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
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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
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Note to Shareholders |
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Investment Summary |
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Schedule of Investments |
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Financial Statements |
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Notes to Financial Statements |
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Shareholder Expense Example |
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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 ExampleAs 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 ExampleAs 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 |
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Shareholder Expense Example |
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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 ExampleAs 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 StatementsStatement 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 StatementsStatement 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 StatementsStatement 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 ExampleAs 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.
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By: |
/s/Laura M. Del Prato |
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Laura M. Del Prato |
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President and Treasurer |
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Date: |
October 21, 2021 |
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By: |
/s/John J. Burke III |
|
John J. Burke III |
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Chief Financial Officer |
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Date: |
October 21, 2021 |