N-CSR 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, Massachusetts  02210

 (Address of principal executive offices)       (Zip code)


William C. Coffey, 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:

January 31, 2019


Item 1.

Reports to Stockholders




Fidelity® SAI Tax-Free Bond Fund



Annual Report

January 31, 2019



Fidelity Investments


Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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 1-800-544-3455 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. © 2019 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 January 31, 2019

 % of fund's net assets 
Texas 13.9 
Illinois 9.6 
New York 9.1 
New Jersey 5.2 
Florida 4.6 

Top Five Sectors as of January 31, 2019

 % of fund's net assets 
General Obligations 23.0 
Health Care 18.1 
Transportation 15.4 
Education 8.1 
Electric Utilities 7.5 

Quality Diversification (% of fund's net assets)

As of January 31, 2019 
   AAA 4.0% 
   AA,A 68.7% 
   BBB 11.3% 
   BB and Below 1.6% 
   Not Rated 0.8% 
   Short-Term Investments and Net Other Assets 13.6% 


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 January 31, 2019

Showing Percentage of Net Assets

Municipal Bonds - 85.7%   
 Principal Amount Value 
Alabama - 1.4%   
Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds:   
(Alabama Pwr. Co. Barry Plant Proj.) Series 2008, 2.9%, tender 12/12/23 (a) $4,000,000 $4,000,000 
Series 2009 E, 1.85%, tender 3/24/20 (a) 3,100,000 3,085,058 
TOTAL ALABAMA  7,085,058 
Arizona - 4.6%   
Arizona Ctfs. of Prtn. Series 2019 A, 5% 10/1/24 (b) 315,000 359,157 
Arizona State Lottery Rev. Series 2019, 5% 7/1/25 (b) 5,040,000 5,765,256 
Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.) Series 2005, 2.4%, tender 8/14/23 (a) 265,000 267,499 
Maricopa County Indl. Dev. Auth. Bonds Series 2019 B, 5%, tender 9/1/24 (a) 650,000 730,106 
Maricopa County Indl. Dev. Auth. Rev. Series 2017, 5% 1/1/41 4,100,000 4,603,767 
Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016, 6% 1/1/48 (c) 575,000 577,835 
Maricopa County Spl. Health Care District Gen. Oblig. Series 2018 C, 5% 7/1/36 2,300,000 2,652,153 
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev.:   
(Arizona Salt River Proj.) Series A, 5% 1/1/38 2,850,000 3,272,342 
Series 2017 A, 5% 1/1/38 3,000,000 3,488,850 
Tempe Indl. Dev. Auth. Rev. (Mirabella At Asu, Inc. Proj.) Series 2017 A, 6.125% 10/1/52 (c) 760,000 815,016 
TOTAL ARIZONA  22,531,981 
California - 2.3%   
California Edl. Facilities Auth. Rev. Series 2018 A, 5% 10/1/42 1,340,000 1,503,467 
California Muni. Fin. Auth. Rev. Series 2017 A:   
5% 7/1/42 1,000,000 1,091,660 
5.25% 11/1/36 515,000 553,208 
California Muni. Fin. Auth. Student Hsg. (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018:   
5% 5/15/34 2,635,000 2,973,808 
5% 5/15/39 1,175,000 1,294,263 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2017 A1, 5% 6/1/28 1,000,000 1,137,640 
Washington Township Health Care District Rev.:   
Series 2017 A, 5% 7/1/35 800,000 888,576 
Series 2017 B:   
5% 7/1/29 485,000 556,601 
5% 7/1/30 970,000 1,104,704 
TOTAL CALIFORNIA  11,103,927 
Colorado - 1.6%   
Colorado Health Facilities Auth.:   
Bonds Series 2018 B, 5%, tender 11/20/25 (a) 1,000,000 1,175,780 
Series 2018 A, 4% 11/15/48 960,000 974,102 
Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.) 0% 7/15/22 (Escrowed to Maturity) 240,000 223,858 
Colorado Health Facilities Auth. Rev. Bonds Series 2016 C, 5%, tender 11/15/23 (a) 715,000 812,655 
Colorado State Bldg. Excellent Schools Today Ctfs. of Prtn. Series 2018 N:   
5% 3/15/37 2,000,000 2,311,660 
5% 3/15/38 2,000,000 2,301,340 
TOTAL COLORADO  7,799,395 
Connecticut - 0.8%   
Connecticut Gen. Oblig.:   
Series 2016 B, 5% 5/15/27 15,000 17,064 
Series 2017 A, 5% 4/15/33 245,000 272,457 
Series 2018 A, 5% 4/15/38 1,000,000 1,093,980 
Connecticut Health & Edl. Facilities Auth. Rev.:   
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1, 5% 7/1/42 1,335,000 1,465,456 
Bonds:   
Series 2010 A4, 2%, tender 2/8/22 (a) 805,000 808,993 
Series U1, 2%, tender 2/8/22 (a)(b) 105,000 105,521 
Series K3, 5% 7/1/43 350,000 374,371 
TOTAL CONNECTICUT  4,137,842 
District Of Columbia - 1.6%   
District of Columbia Gen. Oblig. Series 2017 D, 5% 6/1/42 500,000 567,255 
District of Columbia Rev. Series 2018:   
5% 10/1/20 600,000 630,408 
5% 10/1/23 350,000 392,497 
5% 10/1/25 495,000 572,096 
5% 10/1/26 830,000 968,743 
5% 10/1/27 905,000 1,064,723 
5% 10/1/43 3,080,000 3,402,538 
TOTAL DISTRICT OF COLUMBIA  7,598,260 
Florida - 4.6%   
Atlantic Beach Health Care facilities Series A, 5% 11/15/43 845,000 891,078 
Central Florida Expressway Auth. Sr. Lien Rev. Series 2018:   
5% 7/1/37 2,000,000 2,302,700 
5% 7/1/40 3,000,000 3,419,940 
Florida Mid-Bay Bridge Auth. Rev. Series 2015 A:   
5% 10/1/29 2,475,000 2,777,990 
5% 10/1/35 1,000,000 1,092,790 
Hillsborough County Aviation Auth. Rev. Series 2018 F:   
5% 10/1/37 1,510,000 1,751,932 
5% 10/1/43 2,000,000 2,282,700 
Manatee County School District Series 2017, 5% 10/1/28 (FSA Insured) 2,500,000 2,972,800 
Pasco County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/35 (Build America Mutual Assurance Insured) 2,000,000 2,319,300 
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017, 5% 8/15/28 1,550,000 1,832,953 
Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2016 B, 5% 7/1/37 960,000 1,049,299 
TOTAL FLORIDA  22,693,482 
Georgia - 0.7%   
Georgia Muni. Elec. Auth. Pwr. Rev.:   
Series 2011 A, 5% 1/1/21 100,000 105,107 
Series 2018 A, 5% 1/1/21 275,000 290,048 
Series C, 5% 1/1/22 100,000 107,522 
Series HH:   
5% 1/1/21 700,000 738,304 
5% 1/1/22 1,825,000 1,971,913 
TOTAL GEORGIA  3,212,894 
Hawaii - 0.7%   
Honolulu City & County Gen. Oblig.:   
Series 2018 A, 5% 9/1/41 2,000,000 2,298,400 
Series 2019 A, 5% 9/1/24 765,000 890,315 
TOTAL HAWAII  3,188,715 
Illinois - 9.6%   
Chicago Board of Ed.:   
Series 1998 B1, 0% 12/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 60,000 55,098 
Series 2016 A, 7% 12/1/44 3,100,000 3,544,974 
Series 2018 C, 5% 12/1/46 1,060,000 1,066,466 
Chicago Midway Arpt. Rev. Series 2016 B, 5% 1/1/46 1,155,000 1,245,032 
Chicago O'Hare Int'l. Arpt. Rev. Series 2018 B:   
5% 1/1/36 2,250,000 2,570,963 
5% 1/1/37 3,250,000 3,695,965 
Illinois Fin. Auth. Rev.:   
(Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A, 5% 7/15/25 300,000 352,200 
(OSF Healthcare Sys.) Series 2018 A:   
4.125% 5/15/47 2,150,000 2,133,918 
5% 5/15/43 50,000 55,205 
(Presence Health Proj.) Series 2016 C, 5% 2/15/36 1,000,000 1,126,570 
Bonds (Ascension Health Cr. Group Proj.) Series 2012 E2, 1.75%, tender 4/1/21 (a) 100,000 99,202 
Series 2012 A, 5% 5/15/22 1,000,000 1,094,100 
Series 2016 C, 5% 2/15/31 2,500,000 2,893,075 
Series 2016:   
4% 12/1/35 360,000 365,702 
5% 12/1/40 2,150,000 2,297,899 
Series 2017 A, 5% 1/1/35 2,000,000 2,207,080 
Series 2018 A:   
4.25% 1/1/44 55,000 55,404 
5% 1/1/38 215,000 234,167 
5% 1/1/44 320,000 344,518 
Illinois Gen. Oblig.:   
Series 2012:   
5% 8/1/19 2,000,000 2,026,047 
5% 8/1/21 10,000 10,482 
5% 8/1/22 60,000 63,582 
5% 8/1/24 1,000,000 1,047,560 
Series 2013, 5% 7/1/22 40,000 42,333 
Series 2014:   
5% 2/1/22 215,000 226,208 
5% 2/1/23 180,000 190,804 
5% 2/1/26 550,000 580,773 
Series 2016:   
5% 2/1/26 1,200,000 1,295,328 
5% 2/1/27 1,100,000 1,191,025 
Series 2017 C, 5% 11/1/29 1,000,000 1,070,810 
Series 2017 D:   
5% 11/1/24 685,000 736,512 
5% 11/1/25 1,125,000 1,213,583 
5% 11/1/27 2,000,000 2,169,240 
Series 2018 A:   
5% 10/1/24 500,000 537,110 
5% 10/1/28 1,000,000 1,081,080 
Series 2018 B, 5% 10/1/26 1,000,000 1,081,110 
Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2018, 5% 2/1/26 2,010,000 2,333,309 
Metropolitan Pier & Exposition (McCormick Place Expansion Proj.) Series 2010 B1:   
0% 6/15/46 (FSA Insured) 8,000,000 2,304,720 
0% 6/15/47 (FSA Insured) 2,525,000 691,244 
Railsplitter Tobacco Settlement Auth. Rev. Series 2017, 5% 6/1/27 1,200,000 1,380,552 
Univ. of Illinois Rev. Series 2018 A, 5% 4/1/29 100,000 117,749 
TOTAL ILLINOIS  46,828,699 
Iowa - 0.2%   
Iowa Fin. Auth. Rev. Series 2018 B, 5% 2/15/48 1,000,000 1,103,690 
Kentucky - 2.1%   
Kentucky State Property & Buildings Commission Rev.:   
(Proj. No. 112) Series 2016 B, 5% 11/1/27 95,000 110,096 
(Proj. No. 119) Series 2018, 5% 5/1/38 4,000,000 4,440,040 
Series 2017, 5% 4/1/26 3,035,000 3,501,449 
Kentucky, Inc. Pub. Energy Bonds Series C1, 4%, tender 6/1/25 (a) 2,000,000 2,107,680 
Louisville & Jefferson County Series 2016 A, 5% 10/1/31 95,000 106,942 
TOTAL KENTUCKY  10,266,207 
Louisiana - 0.9%   
Louisiana Pub. Facilities Auth. Rev. Series 2018 E:   
5% 7/1/32 1,470,000 1,694,469 
5% 7/1/33 1,195,000 1,369,817 
5% 7/1/34 1,385,000 1,577,543 
TOTAL LOUISIANA  4,641,829 
Maine - 0.2%   
Maine Health & Higher Edl. Facilities Auth. Rev. Series 2013, 5% 7/1/33 395,000 417,673 
Maine Tpk. Auth. Tpk. Rev. Series 2018, 5% 7/1/47 500,000 569,120 
TOTAL MAINE  986,793 
Maryland - 0.4%   
Maryland Gen. Oblig. First Series 2016, 5% 6/1/26 1,785,000 2,057,088 
Massachusetts - 2.9%   
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Bonds Series 2019 A, 5%, tender 1/1/23 (a) 5,195,000 5,788,373 
Massachusetts Dev. Fin. Agcy. Rev. Bonds (Partners Healthcare Sys., Inc. Proj.) Series 2017 S-4, 5%, tender 1/25/24 (a) 2,000,000 2,274,640 
Massachusetts Gen. Oblig. Series A, 5% 1/1/45 2,000,000 2,270,440 
Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2018 B, 5% 8/1/43 3,290,000 3,774,354 
TOTAL MASSACHUSETTS  14,107,807 
Michigan - 3.0%   
Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (FSA Insured) 150,000 161,225 
Lake Orion Cmnty. School District Series 2019, 5% 5/1/24 (b) 500,000 575,545 
Michigan Fin. Auth. Rev.:   
(Henry Ford Health Sys. Proj.) Series 2016, 5% 11/15/25 100,000 116,653 
(Trinity Health Proj.) Series 2017:   
5% 12/1/25 2,500,000 2,944,750 
5% 12/1/37 1,000,000 1,135,750 
Bonds Series 2019 MI2, 5%, tender 2/1/25 (a)(b) 740,000 852,532 
Series 2015 A:   
5% 8/1/26 1,675,000 1,912,632 
5% 8/1/27 2,000,000 2,273,780 
Series 2015, 5% 11/15/28 1,405,000 1,598,300 
Milan Area Schools Series 2019, 5% 5/1/23 (b) 585,000 655,966 
Univ. of Michigan Rev. Series 2017 A, 5% 4/1/42 1,000,000 1,141,410 
Wayne County Arpt. Auth. Rev. Series 2018 A, 5% 12/1/33 1,000,000 1,169,990 
TOTAL MICHIGAN  14,538,533 
Minnesota - 2.3%   
Duluth Econ. Dev. Auth. Health Care Facilities Rev. Series 2018 A, 5% 2/15/43 500,000 546,695 
Minnesota Gen. Oblig. Series 2017 D, 5% 10/1/24 4,000,000 4,687,920 
Minnesota Higher Ed. Facilities Auth. Rev. Series 2018 A, 5% 10/1/45 5,000 5,422 
St. Paul Hsg. & Redev. Auth. Health Care Facilities Rev. Series 2015 A, 5% 7/1/29 2,240,000 2,552,570 
Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A, 5% 1/1/33 1,500,000 1,678,065 
White Bear Lake Minn Rev. (YMCA of Greater Twin Cities Proj.) Series 2018:   
5% 6/1/19 210,000 212,085 
5% 6/1/20 295,000 306,706 
5% 6/1/23 515,000 573,942 
5% 6/1/27 500,000 580,355 
TOTAL MINNESOTA  11,143,760 
Missouri - 1.0%   
Missouri Health & Edl. Facilities Rev. Series 2018 A, 5% 6/1/31 1,000,000 1,192,530 
Saint Louis Arpt. Rev.:   
Series 2017 A, 5% 7/1/22 (FSA Insured) 1,695,000 1,873,500 
Series A, 5.25% 7/1/26 (FSA Insured) 1,320,000 1,596,817 
Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A:   
5% 9/1/38 70,000 70,368 
5.125% 9/1/48 125,000 125,418 
TOTAL MISSOURI  4,858,633 
Nevada - 3.5%   
Clark County School District:   
Series 2015 C, 5% 6/15/26 3,000,000 3,497,010 
Series 2016 B, 5% 6/15/26 1,675,000 1,963,603 
Series 2017 A:   
5% 6/15/22 2,520,000 2,762,122 
5% 6/15/24 250,000 285,500 
5% 6/15/25 5,945,000 6,901,491 
5% 6/15/26 215,000 252,045 
Series A, 5% 6/15/27 1,305,000 1,550,901 
TOTAL NEVADA  17,212,672 
New Hampshire - 0.2%   
New Hampshire Health & Ed. Facilities Auth. (Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A, 5% 8/1/34 65,000 73,861 
New Hampshire Health & Ed. Facilities Auth. Rev.:   
(Covenant Health Sys., Inc. Proj.) Series 2012, 5% 7/1/42 610,000 631,789 
Series 2016, 5% 10/1/23 170,000 187,864 
TOTAL NEW HAMPSHIRE  893,514 
New Jersey - 5.2%   
New Jersey Econ. Dev. Auth. Rev.:   
(Provident Montclair Proj.) Series 2017, 5% 6/1/25 (FSA Insured) 1,005,000 1,150,484 
Series 2015 XX:   
5% 6/15/22 3,285,000 3,539,456 
5% 6/15/23 3,500,000 3,830,680 
Series 2016 BBB:   
5% 6/15/23 1,400,000 1,532,272 
5.5% 6/15/30 230,000 261,542 
Series 2018 EEE, 5% 6/15/34 1,500,000 1,625,010 
New Jersey Edl. Facility Series 2016 E, 5% 7/1/22 765,000 839,174 
New Jersey Health Care Facilities Fing. Auth. Rev. Series 2016:   
4% 7/1/48 200,000 193,932 
5% 7/1/28 1,170,000 1,313,641 
5% 7/1/41 90,000 95,658 
New Jersey Tobacco Settlement Fing. Corp. Series 2018 A:   
5% 6/1/20 3,000,000 3,107,010 
5% 6/1/28 1,000,000 1,166,910 
New Jersey Trans. Trust Fund Auth.:   
(Trans. Prog.) Series 2019 AA:   
5% 6/15/46 1,300,000 1,364,987 
5.25% 6/15/43 2,700,000 2,913,300 
Series 2018 A:   
5% 12/15/32 355,000 387,010 
5% 12/15/33 355,000 386,403 
5% 12/15/34 1,350,000 1,462,509 
5% 12/15/35 355,000 383,084 
TOTAL NEW JERSEY  25,553,062 
New Mexico - 0.2%   
Albuquerque Brnl Co. Wtr. Utl Series 2018, 5% 7/1/28 1,000,000 1,188,170 
New York - 8.4%   
Dorm. Auth. New York Univ. Rev. Series 2017 A, 5% 7/1/46 1,265,000 1,423,720 
Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A, 5% 2/15/42 3,700,000 4,157,172 
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2018, 5% 9/1/36 250,000 290,663 
MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 300,000 321,000 
New York City Gen. Oblig. Series 2004 A6, 5% 8/1/31 1,195,000 1,420,473 
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2017 EE, 5% 6/15/36 4,305,000 4,968,530 
New York City Transitional Fin. Auth. Bldg. Aid Rev.:   
Series 2018 S2, 5% 7/15/35 1,075,000 1,239,561 
Series 2019 S3, 5% 7/15/37 2,500,000 2,881,950 
New York City Transitional Fin. Auth. Rev.:   
Series 2018 A2, 5% 8/1/39 1,800,000 2,050,740 
Series 2019 B1, 5% 8/1/34 2,525,000 2,975,990 
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2012 A, 0% 11/15/32 5,515,000 3,451,508 
New York Metropolitan Trans. Auth. Rev.:   
Series 2017 C1:   
5% 11/15/29 3,500,000 4,103,470 
5% 11/15/34 1,465,000 1,667,653 
Series 2017 D, 5% 11/15/35 2,000,000 2,268,080 
Series D1, 5% 11/1/25 2,050,000 2,255,800 
New York State Dorm. Auth. Series 2017 A, 5% 2/15/31 1,000,000 1,174,510 
Triborough Bridge & Tunnel Auth. Revs. Series 2018 A, 5% 11/15/44 4,000,000 4,591,280 
TOTAL NEW YORK  41,242,100 
New York And New Jersey - 1.2%   
Port Auth. of New York & New Jersey (H. Lee Moffitt Cancer Ctr. Proj.) Series 2016, 5% 11/15/41 5,000,000 5,655,750 
Ohio - 3.0%   
Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46 2,310,000 2,527,140 
Allen County Hosp. Facilities Rev. Bonds:   
(Mercy Health Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.750% 2.18%, tender 5/1/20 (a)(d) 400,000 400,476 
(Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) 500,000 547,660 
American Muni. Pwr., Inc. Rev.:   
(Greenup Hydroelectric Proj.):   
Series 2016 A, 5% 2/15/41 1,000,000 1,099,300 
Series 2016, 5% 2/15/46 1,735,000 1,898,194 
Bonds Series 2019 A, 2.3%, tender 2/15/22 (a)(b) 900,000 900,873 
Chillicothe Hosp. Facilities Rev. (Adena Health Sys. Oblig. Group Proj.) Series 2017, 5% 12/1/47 1,000,000 1,079,860 
Cleveland Arpt. Sys. Rev. 5% 1/1/24 (FSA Insured) 1,200,000 1,360,272 
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 4.25% 6/15/24 385,000 400,215 
Franklin County Hosp. Facilities Rev. Bonds (U.S. Health Corp. of Columbus Proj.) Series 2011 B, 5%, tender 5/15/23 (a) 200,000 224,230 
Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019, 5% 8/1/23 (b) 435,000 490,871 
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013, 4% 2/15/23 1,075,000 1,108,916 
Ohio Higher Edl. Facility Commission Rev.:   
(Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22 715,000 798,147 
(Kenyon College, Oh. Proj.) Series 2017, 5% 7/1/42 1,700,000 1,893,477 
TOTAL OHIO  14,729,631 
Oklahoma - 0.3%   
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B, 5.5% 8/15/57 1,515,000 1,679,650 
Pennsylvania - 3.1%   
Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.) Series 2016 A, 5% 11/15/46 4,000,000 4,344,080 
Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A, 5% 6/1/34 1,140,000 1,271,419 
Doylestown Hosp. Auth. Hosp. Rev. Series 2016 B:   
5% 7/1/20 285,000 293,633 
5% 7/1/21 1,215,000 1,276,224 
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2009, 2.8%, tender 12/1/21 (a) 200,000 201,950 
Pennsylvania Higher Edl. Facilities Auth. Rev.:   
Series 2012, 5% 5/1/31 1,035,000 1,123,254 
Series 2016, 5% 5/1/34 1,600,000 1,790,256 
Pennsylvania Tpk. Commission Tpk. Rev. Series 2016, 5% 6/1/36 2,000,000 2,190,920 
Philadelphia School District Series 2018 A, 5% 9/1/26 1,400,000 1,621,312 
Philadelphia Wtr. & Wastewtr. Rev. Series 2018 A, 5% 10/1/22 1,000,000 1,110,150 
TOTAL PENNSYLVANIA  15,223,198 
Pennsylvania, New Jersey - 0.5%   
Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2018 B, 5% 1/1/24 2,000,000 2,281,160 
South Carolina - 1.7%   
Greenville Hosp. Sys. Facilities Rev. Series 2012, 5% 5/1/23 1,400,000 1,519,210 
Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (a) 500,000 530,960 
South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev. (Bon Secours Health Sys. Proj.) Series 2013, 5% 11/1/28 (Pre-Refunded to 11/1/22 @ 100) 170,000 188,812 
South Carolina Pub. Svc. Auth. Rev. Series 2014 C:   
5% 12/1/26 100,000 111,688 
5% 12/1/39 1,000,000 1,060,520 
5% 12/1/46 4,675,000 4,922,962 
TOTAL SOUTH CAROLINA  8,334,152 
Tennessee - 0.4%   
Jackson Hosp. Rev. Series 2018 A:   
5% 4/1/27 630,000 735,443 
5% 4/1/28 420,000 492,689 
5% 4/1/41 500,000 548,950 
Tennessee Energy Acquisition Corp. Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) 100,000 104,479 
TOTAL TENNESSEE  1,881,561 
Texas - 13.7%   
Austin Wtr. & Wastewtr. Sys. Rev. Series 2016, 5% 11/15/33 2,000,000 2,314,700 
Central Reg'l. Mobility Auth. Series 2018, 5% 1/1/25 1,000,000 1,140,040 
Dallas Independent School District Series 2019:   
5% 2/15/23 (b) 1,000,000 1,123,040 
5% 2/15/24 (b) 700,000 804,720 
5% 2/15/25 (b) 1,000,000 1,172,110 
Dallas Wtrwks. & Swr. Sys. Rev. Series 2017, 5% 10/1/46 500,000 565,570 
Fort Worth Gen. Oblig. Series 2016, 5% 3/1/27 1,000,000 1,177,490 
Grand Parkway Trans. Corp. Bonds Series 2018 B, 5%, tender 10/1/23 (a) 500,000 563,540 
Gregg County Health Facilities Dev. Series 2012 C:   
3.82% 7/1/25 (Pre-Refunded to 7/1/22 @ 100) 2,280,000 2,381,848 
5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) 800,000 882,856 
Harris County Toll Road Rev. Series 2018 A, 5% 8/15/43 500,000 565,490 
Houston Arpt. Sys. Rev. Series 2018 D, 5% 7/1/39 500,000 570,860 
Houston Gen. Oblig. Series 2017 A, 5% 3/1/31 1,250,000 1,463,250 
Houston Independent School District:   
Bonds Series 2013 B, 2.4%, tender 6/1/21 (a) 500,000 504,400 
Series 2016 A, 5% 2/15/23 1,830,000 2,057,432 
Houston Util. Sys. Rev.:   
Series 2017 B, 5% 11/15/35 1,000,000 1,165,090 
Series 2018 D, 5% 11/15/43 2,100,000 2,401,917 
Laredo Independent School District Series 2018, 5% 8/1/40 775,000 882,338 
Lower Colorado River Auth. Rev. (LCRA Transmission Svcs. Corp. Proj.) Series 2018:   
5% 5/15/43 1,500,000 1,677,525 
5% 5/15/48 1,700,000 1,891,947 
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/28 1,550,000 1,760,056 
North Texas Tollway Auth. Rev.:   
Series 2017 A, 5% 1/1/39 4,000,000 4,534,240 
Series 2018:   
4% 1/1/37 2,110,000 2,178,659 
4% 1/1/38 1,835,000 1,886,233 
5% 1/1/35 500,000 574,280 
Plano Independent School District Series 2016 A, 5% 2/15/23 1,000,000 1,124,280 
San Antonio Elec. & Gas Sys. Rev. Bonds Series 2018, 2.75%, tender 12/1/22 (a) 1,400,000 1,428,588 
San Antonio Gen. Oblig. Series 2018, 5% 8/1/38 3,000,000 3,500,490 
San Antonio Wtr. Sys. Rev. Series 2016 C, 5% 5/15/36 4,025,000 4,615,830 
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.:   
Series 2016 A, 5% 2/15/47 8,000,000 8,816,080 
Series 2018 A, 5% 7/1/22 800,000 878,400 
Texas Wtr. Dev. Board Rev.:   
Series 2018 A, 5% 10/15/43 1,000,000 1,143,240 
Series 2018 B, 5% 4/15/49 1,000,000 1,142,730 
Travis County Health Facilities Dev. Corp. Rev. (Longhorn Village Proj.) Series 2012 A, 7.125% 1/1/46 (Pre-Refunded to 1/1/21 @ 100) 1,500,000 1,647,060 
Univ. of Houston Univ. Revs. Series 2017 A, 5% 2/15/35 5,000,000 5,670,250 
Univ. of North Texas Univ. Rev. Series 2018 A, 5% 4/15/44 750,000 847,853 
TOTAL TEXAS  67,054,432 
Utah - 0.2%   
Salt Lake City Arpt. Rev. Series 2018 B, 5% 7/1/48 1,000,000 1,127,020 
Virginia - 0.7%   
Univ. of Virginia Gen. Rev. Series 2017 A, 5% 4/1/38 3,000,000 3,478,290 
Washington - 1.7%   
King County Swr. Rev. Bonds Series 2012, 2.6%, tender 12/1/21 (a) 3,900,000 3,933,813 
Washington Fed. Hwy. Grant Anticipation Rev. (SR 520 Corridor Prog.) Series 2012 F, 5% 9/1/21 480,000 518,976 
Washington Gen. Oblig. Series 2018 C, 5% 2/1/41 1,000,000 1,142,200 
Washington Health Care Facilities Auth. Rev.:   
(Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B:   
5% 7/1/31 45,000 51,912 
5% 7/1/42 300,000 329,358 
Bonds Series 2012 B, 5%, tender 10/1/21 (a) 2,090,000 2,256,573 
TOTAL WASHINGTON  8,232,832 
Wisconsin - 0.8%   
Pub. Fin. Auth. Wis Edl. Facilities Series 2018 A:   
5.25% 10/1/43 530,000 561,678 
5.25% 10/1/48 530,000 558,281 
Wisconsin Health & Edl. Facilities Series 2018, 5% 4/1/34 2,000,000 2,325,880 
Wisconsin St Gen. Fund Annual Appropriation Series 2019 A, 5% 5/1/29 500,000 600,810 
TOTAL WISCONSIN  4,046,649 
TOTAL MUNICIPAL BONDS   
(Cost $411,633,978)  419,698,436 
Municipal Notes - 0.9%   
New York - 0.7%   
New York Metropolitan Trans. Auth. Rev. BAN Series 2018 C, 5% 9/1/21 3,000,000 $3,218,370 
Texas - 0.2%   
Texas Gen. Oblig. TRAN Series 2018, 4% 8/29/19 1,000,000 1,013,263 
TOTAL MUNICIPAL NOTES   
(Cost $4,203,320)  4,231,633 
 Shares Value 
Money Market Funds - 16.3%   
Fidelity Tax-Free Cash Central Fund, 1.42% (e)(f)   
(Cost $79,555,000) 79,547,045 79,555,000 
TOTAL INVESTMENT IN SECURITIES - 102.9%   
(Cost $495,392,298)  503,485,069 
NET OTHER ASSETS (LIABILITIES) - (2.9)%  (13,968,406) 
NET ASSETS - 100%  $489,516,663 

Security Type Abbreviations

BAN – BOND ANTICIPATION NOTE

TRAN – TAX AND REVENUE ANTICIPATION NOTE

Legend

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

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

 (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 $1,392,851 or 0.3% of net assets.

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

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

 (f) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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 $465,486 
Total $465,486 

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 January 31, 2019, 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 $423,930,069 $-- $423,930,069 $-- 
Money Market Funds 79,555,000 79,555,000 -- -- 
Total Investments in Securities: $503,485,069 $79,555,000 $423,930,069 $-- 

Other Information

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

General Obligations 23.0% 
Health Care 18.1% 
Transportation 15.4% 
Education 8.1% 
Electric Utilities 7.5% 
Water & Sewer 5.7% 
Special Tax 5.1% 
Others* (Individually Less Than 5%) 17.1% 
 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

  January 31, 2019 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $415,837,298) 		$423,930,069  
Fidelity Central Funds (cost $79,555,000) 79,555,000  
Total Investment in Securities (cost $495,392,298)  $503,485,069 
Cash  5,240,713 
Receivable for fund shares sold  2,931,876 
Interest receivable  3,899,040 
Distributions receivable from Fidelity Central Funds  76,066 
Prepaid expenses  17,689 
Receivable from investment adviser for expense reductions  87,837 
Other receivables  1,691 
Total assets  515,739,981 
Liabilities   
Payable for investments purchased   
Regular delivery $12,180,959  
Delayed delivery 12,665,985  
Payable for fund shares redeemed 96,590  
Distributions payable 1,012,624  
Accrued management fee 134,009  
Other affiliated payables 46,668  
Other payables and accrued expenses 86,483  
Total liabilities  26,223,318 
Net Assets  $489,516,663 
Net Assets consist of:   
Paid in capital  $481,184,120 
Total distributable earnings (loss)  8,332,543 
Net Assets, for 48,023,159 shares outstanding  $489,516,663 
Net Asset Value, offering price and redemption price per share ($489,516,663 ÷ 48,023,159 shares)  $10.19 

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


Statement of Operations

  For the period
October 2, 2018 (commencement of operations) to
January 31, 2019 
Investment Income   
Interest  $2,317,714 
Income from Fidelity Central Funds  465,486 
Total income  2,783,200 
Expenses   
Management fee $373,227  
Transfer agent fees 119,085  
Accounting fees and expenses 27,160  
Custodian fees and expenses 1,691  
Independent trustees' fees and expenses 245  
Registration fees 95,633  
Audit 48,524  
Legal 3  
Total expenses before reductions 665,568  
Expense reductions (403,689)  
Total expenses after reductions  261,879 
Net investment income (loss)  2,521,321 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 236,739  
Total net realized gain (loss)  236,739 
Change in net unrealized appreciation (depreciation) on investment securities  8,092,771 
Net gain (loss)  8,329,510 
Net increase (decrease) in net assets resulting from operations  $10,850,831 

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


Statement of Changes in Net Assets

 For the period
October 2, 2018 (commencement of operations) to
January 31, 2019 
Increase (Decrease) in Net Assets  
Operations  
Net investment income (loss) $2,521,321 
Net realized gain (loss) 236,739 
Change in net unrealized appreciation (depreciation) 8,092,771 
Net increase (decrease) in net assets resulting from operations 10,850,831 
Distributions to shareholders (2,517,396) 
Total distributions (2,517,396) 
Share transactions  
Proceeds from sales of shares 503,101,644 
Reinvestment of distributions 502 
Cost of shares redeemed (21,918,918) 
Net increase (decrease) in net assets resulting from share transactions 481,183,228 
Total increase (decrease) in net assets 489,516,663 
Net Assets  
Beginning of period – 
End of period $489,516,663 
Other Information  
Shares  
Sold 50,204,627 
Issued in reinvestment of distributions 50 
Redeemed (2,181,518) 
Net increase (decrease) 48,023,159 

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


Financial Highlights

Fidelity SAI Tax-Free Bond Fund

  
Year ended January 31, 2019 A 
Selected Per–Share Data  
Net asset value, beginning of period $10.00 
Income from Investment Operations  
Net investment income (loss)B .081 
Net realized and unrealized gain (loss) .176 
Total from investment operations .257 
Distributions from net investment income (.067) 
Total distributions (.067) 
Net asset value, end of period $10.19 
Total ReturnC,D 2.58% 
Ratios to Average Net AssetsE,F  
Expenses before reductions .60%G,H 
Expenses net of fee waivers, if any .25%G 
Expenses net of all reductions .25%G 
Net investment income (loss) 2.38%G 
Supplemental Data  
Net assets, end of period (000 omitted) $489,517 
Portfolio turnover rateI 2%J 

 A For the period October 2, 2018 (commencement of operations) to January 31, 2019.

 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 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. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. 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 Audit fees are not annualized.

 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

For the period ended January 31, 2019

1. Organization.

Fidelity SAI 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. Shares are offered exclusively to certain clients of Fidelity Management & Research Company (FMR) or its affiliates. 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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 January 31, 2019 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. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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. As of January 31, 2019, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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.

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 $8,114,173 
Gross unrealized depreciation (20,858) 
Net unrealized appreciation (depreciation) $8,093,315 
Tax Cost $495,391,754 

The tax-based components of distributable earnings as of period end were as follows:

Undistributed tax-exempt income $3,381 
Undistributed ordinary income $235,847 
Net unrealized appreciation (depreciation) on securities and other investments $8,093,315 

The tax character of distributions paid was as follows:

 January 31, 2019(a) 
Tax-exempt Income $2,517,396 

 (a) For the period October 2, 2018 (commencement of operations) to January 31, 2019.

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.

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $418,450,391 and $5,408,101, 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 .35% 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 Fund's transfer, dividend disbursing and shareholder servicing agent. 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, the transfer agent fees were equivalent to an annualized rate of .11% 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 .03%.

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. 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, 2020. 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 $400,796.

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 $1,870.

In addition, during the period the investment adviser reimbursed and/or waived a portion of operating expenses in the amount of $1,023.

7. 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.

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI Tax-Free Bond Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity SAI Tax-Free Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2019, the related statement of operations, the statement of changes in net assets and the financial highlights for the period from October 2, 2018 (commencement of operations) to January 31, 2019, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of January 31, 2019, and the results of its operations, the changes in its net assets and the financial highlights for the period from October 2, 2018 (commencement of operations) to January 31, 2019, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audit included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of January 31, 2019, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 14, 2019


We have served as the auditor of one or more of the Fidelity investment companies since 1999.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance .  Except for Jonathan Chiel, each of the Trustees oversees 260 funds. Mr. Chiel oversees 155 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Arthur E. Johnson serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney’s Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). She is the President of First to Four LLC (leadership and mentoring services, 2012-present). She also serves as a member of the Board of Directors and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor, and aerospace systems, 2013-present), Board of Directors and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and Board of Directors of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a Member of the Advisory Board of certain Fidelity® funds (2018), a member of the Board of Directors and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board of Directors, Chair of the Nomination and Governance Committee and member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Board of Directors of the Army Historical Foundation (2015-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present) and a member of the Board of Trustees of Florida Institute of Technology (2015-present) and ThanksUSA (military family education non-profit, 2014-present).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as interim president of Michigan State University (2018-2019), a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007), and Chase Manhattan Bank (1975-1978).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

William C. Coffey (1969)

Year of Election or Appointment: 2018

Secretary and Chief Legal Officer (CLO)

Mr. Coffey also serves as Secretary and CLO of other funds. Mr. Coffey serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-present); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Assistant Secretary of certain funds (2009-2018) and as Vice President and Associate General Counsel of FMR LLC (2005-2009).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018). 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as President Fixed Income, High Income/Emerging Market Debt and Multi Asset Class Strategies of FIAM LLC (2018-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), President Multi-Asset Class Strategies of FMR's Global Asset Allocation Division (2017-2018), Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

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 actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 2, 2018 to January 31, 2019). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2018 to January 31, 2019).

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
 		Ending
Account Value
January 31, 2019 		Expenses Paid
During Period
 
Actual .25% $1,000.00 $1,025.80 $.85-B 
Hypothetical-C  $1,000.00 $1,023.95 $1.28-D 

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

 B Actual expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 122/365 (to reflect the period October 2, 2018 to January 31, 2019).

 C 5% return per year before expenses

 D Hypothetical expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

Distributions (Unaudited)

The Board of Trustees of Fidelity SAI Tax-Free Bond Fund voted to pay on March 11, 2019, to shareholders of record at the opening of business on March 8, 2019, a distribution of $.005 per share derived from capital gains realized from sales of portfolio securities.

During fiscal year ended 2019, 100% of the fund's income dividends was free from federal income tax, and 0% of the fund's income dividends was subject to the federal alternative minimum tax.

The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity SAI Tax-Free Bond Fund

On March 8, 2018, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements with affiliates of FMR (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are collectively referred to herein as the Investment Advisers. 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 considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process. The Board also considered its familiarity with Fidelity's management of other fixed income index funds overseen by the Board.

Shareholder and Administrative Services.  The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund. The Board also considered the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment Performance.  The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. The Board considered the Investment Advisers' strength in fundamental, research-driven security selection, which the Board is familiar with through its supervision of other Fidelity funds.

Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio  .In reviewing the Advisory Contracts, the Board considered the fund's proposed management fee rate and the projected total expense ratio of the fund. The Board noted that the fund's proposed management fee rate is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total expense ratio of the fund is below the median for those funds and classes used by the Board for management fee comparisons that have a similar sales load structure, after taking into account the contractual expense cap discussed below.

The Board also noted that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of its average net assets, exceed 0.25% through March 31, 2020.

Based on its review, the Board concluded that the fund's management fee and projected total expense ratio were reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.

Costs of the Services and Profitability.  The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

Economies of Scale.  The Board will consider economies of scale when there is operating experience to permit assessment thereof. The Board noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

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





Fidelity Investments

STF-ANN-0319
1.9887620.100

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



Annual Report

January 31, 2019



Fidelity Investments


Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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. © 2019 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.



Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended January 31, 2019 Past 1 year Past 5 years Life of fundA 
Fidelity® Series Large Cap Value Index Fund (4.73)% 8.29% 8.00% 

 A From November 7, 2013

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® Series Large Cap Value Index Fund on November 7, 2013, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Russell 1000® Value Index performed over the same period.


Period Ending Values
$14,960Fidelity® Series Large Cap Value Index Fund
$15,217Russell 1000® Value Index

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index returned -2.31% for the 12 months ending January 31, 2019, as the U.S. equity bellwether began the new year on a high note after enduring a final quarter of 2018 in which resurgent volatility upset the aging bull market. In October, rising U.S. Treasury yields and concern about peaking corporate earnings growth sent many investors fleeing from risk assets as they were still dealing with lingering uncertainty related to global trade and the U.S. Federal Reserve picking up the pace of interest rate hikes. The index returned -6.84% in October, at the time its largest monthly drop in seven years. But conditions worsened through Christmas, as jitters about the economy and another hike in rates led to a spike in market volatility and a -9.03% result for December. Sharply reversing course to begin 2019, the S&P 500® gained 8.01% in January, its strongest opening month since 1987, amid upbeat company earnings/outlooks and signs the Fed may pause on rates. For the full period, some economically sensitive sectors were at the bottom of the 12-month performance scale: materials (-14%), energy (-12%), financials (-11%) and industrials (-8%). Meanwhile, communication services – which includes dividend-rich telecom stocks – and consumer staples returned about -5%. In contrast, the defensive utilities (+11%), real estate (+10%) and health care (+5%) sectors led the way. Information technology and consumer discretionary were rattled in the late-2018 downturn, but earlier strength resulted in each advancing about 3%.

Comments from Patrick Waddell, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team:  For the fiscal year, the fund returned -4.73%, roughly in line with the -4.81% result of the benchmark Russell 1000® Value Index. In an often-volatile investment environment the past 12 months, economically sensitive sectors within the benchmark, such as materials and industrials, struggled most, while more-defensive sectors fared best, led by utilities and real estate. Several bank stocks were notable individual detractors: Wells Fargo (-23%), JPMorgan Chase (-8%), Citigroup (-16%) and Bank of America (-9%), all of which lagged amid heightened concern about a weakening global economy. In energy, a declining oil price pressured shares of integrated energy producer Exxon Mobil (-12%) and oil-field services company Schlumberger (-38%). Elsewhere, shares of General Electric returned roughly -35%, as the industrial conglomerate experienced a variety of business challenges. Chemical manufacturer DowDuPont (-27%) and tobacco company Philip Morris International (-24%) further hampered the fund's result. In contrast, many top-contributing stocks were of companies that benefited from investors' growing risk aversion, especially during the late-2018 market downturn. Drugmakers Merck (+30%), Pfizer (+20%) and Eli Lilly (+41%), the last of which was a position established this period, helped most. Other notable contributors from health care were Abbott Laboratories (+20%) and insurance provider Anthem (+24%). Lastly, network communications equipment maker Cisco Systems (+18%) and consumer products company Procter & Gamble (+16%) added value.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Investment Summary (Unaudited)

Top Ten Stocks as of January 31, 2019

 % of fund's net assets 
Berkshire Hathaway, Inc. Class B 2.7 
JPMorgan Chase & Co. 2.7 
Exxon Mobil Corp. 2.5 
Johnson & Johnson 2.3 
Bank of America Corp. 2.1 
Pfizer, Inc. 1.9 
Procter & Gamble Co. 1.9 
Verizon Communications, Inc. 1.8 
AT&T, Inc. 1.7 
Chevron Corp. 1.7 
 21.3 

Top Market Sectors as of January 31, 2019

 % of fund's net assets 
Financials 22.6 
Health Care 15.1 
Energy 9.5 
Information Technology 9.2 
Consumer Staples 7.7 
Industrials 7.6 
Communication Services 7.0 
Utilities 6.3 
Consumer Discretionary 5.4 
Real Estate 5.2 

Asset Allocation (% of fund's net assets)

As of January 31, 2019* 
   Stocks and Equity Futures 100.0% 


 * Foreign investments - 5.8%

Schedule of Investments January 31, 2019

Showing Percentage of Net Assets

Common Stocks - 99.6%   
 Shares Value 
COMMUNICATION SERVICES - 7.0%   
Diversified Telecommunication Services - 3.6%   
AT&T, Inc. 2,111,158 $63,461,409 
CenturyLink, Inc. 277,937 4,257,995 
Verizon Communications, Inc. 1,201,367 66,147,267 
  133,866,671 
Entertainment - 1.2%   
Cinemark Holdings, Inc. 31,387 1,284,356 
Lions Gate Entertainment Corp.:   
Class A (a) 6,370 117,017 
Class B 32,785 574,721 
Take-Two Interactive Software, Inc. (b) 13,383 1,412,576 
The Madison Square Garden Co. (b) 4,835 1,343,647 
The Walt Disney Co. 122,779 13,692,314 
Twenty-First Century Fox, Inc.:   
Class A 297,194 14,654,636 
Class B 147,120 7,217,707 
Viacom, Inc.:   
Class A 2,494 85,519 
Class B (non-vtg.) 103,090 3,032,908 
Zynga, Inc. (b) 218,092 977,052 
  44,392,453 
Interactive Media & Services - 0.0%   
Zillow Group, Inc.:   
Class A (b) 4,911 170,952 
Class C (a)(b) 8,863 311,003 
  481,955 
Media - 2.1%   
Charter Communications, Inc. Class A (b) 14,902 4,933,307 
Comcast Corp. Class A 1,326,860 48,523,270 
Discovery Communications, Inc.:   
Class A (a)(b) 64,588 1,833,007 
Class C (non-vtg.) (b) 78,746 2,098,581 
DISH Network Corp. Class A (b) 64,670 1,983,429 
GCI Liberty, Inc. (b) 29,630 1,508,167 
Interpublic Group of Companies, Inc. 100,660 2,290,015 
John Wiley & Sons, Inc. Class A 12,626 653,774 
Liberty Broadband Corp.:   
Class A (a)(b) 7,088 600,850 
Class C (b) 30,826 2,620,827 
Liberty Media Corp.:   
Liberty Formula One Group Series C (b) 56,714 1,779,118 
Liberty Media Class A (a)(b) 8,277 253,276 
Liberty SiriusXM Series A (b) 17,516 696,786 
Liberty SiriusXM Series C (b) 54,837 2,191,287 
News Corp.:   
Class A 106,411 1,365,253 
Class B 40,706 526,329 
Omnicom Group, Inc. 21,753 1,694,124 
Tribune Media Co. Class A 24,928 1,144,444 
  76,695,844 
Wireless Telecommunication Services - 0.1%   
Sprint Corp. (b) 186,261 1,162,269 
T-Mobile U.S., Inc. (b) 31,043 2,161,214 
Telephone & Data Systems, Inc. 29,149 1,055,777 
U.S. Cellular Corp. (b) 3,739 215,292 
  4,594,552 
TOTAL COMMUNICATION SERVICES  260,031,475 
CONSUMER DISCRETIONARY - 5.4%   
Auto Components - 0.2%   
Adient PLC 26,620 525,479 
Aptiv PLC 9,954 787,660 
BorgWarner, Inc. 60,947 2,492,732 
Garrett Motion, Inc. (b) 8,046 128,495 
Gentex Corp. 24,852 526,365 
Lear Corp. 16,870 2,596,799 
The Goodyear Tire & Rubber Co. 68,402 1,449,438 
Visteon Corp. (b) 3,074 236,360 
  8,743,328 
Automobiles - 0.7%   
Ford Motor Co. 1,132,978 9,970,206 
General Motors Co. 380,191 14,835,053 
Harley-Davidson, Inc. 47,409 1,747,496 
Thor Industries, Inc. 2,427 158,046 
  26,710,801 
Distributors - 0.2%   
Genuine Parts Co. 41,165 4,109,090 
LKQ Corp. (b) 76,278 2,000,009 
  6,109,099 
Diversified Consumer Services - 0.1%   
Bright Horizons Family Solutions, Inc. (b) 2,447 283,338 
Graham Holdings Co. 1,196 795,340 
H&R Block, Inc. 48,808 1,151,381 
Service Corp. International 26,844 1,152,144 
  3,382,203 
Hotels, Restaurants & Leisure - 2.0%   
ARAMARK Holdings Corp. 71,104 2,342,877 
Caesars Entertainment Corp. (a)(b) 169,071 1,545,309 
Carnival Corp. 115,853 6,670,816 
Darden Restaurants, Inc. 17,497 1,835,960 
Extended Stay America, Inc. unit 21,594 369,257 
Hyatt Hotels Corp. Class A 12,223 854,510 
International Game Technology PLC (a) 26,468 433,016 
Las Vegas Sands Corp. 40,436 2,359,845 
McDonald's Corp. 181,737 32,490,941 
MGM Mirage, Inc. 130,823 3,851,429 
Norwegian Cruise Line Holdings Ltd. (b) 64,641 3,324,487 
Royal Caribbean Cruises Ltd. 48,192 5,785,450 
U.S. Foods Holding Corp. (b) 59,031 1,990,525 
Yum China Holdings, Inc. 96,518 3,518,081 
Yum! Brands, Inc. 64,242 6,037,463 
  73,409,966 
Household Durables - 0.4%   
D.R. Horton, Inc. 40,515 1,557,802 
Garmin Ltd. 33,061 2,287,160 
Leggett & Platt, Inc. 37,287 1,527,276 
Lennar Corp.:   
Class A 38,605 1,830,649 
Class B 4,604 175,504 
Mohawk Industries, Inc. (b) 18,077 2,328,137 
Newell Brands, Inc. 125,684 2,665,758 
PulteGroup, Inc. 50,335 1,399,816 
Toll Brothers, Inc. 19,722 728,531 
Whirlpool Corp. 18,155 2,414,797 
  16,915,430 
Internet & Direct Marketing Retail - 0.3%   
eBay, Inc. 205,932 6,929,612 
Liberty Interactive Corp. QVC Group Series A (b) 121,488 2,642,364 
  9,571,976 
Leisure Products - 0.1%   
Brunswick Corp. 22,292 1,121,733 
Hasbro, Inc. 7,028 636,456 
Mattel, Inc. (a)(b) 76,320 903,629 
  2,661,818 
Multiline Retail - 0.6%   
Dollar Tree, Inc. (b) 56,532 5,473,994 
Kohl's Corp. 48,137 3,306,531 
Macy's, Inc. 88,001 2,314,426 
Target Corp. 152,875 11,159,875 
  22,254,826 
Specialty Retail - 0.5%   
Advance Auto Parts, Inc. 14,050 2,236,760 
AutoNation, Inc. (b) 15,789 611,824 
AutoZone, Inc. (b) 958 811,752 
Best Buy Co., Inc. 51,858 3,072,068 
CarMax, Inc. (b) 19,966 1,173,601 
Dick's Sporting Goods, Inc. 21,993 776,573 
Foot Locker, Inc. 33,420 1,867,844 
Gap, Inc. 58,363 1,484,755 
L Brands, Inc. 53,619 1,492,753 
Michaels Companies, Inc. (a)(b) 25,965 359,875 
Penske Automotive Group, Inc. 10,105 473,722 
Tiffany & Co., Inc. 29,046 2,577,252 
Williams-Sonoma, Inc. (a) 18,267 994,273 
  17,933,052 
Textiles, Apparel & Luxury Goods - 0.3%   
Capri Holdings Ltd. (b) 18,796 798,454 
Columbia Sportswear Co. 7,699 686,674 
PVH Corp. 22,296 2,432,717 
Ralph Lauren Corp. 15,632 1,815,500 
Skechers U.S.A., Inc. Class A (sub. vtg.) (b) 19,954 542,150 
Tapestry, Inc. 67,479 2,612,112 
Under Armour, Inc.:   
Class A (sub. vtg.) (a)(b) 11,413 236,706 
Class C (non-vtg.) (a)(b) 14,414 273,001 
VF Corp. 21,649 1,822,196 
  11,219,510 
TOTAL CONSUMER DISCRETIONARY  198,912,009 
CONSUMER STAPLES - 7.7%   
Beverages - 0.6%   
Molson Coors Brewing Co. Class B 50,233 3,346,020 
PepsiCo, Inc. 46,424 5,230,592 
The Coca-Cola Co. 249,863 12,025,906 
  20,602,518 
Food & Staples Retailing - 1.8%   
Casey's General Stores, Inc. 10,606 1,364,780 
Kroger Co. 229,465 6,500,743 
Walgreens Boots Alliance, Inc. 235,188 16,994,685 
Walmart, Inc. 414,244 39,697,003 
  64,557,211 
Food Products - 2.0%   
Archer Daniels Midland Co. 161,472 7,250,093 
Bunge Ltd. 40,965 2,255,943 
Campbell Soup Co. (a) 15,641 554,161 
Conagra Brands, Inc. 142,173 3,076,624 
Flowers Foods, Inc. 51,087 1,004,370 
General Mills, Inc. 162,902 7,239,365 
Hormel Foods Corp. (a) 78,854 3,337,101 
Ingredion, Inc. 20,479 2,027,421 
Kellogg Co. 36,094 2,129,907 
Lamb Weston Holdings, Inc. 42,461 3,069,930 
McCormick & Co., Inc. (non-vtg.) 33,157 4,099,531 
Mondelez International, Inc. 415,214 19,207,800 
Pilgrim's Pride Corp. (b) 14,579 295,371 
Post Holdings, Inc. (b) 7,880 731,422 
Seaboard Corp. 75 289,813 
The Hain Celestial Group, Inc. (b) 27,149 497,641 
The Hershey Co. 3,583 380,156 
The J.M. Smucker Co. 31,913 3,347,035 
The Kraft Heinz Co. 174,492 8,386,086 
TreeHouse Foods, Inc. (b) 15,963 931,601 
Tyson Foods, Inc. Class A 84,453 5,229,330 
  75,340,701 
Household Products - 2.3%   
Church & Dwight Co., Inc. 10,539 680,925 
Clorox Co. 4,797 711,779 
Colgate-Palmolive Co. 201,407 13,027,005 
Energizer Holdings, Inc. 7,080 335,592 
Kimberly-Clark Corp. 13,440 1,496,947 
Procter & Gamble Co. 723,394 69,785,819 
Spectrum Brands Holdings, Inc. 6,285 351,206 
  86,389,273 
Personal Products - 0.1%   
Coty, Inc. Class A 132,596 1,028,945 
Herbalife Nutrition Ltd. (b) 25,484 1,521,395 
Nu Skin Enterprises, Inc. Class A 10,850 712,303 
  3,262,643 
Tobacco - 0.9%   
Philip Morris International, Inc. 451,097 34,608,162 
TOTAL CONSUMER STAPLES  284,760,508 
ENERGY - 9.5%   
Energy Equipment & Services - 0.8%   
Baker Hughes, a GE Co. Class A 149,461 3,522,796 
Helmerich & Payne, Inc. 31,024 1,737,034 
Nabors Industries Ltd. 97,209 287,739 
National Oilwell Varco, Inc. 111,025 3,273,017 
Patterson-UTI Energy, Inc. 62,240 754,971 
RPC, Inc. 9,830 106,066 
Schlumberger Ltd. 402,620 17,799,830 
Transocean Ltd. (United States) (a)(b) 151,487 1,298,244 
Weatherford International PLC (a)(b) 283,512 183,829 
  28,963,526 
Oil, Gas & Consumable Fuels - 8.7%   
Anadarko Petroleum Corp. 97,712 4,624,709 
Antero Resources Corp. (b) 32,083 322,755 
Apache Corp. 103,179 3,386,335 
Cabot Oil & Gas Corp. 33,512 836,124 
Centennial Resource Development, Inc. Class A (a)(b) 52,114 686,341 
Cheniere Energy, Inc. (b) 20,251 1,329,478 
Chesapeake Energy Corp. (a)(b) 255,871 729,232 
Chevron Corp. 553,456 63,453,730 
Cimarex Energy Co. 23,412 1,763,860 
CNX Resources Corp. (b) 61,023 740,819 
Concho Resources, Inc. (b) 48,982 5,870,003 
ConocoPhillips Co. 335,117 22,684,070 
Continental Resources, Inc. (b) 12,898 595,501 
Devon Energy Corp. 137,085 3,653,315 
Diamondback Energy, Inc. 38,370 3,956,714 
EOG Resources, Inc. 148,559 14,737,053 
EQT Corp. 75,383 1,467,707 
Equitrans Midstream Corp. 60,306 1,255,571 
Extraction Oil & Gas, Inc. (b) 31,524 124,205 
Exxon Mobil Corp. 1,230,718 90,187,015 
Hess Corp. 75,447 4,074,138 
HollyFrontier Corp. 46,224 2,604,260 
Kinder Morgan, Inc. 552,626 10,002,531 
Kosmos Energy Ltd. (a)(b) 54,659 280,401 
Marathon Oil Corp. 243,013 3,837,175 
Marathon Petroleum Corp. 194,862 12,911,556 
Murphy Oil Corp. 46,707 1,277,436 
Newfield Exploration Co. (b) 36,059 659,159 
Noble Energy, Inc. 138,338 3,090,471 
Occidental Petroleum Corp. 219,084 14,630,430 
ONEOK, Inc. 69,571 4,467,154 
Parsley Energy, Inc. Class A (b) 22,627 420,410 
PBF Energy, Inc. Class A 33,935 1,242,700 
Phillips 66 Co. 121,108 11,554,914 
Pioneer Natural Resources Co. 21,995 3,130,328 
QEP Resources, Inc. (b) 67,253 556,182 
Range Resources Corp. 59,791 659,495 
SM Energy Co. 31,591 619,815 
Targa Resources Corp. 65,752 2,827,994 
The Williams Companies, Inc. 351,574 9,467,888 
Valero Energy Corp. 123,087 10,809,500 
Whiting Petroleum Corp. (b) 25,520 730,638 
WPX Energy, Inc. (b) 112,979 1,385,123 
  323,644,235 
TOTAL ENERGY  352,607,761 
FINANCIALS - 22.6%   
Banks - 11.1%   
Associated Banc-Corp. 48,341 1,046,583 
Bank of America Corp. 2,656,293 75,624,662 
Bank of Hawaii Corp. 11,824 914,350 
Bank of the Ozarks, Inc. 34,613 1,050,158 
BankUnited, Inc. 29,670 1,003,143 
BB&T Corp. 222,476 10,856,829 
BOK Financial Corp. 7,455 619,585 
CIT Group, Inc. 32,029 1,479,420 
Citigroup, Inc. 709,422 45,729,342 
Citizens Financial Group, Inc. 135,837 4,607,591 
Comerica, Inc. 45,328 3,569,127 
Commerce Bancshares, Inc. 28,485 1,703,403 
Cullen/Frost Bankers, Inc. 16,302 1,585,859 
East West Bancorp, Inc. 38,069 1,915,632 
Fifth Third Bancorp 190,350 5,105,187 
First Citizens Bancshares, Inc. 2,365 963,808 
First Hawaiian, Inc. 30,308 779,825 
First Horizon National Corp. 92,233 1,353,980 
First Republic Bank 47,305 4,571,082 
FNB Corp., Pennsylvania 92,369 1,076,099 
Huntington Bancshares, Inc. 314,728 4,166,999 
JPMorgan Chase & Co. 960,656 99,427,896 
KeyCorp 300,899 4,955,807 
M&T Bank Corp. 40,858 6,722,775 
PacWest Bancorp 35,667 1,376,390 
Peoples United Financial, Inc. 110,689 1,813,086 
Pinnacle Financial Partners, Inc. 11,900 639,863 
PNC Financial Services Group, Inc. 134,737 16,528,188 
Popular, Inc. 28,811 1,573,369 
Prosperity Bancshares, Inc. 19,024 1,353,367 
Regions Financial Corp. 303,810 4,608,798 
Signature Bank 5,685 723,757 
Sterling Bancorp 63,472 1,221,201 
SunTrust Banks, Inc. 130,282 7,741,356 
SVB Financial Group (b) 3,487 813,796 
Synovus Financial Corp. 33,215 1,176,475 
TCF Financial Corp. 47,072 1,043,116 
Texas Capital Bancshares, Inc. (b) 4,936 287,621 
U.S. Bancorp 438,913 22,454,789 
Umpqua Holdings Corp. 61,742 1,091,599 
Webster Financial Corp. 26,116 1,407,130 
Wells Fargo & Co. 1,231,931 60,253,745 
Western Alliance Bancorp. (b) 11,238 497,619 
Wintrust Financial Corp. 16,348 1,162,997 
Zions Bancorporation 55,427 2,637,771 
  411,235,175 
Capital Markets - 3.2%   
Affiliated Managers Group, Inc. 15,412 1,617,489 
Ameriprise Financial, Inc. 33,942 4,297,057 
Bank of New York Mellon Corp. 264,851 13,857,004 
BGC Partners, Inc. Class A 81,657 505,457 
BlackRock, Inc. Class A 35,193 14,607,910 
Brighthouse Financial, Inc. (b) 34,167 1,275,796 
Cboe Global Markets, Inc. 2,283 212,935 
CME Group, Inc. 90,583 16,511,469 
E*TRADE Financial Corp. 57,558 2,685,656 
Franklin Resources, Inc. 88,161 2,610,447 
Goldman Sachs Group, Inc. 101,188 20,036,236 
Interactive Brokers Group, Inc. 1,702 85,781 
IntercontinentalExchange, Inc. 78,920 6,057,899 
Invesco Ltd. 118,137 2,152,456 
Lazard Ltd. Class A 2,927 116,465 
Legg Mason, Inc. 23,849 710,700 
Morgan Stanley 352,052 14,891,800 
Northern Trust Corp. 43,279 3,828,460 
Raymond James Financial, Inc. 26,906 2,165,933 
State Street Corp. 101,622 7,205,000 
T. Rowe Price Group, Inc. 4,724 441,505 
The NASDAQ OMX Group, Inc. 33,497 2,949,076 
  118,822,531 
Consumer Finance - 0.8%   
Ally Financial, Inc. 123,088 3,207,673 
American Express Co. 65,477 6,724,488 
Capital One Financial Corp. 128,584 10,362,585 
Credit Acceptance Corp. (b) 271 107,863 
Discover Financial Services 52,857 3,567,319 
Navient Corp. 74,403 848,194 
OneMain Holdings, Inc. (b) 20,233 604,764 
Santander Consumer U.S.A. Holdings, Inc. 28,578 544,697 
SLM Corp. 123,934 1,327,333 
Synchrony Financial 139,924 4,203,317 
  31,498,233 
Diversified Financial Services - 2.9%   
AXA Equitable Holdings, Inc. (a) 56,485 1,047,232 
Berkshire Hathaway, Inc. Class B (b) 491,454 101,013,440 
Jefferies Financial Group, Inc. 85,822 1,785,956 
Voya Financial, Inc. 42,618 1,978,754 
  105,825,382 
Insurance - 4.2%   
AFLAC, Inc. 221,945 10,586,777 
Alleghany Corp. 3,642 2,300,142 
Allstate Corp. 100,448 8,826,366 
American Financial Group, Inc. 20,838 1,987,737 
American International Group, Inc. 221,362 9,569,479 
American National Insurance Co. 2,116 294,526 
Arch Capital Group Ltd. (b) 94,666 2,778,447 
Arthur J. Gallagher & Co. 52,000 3,884,920 
Aspen Insurance Holdings Ltd. 16,710 697,308 
Assurant, Inc. 14,925 1,438,621 
Assured Guaranty Ltd. 30,426 1,234,079 
Athene Holding Ltd. (b) 46,339 1,987,943 
Axis Capital Holdings Ltd. 20,843 1,116,143 
Brown & Brown, Inc. 63,943 1,736,692 
Chubb Ltd. 133,212 17,723,857 
Cincinnati Financial Corp. 44,405 3,602,134 
CNA Financial Corp. 9,127 418,564 
Erie Indemnity Co. Class A 1,746 255,579 
Everest Re Group Ltd. 6,965 1,525,683 
First American Financial Corp. 30,884 1,546,671 
FNF Group 76,643 2,771,411 
Hanover Insurance Group, Inc. 12,075 1,377,033 
Hartford Financial Services Group, Inc. 103,005 4,832,995 
Lincoln National Corp. 62,134 3,634,218 
Loews Corp. 79,994 3,831,713 
Markel Corp.(b) 3,587 3,778,940 
Marsh & McLennan Companies, Inc. 78,676 6,938,436 
Mercury General Corp. 7,804 403,467 
MetLife, Inc. 244,769 11,178,600 
Old Republic International Corp. 80,641 1,624,916 
Principal Financial Group, Inc. 80,495 4,030,385 
Prudential Financial, Inc. 120,075 11,063,711 
Reinsurance Group of America, Inc. 18,342 2,649,502 
RenaissanceRe Holdings Ltd. 10,331 1,425,988 
The Travelers Companies, Inc. 62,185 7,806,705 
Torchmark Corp. 29,995 2,512,381 
Unum Group 59,623 2,072,495 
W.R. Berkley Corp. 27,994 2,152,459 
White Mountains Insurance Group Ltd. 869 776,521 
Willis Group Holdings PLC 37,819 6,156,555 
  154,530,099 
Mortgage Real Estate Investment Trusts - 0.4%   
AGNC Investment Corp. 147,897 2,648,835 
Annaly Capital Management, Inc. 398,687 4,162,292 
Chimera Investment Corp. 52,962 1,007,867 
MFA Financial, Inc. 135,450 992,849 
New Residential Investment Corp. 103,495 1,757,345 
Starwood Property Trust, Inc. 79,107 1,746,683 
Two Harbors Investment Corp. 69,843 1,019,009 
  13,334,880 
Thrifts & Mortgage Finance - 0.0%   
New York Community Bancorp, Inc. (a) 135,877 1,578,891 
TFS Financial Corp. 14,386 234,636 
  1,813,527 
TOTAL FINANCIALS  837,059,827 
HEALTH CARE - 15.1%   
Biotechnology - 0.4%   
Agios Pharmaceuticals, Inc. (a)(b) 970 51,992 
Alexion Pharmaceuticals, Inc. (b) 10,681 1,313,336 
Alnylam Pharmaceuticals, Inc. (b) 2,940 245,578 
Amgen, Inc. 10,948 2,048,480 
Biogen, Inc. (b) 2,999 1,001,006 
bluebird bio, Inc. (a)(b) 4,989 665,682 
Gilead Sciences, Inc. 95,775 6,705,208 
United Therapeutics Corp. (b) 12,550 1,447,392 
  13,478,674 
Health Care Equipment & Supplies - 3.9%   
Abbott Laboratories 496,952 36,267,557 
Baxter International, Inc. 128,998 9,351,065 
Becton, Dickinson & Co. 70,037 17,471,430 
Boston Scientific Corp. (b) 92,112 3,514,073 
Danaher Corp. 179,585 19,919,568 
Dentsply Sirona, Inc. 63,635 2,669,488 
Hill-Rom Holdings, Inc. 6,563 656,431 
Hologic, Inc. (b) 78,663 3,492,637 
Integra LifeSciences Holdings Corp. (b) 4,588 217,288 
Medtronic PLC 392,937 34,731,701 
Steris PLC 24,434 2,786,942 
Teleflex, Inc. 10,674 2,919,339 
The Cooper Companies, Inc. 11,777 3,282,957 
West Pharmaceutical Services, Inc. 16,426 1,778,443 
Zimmer Biomet Holdings, Inc. 58,853 6,447,935 
  145,506,854 
Health Care Providers & Services - 2.5%   
Acadia Healthcare Co., Inc. (a)(b) 24,627 673,795 
Anthem, Inc. 75,576 22,899,528 
Cardinal Health, Inc. 86,716 4,333,199 
Centene Corp. (b) 6,706 875,602 
Cigna Corp. 77,751 15,535,427 
CVS Health Corp. 344,709 22,595,675 
DaVita HealthCare Partners, Inc. (b) 17,813 999,844 
Elanco Animal Health, Inc. (a) 11,971 349,314 
HCA Holdings, Inc. 22,645 3,157,392 
Henry Schein, Inc. (b) 37,701 2,929,368 
Humana, Inc. 1,999 617,671 
Laboratory Corp. of America Holdings (b) 27,325 3,807,739 
McKesson Corp. 49,970 6,408,653 
MEDNAX, Inc. (b) 26,309 950,018 
Molina Healthcare, Inc. (b) 2,697 358,647 
Premier, Inc. (a)(b) 10,049 399,850 
Quest Diagnostics, Inc. 39,228 3,426,566 
Universal Health Services, Inc. Class B 24,089 3,192,515 
Wellcare Health Plans, Inc. (b) 926 256,020 
  93,766,823 
Health Care Technology - 0.1%   
Cerner Corp. (b) 50,877 2,793,656 
Life Sciences Tools & Services - 1.3%   
Agilent Technologies, Inc. 92,171 7,009,605 
Bio-Rad Laboratories, Inc. Class A (b) 6,159 1,538,949 
Bruker Corp. 17,096 599,386 
Charles River Laboratories International, Inc. (b) 3,816 470,093 
IQVIA Holdings, Inc. (b) 47,148 6,082,563 
PerkinElmer, Inc. 32,134 2,908,127 
QIAGEN NV (b) 64,452 2,386,658 
Thermo Fisher Scientific, Inc. 109,512 26,903,813 
Waters Corp. (b) 1,570 363,015 
  48,262,209 
Pharmaceuticals - 6.9%   
Allergan PLC 98,421 14,170,656 
Bristol-Myers Squibb Co. 222,405 10,980,135 
Catalent, Inc.(b) 31,228 1,153,250 
Eli Lilly & Co. 104,691 12,548,263 
Jazz Pharmaceuticals PLC (b) 1,384 174,232 
Johnson & Johnson 639,325 85,081,371 
Merck & Co., Inc. 705,150 52,484,315 
Mylan NV (b) 149,324 4,472,254 
Perrigo Co. PLC 36,811 1,709,871 
Pfizer, Inc. 1,685,014 71,528,844 
  254,303,191 
TOTAL HEALTH CARE  558,111,407 
INDUSTRIALS - 7.6%   
Aerospace & Defense - 1.4%   
Arconic, Inc. 125,503 2,361,966 
Curtiss-Wright Corp. 11,547 1,310,815 
General Dynamics Corp. 41,138 7,041,591 
Hexcel Corp. 20,089 1,360,226 
Huntington Ingalls Industries, Inc. 1,793 370,165 
L3 Technologies, Inc. 22,755 4,480,004 
Lockheed Martin Corp. 6,309 1,827,654 
Teledyne Technologies, Inc. (b) 10,312 2,312,157 
Textron, Inc. 59,003 3,140,730 
United Technologies Corp. 235,292 27,780,926 
  51,986,234 
Airlines - 0.7%   
Alaska Air Group, Inc. 35,019 2,239,465 
American Airlines Group, Inc. 119,846 4,286,891 
Copa Holdings SA Class A 8,880 842,268 
Delta Air Lines, Inc. 138,400 6,841,112 
JetBlue Airways Corp. (b) 89,991 1,618,938 
Southwest Airlines Co. 43,780 2,484,953 
United Continental Holdings, Inc. (b) 70,708 6,170,687 
  24,484,314 
Building Products - 0.4%   
Allegion PLC 4,456 382,592 
Fortune Brands Home & Security, Inc. 24,261 1,099,023 
Johnson Controls International PLC 267,901 9,047,017 
Lennox International, Inc. 677 155,223 
Masco Corp. 28,014 907,934 
Owens Corning 31,197 1,634,411 
Resideo Technologies, Inc. (b) 13,410 294,081 
USG Corp. 23,216 1,001,770 
  14,522,051 
Commercial Services & Supplies - 0.2%   
Clean Harbors, Inc. (b) 14,646 867,190 
KAR Auction Services, Inc. 2,269 118,011 
Republic Services, Inc. 59,415 4,557,725 
Stericycle, Inc. (b) 23,593 1,039,979 
Waste Management, Inc. 18,686 1,787,690 
  8,370,595 
Construction & Engineering - 0.2%   
AECOM (b) 45,467 1,391,745 
Arcosa, Inc. 13,950 410,549 
Fluor Corp. 41,142 1,504,563 
Jacobs Engineering Group, Inc. 36,850 2,387,880 
Quanta Services, Inc. 30,217 1,067,869 
Valmont Industries, Inc. 6,289 811,281 
  7,573,887 
Electrical Equipment - 0.6%   
Acuity Brands, Inc. 11,575 1,399,533 
AMETEK, Inc. 53,576 3,905,690 
Eaton Corp. PLC 126,410 9,638,763 
Emerson Electric Co. 52,987 3,469,059 
Fortive Corp. 7,154 536,478 
GrafTech International Ltd. 16,980 224,306 
Hubbell, Inc. Class B 5,026 549,493 
Regal Beloit Corp. 12,459 956,353 
Sensata Technologies, Inc. PLC (b) 21,936 1,041,960 
  21,721,635 
Industrial Conglomerates - 1.4%   
3M Co. 27,114 5,430,934 
Carlisle Companies, Inc. 16,955 1,826,562 
General Electric Co. 2,504,044 25,441,087 
Honeywell International, Inc. 83,131 11,940,106 
ITT, Inc. 24,931 1,310,373 
Roper Technologies, Inc. 23,870 6,761,416 
  52,710,478 
Machinery - 1.3%   
AGCO Corp. 18,963 1,217,425 
Apergy Corp. (b) 22,100 743,002 
Caterpillar, Inc. 13,403 1,784,743 
Colfax Corp. (b) 25,426 629,294 
Crane Co. 14,249 1,179,247 
Cummins, Inc. 27,780 4,086,716 
Donaldson Co., Inc. 2,544 120,280 
Dover Corp. 42,101 3,697,731 
Flowserve Corp. 38,344 1,688,670 
Gardner Denver Holdings, Inc. (b) 24,201 597,039 
Gates Industrial Corp. PLC (b) 12,063 179,859 
IDEX Corp. 1,125 155,093 
Ingersoll-Rand PLC 32,361 3,237,394 
Middleby Corp. (a)(b) 6,392 751,827 
Nordson Corp. 1,021 132,362 
Oshkosh Corp. 20,950 1,572,298 
PACCAR, Inc. 99,520 6,520,550 
Parker Hannifin Corp. 31,703 5,224,971 
Pentair PLC 45,820 1,887,326 
Snap-On, Inc. 16,302 2,705,969 
Stanley Black & Decker, Inc. 44,302 5,601,545 
Terex Corp. 19,383 595,252 
Timken Co. 19,548 832,549 
Trinity Industries, Inc. 41,851 978,476 
Wabtec Corp. 15,653 1,082,561 
Xylem, Inc. 22,528 1,605,345 
  48,807,524 
Marine - 0.0%   
Kirby Corp. (b) 17,264 1,293,246 
Professional Services - 0.4%   
Dun & Bradstreet Corp. 5,980 865,545 
Equifax, Inc. 25,238 2,700,971 
IHS Markit Ltd. (b) 110,812 5,753,359 
Manpower, Inc. 18,683 1,476,517 
Nielsen Holdings PLC 103,484 2,657,469 
  13,453,861 
Road & Rail - 0.9%   
AMERCO 2,001 725,683 
CSX Corp. 124,129 8,155,275 
Genesee & Wyoming, Inc. Class A (b) 13,366 1,049,498 
Kansas City Southern 29,796 3,150,927 
Knight-Swift Transportation Holdings, Inc. Class A (a) 36,657 1,163,860 
Norfolk Southern Corp. 79,183 13,282,156 
Ryder System, Inc. 14,812 857,763 
Schneider National, Inc. Class B 11,382 241,754 
Union Pacific Corp. 17,357 2,760,978 
  31,387,894 
Trading Companies & Distributors - 0.1%   
Air Lease Corp. Class A 25,594 971,036 
HD Supply Holdings, Inc. (b) 38,164 1,600,598 
MSC Industrial Direct Co., Inc. Class A 7,016 585,766 
Univar, Inc. (b) 28,068 584,656 
Watsco, Inc. 1,682 248,061 
WESCO International, Inc. (b) 13,391 701,688 
  4,691,805 
Transportation Infrastructure - 0.0%   
Macquarie Infrastructure Co. LLC 22,617 976,376 
TOTAL INDUSTRIALS  281,979,900 
INFORMATION TECHNOLOGY - 9.2%   
Communications Equipment - 2.0%   
Arris International PLC (b) 48,530 1,523,357 
Cisco Systems, Inc. 1,316,552 62,259,744 
CommScope Holding Co., Inc. (b) 54,037 1,129,914 
EchoStar Holding Corp. Class A (b) 13,614 557,902 
Juniper Networks, Inc. 98,327 2,550,602 
Motorola Solutions, Inc. 41,787 4,885,318 
  72,906,837 
Electronic Equipment & Components - 0.7%   
ADT, Inc. (a) 29,376 212,095 
Arrow Electronics, Inc. (b) 24,775 1,881,661 
Avnet, Inc. 33,347 1,373,896 
Coherent, Inc. (b) 1,992 235,454 
Corning, Inc. 228,118 7,587,205 
Dell Technologies, Inc. (b) 40,047 1,945,884 
Dolby Laboratories, Inc. Class A 18,009 1,163,922 
FLIR Systems, Inc. 34,832 1,702,588 
Jabil, Inc. 47,657 1,270,059 
Keysight Technologies, Inc. (b) 54,230 4,014,105 
Littelfuse, Inc. 1,134 199,266 
National Instruments Corp. 5,967 263,861 
Trimble, Inc. (b) 72,631 2,735,283 
  24,585,279 
IT Services - 1.1%   
Akamai Technologies, Inc. (b) 2,778 180,848 
Amdocs Ltd. 41,503 2,319,188 
Booz Allen Hamilton Holding Corp. Class A 2,096 102,976 
Cognizant Technology Solutions Corp. Class A 16,287 1,134,878 
Conduent, Inc. (b) 54,230 691,433 
CoreLogic, Inc. (b) 8,699 315,774 
DXC Technology Co. 81,343 5,215,713 
Elastic NV 696 59,160 
Euronet Worldwide, Inc. (b) 6,959 800,355 
Fidelity National Information Services, Inc. 86,795 9,072,681 
Genpact Ltd. 27,090 808,095 
IBM Corp. 74,996 10,080,962 
Leidos Holdings, Inc. 40,715 2,361,470 
Sabre Corp. 16,191 372,069 
The Western Union Co. 92,650 1,690,863 
Worldpay, Inc. (b) 78,985 6,593,668 
  41,800,133 
Semiconductors & Semiconductor Equipment - 3.3%   
Analog Devices, Inc. 89,964 8,893,841 
Broadcom, Inc. 47,970 12,867,953 
Cypress Semiconductor Corp. 31,026 430,331 
First Solar, Inc. (b) 23,319 1,179,708 
Intel Corp. 1,326,980 62,527,298 
Marvell Technology Group Ltd. 117,359 2,174,662 
Micron Technology, Inc. (b) 71,545 2,734,450 
NXP Semiconductors NV 94,236 8,201,359 
Qorvo, Inc. (b) 35,952 2,349,823 
Qualcomm, Inc. 352,025 17,432,278 
Skyworks Solutions, Inc. 15,114 1,103,927 
Teradyne, Inc. 44,861 1,614,547 
  121,510,177 
Software - 1.5%   
Aspen Technology, Inc. (b) 1,092 105,520 
Autodesk, Inc. (b) 10,287 1,514,246 
FireEye, Inc. (b) 19,477 344,353 
LogMeIn, Inc. 4,978 463,054 
Microsoft Corp. 116,702 12,187,190 
Nuance Communications, Inc. (b) 81,814 1,298,388 
Oracle Corp. 667,863 33,546,758 
Pluralsight, Inc. 882 26,442 
SolarWinds, Inc. (b) 2,016 35,381 
SS&C Technologies Holdings, Inc. 4,080 210,079 
Symantec Corp. 185,650 3,902,363 
Synopsys, Inc. (b) 38,792 3,621,233 
Teradata Corp. (b) 9,896 439,184 
  57,694,191 
Technology Hardware, Storage & Peripherals - 0.6%   
Hewlett Packard Enterprise Co. 424,488 6,617,768 
HP, Inc. 460,852 10,152,570 
NCR Corp. (b) 6,009 160,741 
Western Digital Corp. 85,307 3,837,962 
Xerox Corp. 63,489 1,791,025 
  22,560,066 
TOTAL INFORMATION TECHNOLOGY  341,056,683 
MATERIALS - 4.0%   
Chemicals - 2.8%   
Air Products & Chemicals, Inc. 64,304 10,570,935 
Albemarle Corp. U.S. 30,853 2,490,763 
Ashland Global Holdings, Inc. 17,737 1,346,238 
Axalta Coating Systems Ltd. (b) 36,859 944,328 
Cabot Corp. 17,275 810,025 
Celanese Corp. Class A 14,142 1,354,238 
CF Industries Holdings, Inc. 66,370 2,897,051 
DowDuPont, Inc. 666,736 35,877,064 
Eastman Chemical Co. 40,564 3,270,270 
Ecolab, Inc. 40,389 6,388,328 
Element Solutions, Inc. (b) 31,644 355,679 
FMC Corp. 23,261 1,856,228 
Huntsman Corp. 63,889 1,403,641 
International Flavors & Fragrances, Inc. 15,355 2,177,032 
Linde PLC 65,372 10,656,290 
LyondellBasell Industries NV Class A 48,075 4,181,083 
NewMarket Corp. 134 53,746 
Olin Corp. 47,491 1,121,263 
PPG Industries, Inc. 65,508 6,907,164 
RPM International, Inc. 30,497 1,743,209 
The Mosaic Co. 102,060 3,294,497 
The Scotts Miracle-Gro Co. Class A 5,779 429,669 
Valvoline, Inc. 55,728 1,232,146 
W.R. Grace & Co. 4,908 348,517 
Westlake Chemical Corp. 679 50,178 
  101,759,582 
Construction Materials - 0.0%   
Eagle Materials, Inc. 1,478 104,938 
Martin Marietta Materials, Inc. 1,498 264,667 
nVent Electric PLC 47,250 1,182,195 
Vulcan Materials Co. 2,268 230,542 
  1,782,342 
Containers & Packaging - 0.6%   
Aptargroup, Inc. 18,171 1,801,110 
Ardagh Group SA 4,868 59,000 
Ball Corp. 96,992 5,070,742 
Bemis Co., Inc. 25,766 1,258,411 
Berry Global Group, Inc. (b) 18,683 920,138 
Graphic Packaging Holding Co. 73,061 881,846 
International Paper Co. 105,502 5,003,960 
Owens-Illinois, Inc. 45,883 920,872 
Sealed Air Corp. 20,578 812,831 
Silgan Holdings, Inc. 14,509 400,739 
Sonoco Products Co. 28,794 1,657,959 
WestRock Co. 72,310 2,943,740 
  21,731,348 
Metals & Mining - 0.6%   
Alcoa Corp. (b) 54,543 1,618,836 
Freeport-McMoRan, Inc. 418,475 4,871,049 
Newmont Mining Corp. 154,048 5,254,577 
Nucor Corp. 91,103 5,579,148 
Reliance Steel & Aluminum Co. 19,973 1,635,389 
Royal Gold, Inc. 11,001 961,157 
Steel Dynamics, Inc. 54,541 1,995,655 
United States Steel Corp. 50,164 1,130,697 
  23,046,508 
Paper & Forest Products - 0.0%   
Domtar Corp. 17,817 835,617 
TOTAL MATERIALS  149,155,397 
REAL ESTATE - 5.2%   
Equity Real Estate Investment Trusts (REITs) - 5.0%   
Alexandria Real Estate Equities, Inc. 28,555 3,760,979 
American Campus Communities, Inc. 38,764 1,783,919 
American Homes 4 Rent Class A 73,531 1,625,770 
Apartment Investment & Management Co. Class A 44,437 2,200,520 
Apple Hospitality (REIT), Inc. 61,655 1,011,759 
AvalonBay Communities, Inc. 39,994 7,715,642 
Boston Properties, Inc. 44,866 5,916,479 
Brandywine Realty Trust (SBI) 50,076 753,644 
Brixmor Property Group, Inc. 85,846 1,470,542 
Brookfield Property REIT, Inc. Class A 43,368 789,298 
Camden Property Trust (SBI) 25,816 2,502,861 
Colony Capital, Inc. 130,884 794,466 
Columbia Property Trust, Inc. 33,699 743,737 
Corporate Office Properties Trust (SBI) 29,284 723,022 
Crown Castle International Corp. 29,240 3,422,834 
CubeSmart 54,191 1,677,211 
CyrusOne, Inc. 30,402 1,647,788 
DDR Corp. 43,488 568,388 
Digital Realty Trust, Inc. 59,359 6,430,954 
Douglas Emmett, Inc. 45,689 1,728,415 
Duke Realty Corp. 101,505 2,968,006 
Empire State Realty Trust, Inc. 38,417 593,927 
EPR Properties 21,050 1,537,913 
Equity Commonwealth 34,597 1,119,559 
Equity Residential (SBI) 103,900 7,538,984 
Essex Property Trust, Inc. 18,900 5,125,680 
Extra Space Storage, Inc. 4,622 455,775 
Federal Realty Investment Trust (SBI) 20,729 2,748,044 
Gaming & Leisure Properties 36,762 1,378,575 
HCP, Inc. 135,504 4,273,796 
Healthcare Trust of America, Inc. 60,352 1,715,204 
Highwoods Properties, Inc. (SBI) 28,943 1,282,754 
Hospitality Properties Trust (SBI) 46,336 1,235,318 
Host Hotels & Resorts, Inc. 210,180 3,795,851 
Hudson Pacific Properties, Inc. 38,507 1,250,322 
Invitation Homes, Inc. 84,965 1,910,863 
Iron Mountain, Inc. 82,447 3,067,028 
JBG SMITH Properties 29,379 1,135,498 
Kilroy Realty Corp. 28,731 2,024,386 
Kimco Realty Corp. 115,688 1,967,853 
Lamar Advertising Co. Class A 2,213 164,758 
Liberty Property Trust (SBI) 42,055 1,982,473 
Life Storage, Inc. 12,296 1,208,328 
Medical Properties Trust, Inc. 103,477 1,883,281 
Mid-America Apartment Communities, Inc. 32,260 3,267,293 
National Retail Properties, Inc. 45,687 2,408,162 
Omega Healthcare Investors, Inc. 52,610 2,114,396 
Outfront Media, Inc. 39,673 823,215 
Paramount Group, Inc. 59,023 854,653 
Park Hotels & Resorts, Inc. 57,141 1,718,230 
Prologis, Inc. 183,168 12,667,899 
Rayonier, Inc. 36,713 1,117,544 
Realty Income Corp. 90,063 6,186,427 
Regency Centers Corp. 43,207 2,808,455 
Retail Properties America, Inc. 62,446 789,317 
Senior Housing Properties Trust (SBI) 67,028 922,976 
Simon Property Group, Inc. 7,184 1,308,350 
SL Green Realty Corp. 24,296 2,245,679 
Spirit Realty Capital, Inc. 24,355 967,381 
Store Capital Corp. 67,860 2,193,235 
Sun Communities, Inc. 24,414 2,683,343 
The Macerich Co. 38,692 1,786,023 
UDR, Inc. 75,520 3,304,000 
Uniti Group, Inc. 49,174 979,054 
Ventas, Inc. 103,338 6,664,268 
VEREIT, Inc. 275,925 2,229,474 
Vornado Realty Trust 50,336 3,518,990 
Weingarten Realty Investors (SBI) 34,040 976,608 
Welltower, Inc. 108,032 8,371,400 
Weyerhaeuser Co. 217,291 5,701,716 
WP Carey, Inc. 50,045 3,747,870 
  181,988,362 
Real Estate Management & Development - 0.2%   
CBRE Group, Inc. (b) 48,046 2,198,105 
Howard Hughes Corp. (b) 6,583 730,976 
Jones Lang LaSalle, Inc. 13,240 1,898,748 
Realogy Holdings Corp. (a) 36,113 641,006 
Retail Value, Inc. 4,367 132,800 
VICI Properties, Inc. 114,625 2,467,876 
  8,069,511 
TOTAL REAL ESTATE  190,057,873 
UTILITIES - 6.3%   
Electric Utilities - 3.7%   
Alliant Energy Corp. 73,742 3,279,307 
American Electric Power Co., Inc. 143,474 11,351,663 
Duke Energy Corp. 206,293 18,108,400 
Edison International 91,841 5,232,182 
Entergy Corp. 52,323 4,666,688 
Evergy, Inc. 77,402 4,436,683 
Eversource Energy 91,443 6,347,059 
Exelon Corp. 279,025 13,326,234 
FirstEnergy Corp. 140,767 5,518,066 
Hawaiian Electric Industries, Inc. 30,920 1,149,915 
NextEra Energy, Inc. 138,236 24,741,479 
OGE Energy Corp. 56,790 2,325,551 
PG&E Corp. (b) 148,360 1,928,680 
Pinnacle West Capital Corp. 31,801 2,802,304 
PPL Corp. 210,080 6,579,706 
Southern Co. 298,721 14,517,841 
Vistra Energy Corp. (b) 116,617 2,928,253 
Xcel Energy, Inc. 149,486 7,827,087 
  137,067,098 
Gas Utilities - 0.2%   
Atmos Energy Corp. 31,608 3,085,889 
National Fuel Gas Co. 23,112 1,324,318 
UGI Corp. 50,230 2,864,617 
  7,274,824 
Independent Power and Renewable Electricity Producers - 0.2%   
NRG Energy, Inc. 85,160 3,483,896 
The AES Corp. 190,987 3,130,277 
  6,614,173 
Multi-Utilities - 2.0%   
Ameren Corp. 70,518 4,889,718 
Avangrid, Inc. 16,015 798,668 
CenterPoint Energy, Inc. 147,870 4,572,140 
CMS Energy Corp. 81,544 4,251,704 
Consolidated Edison, Inc. 91,335 7,092,163 
Dominion Resources, Inc. 220,114 15,460,807 
DTE Energy Co. 51,957 6,117,937 
MDU Resources Group, Inc. 55,280 1,421,249 
NiSource, Inc. 105,726 2,884,205 
Public Service Enterprise Group, Inc. 146,182 7,974,228 
Sempra Energy 79,366 9,284,235 
Vectren Corp. 24,014 1,738,133 
WEC Energy Group, Inc. 90,896 6,638,135 
  73,123,322 
Water Utilities - 0.2%   
American Water Works Co., Inc. 52,197 4,993,687 
Aqua America, Inc. 52,103 1,826,210 
  6,819,897 
TOTAL UTILITIES  230,899,314 
TOTAL COMMON STOCKS   
(Cost $3,258,079,695)  3,684,632,154 
Money Market Funds - 1.1%   
Fidelity Cash Central Fund, 2.43% (c) 18,430,671 18,434,357 
Fidelity Securities Lending Cash Central Fund 2.43% (c)(d) 20,133,502 20,135,515 
TOTAL MONEY MARKET FUNDS   
(Cost $38,569,496)  38,569,872 
TOTAL INVESTMENT IN SECURITIES - 100.7%   
(Cost $3,296,649,191)  3,723,202,026 
NET OTHER ASSETS (LIABILITIES) - (0.7)%  (24,783,605) 
NET ASSETS - 100%  $3,698,418,421 

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) 119 March 2019 $16,091,775 $893,699 $893,699 

The notional amount of futures purchased as a percentage of Net Assets is 0.4%

Legend

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

 (b) Non-income producing

 (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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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 $165,753 
Fidelity Securities Lending Cash Central Fund 85,600 
Total $251,353 

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 January 31, 2019, 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:     
Equities:     
Communication Services $260,031,475 $260,031,475 $-- $-- 
Consumer Discretionary 198,912,009 198,912,009 -- -- 
Consumer Staples 284,760,508 284,760,508 -- -- 
Energy 352,607,761 352,607,761 -- -- 
Financials 837,059,827 837,059,827 -- -- 
Health Care 558,111,407 558,111,407 -- -- 
Industrials 281,979,900 281,979,900 -- -- 
Information Technology 341,056,683 341,056,683 -- -- 
Materials 149,155,397 149,155,397 -- -- 
Real Estate 190,057,873 190,057,873 -- -- 
Utilities 230,899,314 230,899,314 -- -- 
Money Market Funds 38,569,872 38,569,872 -- -- 
Total Investments in Securities: $3,723,202,026 $3,723,202,026 $-- $-- 
Derivative Instruments:     
Assets     
Futures Contracts $893,699 $893,699 $-- $-- 
Total Assets $893,699 $893,699 $-- $-- 
Total Derivative Instruments: $893,699 $893,699 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2019. 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) $893,699 $0 
Total Equity Risk 893,699 0 
Total Value of Derivatives $893,699 $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

  January 31, 2019 
Assets   
Investment in securities, at value (including securities loaned of $19,772,306) — See accompanying schedule:
Unaffiliated issuers (cost $3,258,079,695) 		$3,684,632,154  
Fidelity Central Funds (cost $38,569,496) 38,569,872  
Total Investment in Securities (cost $3,296,649,191)  $3,723,202,026 
Segregated cash with brokers for derivative instruments  1,080,000 
Receivable for fund shares sold  1,793,773 
Dividends receivable  5,634,071 
Distributions receivable from Fidelity Central Funds  21,597 
Receivable for daily variation margin on futures contracts  191,965 
Other receivables  343 
Total assets  3,731,923,775 
Liabilities   
Payable for investments purchased $12,074,203  
Payable for fund shares redeemed 1,295,244  
Other payables and accrued expenses 11,872  
Collateral on securities loaned 20,124,035  
Total liabilities  33,505,354 
Net Assets  $3,698,418,421 
Net Assets consist of:   
Paid in capital  $3,260,129,933 
Total distributable earnings (loss)  438,288,488 
Net Assets  $3,698,418,421 
Net Asset Value, offering price and redemption price per share ($3,698,418,421 ÷ 307,608,828 shares)  $12.02 

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


Statement of Operations

  Year ended January 31, 2019 
Investment Income   
Dividends  $95,319,124 
Interest  14,413 
Income from Fidelity Central Funds  251,353 
Total income  95,584,890 
Expenses   
Custodian fees and expenses $57,613  
Independent trustees' fees and expenses 17,508  
Interest 4,142  
Commitment fees 10,393  
Total expenses  89,656 
Net investment income (loss)  95,495,234 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 77,223,053  
Fidelity Central Funds 2,210  
Futures contracts (569,025)  
Total net realized gain (loss)  76,656,238 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (358,784,458)  
Fidelity Central Funds (1,127)  
Futures contracts 354,948  
Total change in net unrealized appreciation (depreciation)  (358,430,637) 
Net gain (loss)  (281,774,399) 
Net increase (decrease) in net assets resulting from operations  $(186,279,165) 

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


Statement of Changes in Net Assets

 Year ended January 31, 2019 Year ended January 31, 2018 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $95,495,234 $89,665,724 
Net realized gain (loss) 76,656,238 67,820,057 
Change in net unrealized appreciation (depreciation) (358,430,637) 449,647,036 
Net increase (decrease) in net assets resulting from operations (186,279,165) 607,132,817 
Distributions to shareholders (163,907,299) – 
Distributions to shareholders from net investment income – (89,211,981) 
Distributions to shareholders from net realized gain – (65,574,355) 
Total distributions (163,907,299) (154,786,336) 
Share transactions - net increase (decrease) 24,332,620 (28,820,316) 
Total increase (decrease) in net assets (325,853,844) 423,526,165 
Net Assets   
Beginning of period 4,024,272,265 3,600,746,100 
End of period $3,698,418,421 $4,024,272,265 
Other Information   
Undistributed net investment income end of period  $4,286,936 

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


Financial Highlights

Fidelity Series Large Cap Value Index Fund

Years ended January 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $13.22 $11.75 $9.68 $10.89 $10.01 
Income from Investment Operations      
Net investment income (loss)A .32 .30 .26 .26 .24 
Net realized and unrealized gain (loss) (.96) 1.69 2.10 (.78) 1.06 
Total from investment operations (.64) 1.99 2.36 (.52) 1.30 
Distributions from net investment income (.33) (.30) (.19) (.26) (.24) 
Distributions from net realized gain (.22) (.22) (.10) (.43) (.18) 
Total distributions (.56)B (.52) (.29) (.69) (.42) 
Net asset value, end of period $12.02 $13.22 $11.75 $9.68 $10.89 
Total ReturnC,D (4.73)% 17.16% 24.44% (4.98)% 12.86% 
Ratios to Average Net AssetsE,F      
Expenses before reductions - %G .03% .10% .10% .10% 
Expenses net of fee waivers, if any - %G .03% .10% .10% .10% 
Expenses net of all reductions - %G .03% .10% .10% .10% 
Net investment income (loss) 2.52% 2.39% 2.41% 2.35% 2.18% 
Supplemental Data      
Net assets, end of period (000 omitted) $3,698,418 $4,024,272 $1,529,003 $759,885 $852,575 
Portfolio turnover rateH 19% 17% 16% 20% 16% 

 A Calculated based on average shares outstanding during the period.

 B Total distributions of $.56 per share is comprised of distributions from net investment income of $.333 and distributions from net realized gain of $.223 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 Amount represents less than .005%.

 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

For the period ended January 31, 2019

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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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. 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 January 31, 2019 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. As of January 31, 2019, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 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 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 the short-term gain distributions from the Underlying Funds, certain deemed dividends, futures contracts, 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 $696,117,491 
Gross unrealized depreciation (281,373,726) 
Net unrealized appreciation (depreciation) $414,743,765 
Tax Cost $3,308,458,261 

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income $10,378,667 
Undistributed long-term capital gain $13,166,055 
Net unrealized appreciation (depreciation) on securities and other investments $414,743,765 

The tax character of distributions paid was as follows:

 January 31, 2019 January 31, 2018 
Ordinary Income $118,443,089 $ 133,112,221 
Long-term Capital Gains 45,464,210 21,674,115 
Total $163,907,299 $ 154,786,336 

New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.

Financial Statement Current Line-Item Presentation (As Applicable) Prior Line-Item Presentation (As Applicable) 
Statement of Assets and Liabilities Total distributable earnings (loss) Undistributed/Distributions in excess of/Accumulated net investment income (loss)
Accumulated/Undistributed net realized gain (loss)
Net unrealized appreciation (depreciation) 
Statement of Changes in Net Assets N/A - removed Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period 
Statement of Changes in Net Assets Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 
Distributions to Shareholders Note to Financial Statements Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 

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 $704,779,559 and $730,654,265, 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 $5,804,917 2.14% $4,142 

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 $10,393 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 $85,600, including $390 from securities loaned to FCM.

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
January 31, 2019 		Year ended
January 31, 2018 
Distributions to shareholders   
Series Large Cap Value Index $163,907,299 $– 
Total $163,907,299 $– 
From net investment income   
Series Large Cap Value Index $– $86,916,367 
Class F – 2,295,614 
Total $– $89,211,981 
From net realized gain   
Series Large Cap Value Index $– $64,338,255 
Class F – 1,236,100 
Total $– $65,574,355 

10. Share Transactions.

Transactions for each class of shares were as follows:

 Shares Shares Dollars Dollars 
 Year ended January 31, 2019 Year ended January 31, 2018 Year ended January 31, 2019 Year ended January 31, 2018 
Series Large Cap Value Index     
Shares sold 21,281,385 195,535,706 $263,998,068 $2,379,540,138 
Reinvestment of distributions 14,044,982 11,956,005 163,907,299 151,254,621 
Shares redeemed (32,054,982) (33,319,128) (403,572,747) (417,036,365) 
Net increase (decrease) 3,271,385 174,172,583 $24,332,620 $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.

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Series Large Cap Value Index Fund (formerly Fidelity Series 1000 Value Index Fund):

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity Series Large Cap Value Index Fund (formerly Fidelity Series 1000 Value Index Fund) (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2019, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of January 31, 2019, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of January 31, 2019, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 15, 2019


We have served as the auditor of one or more of the Fidelity investment companies since 1999.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 260 funds. Mr. Chiel oversees 155 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Arthur E. Johnson serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney’s Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). She is the President of First to Four LLC (leadership and mentoring services, 2012-present). She also serves as a member of the Board of Directors and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor, and aerospace systems, 2013-present), Board of Directors and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and Board of Directors of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a Member of the Advisory Board of certain Fidelity® funds (2018), a member of the Board of Directors and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board of Directors, Chair of the Nomination and Governance Committee and member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Board of Directors of the Army Historical Foundation (2015-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present) and a member of the Board of Trustees of Florida Institute of Technology (2015-present) and ThanksUSA (military family education non-profit, 2014-present).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as interim president of Michigan State University (2018-2019), a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007), and Chase Manhattan Bank (1975-1978).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

William C. Coffey (1969)

Year of Election or Appointment: 2018

Secretary and Chief Legal Officer (CLO)

Mr. Coffey also serves as Secretary and CLO of other funds. Mr. Coffey serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-present); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Assistant Secretary of certain funds (2009-2018) and as Vice President and Associate General Counsel of FMR LLC (2005-2009).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018). 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as President Fixed Income, High Income/Emerging Market Debt and Multi Asset Class Strategies of FIAM LLC (2018-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), President Multi-Asset Class Strategies of FMR's Global Asset Allocation Division (2017-2018), Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

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 (August 1, 2018 to January 31, 2019).

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
August 1, 2018 		Ending
Account Value
January 31, 2019 		Expenses Paid
During Period-B
August 1, 2018
to January 31, 2019 
Series Large Cap Value Index - %-C    
Actual  $1,000.00 $967.50 $--D 
Hypothetical-E  $1,000.00 $1,025.21 $--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 184/365 (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

Distributions (Unaudited)

The Board of Trustees of Fidelity Series Large Cap Value Index Fund voted to pay on March 11, 2019 to shareholders of record at the opening of business on March 8, 2019, a distribution of $0.072 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.006 per share from net investment income.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended January 31, 2019, $53,571,825, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 76% and 77% of the dividends distributed in March and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 82% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Series Large Cap Value Index Fund (formerly known as Fidelity Series 1000 Value Index Fund)

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund, including the fund's sub-advisory agreement with Geode Capital Management, LLC (Geode). FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2018 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.

Nature, Extent, and Quality of Services Provided.  The Board considered staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity and Geode, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups and with representatives of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies managed by Fidelity and ultimately to enhance the performance of those investment companies.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered that the fund does not pay FMR a management fee for investment advisory services. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, brokerage expenses, and extraordinary expenses (such as litigation expenses).

The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of its average net assets, exceed 0.014% through March 31, 2021.

Based on its review, the Board considered that the fund does not pay a management fee and concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.

PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.

Economies of Scale.  The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of Fidelity's voluntary expense limitation agreements; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (ix) the impact of recent changes to the money market fund landscape, including the full implementation of money market fund reform and rising interest rates, on Fidelity's money market funds; (x) the funds' share class structures and distribution channels; and (xi) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory and sub-advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.





Fidelity Investments

XS6-ANN-0319
1.967963.105

Fidelity® Tax-Free Bond Fund



Annual Report

January 31, 2019



Fidelity Investments


Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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. © 2019 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.



Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended January 31, 2019 Past 1 year Past 5 years Past 10 years 
Fidelity® Tax-Free Bond Fund 3.09% 3.95% 4.93% 

$25,000 Over 10 Years

Let's say hypothetically that $25,000 was invested in Fidelity® Tax-Free Bond Fund on January 31,2009.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays 3+ Year Non-AMT Municipal Bond Index performed over the same period.


Period Ending Values
$40,451Fidelity® Tax-Free Bond Fund
$40,423Bloomberg Barclays 3+ Year Non-AMT Municipal Bond Index

Management's Discussion of Fund Performance

Market Recap:  Tax-exempt municipal bonds posted healthy gains for the 12 months ending January 31, 2019, supported by lower bond issuance and solid U.S. economic growth. The Bloomberg Barclays Municipal Bond Index returned 3.26% for the fiscal year. Tax reform had a significant impact on both the supply of and demand for tax-exempt bonds during the period. In the final months of 2017, municipal issuers accelerated their bond financings in order to issue tax-exempt debt under the old tax rules, prompting a surge in supply. Investors absorbed this excess supply, anticipating that issuance would fall significantly in 2018. The municipal market turned lower early in the period, as domestic fixed-income markets reacted to robust economic data and signs of inflation, before stabilizing in March and rallying through August. The municipal market experienced volatility in September and October amid concerns of an economic slowdown, then rebounded in December and January. Gross municipal bond issuance declined notably year-over-year. There was little differentiation in performance across municipal sectors for the period. General obligation bonds gained 3.38%, and within this segment, state and local bonds performed similarly. Looking ahead, market volatility is possible due to uncertainty about how the U.S. Federal Reserve will react to labor and inflation trends.

Comments from Co-Portfolio Managers Cormac Cullen, Elizah McLaughlin and Kevin Ramundo:  For the year ending January 31 31, 2018, the fund gained 3.09%, lagging, net of fees, the 3.46% advance of its benchmark, the Bloomberg Barclays 3+ Year Non-AMT Municipal Bond Index. The fund handily outpaced the Lipper peer group average. Relative to the 3+ Year Non-AMT benchmark, differences in the way fund holdings and index components were priced detracted from fund performance. Also detracting was the fund's exposure to bonds issued by South Carolina Service Authority (Santee Cooper), which were hurt by a range of concerns about the utility. Underweighting bonds backed by the state of California, some of the best performers in the national municipal marketplace, also detracted versus the index. In contrast, an overweighting in lower-investment-grade bonds contributed to relative performance. The portfolio's overweighting in bonds with exposure to 10-year interest rates was another positive for the fund versus the index. On an individual security basis, overweighting bonds issued by Presence Health helped since they performed quite well.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Note to Shareholders:  On September 1, 2018, Elizah McLaughlin joined the municipal bond portfolio management team, succeeding Mark Sommer, who retired from Fidelity on December 31, 2018, after 27 years with the firm.

Investment Summary (Unaudited)

Top Five States as of January 31, 2019

 % of fund's net assets 
Illinois 18.9 
Texas 9.9 
Florida 9.5 
New York 6.3 
New Jersey 4.6 

Top Five Sectors as of January 31, 2019

 % of fund's net assets 
General Obligations 26.4 
Health Care 24.0 
Transportation 16.2 
Electric Utilities 8.3 
Special Tax 6.6 

Quality Diversification (% of fund's net assets)

As of January 31, 2019 
   AAA 3.4% 
   AA,A 73.8% 
   BBB 15.3% 
   BB and Below 1.6% 
   Not Rated 2.5% 
   Short-Term Investments and Net Other Assets 3.4% 


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 January 31, 2019

Showing Percentage of Net Assets

Municipal Bonds - 96.6%   
 Principal Amount Value 
Alabama - 0.1%   
Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/43 1,800,000 2,059,974 
Montgomery Med. Clinic Facilities 5% 3/1/36 2,450,000 2,624,538 
TOTAL ALABAMA  4,684,512 
Alaska - 0.3%   
Alaska Gen. Oblig. Series 2016 A, 5% 8/1/31 4,340,000 4,986,443 
Alaska Int'l. Arpts. Revs. Series 2016 B:   
5% 10/1/31 $1,685,000 $1,911,986 
5% 10/1/33 2,200,000 2,479,246 
North Slope Borough Gen. Oblig. Series 2017 A, 5% 6/30/21 (Pre-Refunded to 6/30/20 @ 100) 965,000 1,009,438 
TOTAL ALASKA  10,387,113 
Arizona - 1.8%   
Arizona Board of Regents Ctfs. of Prtn.:   
(Univ. of Arizona Univ. Revs.) Series 2018 B:   
5% 6/1/26 1,100,000 1,309,748 
5% 6/1/27 500,000 602,155 
5% 6/1/29 1,725,000 2,084,852 
(Univ. of Arizona Univ. Revs.). Series 2018 B, 5% 6/1/30 1,470,000 1,760,428 
Arizona Ctfs. of Prtn. Series 2010 A:   
5.25% 10/1/23 (FSA Insured) 5,000,000 5,116,600 
5.25% 10/1/26 (FSA Insured) 1,000,000 1,023,320 
5.25% 10/1/28 (FSA Insured) 500,000 511,660 
Arizona Health Facilities Auth. Rev. (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 2.684%, tender 1/1/37 (a)(b) 1,000,000 952,520 
Arizona Indl. Dev. Auth. Rev. (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018:   
5% 5/1/37 1,090,000 1,185,757 
5% 5/1/43 1,000,000 1,066,210 
Glendale Gen. Oblig.:   
Series 2015, 4% 7/1/21 (FSA Insured) 1,205,000 1,266,612 
Series 2017, 5% 7/1/24 3,475,000 3,999,134 
Glendale Indl. Dev. Auth. (Terraces of Phoenix Proj.) Series 2018 A:   
5% 7/1/38 155,000 158,408 
5% 7/1/48 200,000 202,042 
Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016:   
5.75% 1/1/36 (c) 455,000 454,964 
6% 1/1/48 (c) 2,825,000 2,838,927 
Maricopa County School District #28 Kyrene Elementary Series 2010 B, 4% 7/1/21 375,000 395,081 
Maricopa County Unified School District #48 Scottsdale Series 2017 B:   
5% 7/1/29 1,150,000 1,385,152 
5% 7/1/30 1,500,000 1,789,035 
5% 7/1/31 800,000 946,808 
5% 7/1/32 3,250,000 3,830,255 
Phoenix Civic Impt. Board Arpt. Rev.:   
Series 2015 A, 5% 7/1/45 3,170,000 3,550,780 
Series 2017 B:   
5% 7/1/30 4,000,000 4,754,000 
5% 7/1/34 2,000,000 2,325,940 
5% 7/1/35 2,000,000 2,317,820 
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 6,424,650 
Pima County Swr. Sys. Rev. Series 2012 A, 5% 7/1/27 1,000,000 1,098,000 
Salt Verde Finl. Corp. Sr. Gas Rev. Series 2007:   
5.25% 12/1/23 2,500,000 2,819,075 
5.5% 12/1/29 2,100,000 2,547,447 
Scottsdale Indl. Dev. Auth. Hosp. Rev. (Scottsdale Healthcare Proj.) Series 2006 C, 5% 9/1/35 (FSA Insured) 285,000 297,147 
Tempe Indl. Dev. Auth. Rev. (Mirabella At Asu, Inc. Proj.):   
Series 2017 A:   
6.125% 10/1/47 (c) 285,000 306,666 
6.125% 10/1/52 (c) 285,000 305,631 
Series 2017 B:   
4% 10/1/23 (c) 4,300,000 4,316,254 
6% 10/1/37 (c) 140,000 151,365 
TOTAL ARIZONA  64,094,443 
California - 3.4%   
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds:   
Series A, 2.95%, tender 4/1/26 (a) 4,695,000 4,914,867 
Series B, 2.85%, tender 4/1/25 (a) 3,840,000 3,999,091 
Series C, 2.1%, tender 4/1/22 (a) 3,585,000 3,605,327 
Cabrillo Cmnty. College District Series B, 0% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 2,155,000 2,060,396 
California Edl. Facilities Auth. Rev. Series T1, 5% 3/15/39 2,140,000 2,715,382 
California Gen. Oblig.:   
Series 2007, 5.625% 5/1/20 5,000 5,017 
Series 2009, 6% 4/1/38 1,625,000 1,635,579 
5.25% 12/1/33 35,000 35,089 
5.25% 4/1/35 2,920,000 3,193,020 
5.5% 4/1/30 5,000 5,015 
5.5% 3/1/40 600,000 621,756 
5.6% 3/1/36 300,000 311,295 
California Health Facilities Fing. Auth. Rev. Series 2013 A, 5% 8/15/52 15,070,000 16,172,521 
California Pub. Works Board Lease Rev.:   
(Coalinga State Hosp. Proj.) Series 2013 E, 5% 6/1/26 5,265,000 5,932,444 
(Various Judicial Council Projs.) Series 2011 D, 5% 12/1/22 1,400,000 1,528,492 
California Statewide Cmntys. Dev. Auth. Series 2016:   
5% 5/15/25 1,000,000 1,145,690 
5% 5/15/26 1,000,000 1,158,220 
5% 5/15/27 1,000,000 1,151,770 
5% 5/15/28 1,000,000 1,146,790 
5% 5/15/32 1,250,000 1,401,075 
5% 5/15/33 1,500,000 1,674,045 
Carlsbad Unified School District Series 2009 B, 0% 5/1/34 (Pre-Refunded to 5/1/24 @ 100) (d) 1,450,000 1,726,776 
Fontana Unified School District Gen. Oblig.:   
5% 5/1/21 (Assured Guaranty Corp. Insured) 1,880,000 1,894,871 
5% 5/1/22 (Assured Guaranty Corp. Insured) 1,840,000 1,854,426 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:   
Series 2013 A, 5% 6/1/29 2,500,000 2,776,300 
Series 2017 A1:   
5% 6/1/21 1,110,000 1,182,638 
5% 6/1/22 1,555,000 1,692,260 
5% 6/1/23 1,780,000 1,971,297 
5% 6/1/24 1,000,000 1,115,430 
Merced Union High School District Series A, 0% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,455,000 1,387,008 
Northern California Transmission Agcy. Rev. Series 2009:   
5% 5/1/23 1,000,000 1,007,740 
5% 5/1/23 (Pre-Refunded to 5/1/19 @ 100) 1,235,000 1,245,325 
5% 5/1/24 675,000 680,211 
5% 5/1/24 (Pre-Refunded to 5/1/19 @ 100) 835,000 841,981 
Oakland-Alameda County Coliseum Auth. (Oakland Coliseum Proj.) Series 2012 A, 5% 2/1/19 1,500,000 1,500,000 
Poway Unified School District:   
(District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32 1,300,000 834,808 
Series B:   
0% 8/1/33 4,350,000 2,661,113 
0% 8/1/37 8,000,000 4,039,200 
0% 8/1/38 4,225,000 2,036,239 
0% 8/1/39 7,220,000 3,318,240 
0% 8/1/41 4,900,000 2,055,452 
Poway Unified School District Pub. Fing.:   
5% 9/1/27 1,050,000 1,162,550 
5% 9/1/30 1,370,000 1,492,245 
Riverside Swr. Rev. Series 2015 A:   
5% 8/1/30 2,880,000 3,363,437 
5% 8/1/31 1,630,000 1,896,114 
Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,600,000 1,302,128 
San Bernardino County Ctfs. of Prtn. (Arrowhead Proj.) Series 2009 A, 5.25% 8/1/26 1,000,000 1,016,860 
San Diego Cmnty. College District Series 2011, 0% 8/1/35 3,000,000 1,720,500 
San Diego Unified School District:   
Series 2008 C:   
0% 7/1/34 1,300,000 767,442 
0% 7/1/37 5,105,000 2,623,153 
Series 2008 E, 0% 7/1/47 (d) 2,600,000 1,707,784 
San Jose Fing. Auth. Lease Rev. (Civic Ctr. Proj.) Series 2013 A:   
5% 6/1/24 1,000,000 1,141,960 
5% 6/1/27 1,000,000 1,127,660 
San Marcos Unified School District Series 2010 B, 0% 8/1/47 3,700,000 1,179,116 
Santa Monica-Malibu Unified School District Series 1999, 0% 8/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,000,000 975,490 
Santa Rosa Wastewtr. Rev. Series 2002 B, 0% 9/1/25 (AMBAC Insured) 1,700,000 1,456,033 
Univ. of California Revs.:   
Series 2016, 5.25% 5/15/39 (Pre-Refunded to 5/15/19 @ 100) 550,000 555,797 
Series 2017 AV, 5% 5/15/36 1,610,000 1,868,808 
Washington Township Health Care District Gen. Oblig. Series 2013 B, 5.5% 8/1/38 2,000,000 2,332,900 
Washington Township Health Care District Rev.:   
Series 2009 A:   
5.5% 7/1/19 390,000 395,239 
6% 7/1/29 1,000,000 1,014,260 
Series 2010 A, 5.25% 7/1/30 1,900,000 1,977,729 
Yuba City Unified School District Series A, 0% 9/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,000,000 928,690 
TOTAL CALIFORNIA  122,240,091 
Colorado - 1.2%   
Arkansas River Pwr. Auth. Rev. Series 2018 A:   
5% 10/1/38 1,450,000 1,559,127 
5% 10/1/43 1,810,000 1,925,369 
Colorado Health Facilities Auth.:   
(Parkview Episcopal Med. Ctr., Co. Proj.) Series 2017:   
5% 9/1/23 270,000 303,604 
5% 9/1/24 225,000 257,753 
5% 9/1/25 260,000 302,778 
5% 9/1/28 2,200,000 2,583,130 
(Parkview Med. Ctr., Inc. Proj.) Series 2016, 5% 9/1/46 3,700,000 4,017,682 
Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.):   
Series B, 0% 7/15/20 (Escrowed to Maturity) 2,000,000 1,944,900 
0% 7/15/22 (Escrowed to Maturity) 4,500,000 4,197,330 
Colorado Reg'l. Trans. District Ctfs. of Prtn. Series 2013 A, 5% 6/1/20 1,450,000 1,511,814 
Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2017C-2, 5%, tender 3/1/22 (a) 3,825,000 4,106,558 
Denver City & County Arpt. Rev.:   
Series 2017 B, 5% 11/15/33 6,500,000 7,611,630 
Series 2018 B, 5% 12/1/48 3,640,000 4,129,325 
E-470 Pub. Hwy. Auth. Rev.:   
Series 2000 B, 0% 9/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 2,090,000 2,017,623 
Series 2010 C, 5.375% 9/1/26 1,000,000 1,045,220 
Univ. of Colorado Enterprise Sys. Rev.:   
Series 2009 A, 5.5% 6/1/26 (Pre-Refunded to 6/1/19 @ 100) 1,250,000 1,265,613 
Series 2016 A, 5% 6/1/47 3,115,000 3,515,278 
TOTAL COLORADO  42,294,734 
Connecticut - 1.8%   
Connecticut Gen. Oblig.:   
Series 2016 B, 5% 5/15/27 10,000,000 11,376,000 
Series 2016 E:   
5% 10/15/26 2,030,000 2,340,265 
5% 10/15/29 2,930,000 3,312,775 
Series 2018 F:   
5% 9/15/25 1,950,000 2,228,831 
5% 9/15/27 1,000,000 1,158,200 
5% 9/15/28 4,500,000 5,246,685 
Connecticut Health & Edl. Facilities Auth. Rev.:   
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1:   
5% 7/1/34 1,050,000 1,182,563 
5% 7/1/35 1,200,000 1,344,948 
5% 7/1/36 400,000 446,760 
5% 7/1/37 1,555,000 1,729,564 
5% 7/1/42 1,655,000 1,816,727 
Bonds Series U2, 2%, tender 2/8/22 (a)(e) 11,500,000 11,557,040 
Series 2016 K, 4% 7/1/46 4,465,000 4,399,007 
Series K1:   
5% 7/1/31 1,400,000 1,568,252 
5% 7/1/35 1,180,000 1,295,003 
Connecticut State Revolving Fund Gen. Rev. Series 2017 A:   
5% 5/1/33 3,125,000 3,662,875 
5% 5/1/35 2,325,000 2,700,883 
Hbr. Point Infra Impt. District Series 2017:   
5% 4/1/30 (c) 2,430,000 2,654,168 
5% 4/1/39 (c) 3,125,000 3,263,063 
New Haven Gen. Oblig. Series 2016 A:   
5% 8/15/19 (Escrowed to Maturity) 260,000 264,442 
5% 8/15/19 (Escrowed to Maturity) 1,990,000 2,025,060 
5% 8/15/25 (FSA Insured) 570,000 665,082 
TOTAL CONNECTICUT  66,238,193 
Delaware - 0.4%   
Delaware Trans. Auth. (U.S. 301 Proj.) Series 2015, 5% 6/1/55 13,000,000 14,214,590 
District Of Columbia - 0.8%   
District of Columbia Gen. Oblig. Series 2017 A, 5% 6/1/33 2,300,000 2,697,578 
District of Columbia Hosp. Rev. Series 2015:   
5% 7/15/29 4,000,000 4,565,560 
5% 7/15/30 6,495,000 7,365,005 
District of Columbia Income Tax Rev. Series 2011 A, 5% 12/1/36 2,340,000 2,509,112 
District of Columbia Rev. Series B, 4.75% 6/1/32 800,000 825,944 
Washington Convention & Sports Auth. Series 2018 A, 5% 10/1/22 5,250,000 5,824,560 
Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 B, 5% 7/1/33 4,545,000 5,326,513 
TOTAL DISTRICT OF COLUMBIA  29,114,272 
Florida - 9.5%   
Brevard County School Board Ctfs. of Prtn.:   
Series 2014, 5% 7/1/27 1,700,000 1,949,832 
Series 2015 C:   
5% 7/1/25 1,375,000 1,614,690 
5% 7/1/27 1,455,000 1,685,923 
Broward County Arpt. Sys. Rev. Series 2012 P-2, 5% 10/1/21 1,630,000 1,763,872 
Broward County School Board Ctfs. of Prtn.:   
(Broward County School District Proj.) Series 2016 A, 5% 7/1/28 1,595,000 1,864,284 
(Broward County School District) Series 2012 A, 5% 7/1/24 4,345,000 4,764,814 
Series 2012 A, 5% 7/1/24 (Pre-Refunded to 7/1/22 @ 100) 4,485,000 4,957,315 
Series 2015 A:   
5% 7/1/24 940,000 1,084,901 
5% 7/1/26 3,635,000 4,244,917 
Series 2016, 5% 7/1/32 1,020,000 1,166,972 
Central Florida Expressway Auth. Sr. Lien Rev. Orlando & Orange County Expressway Auth. Rev. Series 2017:   
5% 7/1/37 5,500,000 6,259,385 
5% 7/1/38 3,000,000 3,400,230 
5% 7/1/39 1,250,000 1,413,700 
Citizens Property Ins. Corp.:   
Series 2011 A1, 5% 6/1/20 1,000,000 1,041,690 
Series 2012 A1, 5% 6/1/21 4,525,000 4,852,067 
Collier County Indl. Dev. Auth. Healthcare Facilities Rev. (NCH Healthcare Sys. Proj.) Series 2011, 6.25% 10/1/39 3,505,000 3,805,589 
Duval County School Board Ctfs. of Prtn. Series 2015 B, 5% 7/1/29 6,380,000 7,355,630 
Florida Board of Ed. Pub. Ed. Cap. Outlay Series 2011 E, 5% 6/1/24 2,385,000 2,559,081 
Florida Mid-Bay Bridge Auth. Rev.:   
Series 2015 A, 5% 10/1/35 2,600,000 2,841,254 
Series 2015 C, 5% 10/1/35 2,000,000 2,171,760 
Florida Muni. Pwr. Agcy. Rev.:   
(Pwr. Supply Proj.) Series 2017 A, 5% 10/1/28 400,000 490,716 
(Requirements Pwr. Supply Proj.) Series 2016 A:   
5% 10/1/30 985,000 1,151,278 
5% 10/1/31 1,075,000 1,250,849 
(St. Lucie Proj.) Series 2012 A, 5% 10/1/26 1,125,000 1,237,601 
Series 2015 B, 5% 10/1/29 1,250,000 1,449,688 
Gainesville Utils. Sys. Rev. Series 2017 A:   
5% 10/1/30 2,810,000 3,365,874 
5% 10/1/35 5,000,000 5,848,750 
Halifax Hosp. Med. Ctr. Rev.:   
4% 6/1/27 585,000 619,492 
5% 6/1/24 835,000 940,218 
5% 6/1/28 655,000 733,135 
Highlands County Health Facilities Auth. Rev. Series 2008:   
6% 11/15/37 4,990,000 5,150,778 
6% 11/15/37 (Pre-Refunded to 11/15/19 @ 100) 10,000 10,333 
Hillsborough County Aviation Auth. Rev. Series 2018 F, 5% 10/1/48 2,500,000 2,840,075 
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 1,564,140 
Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 8,000,000 9,347,520 
Indian River County School Board Ctfs. of Prtn. Series 2014, 5% 7/1/24 2,600,000 2,990,702 
Jacksonville Elec. Auth. Elec. Sys. Rev. Series 2012 A:   
4% 10/1/23 175,000 182,922 
4% 10/1/23 (Pre-Refunded to 4/1/21 @ 100) 2,160,000 2,263,874 
Jacksonville Fla Health Care F (Baptist Med. Ctr. Proj.) Series 2017:   
5% 8/15/26 2,000,000 2,377,500 
5% 8/15/34 2,750,000 3,150,098 
Jacksonville Sales Tax Rev. Series 2012, 5% 10/1/25 2,250,000 2,476,890 
Lake County School Board Ctfs. of Prtn. Series 2014 A, 5% 6/1/29 (FSA Insured) 1,500,000 1,681,860 
Miami-Dade County Aviation Rev.:   
Series 2010 A, 5.5% 10/1/41 (Pre-Refunded to 10/1/20 @ 100) 1,500,000 1,593,540 
Series 2010:   
5.375% 10/1/35 900,000 947,610 
5.5% 10/1/30 (Pre-Refunded to 10/1/20 @ 100) 755,000 802,082 
Series 2014 A, 5% 10/1/37 8,500,000 9,434,405 
Series 2014 B, 5% 10/1/34 2,225,000 2,488,062 
Series 2016 A, 5% 10/1/41 8,500,000 9,482,685 
Miami-Dade County Cap. Asset Acquisition Series 2012 A, 5% 10/1/24 1,000,000 1,103,810 
Miami-Dade County Expressway Auth.:   
Series 2010 A, 5% 7/1/40 3,300,000 3,424,113 
Series 2014 A:   
5% 7/1/25 1,430,000 1,644,100 
5% 7/1/27 1,000,000 1,140,920 
5% 7/1/28 2,225,000 2,533,674 
5% 7/1/29 1,010,000 1,147,370 
5% 7/1/44 18,800,000 20,683,572 
Series 2014 B, 5% 7/1/30 2,500,000 2,827,800 
Miami-Dade County School Board Ctfs. of Prtn.:   
Series 2011 B, 5.625% 5/1/31 2,195,000 2,352,996 
Series 2014 D:   
5% 11/1/22 2,085,000 2,311,744 
5% 11/1/25 6,655,000 7,585,302 
Series 2015 A, 5% 5/1/29 12,370,000 14,154,125 
Series 2015 B, 5% 5/1/27 13,000,000 14,972,360 
Series 2016 A, 5% 5/1/32 10,000,000 11,299,600 
Series 2016 B, 5% 8/1/26 4,505,000 5,307,160 
Miami-Dade County Transit Sales Surtax Rev. Series 2012:   
5% 7/1/22 765,000 845,830 
5% 7/1/42 800,000 864,664 
Miami-Dade County Wtr. & Swr. Rev. Series 2008 A, 5.25% 10/1/22 (FSA Insured) 6,000,000 6,729,540 
Orange County Health Facilities Auth.:   
(Orlando Health, Inc.) Series 2009, 5.375% 10/1/23 2,500,000 2,559,825 
Series 2012 A, 5% 10/1/42 6,315,000 6,686,764 
Series 2012 B, 5% 10/1/42 2,500,000 2,647,175 
Orange County School Board Ctfs. of Prtn. Series 2015 C, 5% 8/1/28 5,000,000 5,803,250 
Orlando & Orange County Expressway Auth. Rev. Series 2012, 5% 7/1/23 1,150,000 1,268,703 
Orlando Utils. Commission Util. Sys. Rev. Series 2009 B, 5% 10/1/33 3,540,000 3,558,904 
Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014:   
5% 12/1/23 190,000 211,915 
5% 12/1/24 380,000 430,966 
5% 12/1/31 1,500,000 1,637,385 
Palm Beach County School Board Ctfs. of Prtn.:   
(Palm Beach County School District Proj.) Series 2018 A, 5% 8/1/24 760,000 879,305 
Series 2014 B:   
5% 8/1/22 3,025,000 3,352,245 
5% 8/1/23 3,550,000 4,029,854 
Series 2015 B:   
5% 8/1/23 1,500,000 1,702,755 
5% 8/1/25 875,000 1,029,980 
Series 2015 D:   
5% 8/1/28 1,980,000 2,301,968 
5% 8/1/29 6,765,000 7,838,538 
5% 8/1/31 7,015,000 8,055,325 
Saint Lucie County School Board Ctfs. of Prtn. Series 2013 A, 5% 7/1/26 2,515,000 2,794,718 
South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015:   
5% 10/1/27 500,000 589,340 
5% 10/1/28 4,000,000 4,680,760 
5% 10/1/30 2,000,000 2,314,440 
5% 10/1/32 3,310,000 3,786,177 
South Lake County Hosp. District (South Lake Hosp., Inc.) Series 2009 A, 6% 4/1/29 2,375,000 2,387,421 
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017:   
5% 8/15/29 1,480,000 1,746,459 
5% 8/15/32 3,920,000 4,522,112 
5% 8/15/35 705,000 802,459 
5% 8/15/37 5,000,000 5,643,300 
5% 8/15/42 3,400,000 3,794,536 
5% 8/15/47 5,200,000 5,774,964 
Tallahassee Health Facilities Rev.:   
(Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A:   
5% 12/1/29 1,425,000 1,604,336 
5% 12/1/36 1,100,000 1,201,442 
Series 2015 A, 5% 12/1/40 1,000,000 1,073,830 
Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2011 B:   
5% 10/1/19 (Escrowed to Maturity) 1,420,000 1,450,327 
5% 10/1/19 (Escrowed to Maturity) 1,305,000 1,333,305 
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2012 A, 5% 9/1/25 900,000 989,100 
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 1,325,776 
5% 8/1/31 (Build America Mutual Assurance Insured) 2,215,000 2,516,462 
(Master Lease Prog.) Series 2014 B, 5% 8/1/22 810,000 894,443 
TOTAL FLORIDA  342,819,827 
Georgia - 2.2%   
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 2,665,404 
(Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2013 A, 2.4%, tender 4/1/20 (a) 2,400,000 2,396,424 
2.2%, tender 4/2/19 (a) 5,900,000 5,900,608 
Colquitt County Dev. Auth. Rev.:   
Series A, 0% 12/1/21 (Escrowed to Maturity) 4,120,000 3,896,943 
Series C, 0% 12/1/21 (Escrowed to Maturity) 3,000,000 2,837,580 
DeKalb County Wtr. & Swr. Rev. Series 2011 A, 5.25% 10/1/36 1,000,000 1,077,770 
Fulton County Wtr. & Swr. Rev. Series 2013, 5% 1/1/32 10,000,000 11,062,700 
Georgia Muni. Elec. Auth. Pwr. Rev.:   
Series C, 5% 1/1/22 2,900,000 3,118,138 
Series GG, 5% 1/1/23 1,600,000 1,764,336 
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.):   
Series R, 5% 10/1/21 1,225,000 1,322,302 
Series S, 5% 10/1/24 1,575,000 1,737,320 
Main Street Natural Gas, Inc. Bonds Series 2018 C, 4%, tender 12/1/23 (a) 24,120,000 25,585,531 
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 2,689,858 
Private Colleges & Univs. Auth. Rev. (The Savannah College of Art and Design Projs.) Series 2014:   
5% 4/1/28 2,560,000 2,854,707 
5% 4/1/44 9,105,000 9,707,114 
Valdosta & Lowndes County Hosp. Series 2007, 5% 10/1/24 1,000,000 1,008,910 
TOTAL GEORGIA  79,625,645 
Hawaii - 0.1%   
Hawaii Gen. Oblig. Series 2017 FK, 5% 5/1/33 4,200,000 4,922,904 
Idaho - 0.5%   
Idaho Health Facilities Auth. Rev. Series 2015 ID:   
5% 12/1/24 500,000 579,095 
5.5% 12/1/26 1,200,000 1,435,728 
5.5% 12/1/27 3,250,000 3,867,273 
Idaho Hsg. & Fin. Assoc. Single Family Mtg. (Idaho St Garvee Proj.) Series 2017 A:   
5% 7/15/20 1,115,000 1,164,105 
5% 7/15/21 1,660,000 1,782,873 
5% 7/15/22 1,850,000 2,039,218 
5% 7/15/23 880,000 992,596 
5% 7/15/24 705,000 810,390 
5% 7/15/25 705,000 824,892 
5% 7/15/26 500,000 592,660 
5% 7/15/27 1,765,000 2,115,458 
TOTAL IDAHO  16,204,288 
Illinois - 18.9%   
Boone & Winnebago County Cmnty. Unit School District 200 Series 2003, 0% 1/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,065,000 1,042,731 
Chicago Board of Ed.:   
Series 1998 B1, 0% 12/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,505,000 1,382,042 
Series 1999 A, 5.25% 12/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,115,000 1,187,720 
Series 2010 F, 5% 12/1/20 570,000 586,490 
Series 2011 A:   
5% 12/1/41 1,865,000 1,866,324 
5.25% 12/1/41 1,510,000 1,520,902 
5.5% 12/1/39 2,700,000 2,742,768 
Series 2012 A, 5% 12/1/42 2,815,000 2,821,587 
Series 2015 C, 5.25% 12/1/39 800,000 818,048 
Series 2016 B, 6.5% 12/1/46 400,000 448,324 
Series 2017 A, 7% 12/1/46 (c) 1,400,000 1,646,904 
Series 2017 C:   
5% 12/1/22 1,370,000 1,427,937 
5% 12/1/23 2,730,000 2,861,996 
5% 12/1/24 1,840,000 1,939,562 
5% 12/1/25 1,710,000 1,806,974 
5% 12/1/26 500,000 529,150 
Series 2017 D, 5% 12/1/24 1,805,000 1,902,669 
Series 2018 A:   
5% 12/1/24 1,280,000 1,349,261 
5% 12/1/29 4,445,000 4,739,659 
5% 12/1/31 850,000 893,044 
Series 2018 C, 5% 12/1/46 8,695,000 8,748,040 
Chicago Midway Arpt. Rev. Series 2016 B:   
4% 1/1/35 815,000 829,760 
5% 1/1/36 4,500,000 4,951,485 
5% 1/1/37 5,300,000 5,797,564 
5% 1/1/41 6,000,000 6,490,500 
5% 1/1/46 8,470,000 9,130,237 
Chicago O'Hare Int'l. Arpt. Rev.:   
Series 2013 D, 5% 1/1/27 5,175,000 5,698,400 
Series 2016 B, 5% 1/1/34 2,835,000 3,158,247 
Series 2016 C:   
5% 1/1/32 4,750,000 5,341,803 
5% 1/1/33 1,305,000 1,459,812 
5% 1/1/34 1,510,000 1,682,170 
Series 2017 B:   
5% 1/1/34 1,515,000 1,707,541 
5% 1/1/35 2,540,000 2,851,480 
5% 1/1/36 1,650,000 1,846,235 
5% 1/1/37 6,400,000 7,132,864 
5% 1/1/38 2,250,000 2,497,725 
5% 1/1/39 5,000,000 5,535,900 
Chicago Transit Auth.:   
Series 2014, 5.25% 12/1/49 12,000,000 13,104,000 
Series 2017, 5% 12/1/46 1,900,000 2,034,387 
Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017:   
5% 6/1/22 980,000 1,064,535 
5% 6/1/23 880,000 974,195 
5% 6/1/24 1,495,000 1,684,177 
5% 6/1/25 745,000 849,568 
5% 6/1/26 1,595,000 1,833,851 
Chicago Wtr. Rev. Series 2017, 5.25% 11/1/33 (FSA Insured) 445,000 446,108 
Cook County Forest Preservation District Series 2012 C, 5% 12/15/22 1,230,000 1,330,651 
Cook County Gen. Oblig.:   
Series 2010 A:   
5.25% 11/15/22 2,065,000 2,168,395 
5.25% 11/15/33 13,180,000 13,682,817 
Series 2011 A, 5.25% 11/15/28 1,625,000 1,723,556 
Series 2012 C:   
5% 11/15/23 4,375,000 4,775,313 
5% 11/15/24 3,500,000 3,812,340 
5% 11/15/25 (FSA Insured) 5,800,000 6,363,702 
Series 2016 A, 5% 11/15/29 6,110,000 6,795,175 
Des Plaines Pub. Library District 5.5% 1/1/30 4,210,000 4,328,385 
Grundy & Will Counties Cmnty. School Gen. Obligan Series 2018, 5% 2/1/29 675,000 779,146 
Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. 0% 7/15/23 (Escrowed to Maturity) 5,600,000 5,098,688 
Illinois Fin. Auth. Rev.:   
(Bradley Univ. Proj.) Series 2017 C, 5% 8/1/31 1,175,000 1,333,978 
(Depaul Univ. Proj.) Series 2016 A:   
4% 10/1/31 1,480,000 1,561,859 
5% 10/1/33 1,500,000 1,704,945 
(Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A:   
5% 7/15/25 795,000 933,330 
5% 7/15/27 1,300,000 1,568,060 
5% 7/15/30 1,490,000 1,756,874 
(OSF Healthcare Sys.) Series 2018 A:   
4.125% 5/15/47 11,085,000 11,002,084 
5% 5/15/43 10,000,000 11,040,900 
(Palos Cmnty. Hosp. Proj.) Series 2010 C, 5.375% 5/15/30 7,630,000 7,900,560 
(Presence Health Proj.) Series 2016 C:   
5% 2/15/26 1,425,000 1,682,555 
5% 2/15/29 3,455,000 4,060,662 
5% 2/15/36 2,390,000 2,692,502 
(Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C, 5% 8/1/49 490,000 520,630 
(Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34 1,200,000 1,321,236 
Bonds:   
(Ascension Health Cr. Group Proj.) Series 2012 E2, 1.75%, tender 4/1/21 (a) 1,045,000 1,036,661 
Series 2017 B, 5%, tender 12/15/22 (a) 3,045,000 3,388,963 
Series 2009, 7.75% 8/15/34 (Pre-Refunded to 8/15/19 @ 100) 60,000 61,892 
Series 2010 A:   
5.5% 8/15/24 (Pre-Refunded to 2/15/20 @ 100) 1,050,000 1,090,037 
5.75% 8/15/29 (Pre-Refunded to 2/15/20 @ 100) 700,000 728,469 
Series 2012 A:   
5% 5/15/19 1,000,000 1,008,821 
5% 5/15/23 700,000 762,146 
Series 2012:   
4% 9/1/32 3,020,000 3,101,963 
5% 9/1/22 800,000 885,608 
5% 9/1/32 4,000,000 4,321,360 
5% 9/1/38 5,400,000 5,769,090 
5% 11/15/43 1,640,000 1,728,101 
Series 2013:   
4% 5/15/33 1,055,000 1,067,903 
5% 11/15/24 1,115,000 1,226,768 
5% 11/15/27 400,000 435,544 
5% 5/15/43 3,750,000 3,900,263 
Series 2014, 5% 8/1/38 6,800,000 7,422,676 
Series 2015 A:   
5% 11/15/31 3,500,000 3,919,615 
5% 11/15/45 9,750,000 10,413,000 
Series 2015 B, 5% 11/15/23 1,845,000 2,090,699 
Series 2015 C:   
5% 8/15/35 3,340,000 3,638,329 
5% 8/15/44 15,400,000 16,423,022 
Series 2016 A:   
5% 7/1/33 1,850,000 2,068,041 
5% 7/1/34 1,000,000 1,112,280 
5% 8/15/34 1,800,000 1,966,158 
5% 7/1/36 1,530,000 1,685,922 
5.25% 8/15/29 1,015,000 1,159,820 
Series 2016 B:   
5% 8/15/30 3,000,000 3,481,050 
5% 8/15/33 4,585,000 5,228,046 
5% 8/15/34 2,415,000 2,738,972 
Series 2016 C:   
3.75% 2/15/34 725,000 729,495 
4% 2/15/36 3,085,000 3,161,693 
4% 2/15/41 9,595,000 9,680,300 
5% 2/15/21 4,080,000 4,337,489 
5% 2/15/22 3,600,000 3,931,560 
5% 2/15/24 325,000 371,105 
5% 2/15/30 13,250,000 15,457,715 
5% 2/15/31 2,080,000 2,407,038 
5% 2/15/41 5,375,000 5,950,985 
Series 2016:   
5% 12/1/29 1,030,000 1,168,144 
5% 12/1/46 2,660,000 2,829,043 
Series 2017 A, 5% 8/1/47 430,000 457,834 
Series 2017:   
5% 1/1/22 2,795,000 3,049,764 
5% 7/1/24 1,375,000 1,593,075 
5% 1/1/28 3,075,000 3,662,356 
5% 7/1/28 2,745,000 3,262,762 
5% 7/1/33 3,365,000 3,881,662 
5% 7/1/34 2,765,000 3,181,077 
5% 7/1/35 2,290,000 2,627,615 
Series 2018 A:   
4.25% 1/1/44 1,895,000 1,908,928 
5% 1/1/44 11,470,000 12,348,831 
Illinois Gen. Oblig.:   
Serie 2014, 5% 4/1/24 3,945,000 4,214,207 
Series 2006, 5.5% 1/1/31 1,945,000 2,183,846 
Series 2010:   
5% 1/1/21 (FSA Insured) 900,000 922,851 
5% 1/1/23 (FSA Insured) 2,100,000 2,151,786 
Series 2012 A:   
4% 1/1/23 1,220,000 1,239,056 
5% 1/1/33 1,700,000 1,730,753 
Series 2012:   
5% 8/1/19 1,995,000 2,020,982 
5% 8/1/21 1,695,000 1,776,631 
5% 3/1/23 1,500,000 1,570,365 
5% 8/1/23 1,675,000 1,784,327 
5% 3/1/36 1,000,000 1,014,460 
Series 2013 A, 5% 4/1/35 900,000 919,575 
Series 2013:   
5% 7/1/22 320,000 338,662 
5.5% 7/1/38 2,000,000 2,087,200 
Series 2014:   
5% 2/1/23 1,880,000 1,992,838 
5% 2/1/25 2,245,000 2,384,257 
5% 2/1/27 1,075,000 1,129,159 
5% 4/1/28 580,000 608,693 
5% 5/1/28 3,325,000 3,491,849 
5% 5/1/32 1,400,000 1,447,460 
5% 5/1/33 1,600,000 1,651,200 
5.25% 2/1/29 3,000,000 3,169,560 
5.25% 2/1/30 2,700,000 2,842,614 
5.25% 2/1/31 1,305,000 1,367,327 
Series 2016:   
5% 2/1/23 880,000 932,818 
5% 6/1/25 4,465,000 4,805,099 
5% 6/1/26 610,000 659,227 
5% 2/1/27 6,685,000 7,238,184 
5% 2/1/28 3,495,000 3,754,294 
5% 2/1/29 3,285,000 3,505,489 
Series 2017 C, 5% 11/1/29 4,605,000 4,931,080 
Series 2017 D:   
5% 11/1/25 17,430,000 18,802,438 
5% 11/1/26 6,970,000 7,540,564 
5% 11/1/27 8,000,000 8,676,960 
Series 2018 A, 5% 10/1/28 3,500,000 3,783,780 
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A:   
5% 2/1/23 1,075,000 1,190,724 
5% 2/1/29 10,000,000 11,470,100 
5% 2/1/31 1,890,000 2,154,506 
Illinois Toll Hwy. Auth. Toll Hwy. Rev.:   
Series 2013 A, 5% 1/1/38 20,000,000 21,702,600 
Series 2015 A:   
5% 1/1/37 1,700,000 1,916,903 
5% 1/1/40 6,700,000 7,513,112 
Series 2015 B, 5% 1/1/40 3,800,000 4,190,184 
Series 2016 A:   
5% 12/1/31 945,000 1,072,254 
5% 12/1/32 6,700,000 7,574,015 
Joliet School District #86 Gen. Oblig. Series 2002:   
0% 11/1/19 (FSA Insured) 2,260,000 2,225,254 
0% 11/1/20 (FSA Insured) 3,850,000 3,707,319 
Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2004, 0% 2/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 5,025,000 4,684,406 
Kane, McHenry, Cook & DeKalb Counties Unit School District #300:   
Series 2015:   
5% 1/1/27 1,500,000 1,710,060 
5% 1/1/28 2,780,000 3,161,110 
Series 2017, 5% 1/1/29 1,030,000 1,197,015 
6.5% 1/1/20 (AMBAC Insured) 310,000 322,803 
Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016, 5% 2/1/33 10,875,000 12,164,884 
McHenry & Kane Counties Cmnty. Consolidated School District #158 Series 2004, 0% 1/1/24 (FSA Insured) 1,600,000 1,402,656 
McHenry County Cmnty. School District #200 Series 2006 B:   
0% 1/15/24 4,260,000 3,758,087 
0% 1/15/25 4,440,000 3,794,291 
0% 1/15/26 3,335,000 2,752,942 
Metropolitan Pier & Exposition:   
(McCormick Place Expansion Proj.):   
Series 2010 B1:   
0% 6/15/43 (FSA Insured) 15,500,000 5,154,835 
0% 6/15/44 (FSA Insured) 19,125,000 6,064,346 
0% 6/15/45 (FSA Insured) 12,145,000 3,671,069 
0% 6/15/47 (FSA Insured) 5,760,000 1,576,858 
Series 2012 B, 0% 12/15/51 5,900,000 1,162,300 
Series 2017 B:   
5% 12/15/28 2,000,000 2,174,380 
5% 12/15/32 900,000 963,099 
Railsplitter Tobacco Settlement Auth. Rev. Series 2017:   
5% 6/1/23 1,250,000 1,385,975 
5% 6/1/24 1,635,000 1,844,509 
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 1,962,328 
Series 2010 A:   
5% 4/1/25 1,700,000 1,753,822 
5.25% 4/1/30 1,020,000 1,053,181 
Series 2013:   
6% 10/1/42 1,935,000 2,179,294 
6.25% 10/1/38 1,900,000 2,165,658 
Series 2018 A, 5% 4/1/29 3,940,000 4,639,311 
Will County Cmnty. Unit School District #365-U:   
Series 2007 B, 0% 11/1/26 (FSA Insured) 3,175,000 2,546,445 
0% 11/1/19 (Escrowed to Maturity) 1,290,000 1,272,314 
0% 11/1/19 (FSA Insured) 8,310,000 8,182,239 
Will County Illinois Series 2016, 5% 11/15/41 13,255,000 14,664,272 
TOTAL ILLINOIS  682,913,760 
Indiana - 1.7%   
Beech Grove School Bldg. Corp. Series 1996, 5.625% 7/5/24 (Escrowed to Maturity) 2,075,000 2,287,978 
Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Proj.) Series 2017 A:   
5% 11/1/24 1,000,000 1,150,800 
5% 11/1/28 450,000 541,112 
5% 11/1/29 1,400,000 1,698,452 
5% 11/1/30 315,000 382,517 
Indiana Fin. Auth. Rev.:   
Series 2012:   
5% 3/1/25 1,000,000 1,086,840 
5% 3/1/30 500,000 539,075 
5% 3/1/41 2,590,000 2,760,655 
Series 2015 A, 5.25% 2/1/32 2,940,000 3,446,680 
Series 2015, 5% 3/1/36 4,500,000 4,920,480 
Series 2016:   
5% 9/1/27 1,850,000 2,167,331 
5% 9/1/31 1,835,000 2,091,331 
Indiana Fin. Auth. Wastewtr. Util. Rev.:   
(CWA Auth. Proj.):   
Series 2012 A:   
5% 10/1/24 850,000 948,099 
5% 10/1/37 1,700,000 1,855,108 
Series 2014 A:   
5% 10/1/25 1,200,000 1,390,272 
5% 10/1/26 1,750,000 2,022,405 
(CWA Auth. Proj.) Series 2014 A, 5% 10/1/27 1,750,000 2,017,365 
(CWA Auth. Proj.) Series 2015 A, 5% 10/1/29 2,295,000 2,632,434 
Series 2011 A, 5.25% 10/1/26 1,000,000 1,086,140 
Series 2011 B, 5% 10/1/41 2,000,000 2,133,620 
Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev.:   
Series 2011 A, 5% 1/1/21 800,000 847,952 
Series 2017 A:   
5% 1/1/32 4,000,000 4,710,160 
5% 1/1/34 2,000,000 2,319,080 
Indianapolis Thermal Energy Sys. Series 2010 B, 5% 10/1/19 8,390,000 8,559,147 
Indianapolis Wtr. Sys. Rev. Series 2018 A, 5% 10/1/32 (FSA Insured) 3,000,000 3,588,720 
Lake Central Multi-District School Bldg. Corp. Series 2012 B, 5% 1/15/30 4,300,000 4,740,750 
TOTAL INDIANA  61,924,503 
Iowa - 0.1%   
Iowa Fin. Auth. Rev.:   
Series 2018 B, 5% 2/15/48 2,500,000 2,759,225 
Series A:   
5% 5/15/43 820,000 847,741 
5% 5/15/48 1,440,000 1,482,898 
TOTAL IOWA  5,089,864 
Kansas - 0.5%   
Desoto Usd # 232 Series 2015 A, 5% 9/1/22 1,390,000 1,542,302 
Johnson County Unified School District # 233:   
Series 2016 A, 5% 9/1/21 750,000 811,493 
Series 2016 B:   
5% 9/1/22 1,600,000 1,778,240 
5% 9/1/23 290,000 330,029 
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev.:   
Series 2012 A, 5% 9/1/26 4,020,000 4,425,256 
Series 2016 A:   
5% 9/1/40 4,200,000 4,719,078 
5% 9/1/45 5,125,000 5,729,135 
TOTAL KANSAS  19,335,533 
Kentucky - 1.8%   
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 1,241,472 
Kenton County Arpt. Board Arpt. Rev. Series 2016:   
5% 1/1/20 485,000 498,601 
5% 1/1/24 800,000 904,064 
5% 1/1/27 1,500,000 1,739,640 
5% 1/1/33 1,300,000 1,459,380 
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Series 2017 B:   
5% 8/15/32 2,680,000 2,978,418 
5% 8/15/33 1,325,000 1,466,351 
5% 8/15/35 1,500,000 1,642,665 
Kentucky Econ. Dev. Fin. Auth. Rev. Louisville Arena Auth., Inc. Series 2017 A, 5% 12/1/47 (FSA Insured) 855,000 923,716 
Kentucky State Property & Buildings Commission Rev.:   
(Proj. No. 119) Series 2018:   
5% 5/1/27 2,255,000 2,630,412 
5% 5/1/29 1,865,000 2,180,427 
5% 5/1/30 1,250,000 1,449,325 
5% 5/1/31 535,000 622,654 
5% 5/1/32 280,000 323,915 
5% 5/1/33 630,000 724,973 
5% 5/1/34 720,000 824,184 
5% 5/1/35 425,000 478,877 
5% 5/1/36 360,000 403,816 
Series 2016 B, 5% 11/1/26 11,400,000 13,263,558 
Louisville & Jefferson County:   
Series 2013 A:   
5.5% 10/1/33 1,275,000 1,424,902 
5.75% 10/1/38 3,105,000 3,477,817 
Series 2016 A:   
5% 10/1/31 6,400,000 7,204,480 
5% 10/1/32 7,745,000 8,668,204 
5% 10/1/33 4,400,000 4,911,808 
Louisville/Jefferson County Metropolitan Gov. Series 2012 A:   
5% 12/1/28 405,000 434,018 
5% 12/1/30 405,000 431,491 
Pikeville Hosp. Rev. (Pikeville Med. Ctr., Inc. Proj.) Series 2011, 6.5% 3/1/41 1,000,000 1,069,870 
TOTAL KENTUCKY  63,379,038 
Louisiana - 0.6%   
Louisiana Citizens Property Ins. Corp. Assessment Rev. Series 2015, 5% 6/1/20 3,750,000 3,906,338 
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) 800,000 816,352 
Louisiana Pub. Facilities Auth. Rev. (Tulane Univ. of Louisiana Proj.) Series 2016 A:   
5% 12/15/25 445,000 522,728 
5% 12/15/27 2,000,000 2,354,040 
5% 12/15/29 1,200,000 1,386,972 
New Orleans Gen. Oblig. Series 2012:   
5% 12/1/24 2,455,000 2,707,669 
5% 12/1/25 2,400,000 2,642,376 
Tobacco Settlement Fing. Corp. Series 2013 A:   
5% 5/15/21 610,000 643,581 
5% 5/15/23 2,500,000 2,724,525 
5.5% 5/15/29 5,000,000 5,042,200 
TOTAL LOUISIANA  22,746,781 
Maine - 1.2%   
Maine Health & Higher Edl. Facilities Auth. Rev.:   
(Eastern Maine Healthcare Systems Proj.) Series 2013, 5% 7/1/43 1,730,000 1,802,055 
Series 2013, 5% 7/1/33 1,000,000 1,057,400 
Series 2016 A:   
4% 7/1/41 1,165,000 1,128,058 
4% 7/1/46 1,515,000 1,437,508 
5% 7/1/41 480,000 507,970 
5% 7/1/46 330,000 347,936 
Series 2017 D, 5.75% 7/1/38 275,000 275,844 
Series 2018 A:   
5% 7/1/30 1,185,000 1,388,595 
5% 7/1/31 1,100,000 1,276,209 
5% 7/1/34 2,000,000 2,285,180 
5% 7/1/35 2,745,000 3,124,469 
5% 7/1/36 3,250,000 3,682,413 
5% 7/1/37 3,000,000 3,378,480 
5% 7/1/38 2,275,000 2,550,343 
5% 7/1/43 4,500,000 5,002,650 
Series 2018, 5% 7/1/48 4,235,000 4,802,109 
Maine Tpk. Auth. Tpk. Rev.:   
Series 2015, 5% 7/1/37 1,700,000 1,922,224 
Series 2018:   
5% 7/1/33 700,000 827,218 
5% 7/1/34 1,000,000 1,176,310 
5% 7/1/35 1,100,000 1,287,011 
5% 7/1/36 2,000,000 2,329,280 
TOTAL MAINE  41,589,262 
Maryland - 0.3%   
Maryland Health & Higher Edl. Facilities Auth. Rev.:   
(Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 1,655,000 1,812,109 
Series 2010, 5.625% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) 1,100,000 1,159,499 
Series 2015, 5% 7/1/40 2,000,000 2,148,240 
Series 2016 A:   
4% 7/1/42 780,000 769,462 
5% 7/1/35 2,055,000 2,258,794 
5% 7/1/38 1,125,000 1,220,490 
Rockville Mayor & Council Econ. Dev. (Rfdg.-Ingleside King Farm Proj.) Series 2017:   
2.5% 11/1/24 875,000 835,100 
3% 11/1/25 640,000 620,909 
5% 11/1/30 230,000 248,416 
TOTAL MARYLAND  11,073,019 
Massachusetts - 1.2%   
Massachusetts Commonwealth Trans. Fund Rev. (Rail Enhancement & Accelerated Bridge Prog.) Series 2018 A, 5% 6/1/48 7,780,000 8,867,333 
Massachusetts Dev. Fin. Agcy. Rev.:   
(Lesley Univ. Proj.) Series 2016, 5% 7/1/39 1,015,000 1,127,553 
(Tufts Med. Ctr. Proj.) Series 2011, 6.75% 1/1/36 400,000 434,920 
(Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L, 4% 7/1/44 10,000,000 9,952,300 
(Wentworth Institute of Technology Proj.) Series 2017:   
5% 10/1/30 1,165,000 1,314,819 
5% 10/1/33 1,355,000 1,504,863 
Series 2015 D, 5% 7/1/44 2,575,000 2,728,161 
Series BB1, 5% 10/1/46 4,230,000 4,725,206 
Massachusetts Gen. Oblig.:   
Series 2017 A:   
5% 4/1/33 3,280,000 3,826,350 
5% 4/1/36 1,280,000 1,471,987 
Series 2017 D:   
5% 2/1/33 3,265,000 3,801,570 
5% 2/1/35 2,850,000 3,282,972 
TOTAL MASSACHUSETTS  43,038,034 
Michigan - 4.1%   
Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (FSA Insured) 1,035,000 1,112,449 
Detroit Wtr. Supply Sys. Rev.:   
Series 2006 B, 7% 7/1/36 (Pre-Refunded to 7/1/19 @ 100) 1,400,000 1,430,086 
Series 2009, 6.25% 7/1/36 (Pre-Refunded to 7/1/19 @ 100) 1,500,000 1,527,675 
Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2018 A:   
5% 7/1/43 1,500,000 1,698,270 
5% 7/1/48 6,500,000 7,336,810 
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016, 5% 5/15/28 1,455,000 1,660,330 
Lansing Board of Wtr. & Lt. Util. Rev. 5.5% 7/1/41 1,000,000 1,080,400 
Michigan Bldg. Auth. Rev. (Facilities Prog.):   
Series 2015 I:   
5% 4/15/27 14,000,000 16,485,420 
5% 4/15/28 2,000,000 2,345,540 
Series 2016 I, 5% 4/15/24 705,000 813,408 
Michigan Fin. Auth. Rev.:   
(Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018, 5% 11/1/43 1,845,000 2,076,548 
(Trinity Health Proj.) Series 2017:   
5% 12/1/35 9,085,000 10,423,584 
5% 12/1/42 1,035,000 1,164,499 
Series 2012 A:   
4.125% 6/1/32 (Pre-Refunded to 6/1/22 @ 100) 2,350,000 2,525,522 
5% 6/1/20 (Escrowed to Maturity) 750,000 780,563 
5% 6/1/27 (Pre-Refunded to 6/1/22 @ 100) 1,100,000 1,213,080 
5% 6/1/39 (Pre-Refunded to 6/1/22 @ 100) 2,400,000 2,646,720 
Series 2012:   
5% 11/15/36 1,300,000 1,394,614 
5% 11/15/42 2,950,000 3,144,022 
Series 2013, 5% 8/15/29 3,865,000 4,292,160 
Series 2015 MI, 5% 12/1/25 3,000,000 3,516,570 
Series 2016:   
5% 11/15/32 4,815,000 5,411,097 
5% 11/15/41 1,085,000 1,169,652 
Michigan Hosp. Fin. Auth. Rev.:   
(Trinity Health Proj.) Series 2008 C, 5% 12/1/32 345,000 401,332 
Bonds (Ascension Health Cr. Group Proj.) Series F5:   
1.9%, tender 4/1/21 (a) 4,395,000 4,373,728 
2.4%, tender 3/15/23 (a) 1,720,000 1,728,720 
6.5% 12/1/33 125,000 125,170 
Michigan Strategic Fund Ltd. Oblig. Rev. Bonds Series CC, 1.45%, tender 9/1/21 (a) 6,380,000 6,164,292 
Portage Pub. Schools Series 2016:   
5% 11/1/33 1,000,000 1,146,790 
5% 11/1/36 1,250,000 1,414,188 
5% 11/1/37 1,000,000 1,127,190 
Univ. of Michigan Rev. Series 2017 A, 5% 4/1/42 15,370,000 17,543,472 
Warren Consolidated School District Series 2016:   
5% 5/1/28 4,100,000 4,733,819 
5% 5/1/29 4,230,000 4,868,899 
Wayne County Arpt. Auth. Rev.:   
Series 2015 D:   
5% 12/1/30 1,300,000 1,495,676 
5% 12/1/31 2,300,000 2,633,799 
5% 12/1/40 (FSA Insured) 3,000,000 3,355,920 
Series 2015 G:   
5% 12/1/31 1,500,000 1,717,695 
5% 12/1/32 1,500,000 1,710,660 
5% 12/1/33 2,000,000 2,272,880 
Series 2015, 5% 12/1/29 1,600,000 1,850,576 
Series 2017 A:   
5% 12/1/28 600,000 713,400 
5% 12/1/29 550,000 648,725 
5% 12/1/30 700,000 817,264 
5% 12/1/33 350,000 404,495 
5% 12/1/37 500,000 566,645 
5% 12/1/37 270,000 304,663 
Series 2017 C, 5% 12/1/28 1,100,000 1,313,653 
Western Michigan Univ. Rev.:   
5.25% 11/15/19 (Assured Guaranty Corp. Insured) 3,015,000 3,023,793 
5.25% 11/15/22 (Assured Guaranty Corp. Insured) 4,640,000 4,653,456 
TOTAL MICHIGAN  146,359,919 
Minnesota - 1.0%   
Duluth Econ. Dev. Auth. Health Care Facilities Rev. Series 2018 A:   
5% 2/15/48 7,080,000 7,712,952 
5% 2/15/58 11,845,000 12,809,894 
Duluth Independent School District #709 Ctfs. of Prtn. Series 2009 B, 4% 3/1/21 1,500,000 1,500,090 
Maple Grove Health Care Sys. Rev.:   
Series 2015, 5% 9/1/27 1,285,000 1,441,372 
Series 2017:   
3% 5/1/19 1,000,000 1,002,222 
4% 5/1/22 500,000 529,125 
5% 5/1/23 500,000 556,170 
5% 5/1/24 1,200,000 1,362,900 
Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A:   
5% 11/15/20 675,000 713,765 
5% 11/15/24 1,780,000 2,067,968 
5% 11/15/25 1,365,000 1,612,966 
Minnesota Higher Ed. Facilities Auth. Rev. Series 2018 A:   
5% 10/1/29 1,000,000 1,154,790 
5% 10/1/32 715,000 807,850 
5% 10/1/33 875,000 984,025 
5% 10/1/45 1,035,000 1,122,375 
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) 700,000 830,081 
TOTAL MINNESOTA  36,208,545 
Missouri - 0.6%   
Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A, 5% 3/1/29 1,470,000 1,653,603 
Hannibal Indl. Dev. Auth. Health Facilities Rev. (Hannibal Reg'l. Healthcare Sys. Proj.) Series 2017:   
5% 10/1/42 3,425,000 3,736,230 
5% 10/1/47 2,125,000 2,309,896 
Kansas City Santn Swr. Sys. R Series 2018 B:   
5% 1/1/21 575,000 610,920 
5% 1/1/26 240,000 286,409 
5% 1/1/28 500,000 612,235 
5% 1/1/33 475,000 558,215 
Kansas City Spl. Oblig.:   
5% 9/1/21 295,000 300,286 
5% 9/1/22 500,000 508,960 
5% 9/1/23 400,000 407,168 
Missouri Envir. Impt. & Energy Resources Auth. Wtr. Poll. Cont. & Drinking Wtr. Rev. 5.125% 1/1/21 125,000 125,348 
Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev. Series 2015 B:   
3.125% 2/1/27 400,000 412,468 
3.25% 2/1/28 400,000 414,228 
4% 2/1/40 400,000 406,636 
5% 2/1/34 3,115,000 3,481,947 
5% 2/1/36 1,200,000 1,333,140 
5% 2/1/45 1,900,000 2,065,357 
Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A:   
5% 9/1/38 1,060,000 1,065,565 
5.125% 9/1/48 1,875,000 1,881,263 
TOTAL MISSOURI  22,169,874 
Nebraska - 0.5%   
Douglas County Neb Edl. Facilities Rev. (Creighton Univ. Proj.) Series 2017, 4% 7/1/33 775,000 842,410 
Lincoln Elec. Sys. Rev. Series 2018:   
5% 9/1/31 2,000,000 2,358,720 
5% 9/1/32 3,735,000 4,378,092 
5% 9/1/33 2,240,000 2,611,504 
Nebraska Pub. Pwr. District Rev.:   
Series 2016 A:   
5% 1/1/32 1,670,000 1,918,496 
5% 1/1/34 1,000,000 1,139,990 
Series 2016 B, 5% 1/1/32 5,000,000 5,744,000 
TOTAL NEBRASKA  18,993,212 
Nevada - 1.1%   
Carson City Hosp. Rev. (Carson Tahoe Hosp. Proj.) Series 2017:   
5% 9/1/37 2,705,000 2,913,880 
5% 9/1/42 6,665,000 7,050,304 
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.:   
Series 2011 C, 5% 6/1/24 1,900,000 2,035,983 
Series 2012 B, 5% 6/1/42 3,260,000 3,529,211 
Series 2016 A:   
5% 6/1/35 4,150,000 4,750,713 
5% 6/1/36 6,000,000 6,842,880 
Series 2016 B:   
5% 6/1/34 7,495,000 8,606,658 
5% 6/1/36 2,700,000 3,079,296 
TOTAL NEVADA  38,808,925 
New Hampshire - 1.2%   
New Hampshire Health & Ed. Facilities Auth.:   
(Concord Hosp.) Series 2017, 5% 10/1/42 2,000,000 2,201,920 
(Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A:   
5% 8/1/32 250,000 286,815 
5% 8/1/34 3,000,000 3,408,990 
(Dartmouth-Hitchcock Oblgtd Grp Proj.):   
Series 2018 A:   
5% 8/1/31 1,300,000 1,502,462 
5% 8/1/36 2,000,000 2,246,120 
5% 8/1/37 2,400,000 2,677,608 
Series 2018, 5% 8/1/35 2,750,000 3,106,593 
(Partners Healthcare Sys., Inc. Proj.) Series 2017, 5% 7/1/41 2,100,000 2,346,057 
Series 2017 B, 4.125% 7/1/24 (c) 965,000 966,515 
Series 2017 C, 3.5% 7/1/22 (c) 320,000 320,064 
Series 2017:   
5% 7/1/36 1,200,000 1,320,912 
5% 7/1/44 1,000,000 1,081,900 
New Hampshire Health & Ed. Facilities Auth. Rev.:   
Series 2012:   
4% 7/1/23 1,000,000 1,054,730 
4% 7/1/32 900,000 919,836 
Series 2016:   
4% 10/1/38 1,165,000 1,147,781 
5% 10/1/28 3,000,000 3,387,990 
5% 10/1/32 5,160,000 5,683,069 
5% 10/1/38 3,765,000 4,049,634 
New Hampshire Tpk. Sys. Rev. Series 2012 B:   
5% 10/1/19 2,890,000 2,951,722 
5% 2/1/20 1,300,000 1,341,746 
TOTAL NEW HAMPSHIRE  42,002,464 
New Jersey - 4.6%   
New Jersey Ctfs. of Prtn. Series 2009 A:   
5.125% 6/15/24 (Pre-Refunded to 6/15/19 @ 100) 1,500,000 1,518,960 
5.25% 6/15/28 (Pre-Refunded to 6/15/19 @ 100) 1,000,000 1,013,090 
New Jersey Econ. Dev. Auth. Rev.:   
(New Jersey Gen. Oblig. Proj.):   
Series 2015 XX, 5% 6/15/25 6,215,000 6,972,111 
Series 2017 B, 5% 11/1/24 10,000,000 11,164,600 
Series 2011 EE:   
5% 9/1/20 1,255,000 1,309,279 
5% 9/1/20 (Escrowed to Maturity) 3,395,000 3,561,830 
Series 2013:   
5% 3/1/23 7,040,000 7,663,533 
5% 3/1/24 6,200,000 6,739,152 
5% 3/1/25 700,000 758,905 
Series 2015 XX:   
5% 6/15/22 1,525,000 1,643,127 
5% 6/15/23 1,000,000 1,094,480 
5% 6/15/26 15,000,000 16,689,000 
Series 2016 AAA:   
5% 6/15/41 2,510,000 2,641,449 
5.5% 6/15/30 4,995,000 5,680,014 
Series 2016 BBB, 5% 6/15/22 3,120,000 3,361,675 
New Jersey Edl. Facility Series 2016 A, 5% 7/1/29 2,625,000 2,967,641 
New Jersey Health Care Facilities Fing. Auth. Rev.:   
Series 2016 A:   
5% 7/1/20 500,000 519,085 
5% 7/1/21 1,155,000 1,229,867 
5% 7/1/22 155,000 169,066 
5% 7/1/23 550,000 611,171 
5% 7/1/24 435,000 490,858 
5% 7/1/25 1,055,000 1,205,559 
5% 7/1/25 470,000 537,074 
5% 7/1/26 155,000 178,788 
5% 7/1/27 235,000 269,538 
5% 7/1/28 685,000 780,263 
5% 7/1/30 1,000,000 1,157,110 
Series 2016:   
4% 7/1/48 1,800,000 1,745,388 
5% 7/1/41 2,190,000 2,327,685 
New Jersey Trans. Trust Fund Auth.:   
(Trans. Prog.) Series 2019 AA:   
5% 6/15/46 10,700,000 11,234,893 
5.25% 6/15/43 22,300,000 24,061,700 
Series 2001 A, 6% 6/15/35 1,300,000 1,389,843 
Series 2005 B, 5.25% 12/15/22 (AMBAC Insured) 400,000 441,660 
Series 2014 AA, 5% 6/15/24 15,000,000 16,664,100 
Series 2016 A:   
5% 6/15/27 945,000 1,073,019 
5% 6/15/28 3,225,000 3,634,607 
5% 6/15/29 3,550,000 3,976,036 
Series 2016 A-2, 5% 6/15/23 2,495,000 2,753,457 
Series 2018 A:   
5% 12/15/32 3,205,000 3,493,995 
5% 12/15/33 3,205,000 3,488,514 
5% 12/15/34 1,000,000 1,083,340 
5% 12/15/35 3,205,000 3,458,548 
Series AA, 5% 6/15/25 2,380,000 2,669,932 
TOTAL NEW JERSEY  165,423,942 
New York - 6.3%   
Dorm. Auth. New York Univ. Rev.:   
(Memorial Sloan-Kettring Cancer Ctr.) Series 2017 1, 5% 7/1/42 1,555,000 1,752,547 
Series 2016 A, 5% 7/1/32 2,500,000 2,880,025 
Hudson Yards Infrastructure Corp. New York Rev.:   
Series 2012 A, 5.75% 2/15/47 1,975,000 2,121,229 
Series 2017 A:   
5% 2/15/33 3,595,000 4,165,850 
5% 2/15/39 10,000,000 11,311,100 
5% 2/15/42 9,860,000 11,078,302 
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2017:   
5% 9/1/33 500,000 580,435 
5% 9/1/35 2,000,000 2,303,680 
5% 9/1/36 1,135,000 1,302,708 
MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 17,050,000 18,243,500 
New York City Gen. Oblig.:   
Series 2009, 5.625% 4/1/29 85,000 85,510 
Series 2012 A1, 5% 8/1/24 2,720,000 2,927,699 
Series 2015 C, 5% 8/1/27 1,600,000 1,859,952 
Series 2016 C and D, 5% 8/1/28 1,500,000 1,760,190 
Series 2016 E, 5% 8/1/28 2,550,000 3,021,317 
Series F, 5% 4/1/34 6,000,000 7,033,140 
New York City Indl. Dev. Agcy. Rev.:   
(Queens Ballpark Co. LLC Proj.) Series 2006, 5% 1/1/22 (AMBAC Insured) 1,000,000 1,002,400 
(Yankee Stadium Proj.) Series 2006, 5% 3/1/31 1,000,000 1,007,610 
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:   
Series 2011 EE, 5.375% 6/15/43 10,205,000 10,839,547 
Series 2012 EE, 5.25% 6/15/30 6,300,000 6,958,413 
Series 2013 EE, 5% 6/15/47 11,710,000 12,760,973 
New York City Transitional Fin. Auth. Bldg. Aid Rev. Series S1, 5% 7/15/27 2,000,000 2,201,700 
New York City Transitional Fin. Auth. Rev.:   
Series 2015 E1, 5% 2/1/41 1,615,000 1,784,397 
Series 2016 A, 5% 5/1/40 1,950,000 2,184,546 
Series 2017 B, 5% 8/1/40 2,000,000 2,248,040 
Series 2017 E, 5% 2/1/39 6,440,000 7,290,531 
Series 2018 C2:   
5% 5/1/32 5,300,000 6,295,658 
5% 5/1/37 10,000,000 11,577,100 
Series 2019 B1:   
5% 8/1/34 2,000,000 2,357,220 
5% 8/1/35 5,000,000 5,865,750 
New York Convention Ctr. Dev. Corp. Rev. Series 2015:   
5% 11/15/28 7,205,000 8,414,720 
5% 11/15/29 5,000,000 5,815,650 
New York Dorm. Auth. Mental Health Svcs. Facilities Impt. Rev. Series 2012 A, 5% 5/15/23 2,000,000 2,202,940 
New York Dorm. Auth. Sales Tax Rev.:   
Series 2016 A:   
5% 3/15/31 4,400,000 5,144,920 
5% 3/15/32 1,945,000 2,259,682 
5% 3/15/34 3,200,000 3,684,352 
Series 2018 C, 5% 3/15/38 8,285,000 9,547,551 
Series 2018 E, 5% 3/15/48 3,000,000 3,422,430 
New York Metropolitan Trans. Auth. Rev.:   
Series 2012 D, 5% 11/15/25 9,500,000 10,463,205 
Series 2012 F, 5% 11/15/24 4,600,000 5,073,432 
Series 2014 B, 5.25% 11/15/44 2,215,000 2,461,175 
Series 2014 C, 5% 11/15/21 2,500,000 2,703,900 
Series 2016 B, 5% 11/15/21 1,950,000 2,109,042 
Series 2017 C-2:   
0% 11/15/29 2,275,000 1,601,987 
0% 11/15/33 5,600,000 3,276,224 
New York Urban Dev. Corp. Rev.:   
(New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34 3,700,000 4,275,424 
Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32 3,130,000 3,651,333 
Series 2017 C, 5% 3/15/31 2,375,000 2,808,271 
Triborough Bridge & Tunnel Auth. Revs. 5% 11/15/22 1,970,000 2,208,547 
TOTAL NEW YORK  227,925,854 
North Carolina - 1.1%   
Charlotte Int'l. Arpt. Rev.:   
Series 2017 A:   
5% 7/1/35 2,000,000 2,324,300 
5% 7/1/42 2,875,000 3,269,680 
Series 2017 C:   
4% 7/1/36 1,500,000 1,595,790 
4% 7/1/37 1,500,000 1,588,950 
5% 7/1/29 2,575,000 3,094,996 
Nash Health Care Sys. Health Care Facilities Rev.:   
Series 2003, 5.5% 11/1/26 (FSA Insured) 1,200,000 1,222,404 
Series 2012, 5% 11/1/41 1,630,000 1,720,106 
New Hanover County Hosp. Rev. Series 2017, 5% 10/1/29 3,500,000 4,097,065 
North Carolina Med. Care Cmnty. Health Series 2017:   
5% 10/1/30 630,000 632,155 
5% 10/1/34 1,000,000 1,003,420 
North Carolina Med. Care Commission Health Care Facilities Rev. (Rex Healthcare Proj.) Series 2010 A, 5% 7/1/30 2,780,000 2,882,971 
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.:   
Series 2009 A, 5% 1/1/30 285,000 285,690 
Series 2015 A, 5% 1/1/28 3,500,000 4,095,490 
Series 2015 C, 5% 1/1/29 8,000,000 9,316,720 
Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2010 A, 5% 5/1/32 2,900,000 3,005,357 
TOTAL NORTH CAROLINA  40,135,094 
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 1,543,515 
McLean County Solid Waste Facilities Rev. (Great River Energy Projs.) Series 2010 B, 5.15% 7/1/40 3,700,000 3,824,875 
TOTAL NORTH DAKOTA  5,368,390 
Ohio - 2.1%   
Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46 4,200,000 4,594,800 
Allen County Hosp. Facilities Rev. Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) 1,600,000 1,752,512 
American Muni. Pwr., Inc. (Solar Electricity Prepayment Proj.) Series 2019 A:   
5% 2/15/38 1,500,000 1,703,880 
5% 2/15/39 1,000,000 1,132,290 
5% 2/15/44 3,150,000 3,529,764 
American Muni. Pwr., Inc. Rev.:   
(Greenup Hydroelectric Proj.):   
Series 2016 A, 5% 2/15/41 4,000,000 4,397,200 
Series 2016, 5% 2/15/46 1,280,000 1,400,397 
(Prairie State Energy Campus Proj.) Series 2015, 5% 2/15/28 5,900,000 6,652,604 
Series 2012 B:   
5% 2/15/42 705,000 752,298 
5% 2/15/42 (Pre-Refunded to 2/15/22 @ 100) 195,000 213,322 
Cleveland Arpt. Sys. Rev. Series 2016 A:   
5% 1/1/26 (FSA Insured) 500,000 572,980 
5% 1/1/27 (FSA Insured) 2,175,000 2,486,025 
5% 1/1/31 (FSA Insured) 1,000,000 1,124,810 
Cleveland Gen. Oblig. Series C, 5.25% 11/15/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,050,000 1,078,172 
Cleveland Income Tax Rev. Series 2018 A:   
5% 10/1/35 2,000,000 2,311,240 
5% 10/1/37 1,250,000 1,430,550 
5% 10/1/38 1,500,000 1,710,255 
Columbus City School District 5% 12/1/32 1,000,000 1,154,770 
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 5.25% 6/15/43 5,000,000 5,255,900 
Franklin County Rev. (Trinity Health Proj.) Series 2017, 5% 12/1/47 8,235,000 9,145,709 
Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/26 1,900,000 2,117,322 
Lake County Hosp. Facilities Rev.:   
Series 2015, 5% 8/15/26 1,170,000 1,342,189 
6% 8/15/43 400,000 401,320 
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 2,141,623 
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013:   
5% 2/15/44 1,900,000 1,938,133 
5% 2/15/48 4,400,000 4,473,700 
Ohio Gen. Oblig. Series 2018 A, 5% 6/15/37 3,470,000 3,947,229 
Ohio Hosp. Facilities Rev. Series 2017 A, 5% 1/1/31 2,500,000 2,980,900 
Ohio Tpk. Commission Tpk. Rev. (Infrastructure Proj.) Series 2005 A, 0% 2/15/42 5,800,000 2,324,408 
Scioto County Hosp. Facilities Rev. Series 2016, 5% 2/15/29 1,265,000 1,441,480 
Wood County Hosp. Facilities Rev. (Wood County Hosp. Assoc. Proj.) Series 2012:   
5% 12/1/32 400,000 417,644 
5% 12/1/42 505,000 518,751 
TOTAL OHIO  76,444,177 
Oklahoma - 0.7%   
Canadian Cny Edl. Facilities Auth. (Mustang Pub. Schools Proj.) Series 2017:   
5% 9/1/26 1,155,000 1,365,764 
5% 9/1/28 1,180,000 1,375,325 
Grand River Dam Auth. Rev. Series 2014 A, 5% 6/1/39 7,000,000 7,841,260 
Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015:   
5% 10/1/24 1,105,000 1,275,734 
5% 10/1/32 1,100,000 1,266,221 
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B:   
5% 8/15/33 600,000 665,208 
5% 8/15/38 1,800,000 1,935,540 
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 3,965,605 
Series 2012:   
5% 2/15/21 (Escrowed to Maturity) 955,000 1,016,254 
5% 2/15/24 (Pre-Refunded to 2/15/22 @ 100) 1,800,000 1,969,128 
Oklahoma Pwr. Auth. Pwr. Supply Sys. Rev. Series 2014 A, 5% 1/1/38 3,705,000 4,202,026 
TOTAL OKLAHOMA  26,878,065 
Oregon - 1.1%   
Clackamas County Hosp. Facility Auth. (Willamette View Proj.) Series 2017 B, 3% 11/15/22 425,000 425,315 
Oregon Bus. Dev. Commn Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) 18,000,000 18,224,280 
Oregon State Dept. of Administrative Svcs. Lottery Rev. Series 2011 A:   
5.25% 4/1/31 260,000 278,385 
5.25% 4/1/31 (Pre-Refunded to 4/1/21 @ 100) 1,640,000 1,762,098 
Polk Marion & Benton School District # 13J Series B, 0% 12/15/38 2,115,000 991,597 
Washington, Multnomah & Yamhill County School District #1J Series 2017:   
5% 6/15/33 1,080,000 1,268,363 
5% 6/15/35 3,135,000 3,645,597 
5% 6/15/36 3,000,000 3,474,480 
5% 6/15/37 4,000,000 4,613,320 
5% 6/15/38 3,000,000 3,446,280 
TOTAL OREGON  38,129,715 
Pennsylvania - 3.7%   
Allegheny County Hosp. Dev. Auth. Rev. (Univ. of Pittsburgh Med. Ctr. Proj.) Series 2009 A, 4.7% 8/15/19 1,000,000 1,015,559 
Cap. Region Wtr. Wtr. Rev. Series 2018:   
5% 7/15/26 1,000,000 1,179,320 
5% 7/15/38 1,000,000 1,130,930 
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 1,139,500 
Series 2018 A, 5% 11/15/24 1,000,000 1,141,840 
Coatesville Area School District Series 2017:   
5% 8/1/21 (FSA Insured) 920,000 978,208 
5% 8/1/22 (FSA Insured) 260,000 282,329 
5% 8/1/23 (FSA Insured) 450,000 497,516 
Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A, 5% 6/1/29 1,330,000 1,532,985 
Doylestown Hosp. Auth. Hosp. Rev. Series 2016 A, 5% 7/1/46 830,000 862,221 
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 2,387,574 
Series B, 1.8%, tender 8/15/22 (a) 3,255,000 3,173,072 
Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26 1,700,000 1,999,999 
Montgomery County Higher Ed. & Health Auth. Rev.:   
Series 2014 A, 5% 10/1/23 2,345,000 2,582,760 
Series 2016 A:   
5% 10/1/30 4,350,000 4,903,103 
5% 10/1/36 4,430,000 4,832,421 
5% 10/1/40 2,045,000 2,195,389 
Northampton County Gen. Purp. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2018 A, 4% 8/15/48 7,240,000 7,092,304 
Pennsylvania Ctfs. Prtn. Series 2018 A:   
5% 7/1/35 750,000 844,748 
5% 7/1/36 1,000,000 1,121,380 
5% 7/1/37 800,000 892,512 
5% 7/1/38 750,000 833,678 
5% 7/1/43 2,000,000 2,198,880 
Pennsylvania Gen. Oblig.:   
Series 2015 1, 5% 3/15/31 2,130,000 2,418,466 
Series 2015, 5% 3/15/33 2,460,000 2,776,848 
Series 2016, 5% 2/1/29 8,935,000 10,316,351 
Series 2017:   
5% 1/1/26 10,420,000 12,214,637 
5% 1/1/28 5,000,000 5,868,800 
Pennsylvania Higher Edl. Facilities Auth. Rev.:   
(Drexel Univ. Proj.) Series 2016, 5% 5/1/35 1,585,000 1,764,787 
Series 2016:   
5% 5/1/29 1,000,000 1,151,750 
5% 5/1/31 1,000,000 1,134,140 
Series 2017 A, 5% 8/15/46 7,035,000 7,968,052 
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 6,524,776 
Philadelphia Arpt. Rev. Series 2017 A:   
5% 7/1/28 500,000 593,420 
5% 7/1/29 500,000 589,685 
5% 7/1/30 550,000 642,774 
5% 7/1/31 600,000 696,318 
5% 7/1/32 550,000 634,288 
5% 7/1/33 600,000 688,578 
5% 7/1/42 2,390,000 2,665,710 
5% 7/1/47 2,000,000 2,222,980 
Philadelphia Gas Works Rev.:   
Series 2016 14, 5% 10/1/19 730,000 745,348 
Series 9, 5.25% 8/1/40 2,325,000 2,426,393 
5% 8/1/26 1,000,000 1,153,480 
5% 8/1/27 1,000,000 1,150,240 
5% 8/1/28 2,000,000 2,291,440 
Philadelphia School District:   
Series 2016 F, 5% 9/1/29 3,475,000 3,967,998 
Series 2018 A:   
5% 9/1/34 1,450,000 1,635,687 
5% 9/1/35 1,000,000 1,122,850 
Series 2018 B, 5% 9/1/43 1,395,000 1,520,090 
Pittsburgh & Alleg County Parkin Series 2017:   
5% 12/15/35 1,125,000 1,262,621 
5% 12/15/37 500,000 556,310 
Pocono Mountains Indl. Park Auth. (St. Luke's Hosp. - Monroe Proj.) Series 2015 A, 5% 8/15/40 1,795,000 1,938,187 
Southeastern Pennsylvania Trans. Auth. Rev. Series 2011, 5% 6/1/22 (Pre-Refunded to 6/1/21 @ 100) 1,000,000 1,074,180 
State Pub. School Bldg. Auth. Lease Rev. (Philadelphia School District Proj.) Series 2015 A, 5% 6/1/26 735,000 836,327 
Union County Hosp. Auth. Rev. Series 2018 B:   
5% 8/1/33 1,000,000 1,130,440 
5% 8/1/38 3,205,000 3,564,729 
5% 8/1/48 2,850,000 3,138,192 
TOTAL PENNSYLVANIA  135,205,100 
Rhode Island - 0.3%   
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.:   
Series 2016 B:   
5% 9/1/31 4,680,000 5,049,720 
5% 9/1/36 185,000 195,249 
Series 2016:   
5% 5/15/20 340,000 351,900 
5% 5/15/21 2,000,000 2,120,620 
5% 5/15/39 3,285,000 3,542,150 
TOTAL RHODE ISLAND  11,259,639 
South Carolina - 3.1%   
Lancaster County School District ( South Carolina Gen. Oblig. Proj.) Series 2017, 5% 3/1/22 1,845,000 2,025,478 
Richland County School District #2 Gen. Oblig. (South Carolina Gen. Oblig. Proj.) Series 2015 A, 5% 2/1/23 2,380,000 2,674,025 
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015, 5% 12/1/24 4,535,000 5,206,815 
South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev.:   
(Bon Secours Health Sys. Proj.) Series 2013, 5% 11/1/28 (Pre-Refunded to 11/1/22 @ 100) 1,800,000 1,999,188 
Series 2013, 5% 11/1/27 (Pre-Refunded to 11/1/22 @ 100) 2,900,000 3,220,914 
South Carolina Pub. Svc. Auth. Rev.:   
Series 2013 E, 5.5% 12/1/53 14,025,000 14,957,943 
Series 2014 A:   
5% 12/1/49 16,565,000 17,351,506 
5.5% 12/1/54 14,400,000 15,440,112 
Series 2015 A, 5% 12/1/50 2,045,000 2,143,037 
Series 2015 E, 5.25% 12/1/55 3,265,000 3,490,383 
Series 2016 B:   
5% 12/1/35 3,630,000 3,984,107 
5% 12/1/36 5,445,000 5,952,801 
Series 2016 C:   
5% 12/1/22 500,000 547,800 
5% 12/1/23 840,000 936,079 
5% 12/1/24 515,000 582,583 
5% 12/1/25 600,000 686,676 
5% 12/1/26 1,000,000 1,152,840 
5% 12/1/27 1,600,000 1,832,448 
South Carolina Trans. Infrastructure Bank Rev. Series 2015 A, 5% 10/1/23 1,430,000 1,624,652 
Spartanburg County Reg'l. Health Series 2017 A:   
4% 4/15/43 9,915,000 9,718,485 
4% 4/15/48 6,915,000 6,683,209 
5% 4/15/48 9,380,000 10,231,047 
TOTAL SOUTH CAROLINA  112,442,128 
South Dakota - 0.2%   
South Dakota Health & Edl. Facilities Auth. Rev.:   
Series 2014 B, 5% 11/1/44 5,000,000 5,394,900 
Series 2017:   
5% 7/1/30 850,000 989,213 
5% 7/1/35 725,000 817,670 
TOTAL SOUTH DAKOTA  7,201,783 
Tennessee - 0.8%   
Greeneville Health & Edl. Facilities Board Series 2018 A:   
5% 7/1/20 1,500,000 1,562,370 
5% 7/1/23 500,000 557,610 
5% 7/1/24 1,000,000 1,115,220 
5% 7/1/25 1,000,000 1,112,110 
Shelby County Health Edl. & Hsg. Facilities Board Rev. (Methodist Le Bonheur Health Proj.) Series 2017 A:   
5% 5/1/22 705,000 773,604 
5% 5/1/23 1,600,000 1,794,912 
5% 5/1/25 1,300,000 1,515,280 
5% 5/1/27 1,230,000 1,469,838 
5% 5/1/29 1,240,000 1,466,511 
5% 5/1/30 2,395,000 2,809,143 
5% 5/1/31 1,260,000 1,466,728 
Tennessee Energy Acquisition Corp. Bonds:   
(Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) 6,645,000 6,942,630 
Series 2018, 4%, tender 11/1/49 6,255,000 6,606,594 
TOTAL TENNESSEE  29,192,550 
Texas - 9.9%   
Arlington Spl. Tax Rev. Series 2018 C, 5% 2/15/45 1,730,000 1,809,840 
Austin Wtr. & Wastewtr. Sys. Rev. Series 2016, 5% 11/15/37 4,010,000 4,571,641 
Central Reg'l. Mobility Auth.:   
Series 2015 A:   
5% 1/1/40 2,000,000 2,179,200 
5% 1/1/45 1,000,000 1,082,430 
Series 2016:   
5% 1/1/40 3,000,000 3,283,560 
5% 1/1/46 1,800,000 1,955,160 
Corpus Christi Util. Sys. Rev. 5% 7/15/23 3,400,000 3,739,286 
Cypress-Fairbanks Independent School District:   
Series 2014 C, 5% 2/15/44 3,175,000 3,508,470 
Series 2016, 5% 2/15/27 1,885,000 2,232,443 
Dallas Area Rapid Transit Sales Tax Rev. Series 2016 A, 5% 12/1/33 1,625,000 1,878,386 
Dallas Fort Worth Int'l. Arpt. Rev. Series 2010 A, 5% 11/1/42 5,200,000 5,420,012 
Dallas Gen. Oblig. Series 2017:   
5% 2/15/29 3,420,000 4,052,221 
5% 2/15/30 4,935,000 5,807,952 
Dallas Independent School District Bonds Series 2016:   
5%, tender 2/15/22 (a) 30,000 32,819 
5%, tender 2/15/22 (a) 1,925,000 2,096,941 
Frisco Independent School District Series 2009, 5.375% 8/15/39 (Assured Guaranty Corp. Insured) 2,610,000 2,654,135 
Granbury Independent School District 0% 8/1/19 1,000,000 991,518 
Grand Parkway Trans. Corp.:   
Bonds Series 2018 B, 5%, tender 10/1/23 (a) 10,590,000 11,935,777 
Series 2013 B:   
5% 4/1/53 27,390,000 29,420,969 
5.25% 10/1/51 25,400,000 27,693,112 
5.5% 4/1/53 2,300,000 2,535,520 
Series 2018 A:   
5% 10/1/36 5,000,000 5,795,400 
5% 10/1/37 10,000,000 11,530,300 
5% 10/1/43 5,500,000 6,238,265 
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 4,129,080 
Harris County Toll Road Rev. (Harris County Toll Road Auth. Proj.) Series 2018 A, 5% 8/15/33 2,000,000 2,340,220 
Houston Arpt. Sys. Rev.:   
Series 2011 B:   
5% 7/1/25 1,460,000 1,564,594 
5% 7/1/26 3,000,000 3,212,010 
Series 2018 D:   
5% 7/1/29 1,900,000 2,299,532 
5% 7/1/30 2,500,000 2,997,850 
5% 7/1/31 2,250,000 2,675,318 
5% 7/1/32 2,000,000 2,361,660 
Houston Gen. Oblig. Series 2017 A, 5% 3/1/29 1,080,000 1,282,381 
Houston Independent School District Series 2017, 5% 2/15/35 1,600,000 1,851,568 
Houston Util. Sys. Rev.:   
Series 2014 C, 5% 5/15/28 1,485,000 1,698,350 
Series 2016 B, 5% 11/15/33 1,400,000 1,618,176 
Series 2018 D, 5% 11/15/43 1,845,000 2,110,256 
Irving Hosp. Auth. Hosp. Rev. Series 2017 A:   
5% 10/15/33 1,055,000 1,167,569 
5% 10/15/34 1,670,000 1,837,835 
5% 10/15/44 835,000 895,220 
Lower Colorado River Auth. Rev.:   
(LCRA Transmission Svcs. Corp. Proj.) Series 2018:   
5% 5/15/33 4,510,000 5,239,718 
5% 5/15/35 2,125,000 2,448,978 
Series 2015 B:   
5% 5/15/30 4,500,000 5,149,980 
5% 5/15/31 7,200,000 8,208,504 
Series 2015 D:   
5% 5/15/27 1,500,000 1,737,435 
5% 5/15/29 2,150,000 2,469,963 
New Hope Cultural Ed. Facilities Finc (Childrens Med. Ctr. of Dallas) Series 2017 A:   
5% 8/15/28 1,500,000 1,790,280 
5% 8/15/47 1,205,000 1,342,936 
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/29 2,100,000 2,371,551 
North Texas Tollway Auth. Rev.:   
(Sr. Lien Proj.) Series 2017 A, 5% 1/1/35 1,300,000 1,478,867 
(Sr. Lien Proj.) Series 2017 A:   
5% 1/1/30 1,425,000 1,640,360 
5% 1/1/34 1,000,000 1,143,630 
5% 1/1/36 1,200,000 1,360,596 
5% 1/1/37 4,705,000 5,313,498 
(Sub Lien Proj.) Series 2017 B:   
5% 1/1/30 265,000 304,252 
5% 1/1/31 370,000 421,985 
5% 1/1/33 1,500,000 1,714,305 
Series 2008 I, 6.2% 1/1/42 (Assured Guaranty Corp. Insured) 1,700,000 2,045,525 
Series 2009, 6.25% 1/1/39 560,000 561,887 
Series 2011 A:   
5.5% 9/1/41 (Pre-Refunded to 9/1/21 @ 100) 6,870,000 7,510,353 
6% 9/1/41 (Pre-Refunded to 9/1/21 @ 100) 2,100,000 2,322,054 
Series 2014 A:   
5% 1/1/23 950,000 1,061,169 
5% 1/1/24 2,500,000 2,848,925 
Series 2015 A, 5% 1/1/32 1,550,000 1,742,557 
Series 2015 B, 5% 1/1/31 7,115,000 8,048,630 
Series 2016 A:   
5% 1/1/32 3,000,000 3,421,980 
5% 1/1/39 1,000,000 1,109,330 
Series 2017 A, 5% 1/1/43 6,500,000 7,309,315 
Series 2018, 0% 1/1/29 (Assured Guaranty Corp. Insured) 15,110,000 11,315,426 
Northside Independent School District Bonds 2%, tender 6/1/21 (a) 1,915,000 1,911,093 
San Antonio Elec. & Gas Sys. Rev.:   
Series 2012, 5.25% 2/1/25 1,600,000 1,902,192 
Series 2017:   
5% 2/1/32 1,250,000 1,475,175 
5% 2/1/34 1,500,000 1,751,565 
5% 2/1/47 7,500,000 8,406,000 
San Antonio Gen. Oblig. Series 2018:   
5% 8/1/37 1,315,000 1,540,312 
5% 8/1/38 3,470,000 4,048,900 
San Antonio Independent School District Series 2016, 5% 8/15/31 2,010,000 2,342,454 
San Antonio Wtr. Sys. Rev. Series 2012:   
5% 5/15/25 3,540,000 3,890,885 
5% 5/15/26 7,000,000 7,682,080 
Southwest Higher Ed. Auth. Rev.:   
(Southern Methodist Univ. Proj.) Series 2016 A:   
5% 10/1/40 3,525,000 3,962,981 
5% 10/1/45 4,000,000 4,471,040 
(Southern Methodist Univ., TX. Proj.) Series 2017:   
5% 10/1/32 750,000 879,833 
5% 10/1/41 1,500,000 1,703,925 
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Series 2015, 5% 9/1/30 5,000,000 5,555,850 
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A:   
5% 2/15/25 395,000 458,595 
5% 2/15/41 8,335,000 9,220,177 
Texas Gen. Oblig.:   
Series 2014 A, 5% 10/1/44 3,000,000 3,334,740 
Series 2016, 5% 4/1/41 3,120,000 3,517,020 
Series 2017 B, 5% 10/1/36 3,300,000 3,832,620 
Series A, 5% 10/1/23 1,500,000 1,712,085 
Texas State Univ. Sys. Fing. Rev. Series 2017 A:   
5% 3/15/28 3,045,000 3,627,935 
5% 3/15/31 2,000,000 2,339,480 
Univ. of Houston Univ. Revs. Series 2017 A:   
5% 2/15/30 3,455,000 4,018,372 
5% 2/15/33 3,500,000 3,997,875 
Univ. of Texas Permanent Univ. Fund Rev. Series 2016 B, 5% 7/1/29 940,000 1,111,954 
TOTAL TEXAS  358,616,103 
Utah - 0.4%   
Salt Lake City Arpt. Rev.:   
Series 2017 B:   
5% 7/1/34 1,640,000 1,888,706 
5% 7/1/35 1,500,000 1,721,445 
5% 7/1/36 1,500,000 1,713,075 
5% 7/1/37 1,000,000 1,137,280 
Series 2018 B:   
5% 7/1/43 3,000,000 3,396,540 
5% 7/1/48 3,000,000 3,381,060 
Utah Associated Muni. Pwr. Sys. Rev. Series 2012 A, 5% 9/1/25 (Pre-Refunded to 9/1/22 @ 100) 1,680,000 1,865,304 
TOTAL UTAH  15,103,410 
Vermont - 0.2%   
Vermont Edl. & Health Bldg. Fin. Agcy. Rev. (Champlain College Proj.) Series 2016 A:   
5% 10/15/41 2,400,000 2,560,800 
5% 10/15/46 2,800,000 2,974,244 
TOTAL VERMONT  5,535,044 
Virginia - 0.5%   
Fredericksburg Econ. Dev. Auth. Rev. 5% 6/15/26 1,960,000 2,201,335 
Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds Series 2008 B, 2.15%, tender 9/1/20 (a) 6,000,000 5,993,460 
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.:   
(Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29 370,000 370,477 
Series 2016:   
4% 6/15/37 345,000 347,615 
5% 6/15/28 1,000,000 1,145,450 
5% 6/15/33 225,000 250,749 
5% 6/15/36 1,000,000 1,100,680 
Virginia College Bldg. Auth. Edl. Facilities Rev. Series 2015 A, 5% 1/1/40 1,400,000 1,585,066 
Virginia Commonwealth Trans. Board Rev. (Virginia Gen. Oblig. Proj.) Series 2017 A:   
5% 5/15/32 475,000 563,963 
5% 5/15/33 2,000,000 2,359,100 
Winchester Econ. Dev. Auth. Series 2015, 5% 1/1/44 2,500,000 2,720,275 
TOTAL VIRGINIA  18,638,170 
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) 1,200,000 911,568 
Port of Seattle Rev. Series 2016:   
5% 2/1/25 1,250,000 1,454,688 
5% 2/1/28 2,000,000 2,339,180 
Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. Series 2013 B, 5% 12/1/26 3,880,000 4,320,652 
Tacoma Elec. Sys. Rev. Series 2017:   
5% 1/1/37 1,000,000 1,138,630 
5% 1/1/38 1,000,000 1,134,580 
Tobacco Settlement Auth. Rev. Series 2013, 5% 6/1/22 3,500,000 3,784,375 
Washington Gen. Oblig.:   
Series 2015 C:   
5% 2/1/33 1,500,000 1,700,325 
5% 2/1/34 2,400,000 2,710,560 
Series 2017 D, 5% 2/1/33 2,100,000 2,441,817 
Series 2018 D, 5% 8/1/33 5,450,000 6,386,528 
Series C, 0% 6/1/21 (AMBAC Insured) 5,000,000 4,784,950 
Series R-2017 A:   
5% 8/1/27 945,000 1,131,883 
5% 8/1/28 945,000 1,126,119 
5% 8/1/30 945,000 1,110,432 
Washington Health Care Facilities Auth. Rev.:   
(Catholic Health Initiatives Proj.) Series 2008 D, 6.375% 10/1/36 7,000,000 7,024,010 
(MultiCare Health Sys. Proj.):   
Series 2008 B, 6% 8/15/39 (Pre-Refunded to 8/15/19 @ 100) 1,500,000 1,533,510 
Series 2010 A, 5.25% 8/15/20 2,325,000 2,368,640 
(Overlake Hosp. Med. Ctr. Proj.) Series 2010, 5.5% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) 3,800,000 3,996,232 
(Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B:   
5% 7/1/29 405,000 476,904 
5% 7/1/31 860,000 992,105 
5% 7/1/34 2,645,000 2,991,707 
5% 7/1/35 2,350,000 2,642,599 
5% 7/1/36 2,250,000 2,513,633 
5% 7/1/42 9,220,000 10,122,269 
(Providence Health Systems Proj.):   
Series 2012 A, 5% 10/1/24 6,700,000 7,410,468 
Series 2018 B:   
5% 10/1/30 1,200,000 1,429,848 
5% 10/1/31 1,500,000 1,771,950 
5% 10/1/32 1,035,000 1,214,997 
5% 10/1/33 2,500,000 2,911,900 
(Seattle Children's Hosp. Proj.) Series 2009, 5.625% 10/1/38 (Pre-Refunded to 10/1/19 @ 100) 2,200,000 2,256,672 
(Virginia Mason Med. Ctr. Proj.) Series 2017:   
5% 8/15/29 2,250,000 2,548,440 
5% 8/15/30 1,000,000 1,123,910 
Series 2015, 5% 1/1/26 2,000,000 2,313,560 
Washington Higher Ed. Facilities Auth. Rev. (Whitworth Univ. Proj.) Series 2016 A:   
5% 10/1/34 1,600,000 1,743,104 
5% 10/1/35 1,000,000 1,085,270 
5% 10/1/40 1,625,000 1,732,299 
Washington Hsg. Fin. Commission Nonprofit Hsg. Rev. (Judson Park Proj.) Series 2018:   
4% 7/1/28 (c) 100,000 98,151 
5% 7/1/33 (c) 100,000 103,535 
5% 7/1/38 (c) 100,000 102,409 
5% 7/1/48 (c) 300,000 304,722 
TOTAL WASHINGTON  99,289,131 
West Virginia - 0.3%   
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds 1.9%, tender 4/1/19 (a) 4,555,000 4,551,809 
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 A, 5% 1/1/33 1,840,000 2,087,498 
West Virginia Univ. Revs. (West Virginia Univ. Projs.) Series 2014 A, 5% 10/1/44 2,900,000 3,243,418 
TOTAL WEST VIRGINIA  9,882,725 
Wisconsin - 1.3%   
Pub. Fin. Auth. Sr Liv Rev. (Mary's Woods At Marylhurst, Inc. Proj.):   
Series 2017 A:   
5% 5/15/25 (c) 705,000 755,090 
5% 5/15/28 (c) 580,000 619,243 
5.25% 5/15/37 (c) 190,000 198,677 
5.25% 5/15/42 (c) 235,000 243,928 
5.25% 5/15/47 (c) 235,000 243,112 
5.25% 5/15/52 (c) 435,000 447,615 
Series 2017 B-1 3.95% 11/15/24 (c) 195,000 195,932 
Series 2017 B-2, 3.5% 11/15/23 (c) 250,000 250,045 
Series 2017 B-3, 3% 11/15/22 (c) 345,000 345,028 
Pub. Fin. Auth. Wisconsin Retirement Facility Rev. Series 2018:   
5% 10/1/43 (c) 515,000 519,285 
5% 10/1/48 (c) 615,000 617,768 
5% 10/1/53 (c) 1,050,000 1,050,725 
Wisconsin Health & Edl. Facilities:   
Bonds Series 2018 B, 5%, tender 1/29/25 (a) 10,000,000 11,550,200 
Series 2010:   
5.75% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) 370,000 390,387 
5.75% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) 630,000 664,713 
Series 2014:   
4% 5/1/33 1,475,000 1,493,039 
5% 5/1/23 1,410,000 1,548,589 
5% 5/1/25 775,000 861,149 
Series 2015, 5% 12/15/44 10,000,000 10,673,800 
Series 2016, 5% 2/15/29 (Pre-Refunded to 8/15/25 @ 100) 1,290,000 1,518,898 
Series 2017 A:   
5% 9/1/30 1,270,000 1,412,024 
5% 9/1/32 1,100,000 1,205,072 
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 1,051,640 
Series 2013 B:   
5% 7/1/26 (Pre-Refunded to 7/1/23 @ 100) 750,000 849,218 
5% 7/1/36 (Pre-Refunded to 7/1/23 @ 100) 1,900,000 2,151,351 
Series 2012:   
5% 10/1/24 1,400,000 1,544,340 
5% 6/1/27 1,000,000 1,076,270 
5% 6/1/39 1,190,000 1,260,472 
Wisconsin St Gen. Fund Annual Appropriation Series 2019 A, 5% 5/1/29 3,000,000 3,604,860 
TOTAL WISCONSIN  48,342,470 
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 2,643,581 
TOTAL MUNICIPAL BONDS   
(Cost $3,415,490,065)  3,486,130,416 
 Shares Value 
Money Market Funds - 2.3%   
Fidelity Tax-Free Cash Central Fund, 1.42% (f)(g)   
(Cost $84,000,000) 83,991,601 84,000,000 
TOTAL INVESTMENT IN SECURITIES - 98.9%   
(Cost $3,499,490,065)  3,570,130,416 
NET OTHER ASSETS (LIABILITIES) - 1.1%  41,372,432 
NET ASSETS - 100%  $3,611,502,848 

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 $23,319,786 or 0.6% 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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 $414,229 
Total $414,229 

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 January 31, 2019, 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 $3,486,130,416 $-- $3,486,130,416 $-- 
Money Market Funds 84,000,000 84,000,000 -- -- 
Total Investments in Securities: $3,570,130,416 $84,000,000 $3,486,130,416 $-- 

Other Information

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

General Obligations 26.4% 
Health Care 24.0% 
Transportation 16.2% 
Electric Utilities 8.3% 
Special Tax 6.6% 
Others* (Individually Less Than 5%) 18.5% 
 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

  January 31, 2019 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $3,415,490,065) 		$3,486,130,416  
Fidelity Central Funds (cost $84,000,000) 84,000,000  
Total Investment in Securities (cost $3,499,490,065)  $3,570,130,416 
Cash  35,150,954 
Receivable for fund shares sold  1,914,966 
Interest receivable  38,547,362 
Distributions receivable from Fidelity Central Funds  50,352 
Prepaid expenses  4,388 
Receivable from investment adviser for expense reductions  623,605 
Other receivables  9,041 
Total assets  3,646,431,084 
Liabilities   
Payable for investments purchased on a delayed delivery basis $11,500,000  
Payable for fund shares redeemed 17,022,072  
Distributions payable 4,962,504  
Accrued management fee 1,067,897  
Other affiliated payables 309,540  
Other payables and accrued expenses 66,223  
Total liabilities  34,928,236 
Net Assets  $3,611,502,848 
Net Assets consist of:   
Paid in capital  $3,543,354,130 
Total distributable earnings (loss)  68,148,718 
Net Assets, for 317,718,033 shares outstanding  $3,611,502,848 
Net Asset Value, offering price and redemption price per share ($3,611,502,848 ÷ 317,718,033 shares)  $11.37 

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


Statement of Operations

  Year ended January 31, 2019 
Investment Income   
Interest  $119,003,215 
Income from Fidelity Central Funds  414,229 
Total income  119,417,444 
Expenses   
Management fee $12,999,153  
Transfer agent fees 3,099,393  
Accounting fees and expenses 603,955  
Custodian fees and expenses 26,923  
Independent trustees' fees and expenses 16,734  
Registration fees 134,225  
Audit 80,728  
Legal 7,262  
Miscellaneous 24,644  
Total expenses before reductions 16,993,017  
Expense reductions (7,871,777)  
Total expenses after reductions  9,121,240 
Net investment income (loss)  110,296,204 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (2,269,012)  
Total net realized gain (loss)  (2,269,012) 
Change in net unrealized appreciation (depreciation) on investment securities  (1,393,192) 
Net gain (loss)  (3,662,204) 
Net increase (decrease) in net assets resulting from operations  $106,634,000 

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


Statement of Changes in Net Assets

 Year ended January 31, 2019 Year ended January 31, 2018 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $110,296,204 $103,753,347 
Net realized gain (loss) (2,269,012) 14,800,741 
Change in net unrealized appreciation (depreciation) (1,393,192) 16,885,586 
Net increase (decrease) in net assets resulting from operations 106,634,000 135,439,674 
Distributions to shareholders (117,926,798) – 
Distributions to shareholders from net investment income – (103,677,226) 
Distributions to shareholders from net realized gain – (14,330,519) 
Total distributions (117,926,798) (118,007,745) 
Share transactions   
Proceeds from sales of shares 1,289,299,373 1,185,580,313 
Reinvestment of distributions 55,686,296 60,877,913 
Cost of shares redeemed (1,499,889,554) (607,578,370) 
Net increase (decrease) in net assets resulting from share transactions (154,903,885) 638,879,856 
Total increase (decrease) in net assets (166,196,683) 656,311,785 
Net Assets   
Beginning of period 3,777,699,531 3,121,387,746 
End of period $3,611,502,848 $3,777,699,531 
Other Information   
Undistributed net investment income end of period  $45,711 
Shares   
Sold 114,579,701 103,174,916 
Issued in reinvestment of distributions 4,941,784 5,314,256 
Redeemed (133,580,163) (53,049,241) 
Net increase (decrease) (14,058,678) 55,439,931 

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


Financial Highlights

Fidelity Tax-Free Bond Fund

      
Years ended January 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $11.39 $11.30 $11.77 $11.91 $11.18 
Income from Investment Operations      
Net investment income (loss)A .340 .352 .377 .401 .414 
Net realized and unrealized gain (loss) .003B .139 (.408) (.124) .734 
Total from investment operations .343 .491 (.031) .277 1.148 
Distributions from net investment income (.340) (.352) (.377) (.401) (.417) 
Distributions from net realized gain (.023) (.049) (.062) (.016) (.001) 
Total distributions (.363) (.401) (.439) (.417) (.418) 
Redemption fees added to paid in capitalA – – –C –C –C 
Net asset value, end of period $11.37 $11.39 $11.30 $11.77 $11.91 
Total ReturnD 3.09% 4.38% (.31)% 2.43% 10.45% 
Ratios to Average Net AssetsE,F      
Expenses before reductions .46% .46% .46% .46% .46% 
Expenses net of fee waivers, if any .25% .25% .25% .25% .25% 
Expenses net of all reductions .25% .25% .25% .25% .25% 
Net investment income (loss) 3.02% 3.06% 3.21% 3.46% 3.59% 
Supplemental Data      
Net assets, end of period (000 omitted) $3,611,503 $3,777,700 $3,121,388 $3,069,030 $2,922,473 
Portfolio turnover rateG 23% 17% 23% 9% 5% 

 A Calculated based on average shares outstanding during the period.

 B The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.

 C Amount represents less than $.0005 per share.

 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 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

For the period ended January 31, 2019

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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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 January 31, 2019 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. As of January 31, 2019, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 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 and capital loss carryforwards.

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 $87,008,357 
Gross unrealized depreciation (16,193,716) 
Net unrealized appreciation (depreciation) $70,814,641 
Tax Cost $3,499,315,775 

The tax-based components of distributable earnings as of period end were as follows:

Capital loss carryforward $(2,189,333) 
Net unrealized appreciation (depreciation) on securities and other investments $70,814,641 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

No expiration  
Short-term $(2,189,333) 

The tax character of distributions paid was as follows:

 January 31, 2019 January 21, 2018 
Tax-exempt Income $110,484,531 $103,677,226 
Long-term Capital Gains 7,442,267 14,330,519 
Total $117,926,798 $ 118,007,745 

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 Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.

Financial Statement Current Line-Item Presentation (As Applicable) Prior Line-Item Presentation (As Applicable) 
Statement of Assets and Liabilities Total distributable earnings (loss) Undistributed/Distributions in excess of/Accumulated net investment income (loss)
Accumulated/Undistributed net realized gain (loss)
Net unrealized appreciation (depreciation) 
Statement of Changes in Net Assets N/A - removed Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period 
Statement of Changes in Net Assets Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $803,162,913 and $930,775,159, 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 annual 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 annual 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 annual 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 $9,942 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 May 31, 2020. 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 $7,825,030.

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 $26,923.

In addition, during the period the investment adviser reimbursed and/or waived a portion of operating expenses in the amount of $19,824.

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.

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Tax-Free Bond Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity Tax-Free Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2019, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of January 31, 2019, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of January 31, 2019, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 14, 2019


We have served as the auditor of one or more of the Fidelity investment companies since 1999.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 260 funds. Mr. Chiel oversees 155 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Arthur E. Johnson serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney’s Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). She is the President of First to Four LLC (leadership and mentoring services, 2012-present). She also serves as a member of the Board of Directors and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor, and aerospace systems, 2013-present), Board of Directors and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and Board of Directors of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a Member of the Advisory Board of certain Fidelity® funds (2018), a member of the Board of Directors and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board of Directors, Chair of the Nomination and Governance Committee and member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Board of Directors of the Army Historical Foundation (2015-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present) and a member of the Board of Trustees of Florida Institute of Technology (2015-present) and ThanksUSA (military family education non-profit, 2014-present).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as interim president of Michigan State University (2018-2019), a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007), and Chase Manhattan Bank (1975-1978).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

William C. Coffey (1969)

Year of Election or Appointment: 2018

Secretary and Chief Legal Officer (CLO)

Mr. Coffey also serves as Secretary and CLO of other funds. Mr. Coffey serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-present); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Assistant Secretary of certain funds (2009-2018) and as Vice President and Associate General Counsel of FMR LLC (2005-2009).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018). 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as President Fixed Income, High Income/Emerging Market Debt and Multi Asset Class Strategies of FIAM LLC (2018-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), President Multi-Asset Class Strategies of FMR's Global Asset Allocation Division (2017-2018), Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

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 (August 1, 2018 to January 31, 2019).

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
August 1, 2018 		Ending
Account Value
January 31, 2019 		Expenses Paid
During Period-B
August 1, 2018
to January 31, 2019 
Actual .25% $1,000.00 $1,020.70 $1.27 
Hypothetical-C  $1,000.00 $1,023.95 $1.28 

 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 184/365 (to reflect the one-half year period).

 C 5% return per year before expenses

Distributions (Unaudited)

During fiscal year ended 2019, 100% of the fund's income dividends was free from federal income tax, and 0.00% of the fund's income dividends was subject to the federal alternative minimum tax.

The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Tax-Free Bond Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2018 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for funds that had such fees; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

Fidelity Tax-Free Bond Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2017.

The Board noted that it and the boards of other Fidelity funds formed an ad hoc Committee on Group Fee, which meets periodically, to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. The Committee's focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of the fund's total expense ratio, the Board considered the fund's management fee rate as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the fund's total expense ratio ranked below the competitive median for 2017.

The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, fees and expenses of the Independent Trustees, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of its average net assets, exceed 0.25% through March 31, 2019.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered 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 potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus the assets of sector funds previously under FMR's management). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as group assets increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of Fidelity's voluntary expense limitation agreements; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (ix) the impact of recent changes to the money market fund landscape, including the full implementation of money market fund reform and rising interest rates, on Fidelity's money market funds; (x) the funds' share class structures and distribution channels; and (xi) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.





Fidelity Investments

SFB-ANN-0319
1.769635.117

Item 2.

Code of Ethics


As of the end of the period, January 31, 2019, Fidelity Salem Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer.  A copy of the code of ethics is filed as an exhibit to this Form N-CSR.


Item 3.

Audit Committee Financial Expert


The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR.   Ms. Acton is independent for purposes of Item 3 of Form N-CSR.  



Item 4.  

Principal Accountant Fees and Services


Fees and Services


The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity SAI Tax-Free Bond Fund, Fidelity Series Large Cap Value Index Fund and Fidelity Tax-Free Bond Fund (the “Funds”):


Services Billed by Deloitte Entities


January 31, 2019 FeesA,B

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity SAI Tax-Free Bond Fund

 $44,000  

$-

 $4,900

         $300

Fidelity Series Large Cap Value Index Fund

$47,000

$100

$6,300

        $1,400

Fidelity Tax-Free Bond Fund

 $52,000  

$100

 $5,100    

        $1,500



January 31, 2018 FeesA,B

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity SAI Tax-Free Bond Fund

 $-  

$-

 $-   

         $-

Fidelity Series Large Cap Value Index Fund

$48,000

$100

$6,300

                      $1,500

Fidelity Tax-Free Bond Fund

 $54,000  

$100

 $5,100    

           $1,200

 

 

 

 

 


A Amounts may reflect rounding.

B Fidelity SAI Tax-Free Bond Fund commenced operations on October 2, 2018.


The following table presents fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are rendered on behalf of Fidelity Management & Research Company (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Funds (“Fund Service Providers”):


Services Billed by Deloitte Entities



 

January 31, 2019A,B

January 31, 2018A,B

Audit-Related Fees

 $290,000

 $3,000

Tax Fees

$5,000

$20,000

All Other Fees

$-

$-


A Amounts may reflect rounding.

B May include amounts billed prior to the Fidelity SAI Tax-Free Bond Fund’s commencement of operations.



“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.


“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.


“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.  


Assurance services must be performed by an independent public accountant.


* * *


The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and



any Fund Service Provider for each of the last two fiscal years of the Funds are as follows:


Billed By

January 31, 2019A,B

January 31, 2018A,B

Deloitte Entities

$775,000

$320,000


A Amounts may reflect rounding.

B May include amounts billed prior to the Fidelity SAI Tax-Free Bond Fund’s commencement of operations.



The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the Funds, taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Funds and their related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.


Audit Committee Pre-Approval Policies and Procedures

 

The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.


The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.


All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.




Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.


Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)


There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds’ last two fiscal years relating to services provided to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.




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 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 trust’s 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)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(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:

March 27, 2019



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:

March 27, 2019



By:

/s/John J. Burke III

 

John J. Burke III

 

Chief Financial Officer

 

 

Date:

March 27, 2019