Ctfs. of Prtn.:   
(Florida Master Lease Prog.) Series 2016 A:   
5% 8/1/30 (Build America Mutual Assurance Insured) 1,160,000 1,313,897 
5% 8/1/31 (Build America Mutual Assurance Insured) 2,215,000 2,500,934 
(Master Lease Prog.) Series 2014 B, 5% 8/1/22 810,000 899,610 
TOTAL FLORIDA  417,663,824 
Georgia - 2.6%   
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(Georgia Pwr. Co. Plant Vogtle Proj.) Series 1995 5, 2.05%, tender 11/19/21 (a) 2,725,000 2,691,483 
(Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2013 A, 2.4%, tender 4/1/20 (a) 2,400,000 2,405,040 
2.2%, tender 4/2/19 (a) 5,900,000 5,912,744 
Colquitt County Dev. Auth. Rev.:   
Series A, 0% 12/1/21 (Escrowed to Maturity) 4,120,000 3,839,304 
Series C, 0% 12/1/21 (Escrowed to Maturity) 3,000,000 2,795,610 
DeKalb County Hosp. Auth. Rev. (DeKalb Med. Ctr., Inc. Proj.) Series 2010:   
6% 9/1/30 2,900,000 3,092,270 
6.125% 9/1/40 5,575,000 5,914,406 
DeKalb County Wtr. & Swr. Rev. Series 2011 A:   
5.25% 10/1/36 1,000,000 1,091,730 
5.25% 10/1/41 1,900,000 2,073,071 
Fulton County Wtr. & Swr. Rev. Series 2013, 5% 1/1/32 10,000,000 11,087,000 
Georgia Muni. Elec. Auth. Pwr. Rev.:   
(Gen. Resolution Proj.) Series 2008 A, 5.25% 1/1/19 4,000,000 4,058,720 
Series C, 5% 1/1/22 2,900,000 3,161,609 
Series GG, 5% 1/1/23 1,600,000 1,781,728 
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.):   
Series R, 5% 10/1/21 1,225,000 1,337,492 
Series S, 5% 10/1/24 1,575,000 1,745,525 
Main Street Natural Gas, Inc. Bonds Series 2018 C, 4%, tender 12/1/23 (a) 24,120,000 25,706,131 
Monroe County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Scherer Proj.) Series 2009 1, 2.05%, tender 11/19/21 (a) 2,750,000 2,716,175 
Private Colleges & Univs. Auth. Rev. (The Savannah College of Art and Design Projs.) Series 2014:   
5% 4/1/28 2,560,000 2,821,965 
5% 4/1/44 10,855,000 11,655,665 
Valdosta & Lowndes County Hosp. Series 2007, 5% 10/1/24 1,000,000 1,002,860 
TOTAL GEORGIA  96,890,528 
Hawaii - 0.1%   
Hawaii Gen. Oblig. Series 2017 FK, 5% 5/1/33 4,200,000 4,883,970 
Idaho - 0.5%   
Idaho Health Facilities Auth. Rev.:   
(St. Luke's Health Sys. Proj.) Series 2008 A, 6.75% 11/1/37 1,900,000 1,924,016 
Series 2015 ID:   
5% 12/1/24 500,000 577,500 
5.5% 12/1/26 1,200,000 1,425,552 
5.5% 12/1/27 3,250,000 3,847,415 
Idaho Hsg. & Fin. Assoc. Single Family Mtg.:   
(Idaho St Garvee Proj.) Series 2017 A:   
5% 7/15/20 1,115,000 1,182,714 
5% 7/15/21 1,660,000 1,803,573 
5% 7/15/22 1,850,000 2,050,244 
5% 7/15/23 880,000 991,927 
5% 7/15/24 705,000 804,426 
(Idaho St Garvee proj.) Series 2017 A, 5% 7/15/25 705,000 816,348 
(Idaho St Garvee Proj.) Series 2017 A:   
5% 7/15/26 500,000 582,970 
5% 7/15/27 1,765,000 2,078,235 
TOTAL IDAHO  18,084,920 
Illinois - 17.9%   
Boone & Winnebago County Cmnty. Unit School District 200 Series 2003, 0% 1/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,065,000 1,032,411 
Chicago Board of Ed.:   
Series 1999 A, 5.25% 12/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,115,000 1,195,737 
Series 2008 C:   
5.25% 12/1/23 1,060,000 1,064,441 
5.25% 12/1/24 715,000 717,688 
Series 2010 F, 5% 12/1/20 570,000 588,046 
Series 2011 A:   
5% 12/1/41 1,865,000 1,885,963 
5.25% 12/1/41 1,510,000 1,538,494 
5.5% 12/1/39 2,700,000 2,773,224 
Series 2012 A, 5% 12/1/42 2,815,000 2,834,395 
Series 2015 C, 5.25% 12/1/39 800,000 827,784 
Series 2016 B, 6.5% 12/1/46 400,000 457,128 
Series 2017 A, 7% 12/1/46 (c) 1,400,000 1,672,426 
Series 2017 C:   
5% 12/1/22 1,370,000 1,433,897 
5% 12/1/23 2,730,000 2,869,121 
5% 12/1/24 1,840,000 1,935,606 
5% 12/1/25 1,710,000 1,799,861 
5% 12/1/26 500,000 526,050 
Series 2017 D, 5% 12/1/24 1,805,000 1,898,788 
Series 2018 A:   
5% 12/1/24 1,280,000 1,346,509 
5% 12/1/29 4,445,000 4,675,562 
5% 12/1/31 850,000 889,049 
Chicago Midway Arpt. Rev. Series 2016 B:   
4% 1/1/35 815,000 834,959 
5% 1/1/36 4,500,000 4,983,750 
5% 1/1/37 5,300,000 5,847,808 
5% 1/1/41 6,000,000 6,587,160 
5% 1/1/46 8,470,000 9,269,907 
Chicago O'Hare Int'l. Arpt. Rev.:   
Series 2013 D, 5% 1/1/27 5,175,000 5,691,931 
Series 2016 B, 5% 1/1/34 2,835,000 3,159,466 
Series 2016 C:   
5% 1/1/32 4,750,000 5,326,840 
5% 1/1/33 1,305,000 1,458,912 
5% 1/1/34 1,510,000 1,682,820 
Series 2017 B:   
5% 1/1/34 1,515,000 1,704,011 
5% 1/1/35 2,540,000 2,852,928 
5% 1/1/36 1,650,000 1,849,419 
5% 1/1/37 6,400,000 7,158,592 
5% 1/1/38 2,250,000 2,513,183 
5% 1/1/39 5,000,000 5,600,400 
Chicago Transit Auth.:   
Series 2014, 5.25% 12/1/49 12,000,000 13,290,360 
Series 2017, 5% 12/1/46 1,900,000 2,040,353 
Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017:   
5% 6/1/22 980,000 1,074,198 
5% 6/1/23 880,000 981,191 
5% 6/1/24 1,495,000 1,679,304 
5% 6/1/25 745,000 841,284 
5% 6/1/26 1,595,000 1,813,706 
Chicago Wtr. Rev.:   
Series 2008:   
5.25% 11/1/33 (Pre-Refunded to 11/1/18 @ 100) 335,000 338,229 
5.25% 11/1/38 (Pre-Refunded to 11/1/18 @ 100) 9,150,000 9,238,206 
Series 2017:   
5.25% 11/1/33 (FSA Insured) 445,000 448,427 
5.25% 11/1/33 (FSA Insured) (Pre-Refunded to 11/1/18 @ 100) 1,520,000 1,534,653 
Cook County Forest Preservation District Series 2012 C:   
5% 12/15/22 1,230,000 1,335,596 
5% 12/15/37 1,000,000 1,056,030 
Cook County Gen. Oblig.:   
Series 2010 A:   
5.25% 11/15/22 2,065,000 2,204,119 
5.25% 11/15/33 13,180,000 13,838,868 
Series 2011 A, 5.25% 11/15/28 1,625,000 1,746,436 
Series 2012 C:   
5% 11/15/23 4,375,000 4,829,913 
5% 11/15/24 3,500,000 3,845,940 
5% 11/15/25 (FSA Insured) 5,800,000 6,336,268 
Series 2016 A, 5% 11/15/29 6,110,000 6,895,196 
Des Plaines Pub. Library District 5.5% 1/1/30 4,210,000 4,411,912 
Grundy & Will Counties Cmnty. School Gen. Obligan Series 2018, 5% 2/1/29 675,000 766,922 
Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. 0% 7/15/23 (Escrowed to Maturity) 5,600,000 4,988,088 
Illinois Fin. Auth. Hosp. Rev. (KishHealth Sys. Proj.) Series 2008, 5.75% 10/1/35 (Pre-Refunded to 10/1/18 @ 100) 2,400,000 2,417,568 
Illinois Fin. Auth. Rev.:   
(Bradley Univ. Proj.) Series 2017 C, 5% 8/1/31 1,175,000 1,320,641 
(Depaul Univ. Proj.) Series 2016 A:   
4% 10/1/31 1,480,000 1,539,570 
5% 10/1/33 1,500,000 1,694,880 
(Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A:   
5% 7/15/25 795,000 922,764 
5% 7/15/27 1,300,000 1,536,366 
5% 7/15/30 1,490,000 1,744,373 
(Palos Cmnty. Hosp. Proj.) Series 2010 C, 5.375% 5/15/30 7,630,000 8,011,958 
(Presence Health Proj.) Series 2016 C:   
5% 2/15/26 1,425,000 1,664,044 
5% 2/15/29 2,330,000 2,707,180 
5% 2/15/36 2,390,000 2,711,001 
(Provena Health Proj.) Series 2010 A, 6% 5/1/28 (Pre-Refunded to 5/1/20 @ 100) 5,300,000 5,694,373 
(Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C, 5% 8/1/49 490,000 527,490 
(Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34 1,200,000 1,327,680 
(Rush Univ. Med. Ctr. Proj.):   
Series 2009 C, 6.625% 11/1/39 (Pre-Refunded to 5/1/19 @ 100) 2,300,000 2,386,664 
Series 2009 D, 6.625% 11/1/39 (Pre-Refunded to 5/1/19 @ 100) 1,125,000 1,167,390 
(Silver Cross Hosp. and Med. Ctr. Proj.) Series 2008 A:   
5.5% 8/15/30 750,000 751,553 
6% 8/15/23 1,000,000 1,002,230 
Bonds:   
(Ascension Health Cr. Group Proj.) Series 2012 E2, 1.75%, tender 4/1/21 (a) 1,045,000 1,035,825 
Series 2017 B, 5%, tender 12/15/22 (a) 3,045,000 3,403,640 
Series 2009 A, 7.75% 8/15/34 (Pre-Refunded to 8/15/19 @ 100) 6,000,000 6,377,640 
Series 2010 A:   
5.5% 8/15/24 (Pre-Refunded to 2/15/20 @ 100) 1,050,000 1,108,097 
5.75% 8/15/29 (Pre-Refunded to 2/15/20 @ 100) 700,000 741,370 
Series 2012 A:   
5% 5/15/19 1,000,000 1,023,890 
5% 5/15/23 700,000 766,801 
Series 2012:   
4% 9/1/32 3,020,000 2,937,403 
5% 9/1/22 800,000 861,000 
5% 9/1/32 4,000,000 4,213,760 
5% 9/1/38 5,400,000 5,644,728 
5% 11/15/43 1,640,000 1,725,690 
Series 2013:   
4% 5/15/33 700,000 704,865 
5% 11/15/24 1,115,000 1,231,406 
5% 11/15/27 400,000 439,196 
5% 5/15/43 3,750,000 3,921,900 
Series 2014, 5% 8/1/38 6,800,000 7,482,584 
Series 2015 A:   
5% 11/15/31 3,500,000 3,870,440 
5% 11/15/45 9,750,000 10,545,990 
Series 2015 B, 5% 11/15/23 1,845,000 2,090,570 
Series 2015 C:   
5% 8/15/35 3,340,000 3,624,000 
5% 8/15/44 15,400,000 16,472,456 
Series 2016 A:   
5% 7/1/33 1,850,000 2,032,281 
5% 7/1/34 1,000,000 1,095,640 
5% 8/15/34 1,800,000 1,953,540 
5.25% 8/15/29 1,015,000 1,143,022 
Series 2016 B:   
5% 8/15/30 3,000,000 3,419,760 
5% 8/15/33 4,585,000 5,138,960 
5% 8/15/34 2,415,000 2,693,498 
Series 2016 C:   
3.75% 2/15/34 725,000 724,993 
4% 2/15/36 3,085,000 3,188,718 
4% 2/15/41 9,595,000 9,853,489 
5% 2/15/21 4,080,000 4,394,854 
5% 2/15/22 3,600,000 3,964,320 
5% 2/15/24 325,000 370,910 
5% 2/15/30 13,250,000 15,340,585 
5% 2/15/31 1,000,000 1,153,690 
5% 2/15/41 5,375,000 6,071,224 
Series 2016, 5% 12/1/46 2,605,000 2,814,885 
Series 2017 A, 5% 8/1/47 430,000 463,910 
Series 2017:   
5% 1/1/22 2,795,000 3,074,221 
5% 7/1/24 1,375,000 1,581,621 
5% 1/1/28 3,075,000 3,611,649 
5% 7/1/28 2,745,000 3,217,305 
5% 7/1/32 5,145,000 5,921,535 
5% 7/1/33 3,365,000 3,859,386 
5% 7/1/34 2,765,000 3,155,777 
5% 7/1/35 2,290,000 2,602,745 
7.75% 8/15/34 (Pre-Refunded to 8/15/19 @ 100) 60,000 63,776 
Illinois Gen. Oblig.:   
Serie 2014, 5% 4/1/24 3,945,000 4,225,529 
Series 2006:   
5% 1/1/19 1,500,000 1,516,980 
5.5% 1/1/31 1,945,000 2,140,064 
Series 2010:   
5% 1/1/21 (FSA Insured) 900,000 931,680 
5% 1/1/23 (FSA Insured) 2,100,000 2,164,155 
Series 2012 A:   
4% 1/1/23 1,220,000 1,235,128 
5% 1/1/33 1,700,000 1,747,668 
Series 2012:   
5% 8/1/19 900,000 923,553 
5% 8/1/21 1,695,000 1,781,038 
5% 3/1/23 1,500,000 1,580,220 
5% 8/1/23 1,675,000 1,787,694 
5% 3/1/28 650,000 675,201 
5% 3/1/36 1,000,000 1,025,300 
Series 2013 A, 5% 4/1/35 900,000 929,772 
Series 2013, 5.5% 7/1/38 2,000,000 2,105,220 
Series 2014:   
5% 2/1/23 1,850,000 1,966,920 
5% 2/1/25 2,245,000 2,395,886 
5% 2/1/27 1,075,000 1,139,006 
5% 4/1/28 580,000 613,321 
5% 5/1/28 3,325,000 3,518,515 
5% 5/1/32 1,400,000 1,465,310 
5% 5/1/33 1,600,000 1,670,464 
5.25% 2/1/29 3,000,000 3,197,130 
5.25% 2/1/30 2,700,000 2,870,559 
5.25% 2/1/31 1,305,000 1,384,122 
Series 2016:   
5% 2/1/23 880,000 935,616 
5% 6/1/25 4,465,000 4,806,706 
5% 6/1/26 610,000 657,434 
5% 2/1/27 4,345,000 4,691,123 
5% 2/1/28 3,495,000 3,747,269 
5% 2/1/29 3,285,000 3,507,460 
Series 2017 D, 5% 11/1/26 16,600,000 17,912,728 
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A:   
5% 2/1/23 1,075,000 1,198,819 
5% 2/1/29 10,000,000 11,334,800 
5% 2/1/31 1,890,000 2,128,253 
Illinois Toll Hwy. Auth. Toll Hwy. Rev.:   
Series 2013 A, 5% 1/1/38 20,000,000 21,884,000 
Series 2015 A:   
5% 1/1/37 1,700,000 1,887,289 
5% 1/1/40 6,700,000 7,416,230 
Series 2015 B, 5% 1/1/40 3,800,000 4,224,308 
Series 2016 A:   
5% 12/1/31 945,000 1,072,462 
5% 12/1/32 6,700,000 7,560,883 
Series 2016 B, 5% 1/1/41 13,000,000 14,508,650 
Jersey & Greene Counties Cmnty. Unit School District #100 Series 2003, 0% 12/1/18 (FSA Insured) 1,100,000 1,093,675 
Joliet School District #86 Gen. Oblig. Series 2002:   
0% 11/1/19 (FSA Insured) 2,260,000 2,204,879 
0% 11/1/20 (FSA Insured) 3,850,000 3,666,894 
Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2004, 0% 2/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 5,025,000 4,614,759 
Kane, McHenry, Cook & DeKalb Counties Unit School District #300:   
Series 2015:   
5% 1/1/27 1,500,000 1,702,845 
5% 1/1/28 2,780,000 3,145,431 
Series 2017, 5% 1/1/29 1,030,000 1,183,099 
6.5% 1/1/20 (AMBAC Insured) 310,000 330,290 
Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016, 5% 2/1/33 10,875,000 12,101,700 
Lake County Cmnty. Unit School District #95, Lake Zurich Series 2000 B, 0% 12/1/18 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 3,000,000 2,984,310 
McHenry & Kane Counties Cmnty. Consolidated School District #158 Series 2004, 0% 1/1/24 (FSA Insured) 1,600,000 1,348,768 
McHenry County Cmnty. School District #200 Series 2006 B:   
0% 1/15/24 4,260,000 3,652,822 
0% 1/15/25 4,440,000 3,654,520 
0% 1/15/26 3,335,000 2,628,480 
Metropolitan Pier & Exposition:   
(McCormick Place Expansion Proj.):   
Series 2010 B1:   
0% 6/15/43 (FSA Insured) 15,500,000 5,162,430 
0% 6/15/44 (FSA Insured) 19,125,000 6,078,881 
0% 6/15/45 (FSA Insured) 12,145,000 3,683,336 
0% 6/15/47 (FSA Insured) 5,760,000 1,589,472 
Series 2012 B, 0% 12/15/51 5,900,000 1,148,376 
Series 2017 B:   
5% 12/15/28 2,000,000 2,222,600 
5% 12/15/32 900,000 985,914 
Railsplitter Tobacco Settlement Auth. Rev. Series 2017:   
5% 6/1/23 1,250,000 1,395,550 
5% 6/1/24 1,635,000 1,845,016 
Univ. of Illinois Rev.:   
(Auxiliary Facilities Sys. Proj.) Series 1999 A, 0% 4/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 2,015,000 1,941,674 
Series 2010 A:   
5% 4/1/25 1,700,000 1,779,288 
5.25% 4/1/30 1,020,000 1,068,807 
Series 2013:   
6% 10/1/42 1,935,000 2,180,106 
6.25% 10/1/38 1,900,000 2,168,869 
Will County Cmnty. Unit School District #365-U:   
Series 2007 B, 0% 11/1/26 (FSA Insured) 3,175,000 2,437,702 
0% 11/1/18 (Escrowed to Maturity) 945,000 941,513 
0% 11/1/18 (FSA Insured) 4,085,000 4,068,088 
0% 11/1/19 (Escrowed to Maturity) 1,290,000 1,262,110 
0% 11/1/19 (FSA Insured) 8,310,000 8,110,311 
Will County Illinois Series 2016, 5% 11/15/41 13,255,000 14,630,869 
TOTAL ILLINOIS  661,754,584 
Indiana - 2.1%   
Beech Grove School Bldg. Corp. Series 1996, 5.625% 7/5/24 (Escrowed to Maturity) 2,240,000 2,474,349 
Hobart Bldg. Corp. Series 2006, 6.5% 1/15/29 (Pre-Refunded to 1/15/20 @ 100) 3,100,000 3,316,318 
Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Proj.) Series 2017 A:   
5% 11/1/24 1,000,000 1,155,620 
5% 11/1/25 1,000,000 1,168,350 
5% 11/1/28 450,000 537,642 
5% 11/1/29 1,400,000 1,681,862 
5% 11/1/30 315,000 380,237 
Indiana Fin. Auth. Rev.:   
Series 2012:   
5% 3/1/25 1,000,000 1,087,600 
5% 3/1/30 500,000 541,835 
5% 3/1/41 2,590,000 2,770,005 
Series 2015 A, 5.25% 2/1/32 2,940,000 3,413,075 
Series 2015, 5% 3/1/36 4,500,000 4,965,885 
Series 2016:   
5% 9/1/27 1,850,000 2,132,347 
5% 9/1/31 1,835,000 2,081,074 
Indiana Fin. Auth. Wastewtr. Util. Rev.:   
(CWA Auth. Proj.):   
Series 2012 A:   
5% 10/1/24 850,000 944,894 
5% 10/1/37 1,700,000 1,852,949 
Series 2014 A:   
5% 10/1/25 1,200,000 1,383,684 
5% 10/1/26 1,750,000 2,005,955 
(CWA Auth. Proj.) Series 2014 A, 5% 10/1/27 1,750,000 1,997,345 
(CWA Auth. Proj.) Series 2015 A:   
5% 10/1/29 2,295,000 2,602,553 
5% 10/1/45 12,700,000 14,317,218 
Series 2011 A, 5.25% 10/1/26 1,000,000 1,094,620 
Series 2011 B, 5% 10/1/41 2,000,000 2,157,460 
Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev.:   
Series 2011 A, 5% 1/1/21 800,000 859,408 
Series 2017 A:   
5% 1/1/32 4,000,000 4,655,360 
5% 1/1/34 2,000,000 2,311,680 
Indianapolis Thermal Energy Sys. Series 2010 B, 5% 10/1/19 8,390,000 8,702,611 
Lake Central Multi-District School Bldg. Corp. Series 2012 B, 5% 1/15/30 4,300,000 4,763,669 
Purdue Univ. Rev. (Student Facilities Sys. Proj.) Series 2009 B, 5% 7/1/27 (Pre-Refunded to 7/1/19 @ 100) 1,220,000 1,258,711 
TOTAL INDIANA  78,614,316 
Kansas - 0.6%   
Desoto Usd # 232 Series 2015 A, 5% 9/1/22 1,390,000 1,552,018 
Johnson County Unified School District # 233:   
Series 2016 A:   
5% 9/1/21 750,000 820,418 
5% 9/1/23 1,000,000 1,142,150 
Series 2016 B:   
5% 9/1/22 1,600,000 1,789,824 
5% 9/1/23 290,000 331,224 
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev.:   
Series 2012 A, 5% 9/1/26 4,020,000 4,442,020 
Series 2016 A:   
5% 9/1/40 4,200,000 4,683,924 
5% 9/1/45 5,125,000 5,698,334 
TOTAL KANSAS  20,459,912 
Kentucky - 1.7%   
Ashland Med. Ctr. Rev. (Ashland Hosp. Corp. d/b/a King's Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/40 1,200,000 1,273,872 
Kenton County Arpt. Board Arpt. Rev. Series 2016:   
5% 1/1/19 1,000,000 1,013,660 
5% 1/1/20 485,000 506,214 
5% 1/1/24 800,000 901,096 
5% 1/1/27 1,500,000 1,692,735 
5% 1/1/33 1,300,000 1,453,322 
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Series 2017 B:   
5% 8/15/32 2,680,000 2,960,650 
5% 8/15/33 1,325,000 1,458,401 
5% 8/15/35 1,500,000 1,641,360 
Kentucky Econ. Dev. Fin. Auth. Rev. Louisville Arena Auth., Inc. Series 2017A, 5% 12/1/47 (FSA Insured) 855,000 929,727 
Kentucky State Property & Buildings Commission Rev.:   
(Proj. No. 119) Series 2018:   
5% 5/1/27 2,255,000 2,577,240 
5% 5/1/29 1,865,000 2,129,009 
5% 5/1/30 1,250,000 1,421,363 
5% 5/1/31 535,000 611,692 
5% 5/1/32 280,000 318,884 
5% 5/1/33 630,000 714,685 
5% 5/1/34 720,000 814,219 
5% 5/1/35 425,000 476,123 
5% 5/1/36 360,000 402,044 
Series 2016 B, 5% 11/1/26 11,400,000 13,081,272 
Louisville & Jefferson County:   
Series 2013 A:   
5.5% 10/1/33 1,275,000 1,427,031 
5.75% 10/1/38 3,105,000 3,502,595 
Series 2016 A:   
5% 10/1/31 6,400,000 7,251,136 
5% 10/1/32 7,745,000 8,739,303 
5% 10/1/33 4,400,000 4,951,408 
Louisville/Jefferson County Metropolitan Gov. Series 2012 A:   
5% 12/1/28 405,000 431,819 
5% 12/1/30 405,000 430,167 
Pikeville Hosp. Rev. (Pikeville Med. Ctr., Inc. Proj.) Series 2011, 6.5% 3/1/41 1,000,000 1,084,700 
TOTAL KENTUCKY  64,195,727 
Louisiana - 0.6%   
Louisiana Citizens Property Ins. Corp. Assessment Rev. Series 2015, 5% 6/1/20 3,750,000 3,968,550 
Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2009, 6.75% 7/1/39 (Pre-Refunded to 7/1/19 @ 100) 800,000 837,288 
Louisiana Pub. Facilities Auth. Rev. (Tulane Univ. of Louisiana Proj.) Series 2016 A:   
5% 12/15/25 445,000 516,191 
5% 12/15/27 2,000,000 2,306,840 
5% 12/15/29 1,200,000 1,370,700 
New Orleans Gen. Oblig. Series 2012:   
5% 12/1/24 2,455,000 2,711,719 
5% 12/1/25 2,400,000 2,645,760 
Tobacco Settlement Fing. Corp. Series 2013 A:   
5% 5/15/21 610,000 655,720 
5% 5/15/23 2,500,000 2,779,000 
5.5% 5/15/29 5,000,000 5,177,250 
TOTAL LOUISIANA  22,969,018 
Maine - 1.0%   
Maine Health & Higher Edl. Facilities Auth. Rev.:   
(Eastern Maine Healthcare Systems Proj.) Series 2013, 5% 7/1/43 1,730,000 1,793,145 
Series 2016 A:   
4% 7/1/41 1,165,000 1,098,117 
4% 7/1/46 1,515,000 1,406,602 
5% 7/1/41 480,000 503,962 
5% 7/1/46 330,000 345,345 
Series 2017 D, 5.75% 7/1/38 275,000 275,943 
Series 2018 A:   
5% 7/1/30 1,185,000 1,376,982 
5% 7/1/31 1,100,000 1,271,083 
5% 7/1/34 2,000,000 2,283,620 
5% 7/1/35 2,745,000 3,119,363 
5% 7/1/36 3,250,000 3,681,503 
5% 7/1/37 3,000,000 3,395,610 
5% 7/1/38 2,275,000 2,570,932 
5% 7/1/43 4,500,000 5,041,170 
Maine Tpk. Auth. Tpk. Rev.:   
Series 2015, 5% 7/1/37 1,700,000 1,904,068 
Series 2018:   
5% 7/1/33 700,000 818,615 
5% 7/1/34 1,000,000 1,165,720 
5% 7/1/35 1,100,000 1,278,211 
5% 7/1/36 2,000,000 2,316,600 
TOTAL MAINE  35,646,591 
Maryland - 0.3%   
Maryland Health & Higher Edl. Facilities Auth. Rev.:   
(Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 1,655,000 1,841,287 
Series 2010, 5.625% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) 1,100,000 1,180,080 
Series 2015, 5% 7/1/40 2,000,000 2,154,740 
Series 2016 A:   
4% 7/1/42 780,000 769,330 
5% 7/1/35 2,055,000 2,247,081 
5% 7/1/38 1,125,000 1,219,691 
Rockville Mayor & Council Econ. Dev. (Rfdg.-Ingleside King Farm Proj.) Series 2017:   
2.5% 11/1/24 875,000 862,505 
3% 11/1/25 640,000 636,678 
5% 11/1/30 230,000 252,970 
TOTAL MARYLAND  11,164,362 
Massachusetts - 1.7%   
Massachusetts Dev. Fin. Agcy. Rev.:   
(Lesley Univ. Proj.) Series 2016, 5% 7/1/39 1,015,000 1,129,056 
(Tufts Med. Ctr. Proj.) Series 2011, 6.75% 1/1/36 400,000 442,548 
(Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L:   
4% 7/1/44 10,000,000 10,044,500 
5% 7/1/44 2,225,000 2,434,017 
(Wentworth Institute of Technology Proj.) Series 2017:   
5% 10/1/30 1,165,000 1,292,474 
5% 10/1/33 1,355,000 1,488,088 
Series 2015 D, 5% 7/1/44 2,575,000 2,782,391 
Series 2016 A, 5% 1/1/47 6,945,000 7,566,230 
Series BB1, 5% 10/1/46 4,230,000 4,776,305 
Massachusetts Gen. Oblig.:   
Series 2017 A:   
5% 4/1/33 3,280,000 3,801,520 
5% 4/1/36 1,280,000 1,470,835 
5% 4/1/47 10,940,000 12,383,861 
Series 2017 D:   
5% 2/1/33 3,265,000 3,775,450 
5% 2/1/34 5,960,000 6,872,357 
5% 2/1/35 2,850,000 3,277,044 
TOTAL MASSACHUSETTS  63,536,676 
Michigan - 3.4%   
Detroit Wtr. Supply Sys. Rev.:   
Series 2006 B, 7% 7/1/36 (Pre-Refunded to 7/1/19 @ 100) 1,400,000 1,468,418 
Series 2009, 6.25% 7/1/36 (Pre-Refunded to 7/1/19 @ 100) 1,500,000 1,563,150 
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016, 5% 5/15/28 1,455,000 1,640,585 
Lansing Board of Wtr. & Lt. Util. Rev. 5.5% 7/1/41 1,000,000 1,094,410 
Michigan Bldg. Auth. Rev.:   
(Facilities Prog.):   
Series 2015 I:   
5% 4/15/27 14,000,000 16,263,380 
5% 4/15/28 2,000,000 2,314,780 
Series 2016 I, 5% 4/15/24 705,000 810,637 
Series IA, 5.375% 10/15/41 1,000,000 1,098,940 
Michigan Fin. Auth. Rev.:   
(Trinity Health Proj.) Series 2017:   
5% 12/1/35 9,085,000 10,410,502 
5% 12/1/42 1,035,000 1,173,493 
Series 2012 A:   
4.125% 6/1/32 (Pre-Refunded to 6/1/22 @ 100) 2,350,000 2,533,206 
5% 6/1/20 (Escrowed to Maturity) 750,000 792,728 
5% 6/1/27 (Pre-Refunded to 6/1/22 @ 100) 1,100,000 1,221,077 
5% 6/1/39 (Pre-Refunded to 6/1/22 @ 100) 2,400,000 2,664,168 
Series 2012:   
5% 11/15/36 1,300,000 1,410,318 
5% 11/15/42 2,950,000 3,187,977 
Series 2013, 5% 8/15/29 3,865,000 4,286,672 
Series 2015 MI, 5% 12/1/25 3,000,000 3,466,110 
Series 2016:   
5% 11/15/32 4,815,000 5,430,020 
5% 11/15/41 1,085,000 1,195,388 
Michigan Gen. Oblig. Series 2016, 5% 3/15/26 7,500,000 8,787,600 
Michigan Hosp. Fin. Auth. Rev.:   
(Trinity Health Proj.) Series 2008 C, 5% 12/1/32 345,000 399,865 
Bonds (Ascension Health Cr. Group Proj.) Series F5:   
1.9%, tender 4/1/21 (a) 4,395,000 4,373,421 
2.4%, tender 3/15/23 (a) 1,720,000 1,724,472 
6.5% 12/1/33 (Pre-Refunded to 12/1/18 @ 100) 125,000 127,129 
Michigan Strategic Fund Ltd. Oblig. Rev. Bonds Series CC, 1.45%, tender 9/1/21 (a) 6,380,000 6,153,063 
Portage Pub. Schools Series 2016:   
5% 11/1/33 1,000,000 1,132,860 
5% 11/1/36 1,250,000 1,398,700 
5% 11/1/37 1,000,000 1,116,780 
Royal Oak Hosp. Fin. Auth. Hosp. Rev. (William Beaumont Hosp. Proj.) Series 2009 V, 8.25% 9/1/39 (Pre-Refunded to 9/1/18 @ 100) 900,000 905,013 
Warren Consolidated School District Series 2016:   
5% 5/1/28 4,100,000 4,684,250 
5% 5/1/29 4,230,000 4,810,779 
Wayne County Arpt. Auth. Rev.:   
Series 2015 D:   
5% 12/1/30 1,300,000 1,481,831 
5% 12/1/31 2,300,000 2,613,559 
5% 12/1/40 (FSA Insured) 3,000,000 3,350,220 
Series 2015 G:   
5% 12/1/31 1,500,000 1,704,495 
5% 12/1/32 1,500,000 1,700,265 
5% 12/1/33 2,000,000 2,261,380 
Series 2015, 5% 12/1/29 1,600,000 1,831,760 
Series 2017 A:   
5% 12/1/28 600,000 701,262 
5% 12/1/29 550,000 637,951 
5% 12/1/30 700,000 808,857 
5% 12/1/33 350,000 400,456 
5% 12/1/37 500,000 567,335 
5% 12/1/37 270,000 305,203 
Series 2017 C, 5% 12/1/28 1,100,000 1,290,553 
Western Michigan Univ. Rev.:   
5.25% 11/15/19 (Assured Guaranty Corp. Insured) 3,015,000 3,047,683 
5.25% 11/15/22 (Assured Guaranty Corp. Insured) 4,640,000 4,690,854 
TOTAL MICHIGAN  127,033,555 
Minnesota - 0.4%   
Duluth Independent School District #709 Ctfs. of Prtn. Series 2009 B, 4% 3/1/21 1,500,000 1,508,880 
Maple Grove Health Care Sys. Rev.:   
Series 2015, 5% 9/1/27 1,285,000 1,437,388 
Series 2017:   
3% 5/1/19 1,000,000 1,007,960 
4% 5/1/22 500,000 529,965 
5% 5/1/23 500,000 557,030 
5% 5/1/24 1,200,000 1,357,572 
Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A:   
5% 11/15/20 675,000 724,565 
5% 11/15/24 1,780,000 2,052,981 
5% 11/15/25 1,365,000 1,589,979 
Minneapolis Health Care Sys. Rev.:   
6.5% 11/15/38 845,000 857,405 
6.5% 11/15/38 (Pre-Refunded to 11/15/18 @ 100) 155,000 157,303 
Saint Paul Hsg. & Redev. Auth. Hosp. Rev. (HealthEast Care Sys. Proj.) Series 2015 A, 5% 11/15/40 (Pre-Refunded to 11/15/25 @ 100) 700,000 823,018 
Southern Minnesota Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2009 A, 5% 1/1/21 (Pre-Refunded to 1/1/19 @ 100) 1,915,000 1,943,878 
TOTAL MINNESOTA  14,547,924 
Missouri - 0.5%   
Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A, 5% 3/1/29 1,470,000 1,628,731 
Hannibal Indl. Dev. Auth. Health Facilities Rev. (Hannibal Reg'l. Healthcare Sys. Proj.) Series 2017:   
5% 10/1/42 3,425,000 3,751,471 
5% 10/1/47 2,125,000 2,317,228 
Kansas City Santn Swr. Sys. R Series 2018 B:   
5% 1/1/21 (e) 575,000 608,839 
5% 1/1/26 (e) 240,000 273,202 
5% 1/1/28 (e) 500,000 588,115 
5% 1/1/33 (e) 475,000 540,878 
Kansas City Spl. Oblig.:   
4% 9/1/18 400,000 400,824 
5% 9/1/21 295,000 305,086 
5% 9/1/22 500,000 517,095 
5% 9/1/23 400,000 413,676 
Missouri Envir. Impt. & Energy Resources Auth. Wtr. Poll. Cont. & Drinking Wtr. Rev. 5.125% 1/1/21 125,000 125,369 
Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev. Series 2015 B:   
3.125% 2/1/27 400,000 403,640 
3.25% 2/1/28 400,000 406,016 
4% 2/1/40 400,000 406,352 
5% 2/1/34 3,115,000 3,472,291 
5% 2/1/36 1,200,000 1,331,280 
5% 2/1/45 1,900,000 2,077,992 
TOTAL MISSOURI  19,568,085 
Nebraska - 0.7%   
Douglas County Neb Edl. Facilities Rev. (Creighton Univ. Proj.) Series 2017, 4% 7/1/33 775,000 825,832 
Lincoln Elec. Sys. Rev. Series 2018:   
5% 9/1/30 4,585,000 5,387,788 
5% 9/1/31 2,000,000 2,343,500 
5% 9/1/32 3,735,000 4,360,911 
5% 9/1/33 2,240,000 2,607,965 
Nebraska Pub. Pwr. District Rev.:   
Series 2016 A:   
5% 1/1/32 1,670,000 1,897,638 
5% 1/1/34 1,000,000 1,131,330 
Series 2016 B, 5% 1/1/32 5,000,000 5,681,550 
TOTAL NEBRASKA  24,236,514 
Nevada - 1.1%   
Carson City Hosp. Rev. (Carson Tahoe Hosp. Proj.) Series 2017:   
5% 9/1/37 2,705,000 2,980,612 
5% 9/1/42 6,665,000 7,306,373 
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.:   
Series 2011 C, 5% 6/1/24 1,900,000 2,056,047 
Series 2012 B, 5% 6/1/42 3,260,000 3,548,380 
Series 2016 A:   
5% 6/1/35 4,150,000 4,728,344 
5% 6/1/36 6,000,000 6,818,220 
Series 2016 B:   
5% 6/1/34 7,495,000 8,561,988 
5% 6/1/36 2,700,000 3,068,199 
TOTAL NEVADA  39,068,163 
New Hampshire - 1.1%   
New Hampshire Health & Ed. Facilities Auth.:   
(Concord Hosp.) Series 2017, 5% 10/1/42 2,000,000 2,211,880 
(Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A:   
5% 8/1/32 250,000 285,065 
5% 8/1/34 3,000,000 3,386,820 
(Dartmouth-Hitchcock Oblgtd Grp Proj.):   
Series 2018 A:   
5% 8/1/31 1,300,000 1,490,346 
5% 8/1/36 2,000,000 2,237,200 
5% 8/1/37 2,400,000 2,674,392 
Series 2018, 5% 8/1/35 2,750,000 3,090,313 
(Partners Healthcare Sys., Inc. Proj.) Series 2017, 5% 7/1/41 2,100,000 2,365,083 
Series 2017 B, 4.125% 7/1/24 (c) 965,000 970,616 
Series 2017 C, 3.5% 7/1/22 (c) 320,000 320,880 
Series 2017, 5% 7/1/44 1,000,000 1,091,560 
New Hampshire Health & Ed. Facilities Auth. Rev.:   
Series 2012:   
4% 7/1/23 1,000,000 1,053,290 
4% 7/1/32 900,000 919,611 
Series 2016:   
4% 10/1/38 1,165,000 1,152,220 
5% 10/1/28 3,000,000 3,357,690 
5% 10/1/32 5,160,000 5,682,192 
5% 10/1/38 3,765,000 4,068,384 
New Hampshire Tpk. Sys. Rev. Series 2012 B:   
5% 10/1/19 2,890,000 3,005,195 
5% 2/1/20 1,300,000 1,365,130 
TOTAL NEW HAMPSHIRE  40,727,867 
New Jersey - 3.1%   
New Jersey Ctfs. of Prtn. Series 2009 A:   
5.125% 6/15/24 (Pre-Refunded to 6/15/19 @ 100) 1,500,000 1,546,770 
5.25% 6/15/28 (Pre-Refunded to 6/15/19 @ 100) 1,000,000 1,032,250 
New Jersey Econ. Dev. Auth. Rev.:   
(New Jersey Gen. Oblig. Proj.):   
Series 2015 XX, 5% 6/15/25 6,215,000 6,936,313 
Series 2017 B, 5% 11/1/24 10,000,000 11,119,100 
Series 2011 EE:   
5% 9/1/20 1,255,000 1,326,322 
5% 9/1/20 (Escrowed to Maturity) 3,395,000 3,619,410 
Series 2013:   
5% 3/1/23 7,040,000 7,688,666 
5% 3/1/24 6,200,000 6,740,702 
5% 3/1/25 700,000 756,994 
Series 2015 XX:   
5% 6/15/22 1,525,000 1,653,009 
5% 6/15/26 15,000,000 16,623,450 
Series 2016 AAA:   
5% 6/15/41 2,510,000 2,701,714 
5.5% 6/15/30 4,995,000 5,710,234 
Series 2016 BBB, 5% 6/15/22 3,120,000 3,381,893 
6% 12/15/34 (Pre-Refunded to 12/15/18 @ 100) 30,000 30,516 
New Jersey Edl. Facility Series 2016 A, 5% 7/1/29 2,625,000 2,931,574 
New Jersey Health Care Facilities Fing. Auth. Rev. Series 2016 A:   
5% 7/1/20 500,000 526,090 
5% 7/1/21 1,155,000 1,241,706 
5% 7/1/22 155,000 169,905 
5% 7/1/23 550,000 611,314 
5% 7/1/24 435,000 488,074 
5% 7/1/25 1,055,000 1,192,161 
5% 7/1/25 470,000 531,105 
5% 7/1/26 155,000 175,756 
5% 7/1/27 235,000 265,237 
5% 7/1/28 685,000 768,549 
5% 7/1/30 1,000,000 1,160,560 
New Jersey Trans. Trust Fund Auth.:   
Series 2001 A, 6% 6/15/35 1,300,000 1,415,011 
Series 2005 B, 5.25% 12/15/22 (AMBAC Insured) 400,000 442,632 
Series 2014 AA, 5% 6/15/24 15,000,000 16,628,550 
Series 2016 A:   
5% 6/15/27 945,000 1,062,473 
5% 6/15/28 3,225,000 3,609,227 
5% 6/15/29 3,550,000 3,957,327 
Series 2016 A-2, 5% 6/15/23 2,495,000 2,746,746 
Series AA, 5% 6/15/25 2,380,000 2,656,223 
TOTAL NEW JERSEY  113,447,563 
New Mexico - 0.1%   
New Mexico Edl. Assistance Foundation Series 2010 A1, 5% 12/1/18 3,000,000 3,035,610 
New York - 6.0%   
Dorm. Auth. New York Univ. Rev.:   
(Memorial Sloan-Kettring Cancer Ctr.) Series 2017 1, 5% 7/1/42 1,555,000 1,769,248 
Series 2016 A, 5% 7/1/32 2,500,000 2,841,425 
Hudson Yards Infrastructure Corp. New York Rev.:   
Series 2012 A:   
5.75% 2/15/47 1,975,000 2,149,037 
5.75% 2/15/47 (Pre-Refunded to 2/15/21 @ 100) 95,000 104,510 
Series 2017 A:   
5% 2/15/33 3,595,000 4,144,568 
5% 2/15/35 7,300,000 8,368,574 
5% 2/15/39 10,000,000 11,367,100 
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2017:   
5% 9/1/33 500,000 575,955 
5% 9/1/35 2,000,000 2,290,180 
5% 9/1/36 1,135,000 1,297,748 
MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 9,800,000 10,591,742 
New York City Gen. Oblig.:   
Series 2009, 5.625% 4/1/29 85,000 87,294 
Series 2012 A1, 5% 8/1/24 2,720,000 2,952,941 
Series 2014 J, 5% 8/1/23 3,400,000 3,868,894 
Series 2015 C, 5% 8/1/27 1,600,000 1,843,696 
Series 2016 C and D, 5% 8/1/28 1,500,000 1,743,795 
Series 2016 E, 5% 8/1/28 2,550,000 2,989,340 
Series F, 5% 4/1/34 6,000,000 6,989,040 
New York City Indl. Dev. Agcy. Rev.:   
(Queens Ballpark Co. LLC Proj.) Series 2006, 5% 1/1/22 (AMBAC Insured) 1,000,000 1,002,890 
(Yankee Stadium Proj.) Series 2006, 5% 3/1/31 1,000,000 1,007,410 
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:   
Series 2011 EE, 5.375% 6/15/43 18,850,000 20,360,262 
Series 2012 EE, 5.25% 6/15/30 6,300,000 7,026,201 
Series 2013 EE, 5% 6/15/47 11,710,000 12,874,677 
New York City Transitional Fin. Auth. Bldg. Aid Rev.:   
(New York State Gen. Oblig. Proj.) Series 2018 S-1, 5% 7/15/32 7,500,000 8,701,875 
Series S1, 5% 7/15/27 2,000,000 2,212,480 
New York City Transitional Fin. Auth. Rev.:   
Series 2015 E1, 5% 2/1/41 1,615,000 1,806,410 
Series 2016 A, 5% 5/1/40 1,950,000 2,199,054 
Series 2017 B, 5% 8/1/40 2,000,000 2,262,800 
Series 2017 E, 5% 2/1/39 6,440,000 7,306,760 
Series 2018 C2:   
5% 5/1/32 5,300,000 6,224,161 
5% 5/1/37 10,000,000 11,560,000 
New York Convention Ctr. Dev. Corp. Rev. Series 2015:   
5% 11/15/28 7,205,000 8,345,768 
5% 11/15/29 5,000,000 5,784,450 
New York Dorm. Auth. Mental Health Svcs. Facilities Impt. Rev. Series 2012 A, 5% 5/15/23 2,000,000 2,224,640 
New York Dorm. Auth. Sales Tax Rev. Series 2016 A:   
5% 3/15/31 4,400,000 5,112,404 
5% 3/15/32 1,945,000 2,249,198 
5% 3/15/34 3,200,000 3,680,448 
New York Metropolitan Trans. Auth. Rev.:   
Series 2012 D, 5% 11/15/25 9,500,000 10,586,135 
Series 2012 F, 5% 11/15/24 4,600,000 5,137,924 
Series 2014 B, 5.25% 11/15/44 2,215,000 2,499,140 
Series 2014 C, 5% 11/15/21 2,500,000 2,748,200 
Series 2016 B, 5% 11/15/21 1,950,000 2,143,596 
Series 2017 C-2:   
0% 11/15/29 2,275,000 1,565,382 
0% 11/15/33 5,600,000 3,197,432 
New York State Dorm. Auth. Series A:   
5% 2/15/34 80,000 81,398 
5% 2/15/34 (Pre-Refunded to 2/15/19 @ 100) 1,670,000 1,702,983 
New York Urban Dev. Corp. Rev.:   
(New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34 3,700,000 4,252,188 
Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32 3,130,000 3,622,850 
Series 2017 C, 5% 3/15/31 2,375,000 2,782,455 
Triborough Bridge & Tunnel Auth. Revs. 5% 11/15/22 1,970,000 2,223,657 
TOTAL NEW YORK  220,460,315 
North Carolina - 1.1%   
Charlotte Int'l. Arpt. Rev.:   
Series 2017 A:   
5% 7/1/35 2,000,000 2,314,160 
5% 7/1/42 2,875,000 3,292,709 
Series 2017 C:   
4% 7/1/36 1,500,000 1,579,290 
4% 7/1/37 1,500,000 1,575,750 
5% 7/1/29 2,575,000 3,041,358 
Nash Health Care Sys. Health Care Facilities Rev.:   
Series 2003, 5.5% 11/1/26 (FSA Insured) 1,200,000 1,211,424 
Series 2012, 5% 11/1/41 1,630,000 1,722,128 
New Hanover County Hosp. Rev. Series 2017, 5% 10/1/29 3,500,000 4,060,140 
North Carolina Med. Care Cmnty. Health Series 2017:   
5% 10/1/30 630,000 651,968 
5% 10/1/34 1,000,000 1,038,670 
North Carolina Med. Care Commission Health Care Facilities Rev. (Rex Healthcare Proj.) Series 2010 A, 5% 7/1/30 2,780,000 2,920,779 
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.:   
Series 2009 A, 5% 1/1/30 285,000 288,867 
Series 2015 A, 5% 1/1/28 3,500,000 4,029,900 
Series 2015 C, 5% 1/1/29 8,000,000 9,170,720 
Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2010 A, 5% 5/1/32 2,900,000 3,049,089 
TOTAL NORTH CAROLINA  39,946,952 
North Dakota - 0.2%   
Cass County Health Care Facilities Rev. (Essentia Health Obligated Group Proj.) Series 2008, 5.125% 2/15/37 (Assured Guaranty Corp. Insured) 1,500,000 1,563,345 
McLean County Solid Waste Facilities Rev. (Great River Energy Projs.) Series 2010 B, 5.15% 7/1/40 3,700,000 3,869,312 
TOTAL NORTH DAKOTA  5,432,657 
Ohio - 2.2%   
Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46 4,200,000 4,566,912 
Allen County Hosp. Facilities Rev. Bonds Series 2017 B, 5%, tender 5/5/22 (a) 1,600,000 1,768,016 
American Muni. Pwr., Inc. Rev.:   
(Greenup Hydroelectric Proj.):   
Series 2016 A, 5% 2/15/41 4,000,000 4,439,120 
Series 2016, 5% 2/15/46 1,280,000 1,415,130 
(Prairie State Energy Campus Proj.) Series 2015, 5% 2/15/28 5,900,000 6,596,613 
Series 2012 B:   
5% 2/15/42 705,000 758,094 
5% 2/15/42 (Pre-Refunded to 2/15/22 @ 100) 195,000 215,225 
Cleveland Arpt. Sys. Rev. Series 2016 A:   
5% 1/1/26 (FSA Insured) 500,000 564,785 
5% 1/1/27 (FSA Insured) 2,175,000 2,443,221 
5% 1/1/31 (FSA Insured) 1,000,000 1,108,490 
Cleveland Gen. Oblig. Series C, 5.25% 11/15/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,050,000 1,098,153 
Cleveland Income Tax Rev. Series 2018 A:   
5% 10/1/35 2,000,000 2,304,320 
5% 10/1/37 1,250,000 1,430,125 
5% 10/1/38 1,500,000 1,713,465 
Columbus City School District 5% 12/1/32 1,000,000 1,149,150 
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 5.25% 6/15/43 5,000,000 5,291,950 
Franklin County Rev. (Trinity Health Proj.) Series 2017, 5% 12/1/47 8,235,000 9,301,597 
Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/26 1,900,000 2,112,553 
Lake County Hosp. Facilities Rev.:   
Series 2015, 5% 8/15/26 1,170,000 1,325,353 
6% 8/15/43 400,000 401,404 
6% 8/15/43 (Pre-Refunded to 8/15/18 @ 100) 2,100,000 2,103,465 
Lucas County Hosp. Rev. (ProMedica Healthcare Oblig. Group Proj.) Series 2011 A, 6.5% 11/15/37 (Pre-Refunded to 11/15/21 @ 100) 1,900,000 2,179,699 
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013, 5% 2/15/48 4,400,000 4,577,100 
Ohio Hosp. Facilities Rev. Series 2017 A, 5% 1/1/31 2,500,000 2,947,800 
Ohio Tpk. Commission Tpk. Rev.:   
(Infastructure Proj.) Series 2005 A, 0% 2/15/42 5,800,000 2,272,962 
(Infrastructure Projs.) Series 2018 A, 5% 2/15/32 10,000,000 11,675,000 
Ross County Hosp. Facilities Rev. (Adena Health Sys. Proj.) Series 2008, 5.75% 12/1/35 (Pre-Refunded to 12/1/18 @ 100) 2,300,000 2,332,729 
Scioto County Hosp. Facilities Rev. Series 2016, 5% 2/15/29 1,265,000 1,426,313 
Wood County Hosp. Facilities Rev. (Wood County Hosp. Assoc. Proj.) Series 2012:   
5% 12/1/32 400,000 416,868 
5% 12/1/42 505,000 520,413 
TOTAL OHIO  80,456,025 
Oklahoma - 0.8%   
Canadian Cny Edl. Facilities Auth. (Mustang Pub. Schools Proj.) Series 2017:   
5% 9/1/26 1,155,000 1,351,246 
5% 9/1/28 1,180,000 1,364,694 
Grand River Dam Auth. Rev. Series 2014 A, 5% 6/1/39 7,000,000 7,846,860 
Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015:   
5% 10/1/24 1,105,000 1,267,988 
5% 10/1/32 1,100,000 1,249,182 
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B:   
5% 8/15/33 600,000 672,372 
5% 8/15/38 1,800,000 2,001,042 
5.25% 8/15/43 1,800,000 2,030,490 
Oklahoma Dev. Fin. Auth. Rev.:   
(Saint John Health Sys. Proj.) Series 2012, 5% 2/15/42 (Pre-Refunded to 2/15/22 @ 100) 3,625,000 4,000,985 
Series 2012:   
5% 2/15/21 (Escrowed to Maturity) 955,000 1,029,681 
5% 2/15/24 (Pre-Refunded to 2/15/22 @ 100) 1,800,000 1,986,696 
Oklahoma Pwr. Auth. Pwr. Supply Sys. Rev. Series 2014 A, 5% 1/1/38 3,705,000 4,171,163 
TOTAL OKLAHOMA  28,972,399 
Oregon - 0.6%   
Clackamas County Hosp. Facility Auth.:   
(Willamette View Proj.) Series 2017 B, 3% 11/15/22 425,000 426,913 
(Williamette View, Inc.) Series 2017 A:   
5% 11/15/47 (c) 320,000 348,874 
5% 11/15/52 (c) 320,000 347,802 
Oregon State Dept. of Administrative Svcs. Lottery Rev. Series 2011 A:   
5.25% 4/1/31 260,000 281,879 
5.25% 4/1/31 (Pre-Refunded to 4/1/21 @ 100) 1,640,000 1,786,485 
Polk Marion & Benton School District # 13J Series B, 0% 12/15/38 2,115,000 953,421 
Washington, Multnomah & Yamhill County School District #1J Series 2017:   
5% 6/15/31 2,500,000 2,937,825 
5% 6/15/33 1,080,000 1,258,049 
5% 6/15/35 3,135,000 3,630,581 
5% 6/15/36 3,000,000 3,464,100 
5% 6/15/37 4,000,000 4,608,720 
5% 6/15/38 3,000,000 3,451,500 
TOTAL OREGON  23,496,149 
Pennsylvania - 3.6%   
Allegheny County Hosp. Dev. Auth. Rev. (Univ. of Pittsburgh Med. Ctr. Proj.) Series 2009 A, 4.7% 8/15/19 1,000,000 1,031,930 
Cap. Region Wtr. Wtr. Rev. Series 2018:   
5% 7/15/26 1,000,000 1,156,630 
5% 7/15/38 1,000,000 1,129,620 
Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.):   
Series 2011, 7% 11/15/46 (Pre-Refunded to 11/15/21 @ 100) 1,000,000 1,163,070 
Series 2018 A, 5% 11/15/24 1,000,000 1,133,360 
Coatesville Area School District Series 2017:   
5% 8/1/21 (FSA Insured) 920,000 990,987 
5% 8/1/22 (FSA Insured) 260,000 285,202 
5% 8/1/23 (FSA Insured) 450,000 501,647 
Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A, 5% 6/1/29 1,330,000 1,517,344 
Doylestown Hosp. Auth. Hosp. Rev. Series 2016 A, 5% 7/1/46 830,000 882,332 
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) 2,450,000 2,399,726 
Series B, 1.8%, tender 8/15/22 (a) 3,255,000 3,200,023 
Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26 1,700,000 1,977,576 
Montgomery County Higher Ed. & Health Auth. Rev.:   
Series 2014 A, 5% 10/1/23 2,345,000 2,590,170 
Series 2016 A:   
5% 10/1/30 4,350,000 4,845,639 
5% 10/1/36 4,430,000 4,809,607 
5% 10/1/40 2,045,000 2,199,398 
Northampton County Gen. Purp. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2018 A, 4% 8/15/48 7,240,000 7,257,738 
Pennsylvania Ctfs. Prtn. Series 2018 A:   
5% 7/1/35 750,000 836,363 
5% 7/1/36 1,000,000 1,111,740 
5% 7/1/37 800,000 886,680 
5% 7/1/38 750,000 829,995 
5% 7/1/43 2,000,000 2,203,200 
Pennsylvania Econ. Dev. Fin. Auth. Unemployment Compensation Rev. Series 2012 B, 5% 7/1/21 305,000 307,907 
Pennsylvania Gen. Oblig.:   
Series 2015 1, 5% 3/15/31 2,130,000 2,381,255 
Series 2015, 5% 3/15/33 2,460,000 2,740,809 
Series 2016, 5% 2/1/29 8,935,000 10,094,852 
Series 2017:   
5% 1/1/26 10,420,000 11,974,977 
5% 1/1/28 5,000,000 5,730,600 
Pennsylvania Higher Edl. Facilities Auth. Rev. Series 2016:   
5% 5/1/29 1,000,000 1,135,820 
5% 5/1/31 1,000,000 1,128,450 
5% 5/1/35 1,585,000 1,767,798 
Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of Harrisburg Proj.) Series 2016 A, 5% 12/1/29 (FSA Insured) 5,630,000 6,436,498 
Philadelphia Arpt. Rev. Series 2017 A:   
5% 7/1/28 500,000 586,230 
5% 7/1/29 500,000 582,370 
5% 7/1/30 550,000 636,394 
5% 7/1/31 600,000 691,206 
5% 7/1/32 550,000 630,372 
5% 7/1/33 600,000 690,198 
5% 7/1/42 2,390,000 2,687,746 
5% 7/1/47 2,000,000 2,245,880 
Philadelphia Gas Works Rev.:   
Series 2016 14, 5% 10/1/19 730,000 757,631 
Series 9, 5.25% 8/1/40 2,325,000 2,470,336 
5% 8/1/26 1,000,000 1,143,010 
5% 8/1/27 1,000,000 1,137,560 
5% 8/1/28 2,000,000 2,269,680 
Philadelphia School District:   
Series 2016 F, 5% 9/1/29 10,000,000 11,295,300 
Series 2018 A:   
5% 9/1/34 1,450,000 1,634,687 
5% 9/1/35 1,000,000 1,123,750 
Series 2018 B, 5% 9/1/43 1,395,000 1,543,916 
Pittsburgh & Alleg County Parkin Series 2017:   
5% 12/15/35 1,125,000 1,254,004 
5% 12/15/37 500,000 554,395 
Pocono Mountains Indl. Park Auth. (St. Luke's Hosp. - Monroe Proj.) Series 2015 A, 5% 8/15/40 1,795,000 1,945,618 
Southeastern Pennsylvania Trans. Auth. Rev. Series 2011, 5% 6/1/22 (Pre-Refunded to 6/1/21 @ 100) 1,000,000 1,087,030 
State Pub. School Bldg. Auth. Lease Rev. (Philadelphia School District Proj.) Series 2015 A, 5% 6/1/26 735,000 825,148 
Union County Hosp. Auth. Rev. Series 2018 B:   
5% 8/1/33 1,000,000 1,123,930 
5% 8/1/38 3,060,000 3,404,556 
5% 8/1/48 2,850,000 3,150,219 
TOTAL PENNSYLVANIA  134,110,109 
Rhode Island - 0.3%   
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.:   
Series 2016 B:   
5% 9/1/31 4,680,000 4,996,930 
5% 9/1/36 185,000 194,011 
Series 2016:   
5% 5/15/20 340,000 357,003 
5% 5/15/21 2,000,000 2,145,420 
5% 5/15/39 3,285,000 3,543,759 
TOTAL RHODE ISLAND  11,237,123 
South Carolina - 3.6%   
Lancaster County School District ( South Carolina Gen. Oblig. Proj.) Series 2017, 5% 3/1/22 1,845,000 2,042,046 
Richland County School District #2 Gen. Oblig. (South Carolina Gen. Oblig. Proj.) Series 2015 A, 5% 2/1/23 2,380,000 2,685,616 
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015, 5% 12/1/24 4,535,000 5,163,551 
South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev. Series 2013, 5% 11/1/27 2,900,000 3,207,574 
South Carolina Pub. Svc. Auth. Rev.:   
Series 2013 E, 5.5% 12/1/53 14,025,000 15,178,977 
Series 2014 A:   
5% 12/1/49 16,565,000 17,488,499 
5.5% 12/1/54 14,400,000 15,684,336 
Series 2014 C, 5% 12/1/46 19,465,000 20,677,280 
Series 2015 A, 5% 12/1/50 2,045,000 2,174,858 
Series 2015 E, 5.25% 12/1/55 3,265,000 3,530,542 
Series 2016 B:   
5% 12/1/35 3,630,000 3,973,652 
5% 12/1/36 5,445,000 5,935,976 
Series 2016 C:   
5% 12/1/22 500,000 551,200 
5% 12/1/23 840,000 937,054 
5% 12/1/24 515,000 579,653 
5% 12/1/25 600,000 680,952 
5% 12/1/26 1,000,000 1,140,090 
5% 12/1/27 1,600,000 1,812,832 
South Carolina Trans. Infrastructure Bank Rev. Series 2015 A, 5% 10/1/23 1,430,000 1,629,642 
Spartanburg County Reg'l. Health Series 2017 A:   
4% 4/15/43 9,915,000 9,883,669 
4% 4/15/48 6,915,000 6,784,860 
5% 4/15/48 9,380,000 10,366,026 
TOTAL SOUTH CAROLINA  132,108,885 
South Dakota - 0.2%   
South Dakota Health & Edl. Facilities Auth. Rev.:   
Series 2014 B, 5% 11/1/44 5,000,000 5,440,750 
Series 2017:   
5% 7/1/30 850,000 977,781 
5% 7/1/35 725,000 815,915 
TOTAL SOUTH DAKOTA  7,234,446 
Tennessee - 0.6%   
Greeneville Health & Edl. Facilities Board Series 2018 A:   
5% 7/1/20 1,500,000 1,585,215 
5% 7/1/23 500,000 559,910 
5% 7/1/24 1,000,000 1,119,330 
5% 7/1/25 1,000,000 1,113,930 
Jackson Hosp. Rev. 5.75% 4/1/41 405,000 406,422 
Shelby County Health Edl. & Hsg. Facilities Board Rev. (Methodist Le Bonheur Health Proj.) Series 2017 A:   
5% 5/1/22 705,000 778,285 
5% 5/1/23 1,600,000 1,799,312 
5% 5/1/25 1,300,000 1,502,332 
5% 5/1/27 1,230,000 1,444,856 
5% 5/1/29 1,240,000 1,441,934 
5% 5/1/30 2,395,000 2,773,003 
5% 5/1/31 1,260,000 1,453,612 
Tennessee Engy Acq Corp. Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) 6,645,000 7,051,608 
TOTAL TENNESSEE  23,029,749 
Texas - 11.2%   
Arlington Spl. Tax Rev. Series 2018 C, 5% 2/15/45 1,730,000 1,822,970 
Austin Wtr. & Wastewtr. Sys. Rev. Series 2016, 5% 11/15/37 4,010,000 4,584,874 
Central Reg'l. Mobility Auth.:   
Series 2015 A:   
5% 1/1/40 2,000,000 2,178,920 
5% 1/1/45 1,000,000 1,086,260 
Series 2016:   
5% 1/1/40 3,000,000 3,277,200 
5% 1/1/46 1,800,000 1,958,976 
Corpus Christi Util. Sys. Rev. 5% 7/15/23 3,400,000 3,757,136 
Cypress-Fairbanks Independent School District:   
Series 2014 C, 5% 2/15/44 4,895,000 5,430,415 
Series 2016, 5% 2/15/27 1,885,000 2,198,400 
Dallas Area Rapid Transit Sales Tax Rev.:   
Series 2007, 5.25% 12/1/29 4,150,000 5,122,096 
Series 2016 A, 5% 12/1/33 1,625,000 1,863,859 
Dallas County Gen. Oblig. Series 2016 5% 8/15/21 2,120,000 2,317,584 
Dallas Fort Worth Int'l. Arpt. Rev. Series 2010 A, 5% 11/1/42 5,200,000 5,524,428 
Dallas Gen. Oblig. Series 2017:   
5% 2/15/29 3,420,000 3,968,021 
5% 2/15/30 4,935,000 5,697,507 
Dallas Independent School District Bonds Series 2016:   
5%, tender 2/15/22 (a) 30,000 33,220 
5%, tender 2/15/22 (a) 1,925,000 2,118,424 
Frisco Independent School District Series 2009, 5.375% 8/15/39 (Assured Guaranty Corp. Insured) 2,610,000 2,708,345 
Granbury Independent School District 0% 8/1/19 1,000,000 984,230 
Grand Parkway Trans. Corp.:   
Bonds Series 2018 B, 5%, tender 10/1/23 (a) 10,590,000 11,952,404 
Series 2013 B:   
5% 4/1/53 27,390,000 29,977,755 
5.25% 10/1/51 25,400,000 28,126,944 
5.5% 4/1/53 2,300,000 2,566,087 
Series 2018 A:   
5% 10/1/35 7,000,000 8,103,060 
5% 10/1/36 5,000,000 5,765,300 
5% 10/1/37 10,000,000 11,503,600 
Harris County Cultural Ed. Facilities Fin. Corp. Med. Facilities Rev. (Baylor College of Medicine Proj.) Series 2012 A, 5% 11/15/37 3,800,000 4,106,546 
Harris County Tex Toll Rd Rev. (Harris County Toll Road Auth. Proj.) Series 2018 A, 5% 8/15/33 2,000,000 2,329,580 
Houston Arpt. Sys. Rev.:   
Series 2011 B:   
5% 7/1/25 1,460,000 1,579,910 
5% 7/1/26 3,000,000 3,242,850 
Series 2018 B, 5% 7/1/30 8,250,000 9,741,023 
Series 2018 D:   
5% 7/1/29 (e) 1,900,000 2,272,362 
5% 7/1/30 (e) 2,500,000 2,951,825 
5% 7/1/31 (e) 2,250,000 2,641,815 
5% 7/1/32 (e) 2,000,000 2,338,900 
Houston Gen. Oblig. Series 2017 A:   
5% 3/1/28 7,000,000 8,190,560 
5% 3/1/29 1,080,000 1,257,412 
Houston Independent School District Series 2017, 5% 2/15/35 1,600,000 1,843,296 
Houston Util. Sys. Rev.:   
Series 2014 C, 5% 5/15/28 1,485,000 1,688,074 
Series 2016 B, 5% 11/15/33 1,400,000 1,612,884 
Irving Hosp. Auth. Hosp. Rev. Series 2017 A:   
5% 10/15/33 1,055,000 1,159,677 
5% 10/15/34 1,670,000 1,827,264 
5% 10/15/44 835,000 902,886 
Lewisville Independent School District 0% 8/15/18 1,025,000 1,024,518 
Lower Colorado River Auth. Rev.:   
(LCRA Transmission Svcs. Corp. Proj.) Series 2018:   
5% 5/15/33 4,510,000 5,215,995 
5% 5/15/35 2,125,000 2,449,891 
Series 2015 B:   
5% 5/15/30 4,500,000 5,110,785 
5% 5/15/31 7,200,000 8,153,496 
Series 2015 D:   
5% 5/15/27 1,500,000 1,712,565 
5% 5/15/29 2,150,000 2,434,725 
Lubbock Cooper Independent School District:   
5.75% 2/15/42 (Pre-Refunded to 2/15/19 @ 100) 4,500,000 4,602,915 
6% 2/15/49 (Pre-Refunded to 2/15/19 @ 100) 5,000,000 5,121,000 
New Hope Cultural Ed. Facilities Finc (Childrens Med. Ctr. of Dallas) Series 2017 A:   
5% 8/15/28 1,500,000 1,759,215 
5% 8/15/47 1,205,000 1,345,949 
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/29 2,100,000 2,348,955 
North Texas Tollway Auth. Rev.:   
(Sr. Lien Proj.) Series 2017 A, 5% 1/1/35 1,300,000 1,475,487 
(Sr. Lien Proj.) Series 2017 A:   
5% 1/1/30 1,425,000 1,632,509 
5% 1/1/34 1,000,000 1,142,130 
5% 1/1/36 1,200,000 1,358,196 
5% 1/1/37 4,705,000 5,314,156 
(Sub Lien Proj.) Series 2017 B:   
5% 1/1/30 265,000 301,689 
5% 1/1/31 370,000 419,643 
5% 1/1/33 1,500,000 1,706,040 
Series 2008 I, 6.2% 1/1/42 (Assured Guaranty Corp. Insured) 1,700,000 2,030,531 
Series 2009 A, 6.25% 1/1/39 (Pre-Refunded to 1/1/19 @ 100) 2,440,000 2,489,337 
Series 2009, 6.25% 1/1/39 560,000 570,170 
Series 2011 A:   
5.5% 9/1/41 (Pre-Refunded to 9/1/21 @ 100) 6,870,000 7,595,609 
6% 9/1/41 (Pre-Refunded to 9/1/21 @ 100) 2,100,000 2,353,050 
Series 2014 A:   
5% 1/1/23 950,000 1,065,539 
5% 1/1/24 2,500,000 2,851,275 
Series 2015 A, 5% 1/1/32 1,550,000 1,741,146 
Series 2015 B, 5% 1/1/31 7,115,000 8,063,714 
Series 2016 A:   
5% 1/1/31 730,000 833,682 
5% 1/1/32 3,000,000 3,415,350 
5% 1/1/39 1,000,000 1,120,040 
Series 2017 A:   
5% 1/1/39 6,300,000 7,160,454 
5% 1/1/43 6,500,000 7,354,035 
Series 2018, 0% 1/1/29 (Assured Guaranty Corp. Insured) 15,110,000 10,789,749 
Northside Independent School District Bonds 2%, tender 6/1/21 (a) 1,915,000 1,910,787 
Sam Rayburn Muni. Pwr. Agcy. Series 2012, 5% 10/1/18 600,000 602,850 
San Antonio Elec. & Gas Sys. Rev.:   
Series 2012, 5.25% 2/1/25 1,600,000 1,886,512 
Series 2017:   
5% 2/1/32 1,250,000 1,458,725 
5% 2/1/34 1,500,000 1,738,875 
San Antonio Independent School District Series 2016, 5% 8/15/31 2,010,000 2,332,505 
San Antonio Wtr. Sys. Rev. Series 2012:   
5% 5/15/25 3,540,000 3,904,868 
5% 5/15/26 7,000,000 7,718,760 
Southwest Higher Ed. Auth. Rev.:   
(Southern Methodist Univ. Proj.) Series 2016 A:   
5% 10/1/40 3,525,000 3,993,790 
5% 10/1/45 4,000,000 4,516,600 
(Southern Methodist Univ., TX. Proj.) Series 2017:   
5% 10/1/32 750,000 873,953 
5% 10/1/41 1,500,000 1,714,200 
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.:   
Series 2015, 5% 9/1/30 5,000,000 5,516,850 
5.75% 11/15/24 (Pre-Refunded to 11/15/18 @ 100) 785,000 794,993 
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A:   
5% 2/15/25 395,000 455,490 
5% 2/15/41 8,335,000 9,309,278 
Texas A&M Univ. Rev. Series 2016 C, 5% 5/15/23 3,090,000 3,507,984 
Texas Gen. Oblig.:   
Series 2014 A, 5% 10/1/44 3,000,000 3,374,760 
Series 2016, 5% 4/1/41 3,120,000 3,528,314 
Series 2017 A, 5% 10/1/33 6,300,000 7,352,226 
Series 2017 B, 5% 10/1/36 1,000,000 1,154,830 
Series A, 5% 10/1/23 1,500,000 1,712,580 
Texas Private Activity Bond Surface Trans. Corp. (LBJ Infrastructure Group LLC IH-635 Managed Lanes Proj.) Series 2010, 7% 6/30/40 2,100,000 2,275,224 
Texas State Univ. Sys. Fing. Rev. Series 2017 A:   
5% 3/15/28 3,045,000 3,585,396 
5% 3/15/29 2,455,000 2,876,253 
5% 3/15/31 2,000,000 2,324,840 
Univ. of Houston Univ. Revs. Series 2017 A:   
5% 2/15/27 6,000,000 7,006,500 
5% 2/15/30 3,455,000 3,978,294 
5% 2/15/33 3,500,000 3,976,560 
Univ. of Texas Permanent Univ. Fund Rev. Series 2016 B, 5% 7/1/29 940,000 1,097,478 
TOTAL TEXAS  414,858,694 
Utah - 0.2%   
Salt Lake City Arpt. Rev. Series 2017 B:   
5% 7/1/34 1,640,000 1,893,446 
5% 7/1/35 1,500,000 1,726,755 
5% 7/1/36 1,500,000 1,721,700 
5% 7/1/37 1,000,000 1,143,610 
Utah Associated Muni. Pwr. Sys. Rev. Series 2012 A, 5% 9/1/25 (Pre-Refunded to 9/1/22 @ 100) 1,680,000 1,875,821 
TOTAL UTAH  8,361,332 
Vermont - 0.2%   
Vermont Edl. & Health Bldg. Fin. Agcy. Rev. (Champlain College Proj.) Series 2016 A:   
5% 10/15/41 2,400,000 2,592,432 
5% 10/15/46 2,800,000 3,014,284 
TOTAL VERMONT  5,606,716 
Virginia - 0.7%   
Fredericksburg Econ. Dev. Auth. Rev. 5% 6/15/26 1,960,000 2,182,852 
Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds Series 2008 B, 2.15%, tender 9/1/20 (a) 6,000,000 6,002,400 
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.:   
(Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29 370,000 359,263 
Series 2016:   
4% 6/15/37 345,000 344,986 
5% 6/15/28 1,000,000 1,125,790 
5% 6/15/33 225,000 248,195 
5% 6/15/36 1,000,000 1,094,440 
Virginia College Bldg. Auth. Edl. Facilities Rev. Series 2015 A, 5% 1/1/40 1,400,000 1,572,648 
Virginia Commonwealth Trans. Board Rev. (Virginia Gen. Oblig. Proj.) Series 2017 A:   
5% 5/15/31 6,405,000 7,567,187 
5% 5/15/32 475,000 559,061 
5% 5/15/33 2,000,000 2,345,020 
Winchester Econ. Dev. Auth. Series 2015, 5% 1/1/44 2,500,000 2,736,100 
TOTAL VIRGINIA  26,137,942 
Washington - 2.8%   
Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A, 0% 6/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,200,000 875,760 
King County Swr. Rev. Series 2009, 5.25% 1/1/42 (Pre-Refunded to 1/1/19 @ 100) 785,000 797,482 
Port of Seattle Rev. Series 2016:   
5% 2/1/25 1,250,000 1,442,813 
5% 2/1/28 2,000,000 2,310,320 
Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. Series 2013 B, 5% 12/1/26 3,880,000 4,328,024 
Tacoma Elec. Sys. Rev. Series 2017:   
5% 1/1/37 1,000,000 1,137,360 
5% 1/1/38 1,000,000 1,135,780 
Tobacco Settlement Auth. Rev. Series 2013, 5% 6/1/22 3,500,000 3,862,075 
Washington Gen. Oblig.:   
Series 1999 S2, 0% 1/1/19 (FSA Insured) 10,000,000 9,939,900 
Series 2015 C:   
5% 2/1/33 1,500,000 1,700,505 
5% 2/1/34 2,400,000 2,713,200 
Series 2017 D:   
5% 2/1/33 2,100,000 2,426,592 
5% 2/1/36 6,505,000 7,453,429 
Series C, 0% 6/1/21 (AMBAC Insured) 5,000,000 4,723,500 
Series R-2017 A:   
5% 8/1/27 945,000 1,113,040 
5% 8/1/28 945,000 1,107,814 
5% 8/1/30 945,000 1,099,659 
Washington Health Care Facilities Auth. Rev.:   
(Catholic Health Initiatives Proj.) Series 2008 D, 6.375% 10/1/36 7,000,000 7,047,180 
(MultiCare Health Sys. Proj.):   
Series 2008 B, 6% 8/15/39 (Pre-Refunded to 8/15/19 @ 100) 1,500,000 1,567,545 
Series 2010 A, 5.25% 8/15/20 2,325,000 2,411,351 
(Overlake Hosp. Med. Ctr. Proj.) Series 2010, 5.5% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) 3,800,000 4,071,472 
(Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B:   
5% 7/1/29 405,000 466,686 
5% 7/1/31 860,000 979,695 
5% 7/1/34 2,645,000 2,976,604 
5% 7/1/35 2,350,000 2,632,564 
5% 7/1/36 2,250,000 2,512,890 
5% 7/1/42 3,500,000 3,870,545 
(Providence Health Systems Proj.):   
Series 2012 A, 5% 10/1/24 6,700,000 7,516,127 
Series 2018 B:   
5% 10/1/30 1,200,000 1,416,936 
5% 10/1/31 1,500,000 1,763,955 
5% 10/1/32 1,035,000 1,213,165 
5% 10/1/33 2,500,000 2,913,675 
(Seattle Children's Hosp. Proj.) Series 2009, 5.625% 10/1/38 (Pre-Refunded to 10/1/19 @ 100) 2,200,000 2,304,016 
(Virginia Mason Med. Ctr. Proj.) Series 2017:   
5% 8/15/29 2,250,000 2,537,370 
5% 8/15/30 1,000,000 1,123,570 
Series 2015, 5% 1/1/26 2,000,000 2,284,240 
Washington Higher Ed. Facilities Auth. Rev. (Whitworth Univ. Proj.) Series 2016 A:   
5% 10/1/34 1,600,000 1,745,328 
5% 10/1/35 1,000,000 1,087,890 
5% 10/1/40 1,625,000 1,751,230 
Washington Hsg. Fin. Commission Nonprofit Hsg. Rev. (Judson Park Proj.) Series 2018:   
4% 7/1/28 (c) 100,000 100,067 
5% 7/1/33 (c) 100,000 105,817 
5% 7/1/38 (c) 100,000 104,682 
5% 7/1/48 (c) 300,000 311,349 
TOTAL WASHINGTON  104,983,202 
West Virginia - 0.2%   
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds 1.9%, tender 4/1/19 (a) 4,555,000 4,550,445 
West Virginia Hosp. Fin. Auth. Hosp. Rev. (West Virginia United Health Sys. Proj.) Series 2008 E, 5.625% 6/1/35 (Pre-Refunded to 12/1/18 @ 100) 1,300,000 1,317,966 
West Virginia Univ. Revs. (West Virginia Univ. Projs.) Series 2014 A, 5% 10/1/44 2,900,000 3,217,173 
TOTAL WEST VIRGINIA  9,085,584 
Wisconsin - 1.3%   
Pub. Fin. Auth. Sr Liv Rev. (Mary's Woods At Marylhurst, Inc. Proj.):   
Series 2017 A:   
5% 5/15/25 (c) 705,000 777,756 
5% 5/15/28 (c) 580,000 636,840 
5.25% 5/15/37 (c) 190,000 207,600 
5.25% 5/15/42 (c) 235,000 255,884 
5.25% 5/15/47 (c) 235,000 255,151 
5.25% 5/15/52 (c) 435,000 470,953 
Series 2017 B-1 3.95% 11/15/24 (c) 195,000 198,030 
Series 2017 B-2, 3.5% 11/15/23 (c) 250,000 251,870 
Series 2017 B-3, 3% 11/15/22 (c) 345,000 345,583 
Pub. Fin. Auth. Wisconsin Retirement Facility Rev. Series 2018:   
5% 10/1/43 (c) 515,000 546,142 
5% 10/1/48 (c) 615,000 651,672 
5% 10/1/53 (c) 1,050,000 1,111,719 
Wisconsin Health & Edl. Facilities:   
(Ascension Sr. Cr. Group) Series 2016 A, 5% 11/15/39 12,570,000 14,136,348 
Series 2010:   
5.75% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) 370,000 397,802 
5.75% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) 630,000 677,338 
Series 2014:   
4% 5/1/33 1,475,000 1,479,440 
5% 5/1/23 1,410,000 1,548,913 
5% 5/1/25 775,000 854,507 
Series 2015, 5% 12/15/44 10,000,000 10,719,500 
Series 2016, 5% 2/15/29 (Pre-Refunded to 8/15/25 @ 100) 1,290,000 1,503,211 
Series 2017 A:   
5% 9/1/30 1,270,000 1,406,639 
5% 9/1/32 1,100,000 1,209,406 
Wisconsin Health & Edl. Facilities Auth. Rev.:   
(Agnesian HealthCare, Inc. Proj.):   
Series 2010, 5.5% 7/1/40 (Pre-Refunded to 7/1/20 @ 100) 1,000,000 1,070,460 
Series 2013 B:   
5% 7/1/26 (Pre-Refunded to 7/1/23 @ 100) 750,000 851,033 
5% 7/1/36 (Pre-Refunded to 7/1/23 @ 100) 1,900,000 2,155,949 
Series 2012:   
5% 10/1/24 1,400,000 1,561,028 
5% 6/1/27 1,000,000 1,079,720 
5% 6/1/39 1,190,000 1,261,745 
TOTAL WISCONSIN  47,622,239 
Wyoming - 0.1%   
Campbell County Solid Waste Facilities Rev. (Basin Elec. Pwr. Coop. - Dry Fork Station Facilities Proj.) Series 2009 A, 5.75% 7/15/39 2,600,000 2,694,536 
TOTAL MUNICIPAL BONDS   
(Cost $3,543,152,081)  3,599,164,978 
 Shares Value 
Money Market Funds - 0.5%   
Fidelity Tax-Free Cash Central Fund, 1.20% (f)(g)   
(Cost $16,074,000) 16,072,393 16,074,000 
TOTAL INVESTMENT IN SECURITIES - 97.9%   
(Cost $3,559,226,081)  3,615,238,978 
NET OTHER ASSETS (LIABILITIES) - 2.1%  79,412,080 
NET ASSETS - 100%  $3,694,651,058 

Legend

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

 (b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

 (c) 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 $24,418,893 or 0.7% of net assets.

 (d) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

 (e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

 (f) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.

 (g) Affiliated fund that is 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.

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 Tax-Free Cash Central Fund $218,157 
Total $218,157 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.

Investment Valuation

The following is a summary of the inputs used, as of July 31, 2018, 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Municipal Securities $3,599,164,978 $-- $3,599,164,978 $-- 
Money Market Funds 16,074,000 16,074,000 -- -- 
Total Investments in Securities: $3,615,238,978 $16,074,000 $3,599,164,978 $-- 

Other Information

The distribution of municipal securities by revenue source, as a percentage of total Net Assets, is as follows (Unaudited):

General Obligations 27.5% 
Health Care 22.1% 
Transportation 17.2% 
Electric Utilities 8.9% 
Special Tax 5.6% 
Water & Sewer 5.4% 
Others* (Individually Less Than 5%) 13.3% 
 100.0% 

* Includes net other assets

See accompanying notes which are an integral part of the financial statements.


Financial Statements

Statement of Assets and Liabilities

  July 31, 2018 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $3,543,152,081) 		$3,599,164,978  
Fidelity Central Funds (cost $16,074,000) 16,074,000  
Total Investment in Securities (cost $3,559,226,081)  $3,615,238,978 
Cash  55,324,548 
Receivable for fund shares sold  4,407,791 
Interest receivable  39,934,607 
Distributions receivable from Fidelity Central Funds  24,169 
Prepaid expenses  9,622 
Receivable from investment adviser for expense reductions  631,955 
Other receivables  11,186 
Total assets  3,715,582,856 
Liabilities   
Payable for investments purchased on a delayed delivery basis $12,242,254  
Payable for fund shares redeemed 2,333,300  
Distributions payable 4,921,086  
Accrued management fee 1,090,140  
Other affiliated payables 307,117  
Other payables and accrued expenses 37,901  
Total liabilities  20,931,798 
Net Assets  $3,694,651,058 
Net Assets consist of:   
Paid in capital  $3,640,968,722 
Undistributed net investment income  82,646 
Accumulated undistributed net realized gain (loss) on investments  (2,413,207) 
Net unrealized appreciation (depreciation) on investments  56,012,897 
Net Assets, for 326,676,596 shares outstanding  $3,694,651,058 
Net Asset Value, offering price and redemption price per share ($3,694,651,058 ÷ 326,676,596 shares)  $11.31 

See accompanying notes which are an integral part of the financial statements.


Statement of Operations

  Six months ended July 31, 2018 (Unaudited) 
Investment Income   
Interest  $58,756,954 
Income from Fidelity Central Funds  217,556 
Total income  58,974,510 
Expenses   
Management fee $6,452,829  
Transfer agent fees 1,512,813  
Accounting fees and expenses 301,425  
Custodian fees and expenses 13,486  
Independent trustees' fees and expenses 7,692  
Registration fees 93,727  
Audit 39,744  
Legal 4,959  
Miscellaneous 14,056  
Total expenses before reductions 8,440,731  
Expense reductions (3,954,114)  
Total expenses after reductions  4,486,617 
Net investment income (loss)  54,487,893 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (2,217,300)  
Capital gain distributions from Fidelity Central Funds 601  
Total net realized gain (loss)  (2,216,699) 
Change in net unrealized appreciation (depreciation) on investment securities  (16,020,646) 
Net gain (loss)  (18,237,345) 
Net increase (decrease) in net assets resulting from operations  $36,250,548 

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets

 Six months ended July 31, 2018 (Unaudited) Year ended January 31, 2018 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $54,487,893 $103,753,347 
Net realized gain (loss) (2,216,699) 14,800,741 
Change in net unrealized appreciation (depreciation) (16,020,646) 16,885,586 
Net increase (decrease) in net assets resulting from operations 36,250,548 135,439,674 
Distributions to shareholders from net investment income (54,450,958) (103,677,226) 
Distributions to shareholders from net realized gain (7,442,267) (14,330,519) 
Total distributions (61,893,225) (118,007,745) 
Share transactions   
Proceeds from sales of shares 661,296,547 1,185,580,313 
Reinvestment of distributions 30,100,335 60,877,913 
Cost of shares redeemed (748,802,678) (607,578,370) 
Net increase (decrease) in net assets resulting from share transactions (57,405,796) 638,879,856 
Total increase (decrease) in net assets (83,048,473) 656,311,785 
Net Assets   
Beginning of period 3,777,699,531 3,121,387,746 
End of period $3,694,651,058 $3,777,699,531 
Other Information   
Undistributed net investment income end of period $82,646 $45,711 
Shares   
Sold 58,574,401 103,174,916 
Issued in reinvestment of distributions 2,665,673 5,314,256 
Redeemed (66,340,189) (53,049,241) 
Net increase (decrease) (5,100,115) 55,439,931 

See accompanying notes which are an integral part of the financial statements.


Financial Highlights

Fidelity Tax-Free Bond Fund

 Six months ended (Unaudited) July 31, Years endedJanuary 31,     
 2018 2018 2017 2016 2015 2014 
Selected Per–Share Data       
Net asset value, beginning of period $11.39 $11.30 $11.77 $11.91 $11.18 $11.73 
Income from Investment Operations       
Net investment income (loss)A .170 .352 .377 .401 .414 .425 
Net realized and unrealized gain (loss) (.057) .139 (.408) (.124) .734 (.551) 
Total from investment operations .113 .491 (.031) .277 1.148 (.126) 
Distributions from net investment income (.170) (.352) (.377) (.401) (.417) (.424) 
Distributions from net realized gain (.023) (.049) (.062) (.016) (.001) – 
Total distributions (.193) (.401) (.439) (.417) (.418) (.424) 
Redemption fees added to paid in capitalA – – –B –B –B –B 
Net asset value, end of period $11.31 $11.39 $11.30 $11.77 $11.91 $11.18 
Total ReturnC,D 1.00% 4.38% (.31)% 2.43% 10.45% (1.03)% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .47%G .46% .46% .46% .46% .47% 
Expenses net of fee waivers, if any .25%G .25% .25% .25% .25% .25% 
Expenses net of all reductions .25%G .25% .25% .25% .25% .25% 
Net investment income (loss) 3.03%G 3.06% 3.21% 3.46% 3.59% 3.77% 
Supplemental Data       
Net assets, end of period (000 omitted) $3,694,651 $3,777,700 $3,121,388 $3,069,030 $2,922,473 $2,259,927 
Portfolio turnover rateH 19%G 17% 23% 9% 5% 14% 

 A Calculated based on average shares outstanding during the period.

 B Amount represents less than $.0005 per share.

 C Total returns for periods of less than one year are not annualized.

 D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

 G Annualized

 H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements (Unaudited)

For the period ended July 31, 2018

1. Organization.

Fidelity Tax-Free Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. 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 as shown below:

  • 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)

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. Municipal 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.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2018 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to market discount.

The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the IRS will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $84,147,852 
Gross unrealized depreciation (27,885,921) 
Net unrealized appreciation (depreciation) $56,261,931 
Tax cost $3,558,977,047 

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $333,687,728 and $350,062,383, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .25% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .36% of the Fund's average net assets.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for the Fund. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees were equivalent to an annualized rate of .08% of average net assets.

Accounting Fees. Fidelity Service Company, Inc. (FSC),an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month. For the period, the fees were equivalent to an annualized rate of .02%.

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

6. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $5,043 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .25% of average net assets. This reimbursement will remain in place through March 31, 2019. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $3,929,800.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $13,486.

In addition, during the period the investment adviser reimbursed and/or waived a portion of operating expenses in the amount of $10,828.

8. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2018 to July 31, 2018).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 Annualized Expense Ratio-A Beginning
Account Value
February 1, 2018 		Ending
Account Value
July 31, 2018 		Expenses Paid
During Period-B
February 1, 2018
to July 31, 2018 
Actual .25% $1,000.00 $1,010.00 $1.25 
Hypothetical-C  $1,000.00 $1,023.55 $1.25 

 A Annualized expense ratio reflects expenses net of applicable fee waivers.

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 C 5% return per year before expenses





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

SFB-SANN-0918
1.762414.117

Item 2.

Code of Ethics


Not applicable.

 

Item 3.

Audit Committee Financial Expert


Not applicable.


Item 4.

Principal Accountant Fees and Services


Not applicable.


Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Salem Street Trust’s Board of Trustees.


Item 11.

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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.


Item 12.

Disclosure of Securities Lending Activities for Closed-End Management

Investment Companies


Not applicable.



Item 13.

Exhibits


(a)

(1)

Not applicable.

(a)

(2)

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.

(a)

(3)

Not applicable.

(b)


Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




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/Laura M. Del Prato


Laura M. Del Prato


President and Treasurer



Date:

September 25, 2018


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/Laura M. Del Prato


Laura M. Del Prato


President and Treasurer



Date:

September 25, 2018



By:

/s/John J. Burke III


John J. Burke III


Chief Financial Officer



Date:

September 25, 2018