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Fidelity Salem Street Trust

10/21/2021 | Press release | Distributed by Public on 10/21/2021 08:58

Semi-Annual Report by Investment Company (Form N-CSRS)

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 811-02105

Fidelity Salem Street Trust

(Exact name of registrant as specified in charter)

245 Summer St., Boston, MA 02210

(Address of principal executive offices) (Zip code)

Cynthia Lo Bessette, Secretary

245 Summer St.

Boston, Massachusetts 02210

(Name and address of agent for service)

Registrant's telephone number, including area code:

617-563-7000

Date of fiscal year end:

February 28

Date of reporting period:

August 31, 2021

Item 1.

Reports to Stockholders

Fidelity® SAI Long-Term Treasury Bond Index Fund

Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.



Semi-Annual Report

August 31, 2021



Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example


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

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

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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. © 2021 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-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT 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.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and - given the wide variability in outcomes regarding the outbreak - significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action - in concert with the U.S. Federal Reserve and central banks around the world - to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Investment Summary (Unaudited)

Coupon Distribution as of August 31, 2021

% of fund's investments
1 - 1.99% 22.2
2 - 2.99% 28.4
3 - 3.99% 48.9

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Asset Allocation (% of fund's net assets)

As of August 31, 2021
U.S. Treasury Obligations 99.6%
Short-Term Investments and Net Other Assets (Liabilities) 0.4%

Schedule of Investments August 31, 2021 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.6%
Principal Amount Value
U.S. Treasury Obligations - 99.6%
U.S. Treasury Bonds:
1.25% 5/15/50 $69,812,000 $59,182,033
1.375% 8/15/50 209,754,000 183,469,202
1.625% 11/15/50 76,574,000 71,246,723
1.875% 2/15/51 210,673,000 207,973,751
2% 2/15/50 44,297,800 45,010,718
2.25% 8/15/46 20,328,000 21,687,435
2.25% 8/15/49 29,316,000 31,387,588
2.375% 11/15/49 9,731,000 10,701,439
2.375% 5/15/51 66,579,000 73,528,183
2.5% 2/15/45 21,542,700 23,999,073
2.5% 2/15/46 283,000 316,042
2.5% 5/15/46 23,918,000 26,727,431
2.75% 8/15/42 51,636,500 59,745,044
2.75% 11/15/42 26,219,100 30,337,342
2.75% 8/15/47 22,049,000 25,855,898
2.75% 11/15/47 38,530,000 45,214,052
2.875% 5/15/43 35,659,200 42,093,178
2.875% 8/15/45 101,147,100 120,289,979
2.875% 11/15/46 13,069,000 15,629,707
2.875% 5/15/49 78,319,000 94,451,884
3% 5/15/42 8,459,700 10,166,511
3% 11/15/44 40,297,800 48,741,448
3% 5/15/45 88,452,800 107,290,482
3% 11/15/45 73,161,000 88,990,640
3% 2/15/47 65,147,000 79,685,469
3% 5/15/47 17,515,000 21,454,507
3% 2/15/48 59,011,000 72,461,359
3% 8/15/48 25,393,000 31,239,342
3% 2/15/49 136,866,000 168,911,890
3.125% 11/15/41 6,159,700 7,533,842
3.125% 2/15/42 7,568,100 9,275,357
3.125% 2/15/43 29,348,600 35,963,499
3.125% 8/15/44 14,630,300 18,032,416
3.125% 5/15/48 92,727,000 116,513,649
3.375% 5/15/44 33,061,800 42,294,566
3.375% 11/15/48 105,003,000 138,050,233
3.625% 8/15/43 4,114,600 5,430,629
3.625% 2/15/44 66,407,500 87,989,938
3.75% 11/15/43 43,162,100 58,085,059
2,336,957,538
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $2,319,523,123) 2,336,957,538
Shares Value
Money Market Funds - 0.4%
Fidelity Cash Central Fund 0.06% (a)
(Cost $8,592,816) 8,591,098 8,592,816
TOTAL INVESTMENT IN SECURITIES - 100.0%
(Cost $2,328,115,939) 2,345,550,354
NET OTHER ASSETS (LIABILITIES) - 0.0% 557,607
NET ASSETS - 100% $2,346,107,961

Legend

(a) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period
Fidelity Cash Central Fund 0.06% $8,261,571 $40,716,233 $40,384,988 $369 $-- $-- $8,592,816 0.0%
Fidelity Securities Lending Cash Central Fund 0.06% -- 46,023,643 46,023,643 2,326 -- -- -- 0.0%
Total $8,261,571 $86,739,876 $86,408,631 $2,695 $-- $-- $8,592,816

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. Amount for Fidelity Securities Lending Cash Central Fund 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.

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2021, 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:
U.S. Government and Government Agency Obligations $2,336,957,538 $-- $2,336,957,538 $--
Money Market Funds 8,592,816 8,592,816 -- --
Total Investments in Securities: $2,345,550,354 $8,592,816 $2,336,957,538 $--

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


Financial Statements

Statement of Assets and Liabilities

August 31, 2021 (Unaudited)
Assets
Investment in securities, at value - See accompanying schedule:
Unaffiliated issuers (cost $2,319,523,123)
$2,336,957,538
Fidelity Central Funds (cost $8,592,816) 8,592,816
Total Investment in Securities (cost $2,328,115,939) $2,345,550,354
Receivable for investments sold 63,143,992
Interest receivable 9,134,958
Distributions receivable from Fidelity Central Funds 232
Prepaid expenses 2,206
Receivable from investment adviser for expense reductions 41,466
Total assets 2,417,873,208
Liabilities
Payable for investments purchased $71,642,021
Distributions payable 3,545
Accrued management fee 68,487
Other payables and accrued expenses 51,194
Total liabilities 71,765,247
Net Assets $2,346,107,961
Net Assets consist of:
Paid in capital $2,352,938,886
Total accumulated earnings (loss) (6,830,925)
Net Assets $2,346,107,961
Net Asset Value, offering price and redemption price per share ($2,346,107,961 ÷ 205,222,418 shares) $11.43

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


Statement of Operations

Six months ended August 31, 2021 (Unaudited)
Investment Income
Interest $14,074,909
Income from Fidelity Central Funds (including $2,326 from security lending) 2,695
Total income 14,077,604
Expenses
Management fee $279,328
Custodian fees and expenses 2,555
Independent trustees' fees and expenses 1,588
Registration fees 27,783
Audit 25,885
Legal 468
Miscellaneous 2,955
Total expenses before reductions 340,562
Expense reductions (127,249)
Total expenses after reductions 213,313
Net investment income (loss) 13,864,291
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers (1,064,237)
Total net realized gain (loss) (1,064,237)
Change in net unrealized appreciation (depreciation) on investment securities 58,250,575
Net gain (loss) 57,186,338
Net increase (decrease) in net assets resulting from operations $71,050,629

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


Statement of Changes in Net Assets

Six months ended August 31, 2021 (Unaudited) Year ended February 28, 2021
Increase (Decrease) in Net Assets
Operations
Net investment income (loss) $13,864,291 $19,178,264
Net realized gain (loss) (1,064,237) 52,751,868
Change in net unrealized appreciation (depreciation) 58,250,575 (143,186,710)
Net increase (decrease) in net assets resulting from operations 71,050,629 (71,256,578)
Distributions to shareholders (16,552,387) (64,192,638)
Share transactions
Proceeds from sales of shares 1,100,582,182 537,924,057
Reinvestment of distributions 16,545,402 64,151,400
Cost of shares redeemed (153,004) (347,431,166)
Net increase (decrease) in net assets resulting from share transactions 1,116,974,580 254,644,291
Total increase (decrease) in net assets 1,171,472,822 119,195,075
Net Assets
Beginning of period 1,174,635,139 1,055,440,064
End of period $2,346,107,961 $1,174,635,139
Other Information
Shares
Sold 97,302,492 42,926,648
Issued in reinvestment of distributions 1,513,657 5,248,178
Redeemed (13,741) (25,613,107)
Net increase (decrease) 98,802,408 22,561,719

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


Financial Highlights

Fidelity SAI Long-Term Treasury Bond Index Fund

Six months ended (Unaudited) August 31, Years endedFebruary 28,
2021 2021 2020 A 2019 2018 2017
Selected Per-Share Data
Net asset value, beginning of period $11.04 $12.59 $9.72 $9.59 $9.86 $10.69
Income from Investment Operations
Net investment income (loss)B .108 .227 .251 .292 .278 .271
Net realized and unrealized gain (loss) .416 (.965) 2.876 .123 (.272) (.767)
Total from investment operations .524 (.738) 3.127 .415 .006 (.496)
Distributions from net investment income (.107) (.226) (.257) (.285) (.276) (.268)
Distributions from net realized gain (.027) (.586) - - - (.066)
Total distributions (.134) (.812) (.257) (.285) (.276) (.334)
Net asset value, end of period $11.43 $11.04 $12.59 $9.72 $9.59 $9.86
Total ReturnC,D 4.82% (6.39)% 32.55% 4.38% (.03)% (4.77)%
Ratios to Average Net AssetsE,F
Expenses before reductions .05%G .05% .08% .20% .18% .16%
Expenses net of fee waivers, if any .03%G .03% .03% .03% .06% .11%
Expenses net of all reductions .03%G .03% .03% .03% .06% .11%
Net investment income (loss) 1.96%G 1.77% 2.21% 2.99% 2.77% 2.57%
Supplemental Data
Net assets, end of period (000 omitted) $2,346,108 $1,174,635 $1,055,440 $60,238 $825,447 $764,713
Portfolio turnover rateH 19%G 47% 18% 57% 128% 25%

AFor the year ended February 29.

BCalculated based on average shares outstanding during the period.

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

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

EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

FExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

GAnnualized

HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

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


Notes to Financial Statements (Unaudited)

For the period ended August 31, 2021

1. Organization.

Fidelity SAI Long-Term Treasury Bond Index 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 LLC (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.

Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a)
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% to .01%

(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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 August 31, 2021 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.

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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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

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

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

Book-tax differences are primarily due to market discount, capital loss carryforwards 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 $58,716,402
Gross unrealized depreciation (41,593,113)
Net unrealized appreciation (depreciation) $17,123,289
Tax cost $2,328,427,065

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

No expiration
Short-term $(13,221,786)
Long-term (9,440,961)
Total capital loss carryforward $(22,662,747)

Due to large subscriptions in a prior period, $22,662,747 of capital losses that will be available to offset future capital gains of the Fund will be limited to approximately $3,662,975 per year.

4. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .04% of the Fund's average net assets.

Interfund Trades. Funds 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.

5. Committed Line of Credit.

Certain Funds participate 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 participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

Amount
Fidelity SAI Long-Term Treasury Bond Index Fund $1,069

6. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:

Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End
Fidelity SAI Long-Term Treasury Bond Index Fund $253 $- $-

7. Expense Reductions.

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .03% of average net assets. This reimbursement will remain in place through June 30, 2022. 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 $127,248.

In addition, 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 by $1.

8. Other.

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, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

Strategic Advisers Core Income Fund Strategic Advisers Fidelity Core Income Fund
Fidelity SAI Long-Term Treasury Bond Index Fund 18% 82%

9. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Shareholder Expense Example

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a 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 (March 1, 2021 to August 31, 2021).

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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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
March 1, 2021
Ending
Account Value
August 31, 2021
Expenses Paid
During Period-B
March 1, 2021
to August 31, 2021
Fidelity SAI Long-Term Treasury Bond Index Fund .03%
Actual $1,000.00 $1,048.20 $.15
Hypothetical-C $1,000.00 $1,025.05 $.15

AAnnualized expense ratio reflects expenses net of applicable fee waivers.

BExpenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

C5% return per year before expenses



SV5-SANN-1021
1.9869415.105

Fidelity® SAI U.S. Treasury Bond Index Fund

Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.



Semi-Annual Report

August 31, 2021



Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example


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

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively "Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg's licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

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. © 2021 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-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT 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.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and - given the wide variability in outcomes regarding the outbreak - significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action - in concert with the U.S. Federal Reserve and central banks around the world - to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Investment Summary (Unaudited)

Coupon Distribution as of August 31, 2021

% of fund's investments
0.01 - 0.99% 41.0
1 - 1.99% 21.8
2 - 2.99% 23.7
3 - 3.99% 7.3
4 - 4.99% 0.8
5 - 5.99% 0.2
6 - 6.99% 0.5
7 - 7.99% 0.5

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Asset Allocation (% of fund's net assets)

As of August 31, 2021
U.S. Treasury Obligations 99.2%
Short-Term Investments and Net Other Assets (Liabilities) 0.8%

Schedule of Investments August 31, 2021 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.2%
Principal Amount Value
U.S. Treasury Obligations - 99.2%
U.S. Treasury Bonds:
1.125% 5/15/40 $170,209,000 $151,632,284
1.125% 8/15/40 117,862,000 104,630,150
1.25% 5/15/50 21,972,000 18,626,420
1.375% 11/15/40 220,034,300 203,669,249
1.375% 8/15/50 50,820,000 44,451,619
1.625% 11/15/50 71,937,500 66,932,786
1.75% 8/15/41 24,950,000 24,556,264
1.875% 2/15/41 14,329,000 14,438,706
1.875% 2/15/51 113,634,000 112,178,064
2% 2/15/50 10,734,000 10,906,750
2% 8/15/51 21,901,000 22,291,112
2.25% 5/15/41 108,046,000 115,609,220
2.25% 8/15/46 12,321,000 13,144,967
2.25% 8/15/49 52,680,000 56,402,583
2.375% 11/15/49 29,883,000 32,863,129
2.375% 5/15/51 93,460,000 103,214,888
2.5% 2/15/45 1,000 1,114
2.5% 2/15/46 26,923,000 30,066,471
2.5% 5/15/46 35,170,000 39,301,101
2.75% 8/15/42 21,638,000 25,035,842
2.75% 11/15/42 19,826,000 22,940,076
2.75% 8/15/47 56,931,000 66,760,493
2.75% 11/15/47 23,318,000 27,363,126
2.875% 5/15/43 21,584,000 25,478,394
2.875% 8/15/45 61,954,000 73,679,278
2.875% 11/15/46 19,408,000 23,210,755
2.875% 5/15/49 84,311,000 101,678,172
3% 5/15/42 8,638,000 10,380,784
3% 5/15/45 14,055,000 17,048,276
3% 11/15/45 11,404,000 13,871,451
3% 2/15/47 89,389,000 109,337,412
3% 5/15/47 17,092,000 20,936,365
3% 2/15/48 46,259,000 56,802,800
3% 2/15/49 145,811,000 179,951,278
3.125% 11/15/41 6,664,000 8,150,645
3.125% 2/15/43 1,000 1,225
3.125% 5/15/48 144,600,500 181,693,918
3.375% 11/15/48 129,468,300 170,215,413
3.5% 2/15/39 315,000 403,421
3.625% 8/15/43 1,000 1,320
3.625% 2/15/44 26,356,000 34,921,700
3.75% 8/15/41 12,045,000 16,035,377
3.75% 11/15/43 2,984,000 4,015,695
3.875% 8/15/40 10,674,000 14,372,791
4.25% 5/15/39 7,898,000 11,053,498
4.25% 11/15/40 29,680,000 41,894,016
4.375% 2/15/38 17,484,000 24,571,167
4.375% 11/15/39 4,140,000 5,889,959
4.375% 5/15/41 817,000 1,174,757
4.5% 2/15/36 7,732,200 10,809,676
4.5% 8/15/39 3,831,000 5,522,476
4.625% 2/15/40 1,505,000 2,208,294
4.75% 2/15/37 13,000 18,802
5% 5/15/37 2,667,000 3,959,974
5.25% 11/15/28 1,000 1,291
5.25% 2/15/29 9,219,000 11,959,852
5.375% 2/15/31 7,762,000 10,646,674
5.5% 8/15/28 2,865,000 3,723,269
6% 2/15/26 3,771,000 4,653,060
6.125% 11/15/27 3,404,000 4,469,479
6.125% 8/15/29 244,000 337,292
6.25% 8/15/23 25,875,000 28,922,388
6.25% 5/15/30 5,578,000 7,922,503
6.5% 11/15/26 39,000 50,345
6.625% 2/15/27 50,000 65,490
6.75% 8/15/26 23,000 29,696
6.875% 8/15/25 11,691,000 14,562,602
7.125% 2/15/23 12,111,000 13,341,023
7.5% 11/15/24 15,867,000 19,458,148
7.625% 11/15/22 50,000 54,523
7.625% 2/15/25 20,938,000 26,066,174
U.S. Treasury Notes:
0.125% 9/30/22 131,290,000 131,341,285
0.125% 10/31/22 87,532,000 87,545,677
0.125% 11/30/22 105,495,300 105,520,026
0.125% 12/31/22 152,079,000 152,061,178
0.125% 1/31/23 185,186,000 185,157,065
0.125% 3/31/23 209,969,000 209,862,380
0.125% 6/30/23 (a) 75,696,000 75,639,819
0.125% 7/15/23 14,448,000 14,431,633
0.125% 8/15/23 92,745,000 92,610,955
0.125% 9/15/23 63,456,000 63,327,105
0.125% 10/15/23 69,957,000 69,790,306
0.125% 12/15/23 121,834,200 121,434,432
0.125% 1/15/24 127,763,000 127,273,908
0.125% 2/15/24 (a) 192,441,000 191,651,692
0.25% 4/15/23 69,953,000 70,056,837
0.25% 6/15/23 141,205,000 141,353,928
0.25% 11/15/23 8,272,000 8,272,323
0.25% 3/15/24 172,575,000 172,298,611
0.25% 5/15/24 209,880,000 209,314,308
0.25% 5/31/25 17,544,000 17,330,183
0.25% 6/30/25 85,176,400 84,085,077
0.25% 7/31/25 72,929,000 71,929,075
0.25% 8/31/25 57,244,000 56,396,520
0.25% 9/30/25 111,601,000 109,852,875
0.25% 10/31/25 187,289,300 184,165,373
0.375% 7/15/24 119,138,000 119,119,385
0.375% 8/15/24 25,194,000 25,174,317
0.375% 4/30/25 11,267,000 11,192,620
0.375% 11/30/25 63,502,000 62,723,109
0.375% 12/31/25 51,983,100 51,298,791
0.375% 1/31/26 133,405,000 131,513,358
0.375% 7/31/27 98,114,000 95,040,273
0.375% 9/30/27 79,026,000 76,328,003
0.5% 3/15/23 125,754,000 126,451,542
0.5% 3/31/25 43,581,000 43,529,928
0.5% 2/28/26 164,299,000 162,810,040
0.5% 4/30/27 3,544,000 3,469,105
0.5% 5/31/27 25,220,000 24,651,565
0.5% 6/30/27 23,781,000 23,230,135
0.5% 8/31/27 123,345,000 120,189,102
0.625% 7/31/26 36,635,000 36,383,134
0.625% 3/31/27 27,705,000 27,342,454
0.625% 11/30/27 56,294,700 55,078,647
0.625% 12/31/27 95,418,900 93,264,521
0.625% 5/15/30 158,027,000 150,082,439
0.625% 8/15/30 75,394,900 71,404,271
0.75% 3/31/26 197,016,000 197,262,270
0.75% 4/30/26 54,688,000 54,730,725
0.75% 5/31/26 149,999,000 150,040,016
0.75% 8/31/26 56,836,000 56,769,395
0.75% 1/31/28 154,028,000 151,567,162
0.875% 6/30/26 77,601,000 78,031,443
0.875% 11/15/30 161,480,900 156,043,535
1% 7/31/28 17,009,000 16,923,955
1.125% 2/28/25 98,061,900 100,130,393
1.125% 2/28/27 3,938,000 3,995,532
1.125% 2/29/28 (a) 41,170,000 41,464,301
1.125% 8/31/28 70,931,000 71,119,410
1.125% 2/15/31 (a) 196,488,000 193,847,693
1.25% 7/31/23 5,561,000 5,673,523
1.25% 8/31/24 46,824,000 48,007,404
1.25% 3/31/28 102,908,000 104,363,183
1.25% 4/30/28 71,799,000 72,772,213
1.25% 5/31/28 20,330,000 20,596,831
1.25% 6/30/28 123,735,000 125,262,354
1.375% 10/15/22 45,043,000 45,686,974
1.375% 2/15/23 1,000 1,018
1.375% 6/30/23 2,164,000 2,211,253
1.375% 8/31/23 1,103,000 1,128,507
1.375% 9/30/23 6,179,000 6,326,234
1.5% 9/15/22 28,784,000 29,204,516
1.5% 2/28/23 4,873,000 4,971,983
1.5% 3/31/23 29,712,000 30,345,701
1.5% 9/30/24 5,723,000 5,912,798
1.5% 10/31/24 2,615,000 2,702,950
1.5% 8/15/26 33,170,000 34,337,428
1.5% 2/15/30 25,293,000 25,890,745
1.625% 11/15/22 126,329,000 128,628,582
1.625% 4/30/23 2,979,000 3,051,613
1.625% 5/31/23 2,562,000 2,627,151
1.625% 10/31/23 5,035,000 5,185,460
1.625% 2/15/26 29,244,000 30,427,468
1.625% 5/15/26 25,238,000 26,266,251
1.625% 10/31/26 105,277,000 109,644,351
1.625% 8/15/29 86,162,000 89,214,693
1.625% 5/15/31 141,526,000 145,926,574
1.75% 9/30/22 9,000 9,159
1.75% 1/31/23 31,298,000 32,007,095
1.75% 5/15/23 2,767,000 2,840,823
1.75% 6/30/24 115,065,800 119,556,063
1.75% 7/31/24 84,636,000 87,998,297
1.75% 12/31/24 122,483,000 127,659,820
1.75% 11/15/29 4,107,000 4,291,815
1.875% 1/31/22 1,000 1,007
1.875% 9/30/22 18,600,000 18,955,289
1.875% 10/31/22 17,759,000 18,125,279
1.875% 8/31/24 1,000 1,044
1.875% 6/30/26 17,105,000 18,011,030
1.875% 7/31/26 11,542,000 12,159,677
2% 10/31/22 12,029,000 12,293,074
2% 2/15/23 49,134,000 50,469,831
2% 4/30/24 2,462,000 2,571,347
2% 5/31/24 119,408,000 124,786,024
2% 6/30/24 23,075,000 24,134,107
2% 2/15/25 6,597,000 6,934,323
2% 8/15/25 44,227,000 46,637,026
2% 11/15/26 124,450,000 132,009,366
2.125% 11/30/23 2,629,000 2,738,884
2.125% 2/29/24 3,213,000 3,359,217
2.125% 7/31/24 20,395,000 21,427,497
2.125% 9/30/24 17,004,000 17,891,396
2.125% 11/30/24 746,000 785,923
2.25% 12/31/23 35,029,000 36,636,776
2.25% 1/31/24 7,160,000 7,498,981
2.25% 4/30/24 1,000 1,051
2.25% 10/31/24 27,138,000 28,684,654
2.25% 11/15/24 49,622,000 52,479,141
2.25% 12/31/24 6,055,000 6,410,495
2.25% 11/15/25 26,723,000 28,496,530
2.25% 3/31/26 13,873,000 14,831,646
2.25% 2/15/27 44,880,000 48,233,728
2.25% 8/15/27 884,000 951,992
2.25% 11/15/27 43,442,000 46,822,331
2.375% 1/31/23 12,947,000 13,357,663
2.375% 2/29/24 31,698,000 33,333,666
2.375% 8/15/24 35,598,000 37,679,649
2.375% 4/30/26 44,609,000 47,980,813
2.375% 5/15/27 90,912,000 98,444,201
2.375% 5/15/29 124,499,000 135,810,902
2.5% 3/31/23 10,634,000 11,027,790
2.5% 8/15/23 6,436,000 6,723,860
2.5% 1/31/24 109,906,000 115,740,463
2.5% 5/15/24 45,726,000 48,383,824
2.5% 1/31/25 5,697,000 6,083,550
2.5% 2/28/26 1,000 1,080
2.625% 2/28/23 4,000 4,149
2.625% 6/30/23 20,552,000 21,467,206
2.625% 12/31/23 9,868,000 10,406,114
2.625% 3/31/25 16,295,000 17,504,395
2.625% 1/31/26 1,204,000 1,305,399
2.625% 2/15/29 40,083,000 44,410,711
2.75% 4/30/23 25,222,000 26,305,758
2.75% 5/31/23 1,976,000 2,064,843
2.75% 7/31/23 18,682,000 19,592,018
2.75% 8/31/23 22,940,000 24,098,649
2.75% 11/15/23 22,659,000 23,899,934
2.75% 2/28/25 24,280,000 26,166,442
2.75% 6/30/25 9,260,000 10,019,248
2.75% 8/31/25 28,037,000 30,400,432
2.75% 2/15/28 90,801,200 100,753,863
2.875% 10/31/23 138,571,000 146,435,986
2.875% 11/30/23 29,487,000 31,219,361
2.875% 4/30/25 14,386,000 15,598,695
2.875% 5/31/25 5,889,000 6,390,715
2.875% 7/31/25 110,397,000 120,108,486
2.875% 5/15/28 127,285,000 142,499,535
2.875% 8/15/28 64,476,000 72,303,789
3% 9/30/25 7,460,000 8,172,197
3% 10/31/25 11,284,000 12,378,460
3.125% 11/15/28 40,703,000 46,452,299
11,937,070,093
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $11,838,482,205) 11,937,070,093
Shares Value
Money Market Funds - 4.2%
Fidelity Cash Central Fund 0.06% (b) 100,276,057 $100,296,112
Fidelity Securities Lending Cash Central Fund 0.06% (b)(c) 410,823,539 410,864,621
TOTAL MONEY MARKET FUNDS
(Cost $511,160,733) 511,160,733
TOTAL INVESTMENT IN SECURITIES - 103.4%
(Cost $12,349,642,938) 12,448,230,826
NET OTHER ASSETS (LIABILITIES) - (3.4)% (410,517,456)
NET ASSETS - 100% $12,037,713,370

Legend

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

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period
Fidelity Cash Central Fund 0.06% $72,859,104 $521,758,919 $494,321,911 $16,424 $-- $-- $100,296,112 0.2%
Fidelity Securities Lending Cash Central Fund 0.06% 208,209,133 1,645,737,553 1,443,082,065 173,118 -- -- 410,864,621 1.2%
Total $281,068,237 $2,167,496,472 $1,937,403,976 $189,542 $-- $-- $511,160,733

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. Amount for Fidelity Securities Lending Cash Central Fund 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.

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2021, 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:
U.S. Government and Government Agency Obligations $11,937,070,093 $-- $11,937,070,093 $--
Money Market Funds 511,160,733 511,160,733 -- --
Total Investments in Securities: $12,448,230,826 $511,160,733 $11,937,070,093 $--

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


Financial Statements

Statement of Assets and Liabilities

August 31, 2021 (Unaudited)
Assets
Investment in securities, at value (including securities loaned of $402,157,981) - See accompanying schedule:
Unaffiliated issuers (cost $11,838,482,205)
$11,937,070,093
Fidelity Central Funds (cost $511,160,733) 511,160,733
Total Investment in Securities (cost $12,349,642,938) $12,448,230,826
Receivable for investments sold 222,048,177
Receivable for fund shares sold 6,926,279
Interest receivable 30,992,136
Distributions receivable from Fidelity Central Funds 33,307
Prepaid expenses 21,131
Receivable from investment adviser for expense reductions 144,614
Total assets 12,708,396,470
Liabilities
Payable for investments purchased $255,395,515
Payable for fund shares redeemed 3,621,618
Distributions payable 42,016
Accrued management fee 396,839
Other payables and accrued expenses 362,491
Collateral on securities loaned 410,864,621
Total liabilities 670,683,100
Net Assets $12,037,713,370
Net Assets consist of:
Paid in capital $11,928,256,788
Total accumulated earnings (loss) 109,456,582
Net Assets $12,037,713,370
Net Asset Value, offering price and redemption price per share ($12,037,713,370 ÷ 1,181,429,094 shares) $10.19

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


Statement of Operations

Six months ended August 31, 2021 (Unaudited)
Investment Income
Interest $58,282,219
Income from Fidelity Central Funds (including $173,118 from security lending) 189,542
Total income 58,471,761
Expenses
Management fee $2,186,701
Custodian fees and expenses 49,194
Independent trustees' fees and expenses 12,808
Registration fees 785,828
Audit 28,925
Legal 3,763
Miscellaneous 15,624
Total expenses before reductions 3,082,843
Expense reductions (1,419,534)
Total expenses after reductions 1,663,309
Net investment income (loss) 56,808,452
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers (3,352,622)
Total net realized gain (loss) (3,352,622)
Change in net unrealized appreciation (depreciation) on investment securities 115,146,424
Net gain (loss) 111,793,802
Net increase (decrease) in net assets resulting from operations $168,602,254

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


Statement of Changes in Net Assets

Six months ended August 31, 2021 (Unaudited) Year ended February 28, 2021
Increase (Decrease) in Net Assets
Operations
Net investment income (loss) $56,808,452 $76,058,735
Net realized gain (loss) (3,352,622) 521,028,550
Change in net unrealized appreciation (depreciation) 115,146,424 (637,667,798)
Net increase (decrease) in net assets resulting from operations 168,602,254 (40,580,513)
Distributions to shareholders (52,548,216) (265,244,823)
Share transactions
Proceeds from sales of shares 3,023,418,360 9,928,949,717
Reinvestment of distributions 52,318,184 260,106,369
Cost of shares redeemed (729,445,583) (9,592,486,016)
Net increase (decrease) in net assets resulting from share transactions 2,346,290,961 596,570,070
Total increase (decrease) in net assets 2,462,344,999 290,744,734
Net Assets
Beginning of period 9,575,368,371 9,284,623,637
End of period $12,037,713,370 $9,575,368,371
Other Information
Shares
Sold 300,755,545 937,458,981
Issued in reinvestment of distributions 5,191,297 24,913,150
Redeemed (72,545,080) (890,603,735)
Net increase (decrease) 233,401,762 71,768,396

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


Financial Highlights

Fidelity SAI U.S. Treasury Bond Index Fund

Six months ended (Unaudited) August 31, Years endedFebruary 28,
2021 2021 2020 A 2019 2018 2017 B
Selected Per-Share Data
Net asset value, beginning of period $10.10 $10.60 $9.65 $9.55 $9.77 $10.00
Income from Investment Operations
Net investment income (loss)C .052 .168 .229 .233 .192 .146
Net realized and unrealized gain (loss) .087 (.191) .937 .072 (.247) (.234)
Total from investment operations .139 (.023) 1.166 .305 (.055) (.088)
Distributions from net investment income (.047) (.175) (.216) (.205) (.165) (.133)
Distributions from net realized gain (.002) (.302) - - - (.009)
Total distributions (.049) (.477) (.216) (.205) (.165) (.142)
Net asset value, end of period $10.19 $10.10 $10.60 $9.65 $9.55 $9.77
Total ReturnD,E 1.38% (.33)% 12.21% 3.23% (.59)% (.90)%
Ratios to Average Net AssetsF,G
Expenses before reductions .06%H .05% .08% .15% .16% .41%
Expenses net of fee waivers, if any .03%H .03% .03% .03% .04% .10%
Expenses net of all reductions .03%H .03% .03% .03% .04% .10%
Net investment income (loss) 1.03%H 1.56% 2.27% 2.45% 1.95% 1.46%
Supplemental Data
Net assets, end of period (000 omitted) $12,037,713 $9,575,368 $9,284,624 $2,897,538 $1,081,044 $30,735
Portfolio turnover rateI 19%H 167% 23% 73% 144% 511%

AFor the year ended February 29.

BFor the period March 1, 2016 (commencement of operations) to February 28, 2017.

CCalculated based on average shares outstanding during the period.

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

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

FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

HAnnualized

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

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


Notes to Financial Statements (Unaudited)

For the period ended August 31, 2021

1. Organization.

Fidelity SAI U.S. Treasury Bond Index 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 LLC (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.

Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a)
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% to .01%

(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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 August 31, 2021 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.

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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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

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

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

Book-tax differences are primarily due to market discount, capital loss carryforwards 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 $234,455,176
Gross unrealized depreciation (123,714,466)
Net unrealized appreciation (depreciation) $110,740,710
Tax cost $12,337,490,116

4. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .04% of the Fund's average net assets.

Interfund Trades. Funds 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.

5. Committed Line of Credit.

Certain Funds participate 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 participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

Amount
Fidelity SAI U.S. Treasury Bond Index Fund $8,611

6. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:

Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End
Fidelity SAI U.S. Treasury Bond Index Fund $18,515 $- $-

7. Expense Reductions.

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .03% of average net assets. This reimbursement will remain in place through June 30, 2022. 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 $1,419,524.

In addition, 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 by $10.

8. Other.

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, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

Strategic Advisers Fidelity Core Income Fund
Fidelity SAI U.S. Treasury Bond Index Fund 24%

Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.

Fund % of shares held
Fidelity SAI U.S. Treasury Bond Index Fund 31%

9. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Shareholder Expense Example

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a 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 (March 1, 2021 to August 31, 2021).

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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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
March 1, 2021
Ending
Account Value
August 31, 2021
Expenses Paid
During Period-B
March 1, 2021
to August 31, 2021
Fidelity SAI U.S. Treasury Bond Index Fund .03%
Actual $1,000.00 $1,013.80 $.15
Hypothetical-C $1,000.00 $1,025.05 $.15

AAnnualized expense ratio reflects expenses net of applicable fee waivers.

BExpenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

C5% return per year before expenses



UYB-SANN-1021
1.9872607.105

Fidelity® Series Long-Term Treasury Bond Index Fund



Semi-Annual Report

August 31, 2021



Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example


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

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

BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively "Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg's licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

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. © 2021 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-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT 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.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and - given the wide variability in outcomes regarding the outbreak - significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action - in concert with the U.S. Federal Reserve and central banks around the world - to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Investment Summary (Unaudited)

Coupon Distribution as of August 31, 2021

% of fund's investments
1 - 1.99% 25.3
2 - 2.99% 33.5
3 - 3.99% 33.2
4 - 4.99% 6.3
5 - 5.99% 0.3

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Asset Allocation (% of fund's net assets)

As of August 31, 2021
U.S. Treasury Obligations 99.3%
Short-Term Investments and Net Other Assets (Liabilities) 0.7%

Schedule of Investments August 31, 2021 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.3%
Principal Amount Value
U.S. Treasury Obligations - 99.3%
U.S. Treasury Bonds:
1.125% 5/15/40 $357,777,000 $318,728,996
1.125% 8/15/40 137,730,000 122,267,656
1.25% 5/15/50 80,608,000 68,334,173
1.375% 11/15/40 760,963,000 704,366,376
1.375% 8/15/50 351,488,000 307,442,160
1.625% 11/15/50 195,373,000 181,780,840
1.875% 2/15/41 521,606,000 525,599,546
1.875% 2/15/51 657,165,000 648,745,073
2% 2/15/50 373,609,000 379,621,770
2% 8/15/51 248,000,000 252,417,500
2.25% 5/15/41 391,682,000 419,099,740
2.25% 8/15/46 69,201,000 73,828,817
2.25% 8/15/49 182,587,000 195,489,339
2.375% 11/15/49 354,992,000 390,394,131
2.375% 5/15/51 104,814,000 115,753,961
2.5% 2/15/45 126,949,000 141,424,162
2.5% 2/15/46 117,718,000 131,462,496
2.5% 5/15/46 134,930,000 150,779,005
2.75% 8/15/42 92,800,000 107,372,500
2.75% 11/15/42 103,434,000 119,680,410
2.75% 8/15/47 278,564,000 326,659,816
2.75% 11/15/47 221,377,000 259,780,720
2.875% 5/15/43 133,182,000 157,211,987
2.875% 8/15/45 36,332,000 43,208,115
2.875% 11/15/46 25,000 29,898
2.875% 5/15/49 456,719,000 550,798,273
3% 5/15/42 37,139,000 44,632,083
3% 11/15/44 109,417,000 132,343,281
3% 5/15/45 135,524,000 164,386,377
3% 11/15/45 65,242,000 79,358,228
3% 2/15/47 389,294,000 476,170,430
3% 5/15/47 7,522,000 9,213,862
3% 2/15/48 322,389,000 395,871,025
3% 8/15/48 100,182,000 123,247,341
3% 2/15/49 159,587,000 196,952,799
3.125% 11/15/41 59,163,000 72,361,433
3.125% 2/15/43 114,181,000 139,916,326
3.125% 8/15/44 75,106,000 92,571,079
3.125% 5/15/48 382,642,000 480,798,642
3.375% 5/15/44 133,850,000 171,228,658
3.375% 11/15/48 344,891,000 453,437,358
3.5% 2/15/39 15,614,000 19,996,899
3.625% 8/15/43 94,112,000 124,213,135
3.625% 2/15/44 134,657,000 178,420,525
3.75% 8/15/41 134,938,000 179,641,483
3.75% 11/15/43 138,249,000 186,047,512
3.875% 8/15/40 46,505,000 62,620,073
4.25% 5/15/39 7,357,000 10,296,351
4.25% 11/15/40 61,567,000 86,903,264
4.375% 2/15/38 6,424,000 9,027,978
4.375% 11/15/39 17,280,000 24,584,175
4.375% 5/15/40 79,923,000 114,196,230
4.375% 5/15/41 80,788,000 116,164,307
4.5% 2/15/36 (a) 142,918,000 199,800,480
4.5% 5/15/38 34,092,000 48,638,364
4.5% 8/15/39 1,044,000 1,504,950
4.625% 2/15/40 35,743,000 52,445,872
4.75% 2/15/37 20,223,000 29,248,304
4.75% 2/15/41 19,013,000 28,553,664
5% 5/15/37 22,627,000 33,596,676
11,230,666,624
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $10,613,430,137) 11,230,666,624
Shares Value
Money Market Funds - 1.4%
Fidelity Cash Central Fund 0.06% (b) 85,742,440 $85,759,589
Fidelity Securities Lending Cash Central Fund 0.06% (b)(c) 71,617,838 71,625,000
TOTAL MONEY MARKET FUNDS
(Cost $157,384,589) 157,384,589
TOTAL INVESTMENT IN SECURITIES - 100.7%
(Cost $10,770,814,726) 11,388,051,213
NET OTHER ASSETS (LIABILITIES) - (0.7)% (84,769,514)
NET ASSETS - 100% $11,303,281,699

Legend

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

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period
Fidelity Cash Central Fund 0.06% $66,131,948 $372,003,017 $352,375,376 $9,728 $-- $-- $85,759,589 0.1%
Fidelity Securities Lending Cash Central Fund 0.06% 137,572,695 1,134,195,051 1,200,142,746 60,459 -- -- 71,625,000 0.2%
Total $203,704,643 $1,506,198,068 $1,552,518,122 $70,187 $-- $-- $157,384,589

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. Amount for Fidelity Securities Lending Cash Central Fund 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.

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2021, 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:
U.S. Government and Government Agency Obligations $11,230,666,624 $-- $11,230,666,624 $--
Money Market Funds 157,384,589 157,384,589 -- --
Total Investments in Securities: $11,388,051,213 $157,384,589 $11,230,666,624 $--

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


Financial Statements

Statement of Assets and Liabilities

August 31, 2021 (Unaudited)
Assets
Investment in securities, at value (including securities loaned of $69,877,000) - See accompanying schedule:
Unaffiliated issuers (cost $10,613,430,137)
$11,230,666,624
Fidelity Central Funds (cost $157,384,589) 157,384,589
Total Investment in Securities (cost $10,770,814,726) $11,388,051,213
Receivable for fund shares sold 579,488,978
Interest receivable 41,392,376
Distributions receivable from Fidelity Central Funds 7,447
Total assets 12,008,940,014
Liabilities
Payable for investments purchased $632,772,955
Payable for fund shares redeemed 1,221,959
Other payables and accrued expenses 38,401
Collateral on securities loaned 71,625,000
Total liabilities 705,658,315
Net Assets $11,303,281,699
Net Assets consist of:
Paid in capital $10,656,796,665
Total accumulated earnings (loss) 646,485,034
Net Assets $11,303,281,699
Net Asset Value, offering price and redemption price per share ($11,303,281,699 ÷ 1,311,024,309 shares) $8.62

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


Statement of Operations

Six months ended August 31, 2021 (Unaudited)
Investment Income
Interest $114,235,712
Income from Fidelity Central Funds (including $60,459 from security lending) 70,187
Total income 114,305,899
Expenses
Custodian fees and expenses $46,088
Independent trustees' fees and expenses 12,862
Total expenses before reductions 58,950
Expense reductions (3)
Total expenses after reductions 58,947
Net investment income (loss) 114,246,952
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers 24,361,001
Total net realized gain (loss) 24,361,001
Change in net unrealized appreciation (depreciation) on investment securities 462,546,803
Net gain (loss) 486,907,804
Net increase (decrease) in net assets resulting from operations $601,154,756

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


Statement of Changes in Net Assets

Six months ended August 31, 2021 (Unaudited) Year ended February 28, 2021
Increase (Decrease) in Net Assets
Operations
Net investment income (loss) $114,246,952 $142,777,621
Net realized gain (loss) 24,361,001 624,890,471
Change in net unrealized appreciation (depreciation) 462,546,803 (1,358,596,563)
Net increase (decrease) in net assets resulting from operations 601,154,756 (590,928,471)
Distributions to shareholders (117,764,775) (866,204,921)
Share transactions
Proceeds from sales of shares 3,206,389,107 5,263,477,577
Reinvestment of distributions 117,728,359 866,203,841
Cost of shares redeemed (1,860,656,712) (2,730,339,649)
Net increase (decrease) in net assets resulting from share transactions 1,463,460,754 3,399,341,769
Total increase (decrease) in net assets 1,946,850,735 1,942,208,377
Net Assets
Beginning of period 9,356,430,964 7,414,222,587
End of period $11,303,281,699 $9,356,430,964
Other Information
Shares
Sold 394,178,796 556,676,054
Issued in reinvestment of distributions 14,250,946 93,021,977
Redeemed (220,369,099) (263,745,349)
Net increase (decrease) 188,060,643 385,952,682

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


Financial Highlights

Fidelity Series Long-Term Treasury Bond Index Fund

Six months ended (Unaudited) August 31, Years endedFebruary 28,
2021 2021 2020 A 2019 2018 2017 B
Selected Per-Share Data
Net asset value, beginning of period $8.33 $10.06 $8.43 $8.36 $8.59 $10.00
Income from Investment Operations
Net investment income (loss)C .089 .201 .249 .248 .241 .119
Net realized and unrealized gain (loss) .293 (.752) 2.319 .069 (.244) (1.410)
Total from investment operations .382 (.551) 2.568 .317 (.003) (1.291)
Distributions from net investment income (.086) (.199) (.243) (.247) (.227) (.119)
Distributions from net realized gain (.006) (.980) (.695) - - -
Total distributions (.092) (1.179) (.938) (.247) (.227) (.119)
Net asset value, end of period $8.62 $8.33 $10.06 $8.43 $8.36 $8.59
Total ReturnD,E 4.64% (6.47)% 31.91% 3.84% (.12)% (12.96)%
Ratios to Average Net AssetsF,G
Expenses before reductions - %H,I - %I - %I - %I - %I .19%H
Expenses net of fee waivers, if any - %H,I - %I - %I - %I - %I .19%H
Expenses net of all reductions - %H,I - %I - %I - %I - %I .19%H
Net investment income (loss) 2.14%H 2.03% 2.68% 2.98% 2.76% 2.02%H
Supplemental Data
Net assets, end of period (000 omitted) $11,303,282 $9,356,431 $7,414,223 $10,466,444 $4,380,830 $10,734
Portfolio turnover rateJ 34%H 56% 33%K 23% 15% 45%H

AFor the year ended February 29.

BFor the period July 7, 2016 (commencement of operations) to February 28, 2017.

CCalculated based on average shares outstanding during the period.

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

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

FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

HAnnualized

IAmount represents less than .005%.

JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

KPortfolio turnover rate excludes securities received or delivered in-kind.

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


Notes to Financial Statements (Unaudited)

For the period ended August 31, 2021

1. Organization.

Fidelity Series Long-Term Treasury Bond Index 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 only to certain other Fidelity funds and Fidelity managed 529 plans. 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.

Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a)
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% to .01%

(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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 August 31, 2021 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.

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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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

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

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

Book-tax differences are primarily due to market discount 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 $854,648,857
Gross unrealized depreciation (249,691,031)
Net unrealized appreciation (depreciation) $604,957,826
Tax cost $10,783,093,387

4. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (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.

Interfund Trades. Funds 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

5. Committed Line of Credit.

Certain Funds participate 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 commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.

6. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:

Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End
Fidelity Series Long-Term Treasury Bond Index Fund $6,453 $- $-

7. Expense Reductions.

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 by $3.

8. Other.

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.

9. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Shareholder Expense Example

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a 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 (March 1, 2021 to August 31, 2021).

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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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
March 1, 2021
Ending
Account Value
August 31, 2021
Expenses Paid
During Period-B
March 1, 2021
to August 31, 2021
Fidelity Series Long-Term Treasury Bond Index Fund - %C
Actual $1,000.00 $1,046.40 $-D
Hypothetical-E $1,000.00 $1,025.21 $-D

AAnnualized expense ratio reflects expenses net of applicable fee waivers.

BExpenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

CAmount represents less than .005%.

DAmount Represents less than $.005.

E5% return per year before expenses



XS8-SANN-1021
1.9872675.105

Fidelity® Short-Term Treasury Bond Index Fund

Fidelity® Intermediate Treasury Bond Index Fund

Fidelity® Long-Term Treasury Bond Index Fund



Semi-Annual Report

August 31, 2021



Contents

Note to Shareholders

Fidelity® Short-Term Treasury Bond Index Fund

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Intermediate Treasury Bond Index Fund

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Long-Term Treasury Bond Index Fund

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example


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

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

BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively "Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg's licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

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. © 2021 FMR LLC. All rights reserved.



This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds 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-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT 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 Funds nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and - given the wide variability in outcomes regarding the outbreak - significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action - in concert with the U.S. Federal Reserve and central banks around the world - to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Fidelity® Short-Term Treasury Bond Index Fund

Investment Summary (Unaudited)

Coupon Distribution as of August 31, 2021

% of fund's investments
0.01 - 0.99% 51.2
1 - 1.99% 17.6
2 - 2.99% 29.7
7 - 7.99% 0.1

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Asset Allocation (% of fund's net assets)

As of August 31, 2021
U.S. Treasury Obligations 99.7%
Short-Term Investments and Net Other Assets (Liabilities) 0.3%

Fidelity® Short-Term Treasury Bond Index Fund

Schedule of Investments August 31, 2021 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.7%
Principal Amount Value
U.S. Treasury Obligations - 99.7%
U.S. Treasury Bonds 7.125% 2/15/23 4,361,000 4,803,914
U.S. Treasury Notes:
0.125% 9/30/22 $36,659,000 $36,673,320
0.125% 10/31/22 29,260,000 29,264,572
0.125% 11/30/22 32,797,000 32,804,687
0.125% 12/31/22 13,941,000 13,939,366
0.125% 1/31/23 28,969,000 28,964,474
0.125% 2/28/23 18,445,000 18,437,795
0.125% 3/31/23 7,218,000 7,214,335
0.125% 4/30/23 13,886,000 13,876,779
0.125% 5/15/23 30,939,000 30,914,829
0.125% 5/31/23 9,584,000 9,575,764
0.125% 6/30/23 (a) 42,411,000 42,379,523
0.125% 7/15/23 10,174,000 10,162,475
0.125% 7/31/23 3,604,000 3,599,777
0.125% 8/15/23 4,563,000 4,556,405
0.125% 8/31/23 3,199,000 3,193,877
0.125% 9/15/23 40,711,000 40,628,306
0.125% 10/15/23 33,784,000 33,703,499
0.125% 12/15/23 29,701,000 29,603,544
0.125% 1/15/24 31,035,000 30,916,194
0.125% 2/15/24 (a) 59,967,000 59,721,042
0.25% 4/15/23 32,039,000 32,086,558
0.25% 6/15/23 23,274,000 23,298,547
0.25% 11/15/23 26,249,000 26,250,025
0.25% 3/15/24 62,484,000 62,383,928
0.25% 5/15/24 44,054,000 43,935,261
0.25% 6/15/24 42,352,000 42,219,650
0.25% 5/31/25 46,096,000 45,534,205
0.25% 6/30/25 48,047,000 47,431,398
0.25% 7/31/25 31,060,000 30,634,138
0.25% 8/31/25 71,327,000 70,271,026
0.25% 9/30/25 64,535,000 63,524,120
0.25% 10/31/25 67,308,000 66,185,323
0.375% 4/15/24 60,274,000 60,335,215
0.375% 7/15/24 45,639,000 45,631,869
0.375% 8/15/24 33,764,000 33,737,622
0.375% 4/30/25 56,080,000 55,709,785
0.375% 11/30/25 65,572,000 64,767,719
0.375% 12/31/25 72,006,000 71,058,109
0.375% 1/31/26 79,011,000 77,890,649
0.5% 3/15/23 44,528,000 44,774,991
0.5% 3/31/25 35,406,000 35,364,508
0.5% 2/28/26 75,851,000 75,163,600
0.625% 7/31/26 75,042,000 74,526,086
0.75% 3/31/26 52,799,000 52,864,999
0.75% 4/30/26 57,832,000 57,877,181
0.75% 5/31/26 77,684,000 77,705,242
0.75% 8/31/26 81,005,000 80,910,070
0.875% 6/30/26 50,168,000 50,446,276
1.125% 2/28/25 58,919,000 60,161,823
1.25% 7/31/23 5,315,000 5,422,546
1.25% 8/31/24 39,218,000 40,209,174
1.375% 10/15/22 21,578,000 21,886,498
1.375% 2/15/23 43,014,000 43,790,269
1.375% 6/30/23 819,000 836,884
1.375% 8/31/23 1,762,000 1,802,746
1.375% 9/30/23 46,701,000 47,813,797
1.375% 1/31/25 17,447,000 17,964,276
1.5% 9/15/22 22,987,000 23,322,826
1.5% 1/15/23 41,446,000 42,226,350
1.5% 2/28/23 36,757,000 37,503,627
1.5% 3/31/23 9,950,000 10,162,215
1.5% 9/30/24 27,002,000 27,897,496
1.5% 10/31/24 26,648,000 27,544,247
1.5% 11/30/24 57,512,000 59,450,784
1.5% 8/15/26 9,688,000 10,028,972
1.625% 11/15/22 34,456,000 35,083,207
1.625% 12/15/22 20,655,000 21,055,997
1.625% 4/30/23 8,893,000 9,109,767
1.625% 5/31/23 11,556,000 11,849,866
1.625% 10/31/23 1,735,000 1,786,847
1.625% 2/15/26 3,511,000 3,653,086
1.625% 5/15/26 10,695,000 11,130,738
1.75% 9/30/22 1,463,000 1,488,888
1.75% 1/31/23 19,447,000 19,887,596
1.75% 5/15/23 3,063,000 3,144,720
1.75% 6/30/24 14,133,000 14,684,518
1.75% 7/31/24 5,038,000 5,238,142
1.75% 12/31/24 36,856,000 38,413,742
1.875% 9/30/22 26,046,000 26,543,519
1.875% 10/31/22 89,000 90,836
1.875% 8/31/24 3,571,000 3,728,347
2% 10/31/22 15,716,000 16,061,015
2% 11/30/22 31,713,000 32,458,751
2% 2/15/23 61,001,000 62,659,465
2% 4/30/24 1,027,000 1,072,613
2% 5/31/24 45,928,000 47,996,554
2% 6/30/24 5,177,000 5,414,616
2% 2/15/25 16,900,000 17,764,144
2% 8/15/25 21,742,000 22,926,769
2.125% 12/31/22 36,327,000 37,290,517
2.125% 11/30/23 33,695,000 35,103,346
2.125% 2/29/24 20,624,000 21,562,553
2.125% 3/31/24 27,019,000 28,273,906
2.125% 7/31/24 7,076,000 7,434,223
2.125% 9/30/24 2,467,000 2,595,747
2.125% 11/30/24 1,012,000 1,066,158
2.125% 5/15/25 10,959,000 11,585,290
2.25% 12/31/23 46,911,000 49,064,142
2.25% 1/31/24 32,721,000 34,270,135
2.25% 4/30/24 17,179,000 18,048,687
2.25% 10/31/24 2,533,000 2,677,361
2.25% 11/15/24 31,103,000 32,893,852
2.25% 12/31/24 2,818,000 2,983,447
2.25% 11/15/25 17,188,000 18,328,719
2.375% 1/31/23 43,821,000 45,210,947
2.375% 2/29/24 39,518,000 41,557,190
2.375% 8/15/24 24,724,000 26,169,774
2.5% 3/31/23 13,884,000 14,398,142
2.5% 8/15/23 11,010,000 11,502,439
2.5% 1/31/24 45,171,000 47,568,945
2.5% 5/15/24 35,174,000 37,218,489
2.5% 1/31/25 2,729,000 2,914,167
2.625% 12/15/21 1,000 1,007
2.625% 2/28/23 34,132,000 35,403,950
2.625% 6/30/23 19,528,000 20,397,606
2.625% 12/31/23 44,614,000 47,046,857
2.75% 4/30/23 32,250,000 33,635,742
2.75% 5/31/23 26,929,000 28,139,753
2.75% 7/31/23 383,000 401,656
2.75% 8/31/23 41,757,000 43,866,055
2.75% 11/15/23 17,933,000 18,915,112
2.75% 2/15/24 65,064,000 68,970,381
2.75% 2/28/25 39,898,000 42,997,887
2.875% 9/30/23 24,316,000 25,648,631
2.875% 10/31/23 34,530,000 36,489,847
2.875% 11/30/23 15,625,000 16,542,969
3,836,896,479
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $3,805,140,803) 3,836,896,479
Shares Value
Money Market Funds - 1.3%
Fidelity Cash Central Fund 0.06% (b) 5,998,980 $6,000,180
Fidelity Securities Lending Cash Central Fund 0.06% (b)(c) 45,246,238 45,250,762
TOTAL MONEY MARKET FUNDS
(Cost $51,250,943) 51,250,942
TOTAL INVESTMENT IN SECURITIES - 101.0%
(Cost $3,856,391,746) 3,888,147,421
NET OTHER ASSETS (LIABILITIES) - (1.0)% (38,266,723)
NET ASSETS - 100% $3,849,880,698

Legend

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

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period
Fidelity Cash Central Fund 0.06% $1,557,871 $288,479,131 $284,036,821 $2,068 $-- $(1) $6,000,180 0.0%
Fidelity Securities Lending Cash Central Fund 0.06% 48,711,000 337,343,761 340,803,999 37,957 -- -- 45,250,762 0.1%
Total $50,268,871 $625,822,892 $624,840,820 $40,025 $-- $(1) $51,250,942

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. Amount for Fidelity Securities Lending Cash Central Fund 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.

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2021, 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:
U.S. Government and Government Agency Obligations $3,836,896,479 $-- $3,836,896,479 $--
Money Market Funds 51,250,942 51,250,942 -- --
Total Investments in Securities: $3,888,147,421 $51,250,942 $3,836,896,479 $--

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


Fidelity® Short-Term Treasury Bond Index Fund

Financial Statements

Statement of Assets and Liabilities

August 31, 2021 (Unaudited)
Assets
Investment in securities, at value (including securities loaned of $44,332,174) - See accompanying schedule:
Unaffiliated issuers (cost $3,805,140,803)
$3,836,896,479
Fidelity Central Funds (cost $51,250,943) 51,250,942
Total Investment in Securities (cost $3,856,391,746) $3,888,147,421
Receivable for investments sold 123,446,687
Receivable for fund shares sold 6,237,185
Interest receivable 8,136,978
Distributions receivable from Fidelity Central Funds 4,472
Total assets 4,025,972,743
Liabilities
Payable for investments purchased $127,870,590
Payable for fund shares redeemed 2,413,946
Distributions payable 460,788
Accrued management fee 95,958
Collateral on securities loaned 45,250,763
Total liabilities 176,092,045
Net Assets $3,849,880,698
Net Assets consist of:
Paid in capital $3,804,406,929
Total accumulated earnings (loss) 45,473,769
Net Assets $3,849,880,698
Net Asset Value, offering price and redemption price per share ($3,849,880,698 ÷ 359,374,884 shares) $10.71

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


Statement of Operations

Six months ended August 31, 2021 (Unaudited)
Investment Income
Interest $16,501,931
Income from Fidelity Central Funds (including $37,957 from security lending) 40,025
Total income 16,541,956
Expenses
Management fee $564,031
Independent trustees' fees and expenses 4,933
Total expenses before reductions 568,964
Expense reductions (4)
Total expenses after reductions 568,960
Net investment income (loss) 15,972,996
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers 7,712,743
Total net realized gain (loss) 7,712,743
Change in net unrealized appreciation (depreciation) on:
Investment securities:
Unaffiliated issuers (16,636,113)
Fidelity Central Funds (1)
Total change in net unrealized appreciation (depreciation) (16,636,114)
Net gain (loss) (8,923,371)
Net increase (decrease) in net assets resulting from operations $7,049,625

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


Statement of Changes in Net Assets

Six months ended August 31, 2021 (Unaudited) Year ended February 28, 2021
Increase (Decrease) in Net Assets
Operations
Net investment income (loss) $15,972,996 $42,837,539
Net realized gain (loss) 7,712,743 27,341,344
Change in net unrealized appreciation (depreciation) (16,636,114) (21,899,618)
Net increase (decrease) in net assets resulting from operations 7,049,625 48,279,265
Distributions to shareholders (23,769,826) (52,460,961)
Share transactions
Proceeds from sales of shares 904,590,386 3,914,439,434
Reinvestment of distributions 19,473,448 42,504,298
Cost of shares redeemed (928,419,884) (2,652,339,892)
Net increase (decrease) in net assets resulting from share transactions (4,356,050) 1,304,603,840
Total increase (decrease) in net assets (21,076,251) 1,300,422,144
Net Assets
Beginning of period 3,870,956,949 2,570,534,805
End of period $3,849,880,698 $3,870,956,949
Other Information
Shares
Sold 84,405,234 360,498,942
Issued in reinvestment of distributions 1,817,531 3,917,521
Redeemed (86,596,341) (244,369,815)
Net increase (decrease) (373,576) 120,046,648

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


Financial Highlights

Fidelity Short-Term Treasury Bond Index Fund

Six months ended (Unaudited) August 31, Years endedFebruary 28,
2021 2021 2020 A 2019 2018 B
Selected Per-Share Data
Net asset value, beginning of period $10.76 $10.72 $10.30 $10.22 $10.40
Income from Investment Operations
Net investment income (loss)C .046 .127 .217 .191 .061
Net realized and unrealized gain (loss) (.028) .068 .402 .065 (.182)
Total from investment operations .018 .195 .619 .256 (.121)
Distributions from net investment income (.042) (.125) (.199) (.176) (.059)
Distributions from net realized gain (.026) (.030) - - -
Total distributions (.068) (.155) (.199) (.176) (.059)
Net asset value, end of period $10.71 $10.76 $10.72 $10.30 $10.22
Total ReturnD,E .17% 1.82% 6.06% 2.53% (1.17)%
Ratios to Average Net AssetsF,G
Expenses before reductions .03%H .03% .03% .03% .03%H
Expenses net of fee waivers, if any .03%H .03% .03% .03% .03%H
Expenses net of all reductions .03%H .03% .03% .03% .03%H
Net investment income (loss) .84%H 1.17% 2.07% 1.85% 1.49%H
Supplemental Data
Net assets, end of period (000 omitted) $3,849,881 $3,870,957 $2,570,535 $1,886,881 $483
Portfolio turnover rateI 47%H 54% 46% 46% 41%

AFor the year ended February 29.

BFor the period October 4, 2017 (commencement of sale of shares) to February 28, 2018.

CCalculated based on average shares outstanding during the period.

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

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

FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

HAnnualized

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

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


Fidelity® Intermediate Treasury Bond Index Fund

Investment Summary (Unaudited)

Coupon Distribution as of August 31, 2021

% of fund's investments
0.01 - 0.99% 28.4
1 - 1.99% 37.4
2 - 2.99% 27.1
3 - 3.99% 3.5
5 - 5.99% 0.7
6 - 6.99% 1.0

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Asset Allocation (% of fund's net assets)

As of August 31, 2021
U.S. Treasury Obligations 99.7%
Short-Term Investments and Net Other Assets (Liabilities) 0.3%

Fidelity® Intermediate Treasury Bond Index Fund

Schedule of Investments August 31, 2021 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.7%
Principal Amount Value
U.S. Treasury Obligations - 99.7%
U.S. Treasury Bonds:
5.25% 11/15/28 $8,521,000 $10,999,413
5.25% 2/15/29 794,000 1,030,060
5.5% 8/15/28 14,741,000 19,156,966
6.125% 11/15/27 15,013,000 19,712,186
6.25% 5/15/30 11,604,000 16,481,306
6.375% 8/15/27 803,000 1,058,109
6.5% 11/15/26 876,000 1,130,827
6.625% 2/15/27 4,115,000 5,389,846
U.S. Treasury Notes:
0.375% 7/31/27 39,417,000 38,182,139
0.375% 9/30/27 56,478,000 54,549,806
0.5% 4/30/27 58,572,000 57,334,209
0.5% 5/31/27 58,246,000 56,933,190
0.5% 6/30/27 62,776,000 61,321,853
0.5% 8/31/27 72,083,000 70,238,689
0.5% 10/31/27 62,488,000 60,730,525
0.625% 3/31/27 24,376,000 24,057,017
0.625% 11/30/27 132,915,000 130,043,829
0.625% 12/31/27 120,002,000 117,292,580
0.625% 5/15/30 100,077,000 95,045,785
0.625% 8/15/30 184,872,000 175,086,782
0.75% 1/31/28 76,493,000 75,270,905
0.875% 11/15/30 243,241,000 235,050,621
1% 7/31/28 76,393,000 76,011,035
1.125% 2/28/27 47,926,000 48,626,169
1.125% 2/29/28 (a) 88,534,000 89,166,880
1.125% 8/31/28 84,918,000 85,143,563
1.125% 2/15/31 204,330,000 201,584,316
1.25% 3/31/28 108,227,000 109,757,397
1.25% 4/30/28 117,995,000 119,594,386
1.25% 5/31/28 73,184,000 74,144,540
1.25% 6/30/28 102,023,000 103,282,346
1.25% 8/15/31 79,258,000 78,849,326
1.5% 1/31/27 17,628,300 18,245,979
1.5% 2/15/30 102,987,000 105,420,872
1.625% 9/30/26 68,089,000 70,908,310
1.625% 10/31/26 27,611,000 28,756,425
1.625% 11/30/26 5,281,000 5,500,285
1.625% 8/15/29 122,522,000 126,862,916
1.625% 5/15/31 196,116,000 202,213,982
1.75% 12/31/26 53,127,000 55,683,737
1.75% 11/15/29 42,036,000 43,927,620
2% 11/15/26 65,503,000 69,481,796
2.25% 2/15/27 110,387,000 118,635,841
2.25% 8/15/27 100,419,000 108,142,633
2.25% 11/15/27 141,887,000 152,927,582
2.375% 5/15/27 95,669,000 103,595,326
2.375% 5/15/29 72,531,000 79,121,122
2.625% 2/15/29 107,256,000 118,836,296
2.75% 2/15/28 118,230,000 131,189,117
2.875% 5/15/28 109,820,000 122,946,922
2.875% 8/15/28 167,129,000 187,419,505
3.125% 11/15/28 136,290,000 155,540,963
4,317,613,830
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $4,238,226,484) 4,317,613,830
Shares Value
Money Market Funds - 1.9%
Fidelity Cash Central Fund 0.06% (b) 9,877,180 $9,879,155
Fidelity Securities Lending Cash Central Fund 0.06% (b)(c) 72,855,991 72,863,276
TOTAL MONEY MARKET FUNDS
(Cost $82,742,431) 82,742,431
TOTAL INVESTMENT IN SECURITIES - 101.6%
(Cost $4,320,968,915) 4,400,356,261
NET OTHER ASSETS (LIABILITIES) - (1.6)% (68,047,766)
NET ASSETS - 100% $4,332,308,495

Legend

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

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period
Fidelity Cash Central Fund 0.06% $11,350,549 $187,489,432 $188,960,826 $1,215 $-- $-- $9,879,155 0.0%
Fidelity Securities Lending Cash Central Fund 0.06% 347,343,575 1,000,743,933 1,275,224,232 170,022 -- -- 72,863,276 0.2%
Total $358,694,124 $1,188,233,365 $1,464,185,058 $171,237 $-- $-- $82,742,431

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. Amount for Fidelity Securities Lending Cash Central Fund 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.

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2021, 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:
U.S. Government and Government Agency Obligations $4,317,613,830 $-- $4,317,613,830 $--
Money Market Funds 82,742,431 82,742,431 -- --
Total Investments in Securities: $4,400,356,261 $82,742,431 $4,317,613,830 $--

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


Fidelity® Intermediate Treasury Bond Index Fund

Financial Statements

Statement of Assets and Liabilities

August 31, 2021 (Unaudited)
Assets
Investment in securities, at value (including securities loaned of $71,361,036) - See accompanying schedule:
Unaffiliated issuers (cost $4,238,226,484)
$4,317,613,830
Fidelity Central Funds (cost $82,742,431) 82,742,431
Total Investment in Securities (cost $4,320,968,915) $4,400,356,261
Receivable for investments sold 215,860,585
Receivable for fund shares sold 5,365,406
Interest receivable 11,413,039
Distributions receivable from Fidelity Central Funds 6,030
Total assets 4,633,001,321
Liabilities
Payable for investments purchased $224,762,311
Payable for fund shares redeemed 2,363,101
Distributions payable 595,675
Accrued management fee 108,463
Collateral on securities loaned 72,863,276
Total liabilities 300,692,826
Net Assets $4,332,308,495
Net Assets consist of:
Paid in capital $4,247,418,079
Total accumulated earnings (loss) 84,890,416
Net Assets $4,332,308,495
Net Asset Value, offering price and redemption price per share ($4,332,308,495 ÷ 380,392,496 shares) $11.39

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


Statement of Operations

Six months ended August 31, 2021 (Unaudited)
Investment Income
Interest $29,451,041
Income from Fidelity Central Funds (including $170,022 from security lending) 171,237
Total income 29,622,278
Expenses
Management fee $646,953
Independent trustees' fees and expenses 5,665
Total expenses 652,618
Net investment income (loss) 28,969,660
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers (632,472)
Total net realized gain (loss) (632,472)
Change in net unrealized appreciation (depreciation) on investment securities 24,166,985
Net gain (loss) 23,534,513
Net increase (decrease) in net assets resulting from operations $52,504,173

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


Statement of Changes in Net Assets

Six months ended August 31, 2021 (Unaudited) Year ended February 28, 2021
Increase (Decrease) in Net Assets
Operations
Net investment income (loss) $28,969,660 $61,996,978
Net realized gain (loss) (632,472) 108,906,948
Change in net unrealized appreciation (depreciation) 24,166,985 (179,382,563)
Net increase (decrease) in net assets resulting from operations 52,504,173 (8,478,637)
Distributions to shareholders (53,537,013) (130,081,782)
Share transactions
Proceeds from sales of shares 871,216,773 4,173,652,409
Reinvestment of distributions 47,422,125 116,047,788
Cost of shares redeemed (1,157,065,004) (3,088,255,834)
Net increase (decrease) in net assets resulting from share transactions (238,426,106) 1,201,444,363
Total increase (decrease) in net assets (239,458,946) 1,062,883,944
Net Assets
Beginning of period 4,571,767,441 3,508,883,497
End of period $4,332,308,495 $4,571,767,441
Other Information
Shares
Sold 77,215,687 351,520,038
Issued in reinvestment of distributions 4,227,616 9,845,238
Redeemed (102,802,497) (260,908,714)
Net increase (decrease) (21,359,194) 100,456,562

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


Financial Highlights

Fidelity Intermediate Treasury Bond Index Fund

Six months ended (Unaudited) August 31, Years endedFebruary 28,
2021 2021 2020 A 2019 2018 B
Selected Per-Share Data
Net asset value, beginning of period $11.38 $11.65 $10.54 $10.37 $10.77
Income from Investment Operations
Net investment income (loss)C .076 .174 .255 .258 .091
Net realized and unrealized gain (loss) .074 (.092) 1.092 .153 (.405)
Total from investment operations .150 .082 1.347 .411 (.314)
Distributions from net investment income (.070) (.171) (.237) (.241) (.086)
Distributions from net realized gain (.070) (.181) - - -
Total distributions (.140) (.352) (.237) (.241) (.086)
Net asset value, end of period $11.39 $11.38 $11.65 $10.54 $10.37
Total ReturnD,E 1.34% .63% 12.91% 4.02% (2.94)%
Ratios to Average Net AssetsF,G
Expenses before reductions .03%H .03% .03% .03% .03%H
Expenses net of fee waivers, if any .03%H .03% .03% .03% .03%H
Expenses net of all reductions .03%H .03% .03% .03% .03%H
Net investment income (loss) 1.33%H 1.46% 2.30% 2.47% 2.12%H
Supplemental Data
Net assets, end of period (000 omitted) $4,332,308 $4,571,767 $3,508,883 $2,292,750 $97,998
Portfolio turnover rateI 52%H 56% 58% 65% 43%

AFor the year ended February 29.

BFor the period October 4, 2017 (commencement of sale of shares) to February 28, 2018.

CCalculated based on average shares outstanding during the period.

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

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

FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

HAnnualized

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

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


Fidelity® Long-Term Treasury Bond Index Fund

Investment Summary (Unaudited)

Coupon Distribution as of August 31, 2021

% of fund's investments
1 - 1.99% 24.3
2 - 2.99% 28.5
3 - 3.99% 38.4
4 - 4.99% 7.9
5 - 5.99% 0.0

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Asset Allocation (% of fund's net assets)

As of August 31, 2021
U.S. Treasury Obligations 99.7%
Short-Term Investments and Net Other Assets (Liabilities) 0.3%

Fidelity® Long-Term Treasury Bond Index Fund

Schedule of Investments August 31, 2021 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.7%
Principal Amount Value
U.S. Treasury Obligations - 99.7%
U.S. Treasury Bonds:
1.125% 5/15/40 $103,659,000 $92,345,592
1.125% 8/15/40 121,904,000 108,218,372
1.25% 5/15/50 60,803,000 51,544,794
1.375% 11/15/40 106,088,000 98,197,705
1.375% 8/15/50 122,745,000 107,363,517
1.625% 11/15/50 117,781,000 109,586,939
1.75% 8/15/41 21,905,000 21,559,317
1.875% 2/15/41 134,848,000 135,880,430
1.875% 2/15/51 141,510,000 139,696,903
2% 2/15/50 101,116,900 102,744,250
2% 8/15/51 35,054,000 35,678,399
2.25% 5/15/41 99,977,000 106,975,390
2.25% 8/15/46 16,213,000 17,297,244
2.25% 8/15/49 27,009,000 28,917,566
2.375% 11/15/49 85,545,000 94,076,109
2.375% 5/15/51 88,097,000 97,292,124
2.5% 2/15/45 35,614,000 39,674,831
2.5% 2/15/46 40,773,000 45,533,566
2.5% 5/15/46 5,162,000 5,768,333
2.75% 8/15/42 5,337,000 6,175,076
2.75% 11/15/42 34,725,000 40,179,267
2.75% 8/15/47 55,842,000 65,483,470
2.75% 11/15/47 76,225,000 89,448,251
2.875% 5/15/43 21,668,000 25,577,551
2.875% 8/15/45 64,287,500 76,454,411
2.875% 11/15/46 7,429,000 8,884,620
2.875% 5/15/49 104,190,000 125,652,036
3% 5/15/42 42,101,000 50,595,206
3% 11/15/44 40,437,000 48,909,815
3% 5/15/45 61,050,000 74,051,742
3% 11/15/45 31,982,000 38,901,855
3% 2/15/47 77,090,000 94,293,717
3% 5/15/47 54,357,000 66,583,079
3% 2/15/48 80,797,000 99,213,035
3% 8/15/48 99,741,000 122,704,807
3% 2/15/49 104,784,000 129,318,191
3.125% 11/15/41 22,170,000 27,115,815
3.125% 2/15/42 20,406,000 25,009,307
3.125% 2/15/43 53,997,000 66,167,417
3.125% 8/15/44 3,084,300 3,801,520
3.125% 5/15/48 83,853,000 105,363,260
3.375% 5/15/44 2,829,300 3,619,404
3.375% 11/15/48 88,394,000 116,213,940
3.5% 2/15/39 10,281,000 13,166,909
3.625% 8/15/43 57,353,000 75,696,999
3.625% 2/15/44 51,875,000 68,734,375
3.75% 8/15/41 21,581,000 28,730,549
3.75% 11/15/43 58,468,000 78,682,854
3.875% 8/15/40 21,972,000 29,585,813
4.25% 5/15/39 9,981,000 13,968,721
4.25% 11/15/40 12,299,000 17,360,327
4.375% 2/15/38 6,210,000 8,727,233
4.375% 11/15/39 22,043,000 31,360,473
4.375% 5/15/40 23,064,000 32,954,492
4.375% 5/15/41 20,553,000 29,552,966
4.5% 2/15/36 30,297,000 42,355,443
4.5% 5/15/38 3,310,000 4,722,310
4.5% 8/15/39 3,533,000 5,092,902
4.625% 2/15/40 24,872,000 36,494,802
4.75% 2/15/37 (a) 10,578,000 15,298,846
4.75% 2/15/41 27,971,000 42,006,761
5% 5/15/37 1,069,000 1,587,256
3,524,148,204
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $3,277,151,959) 3,524,148,204
Shares Value
Money Market Funds - 0.9%
Fidelity Cash Central Fund 0.06% (b) 19,194,255 $19,198,094
Fidelity Securities Lending Cash Central Fund 0.06% (b)(c) 12,533,084 12,534,338
TOTAL MONEY MARKET FUNDS
(Cost $31,732,432) 31,732,432
TOTAL INVESTMENT IN SECURITIES - 100.6%
(Cost $3,308,884,391) 3,555,880,636
NET OTHER ASSETS (LIABILITIES) - (0.6)% (22,529,603)
NET ASSETS - 100% $3,533,351,033

Legend

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

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period
Fidelity Cash Central Fund 0.06% $19,150,486 $109,996,817 $109,949,209 $1,204 $-- $-- $19,198,094 0.0%
Fidelity Securities Lending Cash Central Fund 0.06% 55,949,330 151,532,210 194,947,202 8,864 -- -- 12,534,338 0.0%
Total $75,099,816 $261,529,027 $304,896,411 $10,068 $-- $-- $31,732,432

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. Amount for Fidelity Securities Lending Cash Central Fund 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.

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2021, 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:
U.S. Government and Government Agency Obligations $3,524,148,204 $-- $3,524,148,204 $--
Money Market Funds 31,732,432 31,732,432 -- --
Total Investments in Securities: $3,555,880,636 $31,732,432 $3,524,148,204 $--

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


Fidelity® Long-Term Treasury Bond Index Fund

Financial Statements

Statement of Assets and Liabilities

August 31, 2021 (Unaudited)
Assets
Investment in securities, at value (including securities loaned of $12,234,190) - See accompanying schedule:
Unaffiliated issuers (cost $3,277,151,959)
$3,524,148,204
Fidelity Central Funds (cost $31,732,432) 31,732,432
Total Investment in Securities (cost $3,308,884,391) $3,555,880,636
Receivable for investments sold 29,283,475
Receivable for fund shares sold 11,173,766
Interest receivable 13,401,369
Distributions receivable from Fidelity Central Funds 680
Total assets 3,609,739,926
Liabilities
Payable for investments purchased $57,186,207
Payable for fund shares redeemed 6,265,532
Distributions payable 315,342
Accrued management fee 87,475
Collateral on securities loaned 12,534,337
Total liabilities 76,388,893
Net Assets $3,533,351,033
Net Assets consist of:
Paid in capital $3,266,572,902
Total accumulated earnings (loss) 266,778,131
Net Assets $3,533,351,033
Net Asset Value, offering price and redemption price per share ($3,533,351,033 ÷ 236,437,706 shares) $14.94

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


Statement of Operations

Six months ended August 31, 2021 (Unaudited)
Investment Income
Interest $35,442,614
Income from Fidelity Central Funds (including $8,864 from security lending) 10,068
Total income 35,452,682
Expenses
Management fee $474,129
Independent trustees' fees and expenses 4,034
Total expenses before reductions 478,163
Expense reductions (14)
Total expenses after reductions 478,149
Net investment income (loss) 34,974,533
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers 20,331,137
Total net realized gain (loss) 20,331,137
Change in net unrealized appreciation (depreciation) on investment securities 100,527,175
Net gain (loss) 120,858,312
Net increase (decrease) in net assets resulting from operations $155,832,845

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


Statement of Changes in Net Assets

Six months ended August 31, 2021 (Unaudited) Year ended February 28, 2021
Increase (Decrease) in Net Assets
Operations
Net investment income (loss) $34,974,533 $61,706,493
Net realized gain (loss) 20,331,137 95,440,709
Change in net unrealized appreciation (depreciation) 100,527,175 (391,683,660)
Net increase (decrease) in net assets resulting from operations 155,832,845 (234,536,458)
Distributions to shareholders (44,905,615) (122,730,741)
Share transactions
Proceeds from sales of shares 1,082,288,865 2,738,083,827
Reinvestment of distributions 42,205,999 112,319,394
Cost of shares redeemed (713,927,011) (2,172,490,128)
Net increase (decrease) in net assets resulting from share transactions 410,567,853 677,913,093
Total increase (decrease) in net assets 521,495,083 320,645,894
Net Assets
Beginning of period 3,011,855,950 2,691,210,056
End of period $3,533,351,033 $3,011,855,950
Other Information
Shares
Sold 75,733,219 165,801,155
Issued in reinvestment of distributions 2,963,318 6,987,569
Redeemed (50,119,584) (132,076,926)
Net increase (decrease) 28,576,953 40,711,798

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


Financial Highlights

Fidelity Long-Term Treasury Bond Index Fund

Six months ended (Unaudited) August 31, Years endedFebruary 28,
2021 2021 2020 A 2019 2018 B
Selected Per-Share Data
Net asset value, beginning of period $14.49 $16.10 $12.53 $12.42 $13.06
Income from Investment Operations
Net investment income (loss)C .159 .336 .378 .381 .136
Net realized and unrealized gain (loss) .498 (1.296) 3.562 .101 (.627)
Total from investment operations .657 (.960) 3.940 .482 (.491)
Distributions from net investment income (.154) (.330) (.370) (.372) (.149)
Distributions from net realized gain (.053) (.320) - - -
Total distributions (.207) (.650) (.370) (.372) (.149)
Net asset value, end of period $14.94 $14.49 $16.10 $12.53 $12.42
Total ReturnD,E 4.61% (6.32)% 31.86% 3.94% (3.81)%
Ratios to Average Net AssetsF,G
Expenses before reductions .03%H .03% .03% .03% .03%H
Expenses net of fee waivers, if any .03%H .03% .03% .03% .03%H
Expenses net of all reductions .03%H .03% .03% .03% .03%H
Net investment income (loss) 2.19%H 2.04% 2.69% 3.04% 3.05%H
Supplemental Data
Net assets, end of period (000 omitted) $3,533,351 $3,011,856 $2,691,210 $2,366,042 $314,669
Portfolio turnover rateI 27%H 41% 54% 34% 24%

AFor the year ended February 29.

BFor the period October 4, 2017 (commencement of sale of shares) to February 28, 2018.

CCalculated based on average shares outstanding during the period.

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

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

FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

HAnnualized

IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

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


Notes to Financial Statements (Unaudited)

For the period ended August 31, 2021

1. Organization.

Fidelity Short-Term Treasury Bond Index Fund, Fidelity Intermediate Treasury Bond Index Fund and Fidelity Long-Term Treasury Bond Index Fund (the Funds) are funds of Fidelity Salem Street Trust (the Trust). Each Fund 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.

Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a)
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% to .01%

(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

3. Significant Accounting Policies.

Each 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 - Investment 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. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each 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 each Fund's investments to the Fair Value Committee (the Committee) established by each Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, each 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 each 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 each Fund's investments and ratifies the fair value determinations of the Committee.

Each 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 each Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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 August 31, 2021 is included at the end of each Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Funds' 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.

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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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, each 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. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each 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, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Tax cost Gross unrealized appreciation Gross unrealized depreciation Net unrealized appreciation (depreciation)
Fidelity Short-Term Treasury Bond Index Fund $3,851,538,756 $45,814,109 $(9,205,444) $36,608,665
Fidelity Intermediate Treasury Bond Index Fund 4,315,921,201 126,699,043 (42,263,983) 84,435,060
Fidelity Long-Term Treasury Bond Index Fund 3,309,188,998 336,164,964 (89,473,326) 246,691,638

Certain of the Funds elected to defer to the next fiscal year capital losses recognized during the period November 1, 2020 to February 28, 2021. Loss deferrals were as follows:

Capital losses
Fidelity Long-Term Treasury Bond Index Fund (1,057,397)

4. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Funds with investment management related services for which the Funds pay a monthly management fee. The management fee is based on an annual rate of .03% of each Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.

Interfund Trades. Funds 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.

5. Committed Line of Credit.

Certain Funds participate 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 commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.

6. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:

Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End
Fidelity Short-Term Treasury Bond Index Fund $4,026 $- $-
Fidelity Intermediate Treasury Bond Index Fund $17,911 $- $-
Fidelity Long-Term Treasury Bond Index Fund $896 $- $-

7. Expense Reductions.

Through arrangements with each applicable Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.

Custodian credits
Fidelity Short-Term Treasury Bond Index Fund $4
Fidelity Long-Term Treasury Bond Index Fund 14

8. Other.

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.

9. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Funds' performance.

Shareholder Expense Example

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a 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 (March 1, 2021 to August 31, 2021).

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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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
March 1, 2021
Ending
Account Value
August 31, 2021
Expenses Paid
During Period-B
March 1, 2021
to August 31, 2021
Fidelity Short-Term Treasury Bond Index Fund .03%
Actual $1,000.00 $1,001.70 $.15
Hypothetical-C $1,000.00 $1,025.05 $.15
Fidelity Intermediate Treasury Bond Index Fund .03%
Actual $1,000.00 $1,013.40 $.15
Hypothetical-C $1,000.00 $1,025.05 $.15
Fidelity Long-Term Treasury Bond Index Fund .03%
Actual $1,000.00 $1,046.10 $.15
Hypothetical-C $1,000.00 $1,025.05 $.15

AAnnualized expense ratio reflects expenses net of applicable fee waivers.

BExpenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

C5% return per year before expenses



LBX-I-SANN-1021
1.9885079.103

Item 2.

Code of Ethics

Not applicable.

Item 3.

Audit Committee Financial Expert

Not applicable.

Item 4.

Principal Accountant Fees and Services

Not applicable.

Item 5.

Audit Committee of Listed Registrants

Not applicable.

Item 6.

Investments

(a)

Not applicable.

(b)

Not applicable

Item 7.

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

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9.

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

Not applicable.

Item 10.

Submission of Matters to a Vote of Security Holders

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

Item 11.

Controls and Procedures

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

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 12.

Disclosure of Securities Lending Activities for Closed-End Management

Investment Companies

Not applicable.

Item 13.

Exhibits

(a)

(1)

Not applicable.

(a)

(2)

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

(a)

(3)

Not applicable.

(b)

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

SIGNATURES

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

Fidelity Salem Street Trust

By:

/s/Laura M. Del Prato

Laura M. Del Prato

President and Treasurer

Date:

October 21, 2021

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:

October 21, 2021

By:

/s/John J. Burke III

John J. Burke III

Chief Financial Officer

Date:

October 21, 2021