N-Q 1 filing836.htm PRIMARY DOCUMENT

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY


Investment Company Act file number   811-2105


Fidelity Salem Street Trust

(Exact name of registrant as specified in charter)


245 Summer St., Boston, Massachusetts  02210

(Address of principal executive offices)       (Zip code)


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:

August 31



Date of reporting period:

May 31, 2019


Item 1.

Schedule of Investments






Quarterly Holdings Report
for

Fidelity® Series Government Money Market Fund

May 31, 2019







GVM-QTLY-0719
1.9868904.103





Schedule of Investments May 31, 2019 (Unaudited)

Showing Percentage of Net Assets

U.S. Treasury Debt - 6.5%    
 Yield(a) Principal Amount Value 
U.S. Treasury Obligations - 6.5%    
U.S. Treasury Bills    
6/6/19 to 11/14/19 2.42 to 2.49 (b)% $413,200,000 $410,932,570 
U.S. Treasury Notes    
8/15/19 to 4/30/20 2.32 to 2.48 (c) 75,000,000 75,048,334 
TOTAL U.S. TREASURY DEBT    
(Cost $485,980,904)   485,980,904 
U.S. Government Agency Debt - 48.9%    
Federal Agencies - 48.9%    
Fannie Mae    
7/30/19 to 10/30/20 2.46 to 2.52 (c)(d) 68,500,000 68,500,000 
Federal Farm Credit Bank    
9/19/19 to 4/29/20 2.36 to 2.42 (c)(d) 15,000,000 14,999,183 
Federal Home Loan Bank    
6/3/19 to 3/12/21 2.26 to 2.52 (c)(e) 3,458,400,000 3,452,189,237 
Freddie Mac    
6/19/19 to 9/8/20 2.37 to 2.49 (c) 148,000,000 147,999,695 
TOTAL U.S. GOVERNMENT AGENCY DEBT    
(Cost $3,683,688,115)   3,683,688,115 

U.S. Government Agency Repurchase Agreement - 15.6%   
 Maturity Amount Value 
In a joint trading account at 2.5% dated 5/31/19 due 6/3/19 (Collateralized by U.S. Government Obligations) # $310,309,541 $310,245,000 
With:   
Barclays Bank PLC at:   
2.41%, dated:   
5/24/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $18,372,291, 4.00%, 2/20/49) 18,033,740 18,000,000 
5/28/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $18,367,375, 4.00%, 2/20/49) 18,036,150 18,000,000 
5/29/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $18,366,146, 4.00%, 2/20/49) 18,036,150 18,000,000 
2.44%, dated 5/8/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $15,326,962, 4.00%, 2/20/49) 15,033,550 15,000,000 
BMO Capital Markets Corp. at:   
2.41%, dated 5/29/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $4,081,367, 3.00% - 3.44%, 4/20/49 - 6/1/49) 4,008,033 4,000,000 
2.42%, dated 5/30/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $4,081,098, 2.13% - 4.00%, 5/15/23 - 6/1/49) 4,007,798 4,000,000 
BMO Harris Bank NA at:   
2.4%, dated 5/24/19 due 6/7/19:   
(Collateralized by U.S. Government Obligations valued at $9,186,121, 2.77% - 4.16%, 4/1/32 - 5/20/68) 9,018,600 9,000,000 
(Collateralized by U.S. Government Obligations valued at $9,186,120, 2.18% - 8.00%, 11/1/26 - 11/20/68) 9,018,600 9,000,000 
2.41%, dated 5/29/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $9,183,073, 2.18% - 4.58%, 10/1/41 - 5/1/49) 9,018,075 9,000,000 
2.42%, dated 5/22/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $9,187,405, 3.50% - 4.50%, 11/1/43 - 10/1/48) 9,032,670 9,000,000 
BNP Paribas, SA at:   
2.43%, dated:   
5/6/19 due 6/5/19 (Collateralized by U.S. Government Obligations valued at $12,271,086, 0.00% - 6.50%, 9/12/19 - 3/1/49) 12,024,300 12,000,000 
5/7/19 due 6/6/19 (Collateralized by U.S. Government Obligations valued at $14,318,376, 0.00% - 6.63%, 8/23/19 - 12/20/48) 14,028,350 14,000,000 
5/16/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $17,500,147, 0.00% - 7.25%, 6/12/19 - 4/20/49) 17,078,030 17,000,000 
5/23/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $17,454,615, 0.00% - 4.50%, 8/15/25 - 2/1/49) 17,073,440 17,000,000 
2.44%, dated:   
5/3/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $18,423,366, 0.00% - 6.50%, 6/12/19 - 3/20/49) 18,109,800 18,000,000 
5/21/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $17,394,712, 0.00% - 7.25%, 2/15/20 - 12/20/48) 17,103,700 17,000,000 
2.46%, dated:   
4/18/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $2,061,555, 0.00% - 5.00%, 11/15/22 - 3/20/49) 2,012,573 2,000,000 
4/22/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $17,480,300, 0.00% - 7.00%, 2/15/20 - 3/20/49) 17,105,712 17,000,000 
BofA Securities, Inc. at:   
2.42%, dated 5/17/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $17,359,817, 4.29% - 4.42%, 3/20/69 - 4/20/69) 17,035,426 17,000,000 
2.43%, dated 5/3/19 due 6/5/19 (Collateralized by U.S. Government Obligations valued at $37,818,971, 3.50%, 5/1/49) 37,082,418 37,000,000 
CIBC Bank U.S.A. at:   
2.41%, dated 5/22/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $9,187,375, 3.50% - 4.50%, 5/1/47 - 1/1/49) 9,034,343 9,000,000 
2.43%, dated:   
4/11/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $4,094,632, 0.00% - 5.00%, 11/15/26 - 12/1/48) 4,025,650 4,000,000 
4/12/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $6,141,525, 4.00% - 4.50%, 10/1/47 - 1/1/49) 6,038,070 6,000,000 
4/16/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $10,233,048, 3.00% - 5.00%, 12/1/42 - 11/20/48) 10,060,750 10,000,000 
Citibank NA at:   
2.46%, dated 5/28/19 due 6/4/19 (Collateralized by U.S. Treasury Obligations valued at $3,061,305, 0.00% - 5.38%, 6/13/19 - 5/15/47) 3,001,435 3,000,000 
2.47%, dated 5/28/19 due 6/4/19 (Collateralized by U.S. Government Obligations valued at $20,467,665, 1.38% - 5.13%, 7/30/19 - 4/1/49) 20,009,606 20,000,000 
Deutsche Bank AG, New York at 2.52%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Government Obligations valued at $4,120,865, 3.75%, 11/15/46) 4,000,840 4,000,000 
HSBC Securities, Inc. at 2.49%, dated 5/30/19 due 6/6/19 (Collateralized by U.S. Government Obligations valued at $23,466,491, 3.50% - 4.00%, 11/1/33 - 3/1/47) 23,011,136 23,000,000 
ING Financial Markets LLC at:   
2.46%, dated:   
5/7/19 due 7/10/19 (Collateralized by U.S. Government Obligations valued at $9,196,938, 2.50% - 4.00%, 10/1/27 - 11/1/48) 9,039,360 9,000,000 
5/31/19 due 8/29/19 (Collateralized by U.S. Government Obligations valued at $9,181,882, 2.50% - 4.00%, 10/1/27 - 11/1/48) 9,055,350 9,000,000 
2.47%, dated 5/10/19 due 8/8/19 (Collateralized by U.S. Government Obligations valued at $5,108,398, 2.50% - 7.50%, 12/1/26 - 3/1/49) 5,030,875 5,000,000 
2.48%, dated:   
5/16/19 due 8/13/19 (Collateralized by U.S. Government Obligations valued at $5,106,324, 2.50% - 4.50%, 12/1/25 - 11/1/48) 5,030,656 5,000,000 
5/17/19 due 8/13/19 (Collateralized by U.S. Government Obligations valued at $9,190,752, 2.50% - 4.00%, 10/1/27 - 11/1/48) 9,054,560 9,000,000 
5/28/19 due 6/4/19 (Collateralized by U.S. Government Obligations valued at $5,102,108, 3.00% - 4.67%, 11/1/29 - 11/1/48) 5,002,411 5,000,000 
2.49%, dated:   
4/10/19 due 7/9/19 (Collateralized by U.S. Government Obligations valued at $3,071,429, 2.50% - 4.50%, 10/1/27 - 11/1/48) 3,018,675 3,000,000 
4/15/19 due 7/22/19 (Collateralized by U.S. Government Obligations valued at $3,070,371, 3.50% - 4.50%, 3/1/34 - 11/1/48) 3,020,335 3,000,000 
4/18/19 due 7/22/19 (Collateralized by U.S. Government Obligations valued at $12,278,944, 2.50% - 4.00%, 10/1/27 - 11/1/48) 12,078,850 12,000,000 
2.5%, dated 5/29/19 due 6/5/19 (Collateralized by U.S. Government Obligations valued at $5,101,771, 2.50% - 4.00%, 10/1/27 - 11/1/48) 5,002,431 5,000,000 
2.51%, dated:   
3/20/19 due 6/18/19:   
(Collateralized by U.S. Government Obligations valued at $9,228,004, 2.50% - 4.00%, 10/1/27 - 11/1/48) 9,056,475 9,000,000 
(Collateralized by U.S. Government Obligations valued at $9,228,004, 2.50% - 4.00%, 10/1/27 - 11/1/48) 9,056,475 9,000,000 
(Collateralized by U.S. Government Obligations valued at $7,177,337, 2.50% - 4.00%, 10/1/27 - 11/1/48) 7,043,925 7,000,000 
3/21/19 due 6/19/19 (Collateralized by U.S. Government Obligations valued at $9,227,364, 2.50% - 4.00%, 10/1/27 - 11/1/48) 9,056,475 9,000,000 
3/22/19 due 6/20/19 (Collateralized by U.S. Government Obligations valued at $7,176,341, 2.50% - 4.00%, 10/1/27 - 11/1/48) 7,043,925 7,000,000 
J.P. Morgan Securities, LLC at:   
2.47%, dated 5/28/19 due 6/4/19 (Collateralized by U.S. Government Obligations valued at $14,285,879, 3.00% - 7.00%, 11/1/28 - 10/1/47) 14,006,724 14,000,000 
2.5%, dated 5/30/19 due 6/6/19 (Collateralized by U.S. Government Obligations valued at $43,872,183, 2.96% - 6.00%, 5/1/21 - 5/1/49) 43,020,903 43,000,000 
Mitsubishi UFJ Securities (U.S.A.), Inc. at:   
2.43%, dated:   
5/21/19 due 7/19/19 (Collateralized by U.S. Government Obligations valued at $9,188,056, 2.85% - 4.58%, 12/1/34 - 2/1/48) 9,035,843 9,000,000 
5/28/19 due 7/29/19 (Collateralized by U.S. Government Obligations valued at $12,244,957, 3.50% - 4.83%, 5/1/33 - 3/1/49) 12,050,220 12,000,000 
2.44%, dated:   
5/15/19 due 7/15/19 (Collateralized by U.S. Government Obligations valued at $9,191,822, 2.50% - 5.00%, 9/1/23 - 11/1/41) 9,037,210 9,000,000 
5/17/19 due 7/16/19 (Collateralized by U.S. Government Obligations valued at $12,254,103, 3.27% - 5.00%, 3/1/21 - 3/1/50) 12,048,800 12,000,000 
2.45%, dated:   
5/6/19 due 7/8/19 (Collateralized by U.S. Government Obligations valued at $10,219,437, 2.50% - 5.50%, 8/1/25 - 4/1/49) 10,042,875 10,000,000 
5/8/19 due 7/10/19 (Collateralized by U.S. Government Obligations valued at $16,348,877, 2.50% - 4.84%, 7/1/24 - 9/1/42) 16,068,600 16,000,000 
5/9/19 due 7/11/19 (Collateralized by U.S. Government Obligations valued at $13,282,560, 2.22% - 4.71%, 4/1/41 - 10/1/47) 13,055,738 13,000,000 
2.5%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Government Obligations valued at $4,080,850, 2.31% - 4.48%, 4/1/27 - 9/1/46) 4,000,833 4,000,000 
Morgan Stanley & Co., LLC at 2.51%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $56,111,758, 0.00% - 6.13%, 10/10/19 - 2/15/38) 55,011,504 55,000,000 
MUFG Securities (Canada), Ltd. at 2.44%, dated:   
5/13/19 due 7/12/19 (Collateralized by U.S. Government Obligations valued at $6,128,711, 4.00%, 4/1/49) 6,024,400 6,000,000 
5/17/19 due 7/16/19 (Collateralized by U.S. Government Obligations valued at $3,063,527, 4.50%, 11/1/47) 3,012,200 3,000,000 
RBC Dominion Securities at:   
2.41%, dated:   
5/22/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $27,564,514, 0.63% - 5.00%, 7/15/20 - 5/20/49) 27,092,183 27,000,000 
5/28/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $18,445,506, 0.50% - 5.00%, 7/15/20 - 5/20/49) 18,074,710 18,000,000 
2.42%, dated 5/17/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $13,275,312, 1.25% - 4.50%, 7/15/20 - 10/20/48) 13,027,091 13,000,000 
RBC Financial Group at:   
2.41%, dated 5/29/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $17,346,546, 2.85% - 5.00%, 5/1/27 - 5/20/49) 17,034,142 17,000,000 
2.43%, dated 5/13/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $35,818,895, 2.00% - 5.00%, 5/1/28 - 10/25/58) 35,141,750 35,000,000 
2.44%, dated:   
4/15/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $11,257,263, 2.85% - 5.00%, 5/1/27 - 6/1/51) 11,065,609 11,000,000 
4/22/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $53,190,987, 3.50% - 4.00%, 9/1/47 - 6/1/49) 52,211,467 52,000,000 
4/24/19 due 6/7/19 (Collateralized by U.S. Government Obligations valued at $8,182,123, 2.96% - 4.59%, 7/1/27 - 6/1/51) 8,033,076 8,000,000 
TD Securities (U.S.A.) at 2.5%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Government Obligations valued at $11,222,338, 4.00%, 10/1/48) 11,002,292 11,000,000 
TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT   
(Cost $1,174,245,000)  1,174,245,000 
U.S. Treasury Repurchase Agreement - 24.2%   
With:   
Barclays Bank PLC at 2.41%, dated 5/15/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $25,532,458, 2.75%, 8/15/21) 25,050,208 25,000,000 
Barclays Capital, Inc. at 2.48%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $8,161,622, 2.13%, 5/31/21) 8,001,653 8,000,000 
BMO Harris Bank NA at:   
2.41%, dated:   
5/22/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,173,708, 7.88%, 2/15/21) 8,012,318 8,000,000 
5/30/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,190,795, 3.50%, 5/15/20) 8,045,522 8,000,000 
2.42%, dated:   
4/24/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $4,174,093, 3.88%, 8/15/40) 4,015,327 4,000,000 
6/3/19 due 6/7/19(f) 5,028,233 5,000,000 
2.43%, dated:   
4/16/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,194,580, 2.13%, 12/31/22) 8,044,820 8,000,000 
4/18/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $13,295,423, 2.75% - 2.88%, 5/31/23 - 11/15/46) 13,040,365 13,000,000 
2.44%, dated:   
4/22/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $5,223,941, 3.00%, 2/15/47) 5,028,467 5,000,000 
5/1/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,337,115, 2.88%, 5/15/43) 8,033,076 8,000,000 
BNP Paribas, SA at:   
2.41%, dated:   
5/10/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $17,368,336, 0.00% - 8.13%, 9/12/19 - 8/15/45) 17,035,280 17,000,000 
5/13/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $25,535,896, 0.00% - 4.38%, 10/10/19 - 2/15/45) 25,100,417 25,000,000 
5/14/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $28,598,334, 2.00% - 3.00%, 6/30/21 - 2/15/45) 28,116,216 28,000,000 
5/15/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $29,618,026, 0.00% - 6.00%, 10/10/19 - 8/15/45) 29,120,366 29,000,000 
5/17/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $28,592,670, 0.00% - 3.75%, 8/1/19 - 2/15/46) 28,103,094 28,000,000 
5/20/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,335,342, 1.38% - 3.13%, 5/31/21 - 5/15/49) 16,054,627 16,000,000 
5/23/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,332,167, 2.50% - 3.88%, 5/15/21 - 2/15/45) 16,068,551 16,000,000 
5/24/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,382,385, 1.25% - 3.00%, 6/30/23 - 2/15/45) 16,070,693 16,000,000 
2.42%, dated:   
5/6/19 due 6/5/19 (Collateralized by U.S. Treasury Obligations valued at $13,415,306, 2.88% - 3.75%, 8/15/41 - 5/15/43) 13,026,217 13,000,000 
5/9/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $17,369,185, 2.25% - 2.88%, 2/29/20 - 6/30/25) 17,068,567 17,000,000 
5/22/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $10,208,328, 0.00% - 3.00%, 6/18/19 - 8/15/42) 10,060,500 10,000,000 
2.43%, dated:   
4/16/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,533,400, 2.25%, 8/15/46) 16,066,960 16,000,000 
4/17/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $24,557,729, 0.00% - 2.88%, 10/10/19 - 11/15/46) 24,100,440 24,000,000 
4/18/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $12,278,024, 0.00% - 4.38%, 7/18/19 - 11/15/46) 12,050,220 12,000,000 
4/22/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $18,412,154, 2.25% - 2.88%, 7/31/23 - 11/15/46) 18,072,900 18,000,000 
2.44%, dated:   
4/15/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $33,803,024, 2.00% - 3.88%, 7/31/20 - 11/15/46) 33,203,537 33,000,000 
4/16/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,373,217, 2.75% - 4.38%, 2/15/28 - 11/15/46) 16,098,684 16,000,000 
4/17/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $27,627,813, 0.00% - 4.38%, 7/25/19 - 11/15/46) 27,166,530 27,000,000 
4/18/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $12,278,276, 1.38% - 3.88%, 1/31/21 - 5/15/49) 12,074,013 12,000,000 
4/22/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $19,435,281, 0.00% - 3.75%, 4/23/20 - 11/15/46) 19,117,188 19,000,000 
4/26/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,362,098, 0.00% - 4.38%, 6/11/19 - 2/15/45) 16,065,067 16,000,000 
4/29/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,179,532, 1.63% - 4.38%, 7/31/22 - 8/15/45) 8,032,533 8,000,000 
5/1/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,178,254, 2.25% - 3.00%, 10/31/23 - 8/15/45) 8,033,076 8,000,000 
5/2/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $11,244,378, 0.00% - 4.38%, 6/20/19 - 11/15/45) 11,045,479 11,000,000 
2.45%, dated:   
4/25/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $12,272,569, 0.00% - 5.50%, 7/16/19 - 8/15/45) 12,073,500 12,000,000 
4/26/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $25,463,759, 1.50% - 4.38%, 5/31/20 - 11/15/45) 25,052,513 24,900,000 
4/29/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,179,549, 0.00% - 3.75%, 9/12/19 - 11/15/42) 8,049,544 8,000,000 
5/1/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,178,942, 0.00% - 6.88%, 7/31/19 - 8/15/47) 8,049,000 8,000,000 
CIBC Bank U.S.A. at:   
2.4%, dated 5/22/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $4,083,825, 1.63% - 3.63%, 10/31/20 - 5/15/48) 4,016,267 4,000,000 
2.42%, dated:   
4/12/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $3,093,306, 2.50% - 6.25%, 10/31/20 - 8/15/48) 3,017,948 3,000,000 
4/15/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,189,710, 1.63% - 4.25%, 10/31/20 - 8/15/48) 8,047,324 8,000,000 
2.43%, dated:   
4/10/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $11,310,268, 0.00% - 3.13%, 11/7/19 - 8/15/48) 11,067,568 11,000,000 
5/6/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $7,153,626, 1.63% - 3.00%, 10/31/20 - 8/15/48) 7,041,580 7,000,000 
2.44%, dated 4/30/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,230,855, 1.63% - 4.25%, 10/31/20 - 5/15/48) 8,042,293 8,000,000 
Commerz Markets LLC at:   
2.5%, dated 5/29/19 due 6/5/19 (Collateralized by U.S. Treasury Obligations valued at $17,346,039, 2.63% - 2.75%, 6/15/21 - 2/28/25) 17,008,264 17,000,000 
2.52%, dated 5/30/19 due 6/6/19 (Collateralized by U.S. Treasury Obligations valued at $17,344,886, 2.13% - 2.38%, 5/15/22 - 5/31/26) 17,008,330 17,000,000 
2.57%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $107,122,990, 1.88% - 2.50%, 2/28/21 - 7/31/24) 105,022,488 105,000,000 
Credit AG at:   
2.4%, dated 5/28/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,243,354, 3.75%, 11/15/43) 8,016,000 8,000,000 
2.42%, dated 5/9/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $17,539,473, 3.75%, 11/15/43) 17,069,709 17,000,000 
2.45%, dated:   
5/28/19 due 6/4/19 (Collateralized by U.S. Treasury Obligations valued at $6,182,546, 3.75%, 11/15/43) 6,002,858 6,000,000 
5/31/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $6,181,331, 3.75%, 11/15/43) 6,002,858 6,000,000 
Deutsche Bank AG, New York at:   
2.51%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $51,010,692, 2.25%, 11/15/24) 50,010,458 50,000,000 
2.54%, dated 5/29/19 due 6/5/19 (Collateralized by U.S. Treasury Obligations valued at $17,346,167, 2.25%, 11/15/24) 17,008,396 17,000,000 
Deutsche Bank Securities, Inc. at 2.51%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $2,040,508, 7.25%, 8/15/22) 2,000,418 2,000,000 
HSBC Securities, Inc. at:   
2.48%, dated 5/30/19 due 6/6/19 (Collateralized by U.S. Treasury Obligations valued at $25,507,111, 2.00% - 5.38%, 2/15/21 - 2/15/31) 25,012,056 25,000,000 
2.49%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $9,265,779, 2.63%, 7/31/20) 9,001,868 9,000,000 
ING Financial Markets LLC at 2.49%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $4,119,486, 1.50% - 1.88%, 4/30/22 - 8/15/26) 4,000,830 4,000,000 
J.P. Morgan Securities, LLC at 2.5%, dated 5/31/19 due 6/3/19:   
(Collateralized by U.S. Treasury Obligations valued at $27,545,763, 1.38%, 9/30/23) 27,005,625 27,000,000 
(Collateralized by U.S. Treasury Obligations valued at $5,101,097, 0.00% - 2.13%, 6/20/19 - 5/15/25) 5,001,042 5,000,000 
Lloyds Bank PLC at 2.46%, dated:   
4/24/19 due 6/24/19 (Collateralized by U.S. Treasury Obligations valued at $8,221,034, 6.75%, 8/15/26) 8,033,347 8,000,000 
5/7/19 due 7/8/19 (Collateralized by U.S. Treasury Obligations valued at $8,202,681, 1.88% - 8.00%, 12/15/20 - 5/31/22) 8,033,893 8,000,000 
5/13/19 due:   
7/12/19 (Collateralized by U.S. Treasury Obligations valued at $7,146,806, 1.88% - 6.75%, 5/31/22 - 8/15/26) 7,028,700 7,000,000 
7/15/19 (Collateralized by U.S. Treasury Obligations valued at $8,210,000, 3.00%, 9/30/25) 8,034,440 8,000,000 
5/20/19 due 7/19/19 (Collateralized by U.S. Treasury Obligations valued at $3,068,993, 1.88%, 12/15/20 - 5/31/22) 3,012,300 3,000,000 
5/24/19 due 7/24/19 (Collateralized by U.S. Treasury Obligations valued at $4,124,669, 6.00%, 2/15/26) 4,016,673 4,000,000 
Mizuho Securities U.S.A., Inc. at:   
2.5%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $82,613,128, 2.75%, 7/31/23) 81,016,875 81,000,000 
2.55%, dated 5/30/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $6,182,056, 2.25% - 2.75%, 5/31/23 - 11/15/25) 6,001,700 6,000,000 
Morgan Stanley & Co., LLC at 2.5%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $12,242,551, 0.00% - 5.38%, 6/6/19 - 2/15/31) 12,002,500 12,000,000 
MUFG Securities (Canada), Ltd. at:   
2.42%, dated 5/29/19 due 7/30/19 (Collateralized by U.S. Treasury Obligations valued at $8,162,814, 1.75% - 3.00%, 3/15/22 - 11/15/27) 8,033,342 8,000,000 
2.44%, dated 5/28/19 due 6/4/19 (Collateralized by U.S. Treasury Obligations valued at $16,326,662, 2.63% - 3.00%, 11/15/23 - 10/31/25) 16,007,591 16,000,000 
2.47%, dated 5/30/19 due 6/6/19 (Collateralized by U.S. Treasury Obligations valued at $8,162,314, 2.38% - 2.63%, 1/31/23 - 1/31/26) 8,003,842 8,000,000 
MUFG Securities EMEA PLC at:   
2.41%, dated 5/16/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $5,162,889, 1.63% - 2.75%, 4/30/23 - 4/30/25) 5,011,381 5,000,000 
2.42%, dated:   
5/6/19 due 6/5/19 (Collateralized by U.S. Treasury Obligations valued at $4,106,923, 2.63%, 12/15/21) 4,008,067 4,000,000 
5/20/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $2,046,033, 1.63% - 2.88%, 4/30/23 - 5/31/25) 2,007,663 2,000,000 
2.43%, dated 4/24/19 due 6/6/19 (Collateralized by U.S. Treasury Obligations valued at $4,146,029, 1.63%, 2/15/26) 4,011,610 4,000,000 
2.44%, dated 5/20/19 due 6/5/19 (Collateralized by U.S. Treasury Obligations valued at $5,183,888, 2.63% - 2.75%, 12/15/21 - 2/15/28) 5,005,422 5,000,000 
2.46%, dated 5/29/19 due 6/5/19 (Collateralized by U.S. Treasury Obligations valued at $13,307,686, 2.75%, 6/30/25) 13,006,218 13,000,000 
2.5%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $13,386,804, 2.50%, 5/15/46) 13,002,708 13,000,000 
Natixis SA at:   
2.42%, dated:   
4/2/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $31,027,027, 0.00% - 3.00%, 5/21/20 - 2/15/49) 30,125,033 30,000,000 
4/9/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $19,484,743, 0.00% - 2.75%, 8/31/19 - 5/15/46) 19,075,356 19,000,000 
4/11/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,378,170, 1.38% - 2.75%, 7/15/21 - 6/30/25) 16,064,533 16,000,000 
2.43%, dated 4/25/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $25,642,958, 0.00% - 6.13%, 8/15/19 - 5/15/48) 25,124,875 25,000,000 
2.44%, dated 4/22/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,183,259, 0.00% - 6.00%, 8/1/19 - 11/15/27) 8,049,342 8,000,000 
2.45%, dated 4/29/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $8,179,437, 1.38% - 3.13%, 6/30/20 - 8/15/26) 8,019,056 8,000,000 
Norinchukin Bank at:   
2.49%, dated:   
5/17/19 due 8/16/19 (Collateralized by U.S. Treasury Obligations valued at $4,085,404, 1.50%, 8/15/26) 4,025,177 4,000,000 
5/20/19 due 8/20/19 (Collateralized by U.S. Treasury Obligations valued at $8,170,807, 1.50%, 8/15/26) 8,050,907 8,000,000 
2.5%, dated:   
4/16/19 due 7/17/19 (Collateralized by U.S. Treasury Obligations valued at $3,073,734, 1.50%, 8/15/26) 3,019,167 3,000,000 
4/17/19 due 7/19/19 (Collateralized by U.S. Treasury Obligations valued at $8,190,169, 1.50%, 8/15/26) 8,051,667 8,000,000 
2.54%, dated:   
2/28/19 due 6/4/19 (Collateralized by U.S. Treasury Obligations valued at $13,349,385, 2.63%, 11/15/20) 13,088,053 13,000,000 
3/4/19 due 6/5/19 (Collateralized by U.S. Treasury Obligations valued at $9,240,564, 1.50%, 8/15/26) 9,059,055 9,000,000 
3/18/19 due 6/18/19 (Collateralized by U.S. Treasury Obligations valued at $4,104,766, 1.50%, 8/15/26) 4,025,964 4,000,000 
3/19/19 due 6/19/19 (Collateralized by U.S. Treasury Obligations valued at $4,104,766, 1.50%, 8/15/26) 4,025,964 4,000,000 
3/22/19 due 6/24/19 (Collateralized by U.S. Treasury Obligations valued at $8,204,691, 1.50%, 8/15/26) 8,053,058 8,000,000 
RBC Dominion Securities at:   
2.4%, dated 5/28/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,326,547, 1.13% - 4.50%, 9/30/21 - 8/15/39) 16,066,133 16,000,000 
2.41%, dated:   
5/17/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,179,895, 1.13% - 4.50%, 9/30/21 - 11/15/48) 8,016,602 8,000,000 
5/20/19 due 6/7/19:   
(Collateralized by U.S. Treasury Obligations valued at $8,247,818, 3.00% - 3.38%, 2/15/47 - 11/15/48) 8,032,133 8,000,000 
(Collateralized by U.S. Treasury Obligations valued at $8,167,860, 1.13% - 4.50%, 8/15/21 - 11/15/48) 8,033,740 8,000,000 
(Collateralized by U.S. Treasury Obligations valued at $8,167,779, 1.63% - 4.50%, 7/15/21 - 8/15/39) 8,034,276 8,000,000 
(Collateralized by U.S. Treasury Obligations valued at $6,185,840, 3.00% - 3.38%, 2/15/47 - 11/15/48) 6,026,108 6,000,000 
2.44%, dated 5/2/19 due 6/3/19 (Collateralized by U.S. Treasury Obligations valued at $9,200,107, 1.13% - 4.50%, 9/30/21 - 11/15/48) 9,019,520 9,000,000 
RBC Financial Group at 2.43%, dated:   
4/12/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,198,448, 2.75% - 6.25%, 2/15/21 - 11/15/47) 8,048,600 8,000,000 
4/16/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,186,537, 2.88%, 11/30/25) 8,048,600 8,000,000 
RBS Securities, Inc. at:   
2.46%, dated 5/28/19 due 6/4/19 (Collateralized by U.S. Treasury Obligations valued at $4,081,712, 2.88%, 5/15/28) 4,001,913 4,000,000 
2.49%, dated 5/30/19 due 6/6/19 (Collateralized by U.S. Treasury Obligations valued at $39,791,008, 1.50%, 8/15/26) 39,018,883 39,000,000 
SMBC Nikko Securities America, Inc. at 2.49%, dated 5/31/19(Collateralized by U.S. Treasury Obligations valued at $285,410,328, 1.38% - 1.63%, 6/30/23 - 2/15/26) 280,058,100 280,000,000 
Societe Generale at:   
2.42%, dated 5/24/19 due 6/7/19 (Collateralized by U.S. Treasury Obligations valued at $6,126,377, 0.00% - 6.75%, 6/27/19 - 5/15/45) 6,005,647 6,000,000 
2.43%, dated:   
5/13/19 due 7/12/19 (Collateralized by U.S. Treasury Obligations valued at $24,515,366, 0.00% - 5.38%, 6/27/19 - 11/15/48) 24,097,200 24,000,000 
5/17/19 due 6/17/19:   
(Collateralized by U.S. Treasury Obligations valued at $16,338,912, 1.88% - 7.63%, 3/31/22 - 11/15/43) 16,033,480 16,000,000 
(Collateralized by U.S. Treasury Obligations valued at $8,169,495, 0.00% - 7.63%, 6/27/19 - 11/15/48) 8,016,740 8,000,000 
2.45%, dated:   
5/3/19 due 7/8/19 (Collateralized by U.S. Treasury Obligations valued at $16,397,774, 1.38% - 3.63%, 2/15/20 - 8/15/47) 16,071,867 16,000,000 
5/28/19 due 6/4/19:   
(Collateralized by U.S. Treasury Obligations valued at $6,122,499, 1.75% - 6.75%, 12/31/20 - 2/15/29) 6,002,858 6,000,000 
(Collateralized by U.S. Treasury Obligations valued at $13,265,624, 1.75% - 6.00%, 11/30/21 - 11/15/44) 13,006,193 13,000,000 
(Collateralized by U.S. Treasury Obligations valued at $6,122,656, 2.25% - 7.63%, 3/31/21 - 11/15/44) 6,002,858 6,000,000 
2.47%, dated 5/30/19 due 6/6/19 (Collateralized by U.S. Treasury Obligations valued at $6,121,854, 2.38% - 3.75%, 2/29/24 - 11/15/43) 6,002,882 6,000,000 
TOTAL U.S. TREASURY REPURCHASE AGREEMENT   
(Cost $1,820,900,000)  1,820,900,000 
TOTAL INVESTMENT IN SECURITIES - 95.2%   
(Cost $7,164,814,019)  7,164,814,019 
NET OTHER ASSETS (LIABILITIES) - 4.8%  360,980,105 
NET ASSETS - 100%  $7,525,794,124 

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

Legend

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

 (b) Security or a portion of the security was sold in a reverse repurchase transaction and pledged for the benefit of the counterparty, J.P. Morgan Securities, LLC, as collateral to secure the future obligations of the Fund to repurchase the securities at an agreed-upon date and price within 7 days of period end. At period end, the value of securities pledged by the Fund for reverse repurchase transactions was $39,984,271 and the principal amount of obligations of the Fund with respect to reverse repurchase transactions was $40,000,000.

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

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

 (f) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date.

Investment Valuation

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. Additional information on valuation inputs is provided later in this section.

Security transactions are accounted for as of trade date. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available).

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

Other Information

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

Repurchase Agreement / Counterparty Value 
$310,245,000 due 6/03/19 at 2.50%  
BNP Paribas, S.A. $3,203,264 
BNY Mellon Capital Markets LLC 13,725,482 
Bank of America NA 26,266,793 
Bank of Nova Scotia 3,205,037 
Citibank NA 12,112,199 
Credit Agricole CIB New York Branch 29,253,278 
HSBC Securities (USA), Inc. 5,450,399 
ING Financial Markets LLC 1,816,800 
J.P. Morgan Securities, Inc. 37,269,456 
Mizuho Securities USA, Inc. 17,860,938 
Nomura Securities International 82,264,511 
RBC Dominion Securities, Inc. 9,894,183 
Royal Bank Of Canada New York Branch 6,406,538 
Sumitomo Mitsu Banking Corp. 24,251,681 
Wells Fargo Securities LLC 37,264,441 
 $310,245,000 

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





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

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





Item 2.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Salem Street Trusts (the Trust) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.


(a)(ii)  There was no change in the Trusts internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trusts last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trusts internal control over financial reporting.


Item 3.

Exhibits


Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.




SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Fidelity Salem Street Trust



By:

/s/Laura M. Del Prato


Laura M. Del Prato


President and Treasurer



Date:

July 29, 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:

July 29, 2019



By:

/s/John J. Burke III


John J. Burke III


Chief Financial Officer



Date:

July 29, 2019