# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0000035315-23-000086
**Filing Date:** 2023-2
**Character Count:** 689865
**Document Hash:** 7c3b4c49fcb50fc9bec1ee0dff3eec4d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035315-23-000086.hdr.sgml**: 20230221

**ACCESSION NUMBER**: 0000035315-23-000086

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 27

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230221

**DATE AS OF CHANGE**: 20230221

**EFFECTIVENESS DATE**: 20230221

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 23646188

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FIXED INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FLEXIBLE BOND FUND
- **DATE OF NAME CHANGE:** 19860904

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY CORPORATE BOND FUND INC
- **DATE OF NAME CHANGE:** 19851225

## Series and Classes Contracts Data

### Fidelity Inflation-Protected Bond Index Fund (Series ID: S000037003)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000113282 | Fidelity Inflation-Protected Bond Index Fund | FIPDX           |

### Fidelity SAI Municipal Income Fund (Series ID: S000062002)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000200824 | Fidelity SAI Municipal Income Fund | FSMNX           |

### Fidelity International Bond Index Fund (Series ID: S000066711)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000214977 | Fidelity International Bond Index Fund | FBIIX           |

### Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund (Series ID: S000072688)

| Class ID   | Class Name                                                   | Ticker Symbol   |
|:---|:---|:---|
| C000229123 | Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund | FSTZX           |

### Fidelity Series 5+ Year Inflation-Protected Bond Index Fund (Series ID: S000072689)

| Class ID   | Class Name                                                  | Ticker Symbol   |
|:---|:---|:---|
| C000229124 | Fidelity Series 5+ Year Inflation-Protected Bond Index Fund | FSTDX           |

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UNITED STATES

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SECURITIES AND EXCHANGE COMMISSION

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Washington, D.C. 20549

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **FORM N-CSR** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **CERTIFIED SHAREHOLDER REPORT OF REGISTERED** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **MANAGEMENT INVESTMENT COMPANIES** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Company Act file number <u>811-02105</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Fidelity Salem Street Trust</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Exact name of registrant as specified in charter)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>245 Summer St., Boston, Massachusetts 02210</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Address of principal executive offices) (Zip code)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cynthia Lo Bessette, Secretary

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245 Summer St.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Boston, Massachusetts 02210</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Name and address of agent for service)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Registrant's telephone number, including area code:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>617-563-7000</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | |
|:---|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date of fiscal year end:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; December 31  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date of reporting period:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; December 31, 2022  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 1.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Reports to Stockholders</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

**Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund**

**Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund**

**Annual Report**

**December 31, 2022**

![](img88223_1.jpg)

![](img88223_2.jpg)

**Contents**

---

| |
|:---|
| **[Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund](#Sec_FundName6398)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Performance](#Sub_Sec_Performance6398)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Management's Discussion of Fund Performance](#Sub_Sec_Mgt Discussion of Fund Performance6398)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Investment Summary](#Sub_Sec_InvestmentSummary6398)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Schedule of Investments](#Sub_Sec_ScheduleOfInvestments6398)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Financial Statements](#Sub_Sec_FinancialStatements6398)** |
| **[Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund](#Sec_FundName6399)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Performance](#Sub_Sec_Performance6399)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Management's Discussion of Fund Performance](#Sub_Sec_Mgt Discussion of Fund Performance6399)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Investment Summary](#Sub_Sec_InvestmentSummary6399)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Schedule of Investments](#Sub_Sec_ScheduleOfInvestments6399)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Financial Statements](#Sub_Sec_FinancialStatements6399)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Report of Independent Registered Public Accounting Firm](#Sec_Report of Independent Registered Public Accounting Firm)** |
| **[Trustees and Officers](#Sec_Trustee and Officers)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Distributions](#Sec_Distributions)** |
| **[Board Approval of Investment Advisory Contracts and Management Fees](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

---

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

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

BLOOMBERG <sup>®</sup> 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.© 2023 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.*

**Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund** 

**Performance: The Bottom Line**

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

&nbsp;&nbsp; **Average Annual Total Returns** <br>

---

| | | |
|:---|:---|:---|
| **Periods ended December 31, 2022** <br>| **Past 1** <br> **year**  | **Life of** <br> **Fund** <sup>A</sup>  |
| Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund  | &nbsp;&nbsp; -2.84%  | &nbsp;&nbsp; -1.12%  |

---

<sup>A</sup> From August 13, 2021

---

| |
|:---|
| **$10,000 Over Life of Fund**  |
| Let's say hypothetically that $10,000 was invested in Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund, on August 13, 2021, when the fund started. <br>The chart shows how the value of your investment would have changed, and also shows how the Bloomberg US Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index performed over the same period.  |
| ![](img88223_5.jpg)  |

---

**Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund**

**Management's Discussion of Fund Performance** 

**Market Recap:** 

U.S. taxable investment-grade bonds notably declined in 2022, as a multitude of crosscurrents challenged the global economy and financial markets. The Bloomberg U.S. Aggregate Bond Index returned -13.01% for the year, its worst annual return on record and the first time it ever ceded ground in back-to-back calendar years. In late 2021, the Federal Reserve began its pivot to a tighter monetary policy, tapering the large-scale asset purchases it initially started in 2008, and dramatically expanded in 2020 amid the COVID-19 pandemic. In early 2022, the Fed, faced with persistent inflationary pressure, implemented an aggressive series of rate hikes, raising its benchmark interest rate seven times, by a total of 4.25 percentage points, between March and December. This represented the fastest-ever pace of monetary tightening and helped push nominal and real (inflation-adjusted) U.S. bond yields to their highest level in more than a decade. Bond prices, which move inversely to yields, fell sharply. Credit spreads significantly widened, as investors demanded more yield for buying corporate debt and other credit-sensitive assets. In November and December, the bond market staged a broad rally (+3.21%) when comments by Fed Chair Jerome Powell pointed to a slowdown in the size and pace of rate hikes, but all major market segments lost ground for the 12 months, with higher-quality, shorter-term bonds holding up best. Spread sectors broadly trailed Treasuries on a duration-adjusted basis.

**Comments from Co-Portfolio Managers Brandon Bettencourt and Richard Munclinger:**

For the fiscal year, the fund returned -2.84%, roughly in line, net of fees, with the -2.74% return of the benchmark, the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Year Index. We attempt to hold all positions held by the index in the same relative proportions. During the 12-month period, the Federal Reserve aggressively hiked short-term policy interest rates, with the aim of bringing down persistently high inflation. Year-over-year inflation peaked at 9.1% in June, the largest 12-month increase since 1981, and remained elevated before ending October at about 8%. Even with inflation soaring to a multi-decade high, TIPS prices tumbled along with the rest of the bond market as interest rates rose, largely because their prices fell more than the upward inflation-adjustment made to their principal. In all, the Fed raised its policy rate seven times in 2022, totaling 4.25 percentage points, prompting investors to sell bonds, including both traditional (nominal) and inflation-protected Treasuries throughout most of the first nine months of the year. TIPS staged a partial rebound in October and November - as inflation moderated and some investors began to expect the Fed would stop raising interest rates in early 2023 - before falling back a bit in December. For the full year, TIPS posted their worst annual return since they were created in the 1990s, suffering losses only slightly smaller than those incurred by comparable-duration nominal Treasuries. Shorter-term TIPs outpaced their longer-term counterparts, which were especially sensitive when bond yields rose.

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

**Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund** 

**Investment Summary December 31, 2022 (Unaudited)**

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Coupon Distribution (% of Fund's Investments)**  | &nbsp;&nbsp; **Coupon Distribution (% of Fund's Investments)**  |
| 0.01 - 0.99%  | 90.6  |
| 1 - 1.99%  | 2.1  |
| 2 - 2.99%  | 6.6  |
| <br> *Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.*  | <br> *Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.*  |

---

The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund's prospectus for more information.

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88223_6.jpg)  |
| *Inflation Protected Securities - 99.6%*  |

---

**Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund**

**Schedule of Investments December 31, 2022**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Inflation-Protected Obligations - 99.6%**  | &nbsp;&nbsp; **U.S. Treasury Inflation-Protected Obligations - 99.6%**  | &nbsp;&nbsp; **U.S. Treasury Inflation-Protected Obligations - 99.6%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  U.S. Treasury Inflation-Indexed Bonds:  |  |  |
|  2% 1/15/26  | 109206371  | 109072311  |
|  2.375% 1/15/25  | 195096854  | 195241350  |
|  2.375% 1/15/27  | 125520934  | 128045541  |
|  U.S. Treasury Inflation-Indexed Notes:  |  |  |
|  0.125% 1/15/23  | 387822133  | 387221468  |
|  0.125% 7/15/24  | 382249139  | 369877387  |
|  0.125% 10/15/24  | 291772416  | 280950999  |
|  0.125% 4/15/25  | 217802691  | 207557432  |
|  0.125% 10/15/25  | 408338589  | 388065040  |
|  0.125% 4/15/26  | 262647000  | 246934985  |
|  0.125% 7/15/26  | 402242848  | 379057722  |
|  0.125% 10/15/26  | 353126498  | 331028281  |
|  0.125% 4/15/27  | 459555992  | 428332357  |
|  0.25% 1/15/25  | 430751716  | 413159225  |
|  0.375% 7/15/23  | 418951921  | 413891945  |
|  0.375% 7/15/25  | 303890076  | 291848096  |
|  0.375% 1/15/27  | 308844458  | 291271089  |
|  0.375% 7/15/27  | 419633102  | 395548966  |
|  0.5% 4/15/24  | 221340249  | 215209282  |
|  0.625% 4/15/23  | 337222833  | 333698382  |
|  0.625% 1/15/24  | 443437094  | 433948244  |
|  0.625% 1/15/26  | 114633002  | 110037883  |
|  1.625% 10/15/27  | 136114506  | 135982068  |
| <br> **TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS** <br> (Cost $6,929,684,208)  |  | **6485980053**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 0.7%**  | &nbsp;&nbsp; **Money Market Funds - 0.7%**  | &nbsp;&nbsp; **Money Market Funds - 0.7%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.37% (b) <br>(Cost $44,118,348) <br>| 44109526  | **44118348**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.3%** <br> (Cost $6,973,802,556) <br>| <br>**6530098401**  |
| **NET OTHER ASSETS (LIABILITIES) - (0.3)%**  | **(22648375)**  |
| **NET ASSETS - 100.0%**  | **6507450026**  |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.37%  | 25579301  | 2071174715  | 2052635668  | 1159567  | -  | -  | 44118348  | 0.1%  |
| Total  | 25579301  | 2071174715  | 2052635668  | 1159567  | -  | -  | 44118348  |  |

---

Amounts in the dividend 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.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of December 31, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  U.S. Government and Government Agency Obligations  | 6485980053  | -  | 6485980053  | -  |
|  Money Market Funds  | 44118348  | 44118348  | -  | -  |
| **Total Investments in Securities:**  | 6530098401  | 44118348  | 6485980053  | -  |

---

**Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund**

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  | $— |  |
|  Unaffiliated issuers (cost $6,929,684,208)  | 6485980053  |  |
|  Fidelity Central Funds (cost $44,118,348)  | 44118348  |  |
|  Total Investment in Securities (cost $6,973,802,556)  |  | $6530098401  |
| Receivable for investments sold  |  | 106698657  |
|  Receivable for fund shares sold  |  | 11697138  |
|  Interest receivable  |  | 11377454  |
|  Distributions receivable from Fidelity Central Funds  |  | 286328  |
| **Total assets**  |  | 6660157978  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  | $116066926  |  |
|  Payable for fund shares redeemed  | 36632650  |  |
|  Other payables and accrued expenses  | 8376  |  |
| **Total Liabilities**  |  | 152707952  |
| **Net Assets**  |  | $6507450026  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $7022102033  |
|  Total accumulated earnings (loss)  |  | (514652007)  |
|  **Net Assets**  |  | $6507450026  |
|  **Net Asset Value** , offering price and redemption price per share ($6,507,450,026 ÷ 701,048,062 shares)  |  | $9.28  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Year ended** <br> **December 31, 2022**  |
|  **Investment Income**  |  |  |
| Interest  |  | $324250894  |
| Income from Fidelity Central Funds  |  | 1159567  |
| **Total Income**  |  | 325410461  |
|  **Expenses**  |  |  |
| Custodian fees and expenses  | 23655  |  |
| Independent trustees' fees and expenses  | 18726  |  |
| Total expenses before reductions  | 42381  |  |
| Expense reductions  | (8703)  |  |
| Total expenses after reductions  |  | 33678  |
| **Net Investment income (loss)**  |  | 325376783  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (74330381)  |  |
| Total net realized gain (loss)  |  | (74330381)  |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | (438607987)  |
| **Net gain (loss)**  |  | (512938368)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(187561585)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Year ended** <br> **December 31, 2022**  | **For the period August 13, 2021 (commencement of operations) through December 31, 2021**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $325376783  | $23413586  |
| &nbsp;&nbsp; Net realized gain (loss)  | (74330381) <br>| 68661 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (438607987)  | (5096168) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (187561585) <br>| 18386079 <br>|
| Distributions to shareholders  | (321403836) <br>| (24077069) <br>|
| Distributions to shareholders from tax return of capital  | (7063045) <br>| (3584592) <br>|
| **Total Distributions**  | (328466881) <br>| (27661661) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 5984686737  | 5237160550  |
| Reinvestment of distributions  | 328466347 <br>| 27661661 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (3489663060)  | (1055558161)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 2823490024 <br>| 4209264050 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 2307461558 <br>| 4199988468 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 4199988468  | - <br>|
| &nbsp;&nbsp; End of period  | $6507450026  | $4199988468  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 600008830  | 519739470  |
| Issued in reinvestment of distributions  | 35243170 <br>| 2768935 <br>|
| &nbsp;&nbsp; Redeemed  | (352053102)  | (104659241)  |
| &nbsp;&nbsp; Net increase (decrease)  | 283198898  | 417849164  |

---

**Financial Highlights** 

 **Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund** <br>

---

| | | |
|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $10.05  | $10.00  |
| Income from Investment Operations  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .531  | .127  |
| Net realized and unrealized gain (loss)  | (.814)  | .005 <sup>D</sup>  |
| Total from investment operations  | (.283)  | .132  |
| Distributions from net investment income  | (.477)  | (.071)  |
| Tax return of capital  | (.010)  | (.011)  |
| Total distributions  | (.487)  | (.082)  |
| Net asset value, end of period  | $9.28  | $10.05  |
| **Total Return** <sup>E,F</sup>  | (2.84)%  | 1.33%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |  |
| Expenses before reductions <sup>I</sup>  | -%  | -% <sup>J</sup>  |
| Expenses net of fee waivers, if any <sup>I</sup>  | -%  | -% <sup>J</sup>  |
| Expenses net of all reductions <sup>I</sup>  | -%  | -% <sup>J</sup>  |
| Net investment income (loss)  | 5.38%  | 3.33% <sup>J</sup>  |
| **Supplemental Data**  |  |  |
| Net assets, end of period (000 omitted)  | $6507450  | $4199988  |
| Portfolio turnover rate <sup>K,L</sup>  | 21%  | 33%  |

---

<sup>A</sup> *For the period August 13, 2021 (commencement of operations) through December 31, 2021.*

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

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

<sup>E</sup> *Total returns for periods of less than one year are not annualized.*

<sup>F</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

<sup>G</sup> *Fees 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.*

<sup>H</sup> *Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, 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.*

<sup>I</sup> *Amount represents less than .005%.*

<sup>J</sup> *Annualized.*

<sup>K</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>L</sup> *Portfolio turnover rate excludes securities received or delivered in-kind.*

**Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund** 

**Performance: The Bottom Line**

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

&nbsp;&nbsp; **Average Annual Total Returns** <br>

---

| | | |
|:---|:---|:---|
| **Periods ended December 31, 2022** <br>| **Past 1** <br> **year**  | **Life of** <br> **Fund** <sup>A</sup>  |
| Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund  | &nbsp;&nbsp; -19.04%  | &nbsp;&nbsp; -12.79%  |

---

<sup>A</sup> From August 13, 2021

---

| |
|:---|
| **$10,000 Over Life of Fund**  |
| Let's say hypothetically that $10,000 was invested in Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund, on August 13, 2021, when the fund started. <br>The chart shows how the value of your investment would have changed, and also shows how the Bloomberg US Treasury Inflation-Protected Securities (TIPS) 5+ Years Index performed over the same period.  |
| ![](img88223_7.jpg)  |

---

**Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund**

**Management's Discussion of Fund Performance** 

**Market Recap:** 

U.S. taxable investment-grade bonds notably declined in 2022, as a multitude of crosscurrents challenged the global economy and financial markets. The Bloomberg U.S. Aggregate Bond Index returned -13.01% for the year, its worst annual return on record and the first time it ever ceded ground in back-to-back calendar years. In late 2021, the Federal Reserve began its pivot to a tighter monetary policy, tapering the large-scale asset purchases it initially started in 2008, and dramatically expanded in 2020 amid the COVID-19 pandemic. In early 2022, the Fed, faced with persistent inflationary pressure, implemented an aggressive series of rate hikes, raising its benchmark interest rate seven times, by a total of 4.25 percentage points, between March and December. This helped push nominal and real (inflation-adjusted) U.S. bond yields to their highest level in more than a decade. Bond prices, which move inversely to yields, fell sharply. Credit spreads significantly widened, as investors demanded more yield for buying corporate debt and other credit-sensitive assets. In November and December, the bond market staged a broad rally (+3.21%) when comments by Fed Chair Jerome Powell pointed to a slowdown in the size and pace of rate hikes, but all major market segments lost ground for the 12 months, with higher-quality, shorter-term bonds holding up best. Spread sectors broadly trailed Treasuries on a duration-adjusted basis.

**Comments from Co-Portfolio Managers Brandon Bettencourt and Richard Munclinger:**

For the fiscal year, the fund returned -19.04%, slightly trailing, net of fees, the -18.79% return of the benchmark, the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 5+ Year Index. We attempt to hold all positions held by the index in the same relative proportions. This past year, the fund's performance versus the benchmark was hurt by "pricing basis." On December 30, 2022, the fund was priced at 4 p.m. Eastern Standard Time, while the benchmark was priced at 1:00 p.m. EST. This time difference accounted for most of the variance between the respective results. During the 12-month period, the Federal Reserve aggressively hiked short-term policy interest rates, with the aim of bringing down persistently high inflation. Year-over-year inflation peaked at 9.1% in June, the largest 12-month increase since 1981, and remained elevated before ending October at about 8%. Even with inflation soaring to a multi-decade high, TIPS prices tumbled along with the rest of the bond market as interest rates rose, largely because their prices fell more than the upward inflation-adjustment made to their principal. In all, the Fed raised its policy rate seven times in 2022, totaling 4.25 percentage points, prompting investors to sell bonds, including both traditional (nominal) and inflation-protected Treasuries throughout most of the first nine months of the year. TIPS staged a partial rebound in October and November - as inflation moderated and some investors began to expect the Fed would stop raising interest rates in early 2023 - before falling back a bit in December. For the full year, TIPS posted their worst annual return since they were created in the 1990s, suffering losses only slightly smaller than those incurred by comparable-duration nominal Treasuries. Shorter-term TIPs outpaced their longer-term counterparts, which were especially sensitive when bond yields rose.

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

**Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund** 

**Investment Summary December 31, 2022 (Unaudited)**

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Coupon Distribution (% of Fund's Investments)**  | &nbsp;&nbsp; **Coupon Distribution (% of Fund's Investments)**  |
| 0.01 - 0.99%  | 76.7  |
| 1 - 1.99%  | 10.5  |
| 2 - 2.99%  | 5.2  |
| 3 - 3.99%  | 7.5  |
| <br> *Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.*  | <br> *Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.*  |

---

The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund's prospectus for more information.

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88223_8.jpg)  |
| *Inflation Protected Securities - 99.7%*  |

---

**Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund**

**Schedule of Investments December 31, 2022**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Inflation-Protected Obligations - 99.7%**  | &nbsp;&nbsp; **U.S. Treasury Inflation-Protected Obligations - 99.7%**  | &nbsp;&nbsp; **U.S. Treasury Inflation-Protected Obligations - 99.7%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  U.S. Treasury Inflation-Indexed Bonds:  |  |  |
|  0.125% 2/15/51  | 270889435  | 174680227  |
|  0.125% 2/15/52  | 230487262  | 149463003  |
|  0.25% 2/15/50  | 219575466  | 148244161  |
|  0.625% 2/15/43  | 197537219  | 159506317  |
|  0.75% 2/15/42  | 381819459  | 319832493  |
|  0.75% 2/15/45  | 301751561  | 244249360  |
|  0.875% 2/15/47  | 228478169  | 187480455  |
|  1% 2/15/46  | 225396536  | 191596655  |
|  1% 2/15/48  | 134307856  | 113149646  |
|  1% 2/15/49  | 149856585  | 125378239  |
|  1.375% 2/15/44  | 283252509  | 263251886  |
|  1.75% 1/15/28  | 202825035  | 202729167  |
|  2.125% 2/15/40  | 105255450  | 111479132  |
|  2.125% 2/15/41  | 165420989  | 174864769  |
|  2.375% 1/15/27  | 122802  | 125272  |
|  2.5% 1/15/29  | 155071690  | 161724809  |
|  3.375% 4/15/32  | 126397319  | 144427965  |
|  3.625% 4/15/28  | 222246438  | 242260851  |
|  3.875% 4/15/29  | 224347415  | 252146604  |
|  U.S. Treasury Inflation-Indexed Notes:  |  |  |
|  0.125% 1/15/30  | 510870532  | 459075053  |
|  0.125% 7/15/30  | 591385135  | 529746919  |
|  0.125% 1/15/31  | 625505753  | 555781875  |
|  0.125% 7/15/31  | 600232974  | 530651987  |
|  0.125% 1/15/32  | 672800307  | 589659155  |
|  0.25% 7/15/29  | 532951540  | 488073464  |
|  0.375% 1/15/27  | 47621  | 44911  |
|  0.375% 7/15/27  | 718536  | 677297  |
|  0.5% 1/15/28  | 513118842  | 482616432  |
|  0.625% 7/15/32  | 693879285  | 635952243  |
|  0.75% 7/15/28  | 550275283  | 524305032  |
|  0.875% 1/15/29  | 411467244  | 392115114  |
| <br> **TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS** <br> (Cost $10,525,819,961)  |  | **8555290493**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 0.1%**  | &nbsp;&nbsp; **Money Market Funds - 0.1%**  | &nbsp;&nbsp; **Money Market Funds - 0.1%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.37% (b) <br>(Cost $10,966,988) <br>| 10964795  | **10966988**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.8%** <br> (Cost $10,536,786,949) <br>| <br>**8566257481**  |
| **NET OTHER ASSETS (LIABILITIES) - 0.2%**  | **18030658**  |
| **NET ASSETS - 100.0%**  | **8584288139**  |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.37%  | 7435  | 543088082  | 532128529  | 128612  | -  | -  | 10966988  | 0.0%  |
| Total  | 7435  | 543088082  | 532128529  | 128612  | -  | -  | 10966988  |  |

---

Amounts in the dividend 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.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of December 31, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  U.S. Government and Government Agency Obligations  | 8555290493  | -  | 8555290493  | -  |
|  Money Market Funds  | 10966988  | 10966988  | -  | -  |
| **Total Investments in Securities:**  | 8566257481  | 10966988  | 8555290493  | -  |

---

**Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund**

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  | $— |  |
|  Unaffiliated issuers (cost $10,525,819,961)  | 8555290493  |  |
|  Fidelity Central Funds (cost $10,966,988)  | 10966988  |  |
|  Total Investment in Securities (cost $10,536,786,949)  |  | $8566257481  |
| Receivable for investments sold  |  | 8023039  |
|  Receivable for fund shares sold  |  | 16825356  |
|  Interest receivable  |  | 26237680  |
|  Distributions receivable from Fidelity Central Funds  |  | 21886  |
| **Total assets**  |  | 8617365442  |
| **Liabilities**  |  |  |
|  Payable for fund shares redeemed  | 33066385  |  |
|  Other payables and accrued expenses  | 10918  |  |
| **Total Liabilities**  |  | 33077303  |
| **Net Assets**  |  | $8584288139  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $10754699425  |
|  Total accumulated earnings (loss)  |  | (2170411286)  |
|  **Net Assets**  |  | $8584288139  |
|  **Net Asset Value** , offering price and redemption price per share ($8,584,288,139 ÷ 1,114,325,933 shares)  |  | $7.70  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Year ended** <br> **December 31, 2022**  |
|  **Investment Income**  |  |  |
| Interest  |  | $539776203  |
| Income from Fidelity Central Funds  |  | 128612  |
| **Total Income**  |  | 539904815  |
|  **Expenses**  |  |  |
| Custodian fees and expenses  | 32258  |  |
| Independent trustees' fees and expenses  | 25640  |  |
| Interest  | 985  |  |
| Total expenses before reductions  | 58883  |  |
| Expense reductions  | (881)  |  |
| Total expenses after reductions  |  | 58002  |
| **Net Investment income (loss)**  |  | 539846813  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (201908106)  |  |
| Total net realized gain (loss)  |  | (201908106)  |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | (2017121699)  |
| **Net gain (loss)**  |  | (2219029805)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(1679182992)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Year ended** <br> **December 31, 2022**  | **For the period August 13, 2021 (commencement of operations) through December 31, 2021**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $539846813  | $45631074  |
| &nbsp;&nbsp; Net realized gain (loss)  | (201908106) <br>| (477904) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (2017121699)  | 46592231 <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (1679182992) <br>| 91745401 <br>|
| Distributions to shareholders  | (540451982) <br>| (47103637) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 5669086598  | 7482341659  |
| Reinvestment of distributions  | 540451919 <br>| 47103637 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (2623869524)  | (355832940)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 3585668993 <br>| 7173612356 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 1366034019 <br>| 7218254120 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 7218254120  | - <br>|
| &nbsp;&nbsp; End of period  | $8584288139  | $7218254120  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 617190370  | 743342521  |
| Issued in reinvestment of distributions  | 68307939 <br>| 4734034 <br>|
| &nbsp;&nbsp; Redeemed  | (283952822)  | (35296109)  |
| &nbsp;&nbsp; Net increase (decrease)  | 401545487  | 712780446  |

---

**Financial Highlights** 

 **Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund** <br>

---

| | | |
|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $10.13  | $10.00  |
| Income from Investment Operations  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .579  | .158  |
| Net realized and unrealized gain (loss)  | (2.494)  | .061  |
| Total from investment operations  | (1.915)  | .219  |
| Distributions from net investment income  | (.514)  | (.089)  |
| Distributions from net realized gain  | (.001)  | -  |
| Total distributions  | (.515)  | (.089)  |
| Net asset value, end of period  | $7.70  | $10.13  |
| **Total Return** <sup>D,E</sup>  | (19.04)%  | 2.21%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |  |
| Expenses before reductions <sup>H</sup>  | -%  | -% <sup>I</sup>  |
| Expenses net of fee waivers, if any <sup>H</sup>  | -%  | -% <sup>I</sup>  |
| Expenses net of all reductions <sup>H</sup>  | -%  | -% <sup>I</sup>  |
| Net investment income (loss)  | 6.57%  | 4.16% <sup>I</sup>  |
| **Supplemental Data**  |  |  |
| Net assets, end of period (000 omitted)  | $8584288  | $7218254  |
| Portfolio turnover rate <sup>J,K</sup>  | 31%  | 31%  |

---

<sup>A</sup> *For the period August 13, 2021 (commencement of operations) through December 31, 2021.*

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

<sup>E</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

<sup>F</sup> *Fees 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.*

<sup>G</sup> *Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, 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.*

<sup>H</sup> *Amount represents less than .005%.*

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>K</sup> *Portfolio turnover rate excludes securities received or delivered in-kind.*

**Notes to Financial Statements**

For the period ended December 31, 2022

**1. Organization.**

Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund (the Funds) are funds of Fidelity Salem Street Trust (the Trust). 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. Each Fund is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds, Fidelity managed 529 plans, and Fidelity managed collective investment trusts.

**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.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <sup>A</sup>  |
| 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%  |

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<sup>A</sup> *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 designated each Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, each Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages each Fund's fair valuation practices and maintains the fair valuation policies and procedures. Each Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

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 - unadjusted 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 services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services 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 services. 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 December 31, 2022 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. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may result in negative Interest and may have a significant impact on the Fund's distributions.

**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. As of December 31, 2022, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 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 tax return of capital distribution, 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 for each Fund:

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Tax cost**  | **Gross unrealized appreciation**  | **Gross unrealized depreciation**  | **Net unrealized appreciation (depreciation)**  |
| **Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund**  | $6982970346  | $-  | $(452871945)  | $(452871945)  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | 10574833389  | 2033871  | (2010609779)  | (2008575908)  |

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

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| | | |
|:---|:---|:---|
|  | **Capital loss carryforward**  | **Net unrealized appreciation (depreciation) on securities and other investments**  |
| **Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund**  | $(61780061)  | $(452871945)  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | (161835378)  | (2008575908)  |

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Capital loss carryforwards are only available to offset future capital gains of the Funds 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 fiscal period end and is subject to adjustment.

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| | | | |
|:---|:---|:---|:---|
|  | <br> **Short-term**  | <br> **Long-term**  | **Total capital loss carryforward**  |
| **Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund**  | $(61780061)  | $-  | $(61780061)  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | (159114575)  | (2720803)  | (161835378)  |

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For the period ended December 31, 2022, Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund's distributions exceeded the aggregate amount of taxable income and net realized gains resulting in a return of capital for tax purposes. This was due to reductions in taxable income available for distribution after certain distributions had been made.

The tax character of distributions paid was as follows:

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| | | | |
|:---|:---|:---|:---|
| **December 31, 2022**  |  |  |  |
|  | **Ordinary Income**  | **Tax Return of Capital**  | **Total**  |
| **Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund**  | $321403836  | $7063045  | $328466881  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | 540451982  | -  | 540451982  |

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| | | | |
|:---|:---|:---|:---|
| **December 31, 2021**  |  |  |  |
|  | **Ordinary Income**  | **Tax Return of Capital**  | **Total**  |
| **Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund**  | $24077069  | $3584592  | $27661661  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | 47103637  | -  | 47103637  |

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**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 do not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Funds, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Interfund Lending Program.** Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), each Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing each Fund to borrow from, or lend money to, other participating affiliated funds. At period end, Fidelity Series 5+ Year Inflation-Protected Bond Index Fund had no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Borrower or Lender**  | **Average Loan Balance**  | **Weighted Average Interest Rate**  | **Interest Expense**  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | Borrower  | $29921500  | .32%  | $985  |

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**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. During the period, there were no interfund trades.

**Affiliated Exchanges In-Kind.** Shares that were exchanged for investments, including accrued interest and cash, if any, are shown in the table below. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets.

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| | | |
|:---|:---|:---|
|  | **Shares**  | **Total Proceeds** <br> **($)**  |
| **Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund**  | 168043611  | 1682449262  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | 121238925  | 1140434136  |

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**Prior Fiscal Year Affiliated Exchanges In-Kind.** Shares that were exchanged for investments, including accrued interest and cash, if any, are shown in the table below. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets.

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| | | |
|:---|:---|:---|
|  | **Shares**  | **Total Proceeds** <br> **($)**  |
| **Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund**  | 333742519  | 3362635876  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | 333474551  | 3349047218  |

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**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. 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.

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| | |
|:---|:---|
|  | **Custodian credits**  |
| **Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund**  | $8703  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | 881  |

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**7. Other.**

A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

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

**8. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund

***Opinions on the Financial Statements***

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund (two of the funds constituting Fidelity Salem Street Trust, hereafter collectively referred to as the "Funds") as of December 31, 2022, the related statements of operations for the year ended December 31, 2022, and the statements of changes in net assets and the financial highlights for the year ended December 31, 2022 and for the period August 13, 2021 (commencement of operations) through December 31, 2021, including the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets and each of the financial highlights for the year ended December 31, 2022 and for the period August 13, 2021 (commencement of operations) through December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinions***

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 15, 2023

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Trustees and Officers**

**<u>TRUSTEES AND OFFICERS</u>**

The Trustees, Members of the Advisory Board (if any), and officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, oversee management of the risks associated with such activities and contractual arrangements, and review each fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 295 funds. Mr. Chiel oversees 186 funds.

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

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

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

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

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

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

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

<u>Interested Trustees\*:</u>

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

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity <sup>®</sup> funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity <sup>®</sup> funds (2001-2005), and managed a number of Fidelity <sup>®</sup> funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity <sup>®</sup> funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.

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

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

<u>Independent Trustees:</u>

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

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity <sup>®</sup> funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2018).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity <sup>®</sup> funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2014-2016).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Mr. Johnson also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity <sup>®</sup> funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity <sup>®</sup> funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity <sup>®</sup> funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2016).

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

<u>Advisory Board Members and Officers:</u>

Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

<u>Name, Year of Birth; Principal Occupation</u>

Laura M. Bishop (1961)

Year of Election or Appointment: 2022

Member of the Advisory Board

Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2022).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Christopher M. Gouveia (1973)

Year of Election or Appointment: 2023

Chief Compliance Officer

Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity <sup>®</sup> funds (2016-2020) and Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2016-2018).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), FD Funds Management LLC (2021-present), and Fidelity Diversifying Solutions LLC (investment adviser firm, 2022-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity <sup>®</sup> funds.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2021).

**Shareholder Expense Example**

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2022 to December 31, 2022). <br>

***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. In addition, if these transactional costs were included, your costs would have been higher.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value July 1, 2022**  | **Ending Account Value December 31, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **July 1, 2022 to December 31, 2022**  |
| **Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund**  | -%- <sup>D</sup>  |  |  |  |
| **Actual**  |  | $1000  | $985.40  | $- <sup>E</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1025.21  | $- <sup>E</sup> <br>|
| **Fidelity® Series 5+ Year Inflation-Protected Bond Index Fund**  | -%- <sup>D</sup>  |  |  |  |
| **Actual**  |  | $1000  | $953.50  | $- <sup>E</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1025.21  | $- <sup>E</sup> <br>|

---

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

*B 5% return per year before expenses*

*C Expenses 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.*

*D Amount represents less than .005%.*

*E Amount represents less than $.005.*

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com.*

A percentage of the dividends distributed during the fiscal year for the following funds were derived from interest on U.S. Government securities which is generally exempt from state income tax:

---

| | |
|:---|:---|
| **Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund**  | 99.64%  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | 99.83%  |

---

The funds hereby designate the amounts noted below as distributions paid in the calendar year 2021 as qualifying to be taxed as section 163(j) interest dividends:

---

| | |
|:---|:---|
| **Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund**  | $23377608  |
| **Fidelity Series 5+ Year Inflation-Protected Bond Index Fund**  | $45582950  |

---

The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund** 

**Fidelity Series 5+ Year Inflation-Protected Bond Index Fund** 

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

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

At its September 2022 meeting, the Board unanimously determined to renew each fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of each fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.

**Nature, Extent, and Quality of Services Provided** . The Board considered Fidelity's staffing as it relates to the funds, including the backgrounds of investment personnel of Fidelity, and also considered each fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the funds. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds throughout the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.

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

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

<u>Investment Performance</u> . The Board considered whether each fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed each fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the funds are designed to offer an investment option for other investment companies, collective investment trusts, and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies, collective investment trusts, and 529 plans.

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

**Competitiveness of Management Fee and Total Expense Ratio** . The Board considered that each fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds, 529 plans and collective investment trusts that invest in each fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of each fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that each fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.

The Board further considered that FMR has contractually agreed to reimburse each fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through April 30, 2025

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

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

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

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

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

**Additional Information Requested by the Board** . In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent, pricing and bookkeeping fees, expense and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the changes in flows for different types of funds; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.

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

![](img88223_2.jpg) <br>

1.9901939.101 SYI-ANN-0323

**Fidelity® SAI Municipal Income Fund**

**Annual Report**

**December 31, 2022**

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

![](img88178_1.jpg)

![](img88178_2.jpg)

**Contents**

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| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Management's Discussion of Fund Performance](#Sec_Mgt Discussion of FundPerformance)** |
| **[Investment Summary](#Sec_InvestmentSummary3307)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments3307)** |
| **[Financial Statements](#Sec_FinancialStatements3307)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Report of Independent Registered Public Accounting Firm](#Sec_Report of Independent Registered Public Accounting Firm)** |
| **[Trustees and Officers](#Sec_Trustee and Officers)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Distributions](#Sec_Distributions)** |
| **[Board Approval of Investment Advisory Contracts and Management Fees](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2023 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.*

**Performance: The Bottom Line**

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

&nbsp;&nbsp; **Average Annual Total Returns** <br>

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| | | |
|:---|:---|:---|
| **Periods ended December 31, 2022** <br>| **Past 1** <br> **year**  | **Life of** <br> **Fund** <sup>A</sup>  |
| Fidelity® SAI Municipal Income Fund  | &nbsp;&nbsp; -9.94%  | &nbsp;&nbsp; 1.62%  |

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<sup>A</sup> From October 02, 2018

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| |
|:---|
| **$10,000 Over Life of Fund**  |
| Let's say hypothetically that $10,000 was invested in Fidelity® SAI Municipal Income Fund, on October 02, 2018, when the fund started. <br>The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Municipal Bond Index performed over the same period.  |
| ![](img88178_5.jpg)  |

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**Management's Discussion of Fund Performance**

**Market Recap:** 

Tax-exempt municipal bonds notably declined in 2022, as a multitude of crosscurrents challenged the global economy and financial markets. The Bloomberg Municipal Bond Index returned -8.53% for the year, its third-worst annual return on record. In late 2021, the Federal Reserve began its pivot to a tighter monetary policy, tapering the large-scale asset purchases it restarted in 2020 amid the COVID-19 pandemic. In early 2022, the Fed, faced with persistent inflationary pressure, implemented an aggressive series of rate hikes, raising its benchmark interest rate seven times, by a total of 4.25 percentage points, between March and December. This helped push municipal bond yields to their highest level in more than a decade. Muni bond prices, which move inversely to yields, fell sharply. Credit spreads significantly widened, as investors demanded more yield for lower-quality munis as recession risk increased. In November and December, the tax-exempt market staged a rally when comments by Fed Chair Jerome Powell pointed to a slowdown in the pace of rate hikes and inflation data moderated. Favorable supply and demand dynamics also helped amid muted muni bond issuance and increased pockets of demand. Muni tax-backed credit fundamentals remained solid throughout the year and, for the most part, the risk of credit-rating downgrades appeared low. Shorter-duration (lower sensitivity to changes in interest rates) and higher-credit-quality munis performed best for the year.

**Comments from Co-Portfolio Managers Cormac Cullen, Michael Maka and Elizah McLaughlin:**

For the fiscal year ending December 31, 2022, the fund returned -9.94%, lagging, net of fees, the -8.53% result of the benchmark, the broad-based Bloomberg Municipal Bond Index. The past 12 months, we continued to focus on longer-term objectives and sought to generate attractive tax-exempt income and a competitive risk-adjusted return. Versus the benchmark, the fund's overweight exposure to the health care and transportation sectors detracted from relative performance, as many of the fund's holdings in these segments were lower-quality investment-grade bonds that produced subpar results as credit spreads widened. Pricing-related factors significantly detracted as well. Fund holdings are priced by a third-party pricing service and validated daily by Fidelity Management & Research's fair-value processes. Securities within the index, however, are priced by the index provider. These two approaches employ somewhat different methodologies in estimating the prices of municipal securities, most of which trade infrequently. In contrast, duration (interest rate) positioning contributed to performance. The fund had less sensitivity to interest rates, as measured by its shorter duration, during periods when interest rates rose and therefore was hurt less.

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

**Investment Summary December 31, 2022 (Unaudited)**

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Five States (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Five States (% of Fund's net assets)**  |
| Illinois  | 10.2  |
| New York  | 8.6  |
| New Jersey  | 7.0  |
| Pennsylvania  | 6.3  |
| Massachusetts  | 5.4  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  | &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  |
| Transportation  | 19.2%  |
| General Obligations  | 16.7%  |
| Health Care  | 14.5%  |
| Special Tax  | 9.9%  |
| State G.O.  | 7.6%  |
| Education  | 7.0%  |
| Others\* (Individually Less Than 5%)  | 25.1%  |
|  | 100.0%  |
| *\*Includes net other assets*  |  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Quality Diversification (% of Fund's net assets)**  |
| ![](img88178_6.jpg)  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.  |

---

**Schedule of Investments December 31, 2022**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Bonds - 89.0%**  | &nbsp;&nbsp; **Municipal Bonds - 89.0%**  | &nbsp;&nbsp; **Municipal Bonds - 89.0%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Alabama - 4.6%  |  |  |
|  Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/43  | 155000  | 164962  |
|  Black Belt Energy Gas District Bonds:  |  |  |
|  Series 2022 B1, 4%, tender 10/10/27 (b)  | 4705000  | 4624148  |
|  Series 2022 C1, 5.25%, tender 6/1/29 (b)  | 19000000  | 19805993  |
|  Series 2022 F, 5.5%, tender 12/1/28 (b)  | 15000000  | 15740508  |
|  Jefferson County Gen. Oblig. Series 2018 A, 5% 4/1/26  | 145000  | 154574  |
|  Lower Alabama Gas District Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (b)  | 2080000  | 2063554  |
|  Montgomery Med. Clinic Facilities Series 2015:  |  |  |
|  5% 3/1/33  | 255000  | 247356  |
|  5% 3/1/36  | 460000  | 426791  |
|  Southeast Energy Auth. Rev. Bonds Bonds Series 2022 A1, 5.5%, tender 12/1/29 (b)  | 7400000  | 7833643  |
|  TOTAL ALABAMA  |  | 51061529  |
| Alaska - 0.1%  |  |  |
|  Alaska Hsg. Fin. Corp. Series 2021 A:  |  |  |
|  4% 6/1/26  | 175000  | 181186  |
|  4% 12/1/29  | 290000  | 306608  |
|  5% 12/1/28  | 400000  | 443796  |
|  5% 6/1/29  | 300000  | 333457  |
|  Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2022 A, 3% 6/1/51  | 245000  | 236365  |
|  TOTAL ALASKA  |  | 1501412  |
| Arizona - 1.5%  |  |  |
|  Arizona Health Facilities Auth. Rev.:  |  |  |
|  (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 3.318%, tender 1/1/37 (b)(c)  | 150000  | 139329  |
|  (Scottsdale Lincoln Hospitals Proj.) Series 2014 A, 5% 12/1/39  | 230000  | 233728  |
|  Arizona Indl. Dev. Auth. Hosp. Rev.:  |  |  |
|  Series 2020 A, 3% 2/1/45  | 3625000  | 2763542  |
|  Series 2021 A, 5% 2/1/29  | 410000  | 457474  |
|  Arizona Indl. Dev. Auth. Rev. (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018:  |  |  |
|  5% 5/1/48  | 55000  | 37071  |
|  5% 5/1/51  | 55000  | 36316  |
|  Arizona State Univ. Revs. Series 2021 C:  |  |  |
|  5% 7/1/37  | 340000  | 381661  |
|  5% 7/1/38  | 550000  | 614906  |
|  Chandler Indl. Dev. Auth. Indl. Dev. Rev.:  |  |  |
|  (Intel Corp. Proj.) Series 2022 2, 5%, tender 9/1/27 (b)(d)  | 3190000  | 3329002  |
|  Bonds (Intel Corp. Proj.) Series 2007, 2.7%, tender 8/14/23 (b)(d)  | 370000  | 367571  |
|  Glendale Gen. Oblig. Series 2017:  |  |  |
|  5% 7/1/30  | 130000  | 142226  |
|  5% 7/1/31  | 190000  | 207198  |
|  Glendale Indl. Dev. Auth. (Terraces of Phoenix Proj.) Series 2018 A:  |  |  |
|  5% 7/1/38  | 15000  | 13089  |
|  5% 7/1/48  | 20000  | 16204  |
|  Maricopa County Indl. Dev. Auth.:  |  |  |
|  (Creighton Univ. Proj.) Series 2020, 5% 7/1/47  | 175000  | 183253  |
|  Series 2021 A, 4% 9/1/51  | 295000  | 262763  |
|  Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016:  |  |  |
|  5.75% 1/1/36 (e)  | 250000  | 193752  |
|  6% 1/1/48 (e)  | 395000  | 277622  |
|  Maricopa County Rev.:  |  |  |
|  Series 2016 A, 5% 1/1/33  | 305000  | 324745  |
|  Series 2017 D, 3% 1/1/48  | 1260000  | 928428  |
|  Series 2019 E, 3% 1/1/49  | 745000  | 545131  |
|  Phoenix Civic Impt. Board Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/33 (d) <br>| 55000  | 57739  |
|  5% 7/1/36 (d) <br>| 90000  | 93384  |
|  5% 7/1/37 (d) <br>| 65000  | 67185  |
|  Series 2017 B:  |  |  |
|  5% 7/1/29 <br>| 125000  | 136642  |
|  5% 7/1/33 <br>| 175000  | 190035  |
|  5% 7/1/36 <br>| 205000  | 217893  |
|  5% 7/1/37 <br>| 125000  | 132084  |
|  Series 2019 B, 5% 7/1/35 (d)  | 720000  | 759833  |
|  Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2021 A, 5% 7/1/45  | 410000  | 444824  |
|  Pima County Indl. Dev. Auth. Rev. Series 2021 A, 4% 4/1/46  | 1905000  | 1678869  |
|  Salt Verde Finl. Corp. Sr. Gas Rev. Series 2007, 5.5% 12/1/29  | 450000  | 481872  |
|  Tempe Indl. Dev. Auth. Rev. (Friendship Village of Tempe Proj.) Series 2021 A, 4% 12/1/46  | 480000  | 337619  |
|  TOTAL ARIZONA  |  | 16052990  |
| California - 2.7%  |  |  |
|  ABC Unified School District Series 1997 C, 0% 8/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 200000  | 168161  |
|  Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds Series 2021 A, 2%, tender 4/1/28 (b)  | 1000000  | 924013  |
|  California Gen. Oblig.:  |  |  |
|  Series 2004, 5.25% 12/1/33  | 10000  | 10017  |
|  Series 2016, 5% 9/1/29  | 110000  | 119068  |
|  Series 2020, 4% 11/1/37  | 575000  | 585790  |
|  Series 2022, 5% 4/1/47  | 3050000  | 3346742  |
|  California Hsg. Fin. Agcy. Series 2021 1, 3.5% 11/20/35  | 600232  | 542896  |
|  California Pub. Fin. Auth. Univ. Hsg. Rev.:  |  |  |
|  (Claremont Colleges Proj.) Series 2017 A, 5% 7/1/27 (e)  | 100000  | 96885  |
|  (NCCD - Claremont Properties LLC - Claremont Colleges Proj.) Series 2017 A, 5% 7/1/47 (e)  | 100000  | 96598  |
|  California Pub. Works Board Lease Rev. (Various Cap. Projs.):  |  |  |
|  Series 2021 B, 4% 5/1/46  | 1685000  | 1619543  |
|  Series 2022 C:  |  |  |
|  5% 8/1/31 <br>| 190000  | 224166  |
|  5% 8/1/34 <br>| 350000  | 406621  |
|  California Statewide Cmntys. Dev. Auth. Rev. Series 2015, 5% 2/1/45  | 195000  | 143804  |
|  Folsom Cordova Union School District No. 4 Series A, 0% 10/1/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 90000  | 66174  |
|  Kern Cmnty. College District Gen. Oblig. Series 2006:  |  |  |
|  0% 11/1/28 (Assured Guaranty Muni. Corp. Insured)  | 250000  | 206660  |
|  0% 11/1/30 (Assured Guaranty Muni. Corp. Insured)  | 255000  | 195292  |
|  Long Beach Unified School District Series 2009, 5.5% 8/1/29  | 10000  | 10018  |
|  Los Angeles Dept. Arpt. Rev. Series 2019 F, 5% 5/15/31 (d)  | 1330000  | 1427639  |
|  Los Angeles Dept. of Wtr. & Pwr. Rev. Series B, 5% 7/1/50  | 1435000  | 1530839  |
|  Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Series 2020 A, 5% 7/1/40  | 30000  | 33098  |
|  Los Angeles Hbr. Dept. Rev. Series 2019 A, 5% 8/1/25 (d)  | 255000  | 266765  |
|  Monrovia Unified School District Series B, 0% 8/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 230000  | 182959  |
|  Mount Diablo Unified School District Series 2022 B:  |  |  |
|  4% 8/1/31  | 285000  | 309923  |
|  4% 8/1/32  | 400000  | 434109  |
|  Oakland Unified School District Alameda County Series 2015 A, 5% 8/1/29  | 90000  | 95113  |
|  Poway Unified School District:  |  |  |
|  (District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32  | 300000  | 212359  |
|  Series 2011, 0% 8/1/46  | 60000  | 18745  |
|  Series B:  |  |  |
|  0% 8/1/37 <br>| 395000  | 211824  |
|  0% 8/1/39 <br>| 1200000  | 574274  |
|  0% 8/1/41 <br>| 200000  | 85439  |
|  Poway Unified School District Pub. Fing. Series 2015 A:  |  |  |
|  5% 9/1/24  | 50000  | 51230  |
|  5% 9/1/26  | 65000  | 67764  |
|  5% 9/1/29  | 135000  | 140192  |
|  5% 9/1/31  | 60000  | 61961  |
|  Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 255000  | 224678  |
|  San Diego County Wtr. Auth. Fing. Agcy. Wtr. Rev. Series 2022 A:  |  |  |
|  5% 5/1/47  | 685000  | 756695  |
|  5% 5/1/52  | 1160000  | 1273708  |
|  San Diego Unified School District:  |  |  |
|  Series 2008 C, 0% 7/1/34  | 180000  | 119599  |
|  Series 2008 E, 0% 7/1/47 (f)  | 440000  | 315252  |
|  San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:  |  |  |
|  Series 2019 A:  |  |  |
|  5% 1/1/35 (d) <br>| 360000  | 379642  |
|  5% 5/1/49 (d) <br>| 3960000  | 4009676  |
|  Series 2019 B, 5% 5/1/49  | 275000  | 290114  |
|  Series 2019 E, 5% 5/1/50 (d)  | 395000  | 399649  |
|  Series 2022 A:  |  |  |
|  5% 5/1/26 (d) <br>| 920000  | 965804  |
|  5% 5/1/27 (d) <br>| 930000  | 985180  |
|  5% 5/1/28 (d) <br>| 1245000  | 1328487  |
|  5% 5/1/29 (d) <br>| 835000  | 897208  |
|  Series 2022 B, 5% 5/1/52  | 2525000  | 2710786  |
|  San Marcos Unified School District Series 2010 B, 0% 8/1/47  | 1075000  | 344544  |
|  San Mateo County Cmnty. College District Series A, 0% 9/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 275000  | 248724  |
|  Washington Township Health Care District Gen. Oblig. Series 2013 A, 5.5% 8/1/38  | 230000  | 237486  |
|  TOTAL CALIFORNIA  |  | 29953913  |
| Colorado - 3.9%  |  |  |
|  Arkansas River Pwr. Auth. Rev. Series 2018 A:  |  |  |
|  5% 10/1/38  | 125000  | 125182  |
|  5% 10/1/43  | 160000  | 156791  |
|  Colorado Health Facilities Auth. Rev. Bonds:  |  |  |
|  (Parkview Med. Ctr., Inc. Proj.) Series 2016:  |  |  |
|  4% 9/1/35 <br>| 85000  | 82677  |
|  4% 9/1/36 <br>| 65000  | 61984  |
|  5% 9/1/46 <br>| 370000  | 373423  |
|  Series 2019 A:  |  |  |
|  5% 11/1/25 <br>| 540000  | 567343  |
|  5% 11/15/39 <br>| 700000  | 753101  |
|  Series 2019 A1, 4% 8/1/44  | 4960000  | 4275855  |
|  Series 2019 A2:  |  |  |
|  3.25% 8/1/49 <br>| 1070000  | 757280  |
|  4% 8/1/49 <br>| 1240000  | 1040009  |
|  5% 8/1/44 <br>| 4585000  | 4593126  |
|  Series 2020 A, 4% 9/1/50  | 305000  | 248883  |
|  Series 2022 A, 5% 5/15/47  | 2030000  | 2160361  |
|  Colorado Hsg. & Fin. Auth.:  |  |  |
|  Series 2019 F, 4.25% 11/1/49  | 150000  | 151332  |
|  Series 2019 H, 4.25% 11/1/49  | 260000  | 262460  |
|  Series 2022 F, 5.25% 11/1/52  | 610000  | 640110  |
|  Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2021 B, 5% 11/1/28  | 1030000  | 1158912  |
|  Denver City & County Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 11/15/26 (d) <br>| 175000  | 185017  |
|  5% 11/15/27 (d) <br>| 150000  | 159895  |
|  Series 2018 A:  |  |  |
|  4% 12/1/43 (d) <br>| 9260000  | 8347776  |
|  5% 12/1/30 (d) <br>| 390000  | 423670  |
|  5% 12/1/34 (d) <br>| 260000  | 285516  |
|  5% 12/1/36 (d) <br>| 255000  | 266292  |
|  5% 12/1/37 (d) <br>| 505000  | 525621  |
|  Series 2022 A, 5% 11/15/33 (d)  | 3815000  | 4187228  |
|  Denver City & County Board Wtr. Rev.:  |  |  |
|  Series 2020 A:  |  |  |
|  5% 9/15/45 <br>| 1550000  | 1692571  |
|  5% 9/15/46 <br>| 2375000  | 2588382  |
|  Series 2020 B:  |  |  |
|  5% 9/15/28 <br>| 770000  | 868769  |
|  5% 9/15/29 <br>| 1430000  | 1641398  |
|  Denver Health & Hosp. Auth. Healthcare Rev. Series 2019 A:  |  |  |
|  4% 12/1/38  | 1250000  | 1088452  |
|  4% 12/1/39  | 1720000  | 1483211  |
|  E-470 Pub. Hwy. Auth. Rev. Series 2020 A:  |  |  |
|  5% 9/1/36  | 705000  | 776074  |
|  5% 9/1/40  | 820000  | 823593  |
|  Univ. of Colorado Enterprise Sys. Rev. Bonds:  |  |  |
|  Series 2021 C3A, 2%, tender 10/15/25 (b)  | 305000  | 296001  |
|  Series 2021 C3B, 2%, tender 10/15/26 (b)  | 260000  | 249194  |
|  Vauxmont Metropolitan District:  |  |  |
|  Series 2019, 5% 12/15/32 (Assured Guaranty Muni. Corp. Insured)  | 47000  | 50309  |
|  Series 2020, 5% 12/1/33 (Assured Guaranty Muni. Corp. Insured)  | 75000  | 82544  |
|  TOTAL COLORADO  |  | 43430342  |
| Connecticut - 1.1%  |  |  |
|  Connecticut Gen. Oblig.:  |  |  |
|  Series 2015 B, 5% 6/15/32  | 145000  | 152329  |
|  Series 2016 B, 5% 5/15/26  | 365000  | 392391  |
|  Series 2018 F:  |  |  |
|  5% 9/15/23 <br>| 130000  | 131874  |
|  5% 9/15/24 <br>| 165000  | 171189  |
|  5% 9/15/25 <br>| 165000  | 175062  |
|  Series 2021 A:  |  |  |
|  3% 1/15/39 <br>| 380000  | 322635  |
|  3% 1/15/40 <br>| 295000  | 244906  |
|  Series 2021 D, 5% 7/15/24  | 335000  | 346223  |
|  Series 2022 B, 4% 1/15/36  | 535000  | 545654  |
|  Series 2022 D, 5% 9/15/28  | 295000  | 329524  |
|  Connecticut Health & Edl. Facilities Auth. Rev.:  |  |  |
|  (Sacred Heart Univ., CT. Proj.) Series 2017 I-1:  |  |  |
|  5% 7/1/26 <br>| 25000  | 26626  |
|  5% 7/1/27 <br>| 20000  | 21565  |
|  5% 7/1/28 <br>| 30000  | 32224  |
|  5% 7/1/29 <br>| 20000  | 21478  |
|  Series 2016 K, 4% 7/1/46  | 445000  | 385570  |
|  Series 2019 A:  |  |  |
|  4% 7/1/49 <br>| 1000000  | 847870  |
|  5% 7/1/26 (e) <br>| 350000  | 344038  |
|  5% 7/1/27 (e) <br>| 205000  | 200576  |
|  5% 7/1/49 (e) <br>| 420000  | 349774  |
|  Series 2019 Q-1, 5% 11/1/26  | 255000  | 275638  |
|  Series 2020 A, 4% 7/1/40  | 390000  | 366759  |
|  Series 2021 G:  |  |  |
|  4% 3/1/46 <br>| 305000  | 284063  |
|  4% 3/1/51 <br>| 490000  | 448795  |
|  Series 2021 S, 4% 6/1/51  | 380000  | 332087  |
|  Series 2022 M:  |  |  |
|  4% 7/1/39 <br>| 585000  | 539883  |
|  4% 7/1/52 <br>| 570000  | 509252  |
|  Series K1:  |  |  |
|  5% 7/1/27 <br>| 25000  | 25423  |
|  5% 7/1/29 <br>| 65000  | 66155  |
|  5% 7/1/30 <br>| 50000  | 50799  |
|  5% 7/1/31 <br>| 410000  | 415513  |
|  5% 7/1/33 <br>| 80000  | 80749  |
|  5% 7/1/34 <br>| 580000  | 583613  |
|  Series K3, 5% 7/1/43  | 605000  | 574648  |
|  Connecticut Hsg. Fin. Auth.:  |  |  |
|  Series 2021 B1, 3% 11/15/49  | 415000  | 402070  |
|  Series C:  |  |  |
|  5% 5/15/23 (d) <br>| 75000  | 75413  |
|  5% 11/15/23 (d) <br>| 350000  | 354805  |
|  5% 5/15/24 (d) <br>| 630000  | 643493  |
|  5% 11/15/24 (d) <br>| 295000  | 304017  |
|  5% 11/15/25 (d) <br>| 260000  | 271908  |
|  Connecticut State Revolving Fund Gen. Rev. Series 2017 A, 5% 5/1/35  | 190000  | 205662  |
|  Hbr. Point Infrastructure Impt. District Series 2017:  |  |  |
|  5% 4/1/30 (e)  | 230000  | 231291  |
|  5% 4/1/39 (e)  | 295000  | 285511  |
|  New Britain Gen. Oblig. Series 2017 C, 5% 3/1/29 (Assured Guaranty Muni. Corp. Insured)  | 55000  | 59230  |
|  Univ. of Connecticut Gen. Oblig. Series 2019 A, 5% 11/1/25  | 260000  | 276354  |
|  TOTAL CONNECTICUT  |  | 12704639  |
| Delaware - 0.1%  |  |  |
|  Delaware Gen. Oblig.:  |  |  |
|  Series 2019, 5% 2/1/30  | 294000  | 334573  |
|  Series 2020 A, 5% 1/1/31  | 294000  | 340483  |
|  TOTAL DELAWARE  |  | 675056  |
| District Of Columbia - 0.9%  |  |  |
|  District of Columbia Gen. Oblig.:  |  |  |
|  Series 2021 D:  |  |  |
|  4% 2/1/27 <br>| 380000  | 400189  |
|  5% 2/1/28 <br>| 380000  | 423994  |
|  5% 2/1/29 <br>| 505000  | 573709  |
|  Series 2021 E:  |  |  |
|  5% 2/1/27 <br>| 1285000  | 1405230  |
|  5% 2/1/29 <br>| 1070000  | 1215582  |
|  District of Columbia Rev. Series 2018, 5% 10/1/48  | 2100000  | 2130988  |
|  Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev.:  |  |  |
|  (Dulles Metrorail and Cap. Impt. Proj.) Series 2019 B, 3% 10/1/50 (Assured Guaranty Muni. Corp. Insured)  | 1290000  | 921584  |
|  (Dulles Metrorail and Cap. Impt. Projs.) Series 2019 A:  |  |  |
|  5% 10/1/31 <br>| 210000  | 229570  |
|  5% 10/1/32 <br>| 265000  | 289134  |
|  Metropolitan Washington DC Arpts. Auth. Sys. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 10/1/28 (d) <br>| 335000  | 355183  |
|  5% 10/1/30 (d) <br>| 415000  | 439021  |
|  5% 10/1/31 (d) <br>| 75000  | 79171  |
|  5% 10/1/32 (d) <br>| 115000  | 121197  |
|  5% 10/1/33 (d) <br>| 55000  | 57843  |
|  5% 10/1/35 (d) <br>| 125000  | 130284  |
|  5% 10/1/42 (d) <br>| 255000  | 260254  |
|  Series 2019 A, 5% 10/1/25 (d)  | 180000  | 187862  |
|  Series 2020 A:  |  |  |
|  5% 10/1/26 (d) <br>| 650000  | 686111  |
|  5% 10/1/27 (d) <br>| 225000  | 239505  |
|  5% 10/1/28 (d) <br>| 115000  | 123247  |
|  TOTAL DISTRICT OF COLUMBIA  |  | 10269658  |
| Florida - 3.0%  |  |  |
|  Brevard County School Board Ctfs. of Prtn. Series 2015 C, 5% 7/1/28  | 90000  | 94298  |
|  Broward County Arpt. Sys. Rev.:  |  |  |
|  Series 2012 Q1, 5% 10/1/25  | 265000  | 265425  |
|  Series 2015 C, 5% 10/1/24 (d)  | 130000  | 133561  |
|  Series 2017:  |  |  |
|  5% 10/1/25 (d) <br>| 15000  | 15627  |
|  5% 10/1/26 (d) <br>| 50000  | 52778  |
|  5% 10/1/27 (d) <br>| 50000  | 53223  |
|  5% 10/1/29 (d) <br>| 135000  | 142490  |
|  5% 10/1/30 (d) <br>| 35000  | 36917  |
|  5% 10/1/32 (d) <br>| 175000  | 184042  |
|  5% 10/1/33 (d) <br>| 65000  | 68245  |
|  5% 10/1/34 (d) <br>| 65000  | 67954  |
|  5% 10/1/35 (d) <br>| 75000  | 78039  |
|  5% 10/1/36 (d) <br>| 100000  | 103688  |
|  5% 10/1/37 (d) <br>| 115000  | 118854  |
|  5% 10/1/42 (d) <br>| 655000  | 667934  |
|  5% 10/1/47 (d) <br>| 305000  | 308903  |
|  Series 2019 A, 5% 10/1/49 (d)  | 705000  | 714337  |
|  Series A:  |  |  |
|  5% 10/1/28 (d) <br>| 150000  | 155408  |
|  5% 10/1/30 (d) <br>| 175000  | 180741  |
|  5% 10/1/31 (d) <br>| 150000  | 154798  |
|  5% 10/1/32 (d) <br>| 140000  | 144336  |
|  Broward County School Board Ctfs. of Prtn.:  |  |  |
|  (Broward County School District Proj.) Series 2016 A, 5% 7/1/28  | 35000  | 37181  |
|  Series 2015 A, 5% 7/1/27  | 50000  | 52486  |
|  Series 2015 B, 5% 7/1/24  | 140000  | 144084  |
|  Series 2016, 5% 7/1/32  | 110000  | 116667  |
|  Cap. Projs. Fin. Auth. Student Hsg. Rev. (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A, 5% 10/1/30  | 220000  | 223085  |
|  Duval County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2015 B:  |  |  |
|  5% 7/1/28 <br>| 105000  | 110247  |
|  5% 7/1/32 <br>| 620000  | 649153  |
|  Series 2016 A, 5% 7/1/33  | 70000  | 74433  |
|  Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A:  |  |  |
|  3% 8/15/50 (Assured Guaranty Muni. Corp. Insured)  | 710000  | 498913  |
|  4% 8/15/45  | 215000  | 187062  |
|  Florida Mid-Bay Bridge Auth. Rev.:  |  |  |
|  Series 2015 A, 5% 10/1/35  | 325000  | 328785  |
|  Series 2015 C:  |  |  |
|  5% 10/1/30 <br>| 165000  | 167912  |
|  5% 10/1/40 <br>| 100000  | 99694  |
|  Florida Muni. Pwr. Agcy. Rev.:  |  |  |
|  (Requirements Pwr. Supply Proj.) Series 2016 A:  |  |  |
|  5% 10/1/30 <br>| 110000  | 117628  |
|  5% 10/1/31 <br>| 120000  | 127927  |
|  Series 2015 B:  |  |  |
|  5% 10/1/28 <br>| 50000  | 52748  |
|  5% 10/1/30 <br>| 90000  | 94874  |
|  Greater Orlando Aviation Auth. Arpt. Facilities Rev.:  |  |  |
|  Series 2016 A, 5% 10/1/46 (d)  | 50000  | 50591  |
|  Series 2016:  |  |  |
|  5% 10/1/24 (d) <br>| 150000  | 154366  |
|  5% 10/1/26 (d) <br>| 85000  | 89722  |
|  5% 10/1/27 (d) <br>| 50000  | 53223  |
|  Series 2017 A:  |  |  |
|  5% 10/1/25 (d) <br>| 15000  | 15615  |
|  5% 10/1/25 (Escrowed to Maturity) (d) <br>| 35000  | 36773  |
|  5% 10/1/27 (d) <br>| 25000  | 26444  |
|  5% 10/1/27 (Escrowed to Maturity) (d) <br>| 80000  | 86831  |
|  5% 10/1/29 (Pre-Refunded to 10/1/27 @ 100) (d) <br>| 150000  | 162809  |
|  5% 10/1/30 (Pre-Refunded to 10/1/27 @ 100) (d) <br>| 165000  | 179090  |
|  5% 10/1/31 (d) <br>| 435000  | 458223  |
|  5% 10/1/34 (d) <br>| 305000  | 318860  |
|  5% 10/1/37 (d) <br>| 315000  | 325557  |
|  Series 2019 A, 5% 10/1/54 (d)  | 2460000  | 2494344  |
|  Halifax Hosp. Med. Ctr. Rev. Series 2015, 5% 6/1/24  | 15000  | 15333  |
|  Hillsborough County Port District Series 2018 B, 5% 6/1/38 (d)  | 155000  | 160717  |
|  Miami-Dade County Aviation Rev.:  |  |  |
|  Series 2012 A, 5% 10/1/23 (d)  | 390000  | 392519  |
|  Series 2014 A, 5% 10/1/28 (d)  | 255000  | 260939  |
|  Series 2015 A:  |  |  |
|  5% 10/1/29 (d) <br>| 80000  | 82427  |
|  5% 10/1/31 (d) <br>| 70000  | 72147  |
|  5% 10/1/35 (d) <br>| 275000  | 276753  |
|  5% 10/1/38 (d) <br>| 95000  | 96404  |
|  Series 2016 A:  |  |  |
|  5% 10/1/29 <br>| 75000  | 80483  |
|  5% 10/1/31 <br>| 90000  | 96128  |
|  Series 2017 B, 5% 10/1/40 (d)  | 875000  | 889115  |
|  Series 2020 A, 4% 10/1/39  | 490000  | 470516  |
|  Miami-Dade County Cap. Asset Acquisition Series 2009, 0% 10/1/37  | 3000000  | 1581314  |
|  Miami-Dade County Expressway Auth.:  |  |  |
|  Series 2014 A, 5% 7/1/44  | 175000  | 176434  |
|  Series 2014 B, 5% 7/1/28  | 50000  | 51186  |
|  Series 2016 A:  |  |  |
|  5% 7/1/32 <br>| 215000  | 224771  |
|  5% 7/1/33 <br>| 185000  | 193160  |
|  Miami-Dade County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2015 A, 5% 5/1/29  | 205000  | 212828  |
|  Series 2016 A:  |  |  |
|  5% 5/1/30 <br>| 380000  | 400510  |
|  5% 5/1/32 <br>| 505000  | 530792  |
|  Miami-Dade County Wtr. & Swr. Rev. Series 2021, 5% 10/1/32  | 205000  | 235255  |
|  Orange County Health Facilities Auth. Series 2016 A, 5% 10/1/44  | 115000  | 117240  |
|  Palm Beach County Arpt. Sys. Rev. Series 2016:  |  |  |
|  5% 10/1/24 (d)  | 70000  | 71953  |
|  5% 10/1/27 (d)  | 50000  | 52587  |
|  5% 10/1/29 (d)  | 55000  | 57431  |
|  5% 10/1/30 (d)  | 95000  | 99179  |
|  5% 10/1/31 (d)  | 65000  | 67788  |
|  5% 10/1/32 (d)  | 100000  | 104152  |
|  5% 10/1/33 (d)  | 215000  | 223624  |
|  5% 10/1/34 (d)  | 230000  | 238403  |
|  5% 10/1/35 (d)  | 240000  | 247822  |
|  Palm Beach County Health Facilities Auth. Hosp. Rev.:  |  |  |
|  (Jupiter Med. Ctr. Proj.) Series 2022:  |  |  |
|  5% 11/1/31 <br>| 200000  | 215165  |
|  5% 11/1/33 <br>| 350000  | 369972  |
|  5% 11/1/36 <br>| 370000  | 383635  |
|  5% 11/1/38 <br>| 400000  | 410629  |
|  5% 11/1/40 <br>| 400000  | 407890  |
|  5% 11/1/42 <br>| 500000  | 509263  |
|  Series 2019, 4% 8/15/49  | 3740000  | 3296612  |
|  Palm Beach County Health Facilities Auth. Rev. Series 2021 C, 4% 5/15/28  | 1280000  | 1188407  |
|  Palm Beach County School Board Ctfs. of Prtn. Series 2015 D:  |  |  |
|  5% 8/1/28  | 240000  | 252289  |
|  5% 8/1/29  | 300000  | 315285  |
|  Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (b)  | 430000  | 407224  |
|  South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015:  |  |  |
|  5% 10/1/29  | 255000  | 273063  |
|  5% 10/1/32  | 315000  | 335095  |
|  South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017:  |  |  |
|  4% 8/15/33  | 125000  | 126730  |
|  5% 8/15/26  | 170000  | 180456  |
|  5% 8/15/27  | 115000  | 123605  |
|  5% 8/15/28  | 75000  | 81098  |
|  5% 8/15/30  | 165000  | 177587  |
|  5% 8/15/31  | 160000  | 171945  |
|  5% 8/15/32  | 115000  | 122930  |
|  5% 8/15/34  | 325000  | 344686  |
|  5% 8/15/35  | 215000  | 226498  |
|  5% 8/15/42  | 335000  | 341601  |
|  5% 8/15/47  | 495000  | 501600  |
|  Tallahassee Health Facilities Rev.:  |  |  |
|  (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/41  | 55000  | 55513  |
|  Series 2015 A, 5% 12/1/40  | 110000  | 110899  |
|  Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 B:  |  |  |
|  4% 7/1/45  | 1230000  | 1112801  |
|  5% 7/1/50  | 1320000  | 1332232  |
|  Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 A:  |  |  |
|  0% 9/1/37  | 235000  | 122023  |
|  0% 9/1/49  | 765000  | 204181  |
|  Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A:  |  |  |
|  5% 10/15/44  | 65000  | 67696  |
|  5% 10/15/49  | 125000  | 129298  |
|  Volusia County School Board Ctfs. of Prtn. (Florida Master Lease Prog.) Series 2016 A:  |  |  |
|  5% 8/1/29 (Build America Mutual Assurance Insured)  | 50000  | 53050  |
|  5% 8/1/32 (Build America Mutual Assurance Insured)  | 255000  | 269710  |
|  TOTAL FLORIDA  |  | 33277503  |
| Georgia - 3.6%  |  |  |
|  Atlanta Arpt. Rev.:  |  |  |
|  Series 2014 C, 5% 1/1/29 (d)  | 170000  | 172188  |
|  Series 2019 B, 5% 7/1/25 (d)  | 140000  | 145524  |
|  Series 2022 B, 5% 7/1/34 (d)  | 1005000  | 1094554  |
|  Burke County Indl. Dev. Auth. Poll. Cont. Rev.:  |  |  |
|  (Georgia Transmission Corp. Proj.) Series 2012, 2.75% 1/1/52 (b)  | 930000  | 605146  |
|  Bonds (Georgia Pwr. Co. Plant Vogtle Proj.):  |  |  |
|  Series 1994, 2.25%, tender 5/25/23 (b) <br>| 825000  | 820386  |
|  Series 2013 1st, 2.925%, tender 3/12/24 (b) <br>| 1555000  | 1537394  |
|  Columbus Med. Ctr. Hosp. Auth. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 B, 5%, tender 7/1/29 (b)  | 500000  | 545416  |
|  Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44  | 1470000  | 1479109  |
|  DeKalb County Wtr. & Swr. Rev. Series 2011 A, 5.25% 10/1/36  | 150000  | 150079  |
|  Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (b)  | 265000  | 269180  |
|  Fulton County Dev. Auth. Rev. Series 2019, 4% 6/15/49  | 110000  | 102779  |
|  Gainesville & Hall County Hosp. Auth. Rev. Series 2020 A, 3% 2/15/47  | 2845000  | 2042444  |
|  Georgia Gen. Oblig. Series 2022 A, 5% 7/1/33  | 1025000  | 1223707  |
|  Georgia Muni. Elec. Auth. Pwr. Rev. Series 2021 A:  |  |  |
|  4% 1/1/35 (Assured Guaranty Muni. Corp. Insured)  | 325000  | 329200  |
|  4% 1/1/37 (Assured Guaranty Muni. Corp. Insured)  | 190000  | 188965  |
|  4% 1/1/39 (Assured Guaranty Muni. Corp. Insured)  | 295000  | 288310  |
|  4% 1/1/39 (Assured Guaranty Muni. Corp. Insured)  | 180000  | 175918  |
|  4% 1/1/40 (Assured Guaranty Muni. Corp. Insured)  | 210000  | 203306  |
|  4% 1/1/41 (Assured Guaranty Muni. Corp. Insured)  | 150000  | 143827  |
|  5% 1/1/31 (Assured Guaranty Muni. Corp. Insured)  | 155000  | 172566  |
|  5% 1/1/33 (Assured Guaranty Muni. Corp. Insured)  | 295000  | 324013  |
|  5% 1/1/33 (Assured Guaranty Muni. Corp. Insured)  | 175000  | 192783  |
|  5% 1/1/34 (Assured Guaranty Muni. Corp. Insured)  | 260000  | 282981  |
|  5% 1/1/34 (Assured Guaranty Muni. Corp. Insured)  | 180000  | 195910  |
|  Georgia Road & Thruway Auth. Rev. Series 2020:  |  |  |
|  5% 6/1/31  | 585000  | 674959  |
|  5% 6/1/32  | 880000  | 1012839  |
|  Glynn-Brunswick Memorial Hosp. Auth. Rev. (Southeast Georgia Health Sys. Proj.) Series 2017:  |  |  |
|  4% 8/1/43  | 115000  | 99995  |
|  5% 8/1/39  | 105000  | 105585  |
|  5% 8/1/43  | 140000  | 140859  |
|  Hosp. Auth. of Savannah Auth. Rev. Series 2019 A:  |  |  |
|  4% 7/1/36  | 415000  | 416047  |
|  4% 7/1/43  | 435000  | 407323  |
|  Main Street Natural Gas, Inc. Bonds:  |  |  |
|  Series 2018 C, 4%, tender 12/1/23 (b)  | 1295000  | 1294020  |
|  Series 2021 A, 4%, tender 9/1/27 (b)  | 14680000  | 14559809  |
|  Series 2022 B, 5%, tender 6/1/29 (b)  | 1790000  | 1847900  |
|  Series 2022 E, 4%, tender 12/1/29 (b)  | 3880000  | 3773801  |
|  Private Colleges & Univs. Auth. Rev.:  |  |  |
|  (The Savannah College of Art & Design Projs.):  |  |  |
|  Series 2014, 5% 4/1/24 (Escrowed to Maturity) <br>| 255000  | 261513  |
|  Series 2021: <br>|  |  |
|  4% 4/1/37 <br>| 295000  | 292727  |
|  5% 4/1/30 <br>| 160000  | 177220  |
|  5% 4/1/36 <br>| 165000  | 178199  |
|  Series 2020 B:  |  |  |
|  4% 9/1/37 <br>| 395000  | 398821  |
|  4% 9/1/38 <br>| 515000  | 515999  |
|  5% 9/1/25 <br>| 365000  | 387886  |
|  5% 9/1/32 <br>| 370000  | 425075  |
|  TOTAL GEORGIA  |  | 39656262  |
| Hawaii - 0.5%  |  |  |
|  Hawaii Arpts. Sys. Rev. Series 2018 A:  |  |  |
|  5% 7/1/29 (d)  | 65000  | 69132  |
|  5% 7/1/30 (d)  | 75000  | 79703  |
|  5% 7/1/31 (d)  | 75000  | 79617  |
|  5% 7/1/32 (d)  | 75000  | 79469  |
|  5% 7/1/33 (d)  | 75000  | 79332  |
|  5% 7/1/48 (d)  | 4170000  | 4221404  |
|  Hawaii Gen. Oblig. Series 2020 A, 4% 7/1/36 (d)  | 60000  | 60075  |
|  Honolulu City & County Gen. Oblig. Series 2022 A:  |  |  |
|  5% 11/1/24  | 250000  | 260388  |
|  5% 11/1/25  | 110000  | 117166  |
|  TOTAL HAWAII  |  | 5046286  |
| Idaho - 0.0%  |  |  |
|  Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series 2019 A, 4% 1/1/50  | 30000  | 30056  |
| Illinois - 10.2%  |  |  |
|  Chicago Board of Ed.:  |  |  |
|  Series 2012 A, 5% 12/1/42  | 465000  | 445190  |
|  Series 2015 C, 5.25% 12/1/39  | 85000  | 84618  |
|  Series 2016 B, 6.5% 12/1/46  | 100000  | 105400  |
|  Series 2017 A, 7% 12/1/46 (e)  | 140000  | 151657  |
|  Series 2017 C:  |  |  |
|  5% 12/1/24 <br>| 290000  | 295320  |
|  5% 12/1/25 <br>| 165000  | 168806  |
|  5% 12/1/26 <br>| 100000  | 102401  |
|  5% 12/1/30 <br>| 130000  | 132499  |
|  Series 2017 D:  |  |  |
|  5% 12/1/23 <br>| 150000  | 151426  |
|  5% 12/1/24 <br>| 100000  | 101835  |
|  5% 12/1/31 <br>| 150000  | 152688  |
|  Series 2018 A:  |  |  |
|  5% 12/1/25 <br>| 100000  | 102307  |
|  5% 12/1/26 <br>| 100000  | 102401  |
|  5% 12/1/28 <br>| 240000  | 245835  |
|  5% 12/1/30 <br>| 350000  | 357384  |
|  5% 12/1/32 <br>| 100000  | 101790  |
|  5% 12/1/35 <br>| 100000  | 100612  |
|  Series 2018 C, 5% 12/1/46  | 1585000  | 1505278  |
|  Series 2019 A:  |  |  |
|  5% 12/1/28 <br>| 165000  | 169012  |
|  5% 12/1/30 <br>| 340000  | 348420  |
|  5% 12/1/31 <br>| 190000  | 194409  |
|  5% 12/1/33 <br>| 455000  | 462995  |
|  Series 2022 A, 5% 12/1/47  | 780000  | 749893  |
|  Series 2022 B:  |  |  |
|  4% 12/1/35 <br>| 585000  | 535370  |
|  4% 12/1/36 <br>| 1005000  | 905603  |
|  Chicago Gen. Oblig.:  |  |  |
|  Series 2017 A, 6% 1/1/38  | 295000  | 311112  |
|  Series 2019 A, 5% 1/1/40  | 700000  | 694087  |
|  Series 2020 A:  |  |  |
|  5% 1/1/29 <br>| 870000  | 911415  |
|  5% 1/1/30 <br>| 1605000  | 1691649  |
|  Series 2021 A:  |  |  |
|  5% 1/1/32 <br>| 1530000  | 1619948  |
|  5% 1/1/34 <br>| 260000  | 273803  |
|  Series 2023 A:  |  |  |
|  5.25% 1/1/37 (g) <br>| 1950000  | 2020567  |
|  5.5% 1/1/43 (g) <br>| 5725000  | 5898595  |
|  Chicago Midway Arpt. Rev.:  |  |  |
|  Series 2013 A, 5.5% 1/1/29 (d)  | 235000  | 235279  |
|  Series 2014 A:  |  |  |
|  5% 1/1/33 (d) <br>| 270000  | 271275  |
|  5% 1/1/34 (d) <br>| 130000  | 130497  |
|  Series 2016 A:  |  |  |
|  4% 1/1/33 (d) <br>| 375000  | 368413  |
|  5% 1/1/28 (d) <br>| 100000  | 103470  |
|  Series 2016 B:  |  |  |
|  4% 1/1/35 <br>| 80000  | 79489  |
|  5% 1/1/36 <br>| 100000  | 102430  |
|  5% 1/1/37 <br>| 135000  | 137507  |
|  Chicago O'Hare Int'l. Arpt. Rev.:  |  |  |
|  Series 2013 B, 5% 1/1/27  | 315000  | 315000  |
|  Series 2015 A, 5% 1/1/31 (d)  | 305000  | 311548  |
|  Series 2015 C, 5% 1/1/46 (d)  | 120000  | 119996  |
|  Series 2016 B, 5% 1/1/34  | 310000  | 324799  |
|  Series 2016 C:  |  |  |
|  5% 1/1/33 <br>| 140000  | 147105  |
|  5% 1/1/34 <br>| 160000  | 167638  |
|  Series 2016 G:  |  |  |
|  5% 1/1/37 (d) <br>| 100000  | 102537  |
|  5% 1/1/42 (d) <br>| 100000  | 101113  |
|  5.25% 1/1/29 (d) <br>| 20000  | 21091  |
|  5.25% 1/1/31 (d) <br>| 20000  | 21080  |
|  Series 2017 A, 5% 1/1/31  | 180000  | 193241  |
|  Series 2017 B:  |  |  |
|  5% 1/1/35 <br>| 105000  | 110909  |
|  5% 1/1/37 <br>| 430000  | 448759  |
|  Series 2017 C:  |  |  |
|  5% 1/1/30 <br>| 30000  | 32330  |
|  5% 1/1/31 <br>| 30000  | 32207  |
|  5% 1/1/32 <br>| 30000  | 32103  |
|  Series 2017 D:  |  |  |
|  5% 1/1/28 (d) <br>| 150000  | 157216  |
|  5% 1/1/29 (d) <br>| 125000  | 130667  |
|  5% 1/1/32 (d) <br>| 135000  | 140852  |
|  5% 1/1/34 (d) <br>| 205000  | 213178  |
|  5% 1/1/35 (d) <br>| 150000  | 155327  |
|  5% 1/1/36 (d) <br>| 190000  | 195756  |
|  5% 1/1/37 (d) <br>| 100000  | 102537  |
|  Series 2018 A:  |  |  |
|  5% 1/1/37 (d) <br>| 1030000  | 1070406  |
|  5% 1/1/39 (d) <br>| 1005000  | 1037732  |
|  5% 1/1/48 (d) <br>| 165000  | 167195  |
|  5% 1/1/53 (d) <br>| 285000  | 287136  |
|  Series 2022 A:  |  |  |
|  5% 1/1/30 (d) <br>| 225000  | 242101  |
|  5% 1/1/31 (d) <br>| 230000  | 249538  |
|  Series 2022 C:  |  |  |
|  5% 1/1/28 (d) <br>| 690000  | 730780  |
|  5% 1/1/29 (d) <br>| 500000  | 533374  |
|  5% 1/1/30 (d) <br>| 810000  | 871564  |
|  5% 1/1/31 (d) <br>| 600000  | 650969  |
|  Chicago O'Hare Int'l. Arpt. Spl. Facilities Rev. Series 2018:  |  |  |
|  5% 7/1/38 (d)  | 135000  | 135649  |
|  5% 7/1/48 (d)  | 1140000  | 1117095  |
|  Chicago Transit Auth.:  |  |  |
|  Series 2017, 5% 12/1/46  | 205000  | 208042  |
|  Series 2022 A, 4% 12/1/49  | 6000000  | 5321909  |
|  Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017:  |  |  |
|  5% 6/1/23  | 90000  | 90597  |
|  5% 6/1/25  | 15000  | 15549  |
|  5% 6/1/26  | 10000  | 10490  |
|  Cook County Gen. Oblig.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 11/15/26 <br>| 290000  | 309742  |
|  5% 11/15/27 <br>| 140000  | 149530  |
|  5% 11/15/28 <br>| 185000  | 197524  |
|  5% 11/15/29 <br>| 230000  | 245571  |
|  5% 11/15/30 <br>| 255000  | 272167  |
|  Series 2021 A, 5% 11/15/33  | 550000  | 610902  |
|  Series 2021 B:  |  |  |
|  4% 11/15/25 <br>| 215000  | 220262  |
|  4% 11/15/26 <br>| 110000  | 113263  |
|  4% 11/15/27 <br>| 110000  | 113724  |
|  4% 11/15/28 <br>| 55000  | 57014  |
|  Illinois Fin. Auth.:  |  |  |
|  Bonds Series 2022 B1, 5%, tender 8/15/25 (b)  | 2905000  | 3032084  |
|  Series 2020 A:  |  |  |
|  3% 5/15/50 <br>| 2650000  | 1794327  |
|  3% 5/15/50 (Build America Mutual Assurance Insured) <br>| 1045000  | 737054  |
|  3.25% 8/15/49 <br>| 465000  | 359419  |
|  4% 5/15/50 <br>| 1760000  | 1518099  |
|  Series 2022 A:  |  |  |
|  5% 10/1/35 <br>| 330000  | 324462  |
|  5.5% 10/1/39 <br>| 750000  | 752958  |
|  Illinois Fin. Auth. Health Svcs. Facility Lease Rev. (Provident Group - UIC Surgery Ctr. LLC - Univ. of Illinois Health Svcs. Facility Proj.) Series 2020, 4% 10/1/55  | 2785000  | 2275161  |
|  Illinois Fin. Auth. Rev.:  |  |  |
|  (Bradley Univ. Proj.) Series 2017 C:  |  |  |
|  5% 8/1/29 <br>| 60000  | 62355  |
|  5% 8/1/30 <br>| 45000  | 46697  |
|  5% 8/1/32 <br>| 60000  | 61949  |
|  (Depaul Univ. Proj.) Series 2016 A:  |  |  |
|  4% 10/1/34 <br>| 50000  | 50173  |
|  5% 10/1/29 <br>| 50000  | 53108  |
|  5% 10/1/30 <br>| 50000  | 53042  |
|  (OSF Healthcare Sys.) Series 2018 A:  |  |  |
|  4.125% 5/15/47 <br>| 1585000  | 1439808  |
|  5% 5/15/43 <br>| 2105000  | 2131756  |
|  (Presence Health Proj.) Series 2016 C:  |  |  |
|  3.625% 2/15/32 <br>| 60000  | 60275  |
|  4% 2/15/33 <br>| 15000  | 15213  |
|  5% 2/15/29 <br>| 310000  | 332862  |
|  5% 2/15/36 <br>| 70000  | 73775  |
|  (Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C, 5% 8/1/46  | 50000  | 48782  |
|  (Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34  | 25000  | 25607  |
|  Series 2013:  |  |  |
|  5% 11/15/28 <br>| 145000  | 145085  |
|  5% 11/15/29 <br>| 70000  | 70036  |
|  Series 2015 C:  |  |  |
|  4.125% 8/15/37 <br>| 45000  | 42644  |
|  5% 8/15/35 <br>| 375000  | 382367  |
|  5% 8/15/44 <br>| 1845000  | 1774779  |
|  Series 2016 A:  |  |  |
|  5% 8/15/25 (Escrowed to Maturity) <br>| 120000  | 126698  |
|  5% 7/1/28 (Pre-Refunded to 7/1/26 @ 100) <br>| 60000  | 64687  |
|  5% 2/15/29 <br>| 260000  | 274097  |
|  5% 2/15/30 <br>| 275000  | 290600  |
|  5% 7/1/30 (Pre-Refunded to 7/1/26 @ 100) <br>| 35000  | 37734  |
|  5% 2/15/31 <br>| 220000  | 232414  |
|  5% 7/1/31 (Pre-Refunded to 7/1/26 @ 100) <br>| 65000  | 70078  |
|  5% 2/15/32 <br>| 215000  | 226875  |
|  5% 7/1/33 (Pre-Refunded to 7/1/26 @ 100) <br>| 30000  | 32344  |
|  5% 7/1/34 (Pre-Refunded to 7/1/26 @ 100) <br>| 255000  | 274920  |
|  5% 8/15/35 (Pre-Refunded to 8/15/26 @ 100) <br>| 25000  | 26928  |
|  5% 7/1/36 (Pre-Refunded to 7/1/26 @ 100) <br>| 130000  | 140155  |
|  5% 8/15/36 (Pre-Refunded to 8/15/26 @ 100) <br>| 105000  | 113095  |
|  5.25% 8/15/31 (Pre-Refunded to 8/15/26 @ 100) <br>| 30000  | 32569  |
|  Series 2016 B:  |  |  |
|  5% 8/15/31 <br>| 375000  | 399264  |
|  5% 8/15/32 <br>| 305000  | 323063  |
|  5% 8/15/34 <br>| 380000  | 399955  |
|  5% 8/15/36 <br>| 530000  | 552662  |
|  Series 2016 C:  |  |  |
|  3.75% 2/15/34 <br>| 75000  | 75294  |
|  4% 2/15/36 <br>| 315000  | 316799  |
|  4% 2/15/41 <br>| 1855000  | 1778253  |
|  4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) <br>| 40000  | 41778  |
|  5% 2/15/24 <br>| 5000  | 5099  |
|  5% 2/15/31 <br>| 1415000  | 1514967  |
|  5% 2/15/32 <br>| 225000  | 240276  |
|  5% 2/15/34 <br>| 180000  | 191065  |
|  Series 2016 D, 4% 2/15/46  | 2315000  | 2081289  |
|  Series 2016:  |  |  |
|  4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) <br>| 5000  | 5222  |
|  5% 5/15/29 <br>| 65000  | 68068  |
|  5% 12/1/29 <br>| 85000  | 88857  |
|  5% 5/15/30 <br>| 135000  | 140906  |
|  5% 12/1/33 <br>| 115000  | 119048  |
|  5% 12/1/46 <br>| 1300000  | 1252575  |
|  Series 2017 A, 5% 8/1/42  | 45000  | 44771  |
|  Series 2017:  |  |  |
|  5% 1/1/29 <br>| 170000  | 184662  |
|  5% 7/1/34 <br>| 285000  | 304971  |
|  5% 7/1/35 <br>| 240000  | 256875  |
|  Series 2019, 4% 9/1/35  | 145000  | 131367  |
|  Illinois Gen. Oblig.:  |  |  |
|  Series 2014:  |  |  |
|  5% 2/1/25 <br>| 185000  | 187000  |
|  5% 2/1/26 <br>| 140000  | 141352  |
|  5% 4/1/28 <br>| 115000  | 115997  |
|  5% 5/1/28 <br>| 110000  | 111003  |
|  5% 2/1/39 <br>| 865000  | 859302  |
|  5.25% 2/1/31 <br>| 20000  | 20148  |
|  Series 2016:  |  |  |
|  5% 6/1/26 <br>| 60000  | 61718  |
|  5% 2/1/27 <br>| 340000  | 350850  |
|  Series 2017 C, 5% 11/1/29  | 870000  | 891278  |
|  Series 2017 D, 5% 11/1/27  | 1050000  | 1085355  |
|  Series 2020 C, 4.125% 10/1/36  | 3000000  | 2763629  |
|  Series 2020, 5.5% 5/1/39  | 2000000  | 2064165  |
|  Series 2021 A:  |  |  |
|  5% 3/1/34 <br>| 1035000  | 1049470  |
|  5% 3/1/46 <br>| 2165000  | 2104103  |
|  Series 2022 A:  |  |  |
|  5% 3/1/29 <br>| 645000  | 666696  |
|  5% 3/1/31 <br>| 705000  | 726884  |
|  5% 3/1/36 <br>| 1820000  | 1835188  |
|  Illinois Hsg. Dev. Auth. Series 2021, 3% 4/1/51  | 915000  | 885989  |
|  Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Series 2019, 2.9% 7/1/35  | 435433  | 386662  |
|  Illinois Hsg. Dev. Auth. Rev. Series D, 3.75% 4/1/50  | 70000  | 69693  |
|  Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A, 5% 2/1/31  | 205000  | 213323  |
|  Illinois Toll Hwy. Auth. Toll Hwy. Rev.:  |  |  |
|  Series 2016 A, 5% 12/1/31  | 355000  | 375217  |
|  Series 2019 A, 5% 1/1/44  | 140000  | 146004  |
|  Series 2021 A, 5% 1/1/43  | 4670000  | 4944511  |
|  Series A:  |  |  |
|  5% 1/1/40 <br>| 335000  | 354068  |
|  5% 1/1/41 <br>| 880000  | 929105  |
|  5% 1/1/45 <br>| 2975000  | 3135290  |
|  Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016:  |  |  |
|  5% 2/1/34  | 355000  | 371541  |
|  5% 2/1/35  | 255000  | 266502  |
|  5% 2/1/36  | 435000  | 453975  |
|  Metropolitan Pier & Exposition:  |  |  |
|  (McCormick Place Expansion Proj.):  |  |  |
|  Series 2010 B1: <br>|  |  |
|  0% 6/15/43 (Assured Guaranty Muni. Corp. Insured) <br>| 3150000  | 1168795  |
|  0% 6/15/45 (Assured Guaranty Muni. Corp. Insured) <br>| 1540000  | 511679  |
|  0% 6/15/47 (Assured Guaranty Muni. Corp. Insured) <br>| 185000  | 54996  |
|  Series 2012 B, 0% 12/15/51 <br>| 660000  | 140061  |
|  Series 1994, 0% 6/15/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 335000  | 271379  |
|  Series 1996 A, 0% 6/15/24  | 155000  | 147047  |
|  Series 2002 A, 0% 6/15/35 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 260000  | 146389  |
|  Series 2002, 0% 12/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 2445000  | 1261818  |
|  Series 2017 B:  |  |  |
|  5% 12/15/25 <br>| 50000  | 51109  |
|  5% 12/15/26 <br>| 165000  | 169757  |
|  5% 12/15/27 <br>| 20000  | 20685  |
|  5% 12/15/31 <br>| 35000  | 35927  |
|  5% 12/15/34 <br>| 20000  | 20399  |
|  Series 2020 A, 5% 6/15/50  | 560000  | 545498  |
|  Series 2020 B, 5% 6/15/42  | 675000  | 675191  |
|  Series 2022 A:  |  |  |
|  0% 12/15/36 <br>| 65000  | 33137  |
|  0% 12/15/39 <br>| 515000  | 220225  |
|  0% 12/15/40 <br>| 430000  | 172772  |
|  0% 12/15/41 <br>| 1225000  | 462145  |
|  4% 6/15/52 <br>| 5875000  | 4755449  |
|  Northern Illinois Univ. Revs. Series 2020 B, 5% 4/1/34 (Build America Mutual Assurance Insured)  | 395000  | 421133  |
|  Railsplitter Tobacco Settlement Auth. Rev. Series 2017:  |  |  |
|  5% 6/1/27  | 1215000  | 1291568  |
|  5% 6/1/28  | 140000  | 148752  |
|  Univ. of Illinois Rev.:  |  |  |
|  Series 2013:  |  |  |
|  6% 10/1/42 <br>| 275000  | 280337  |
|  6.25% 10/1/38 <br>| 275000  | 281044  |
|  Series 2018 A, 5% 4/1/30  | 210000  | 229420  |
|  Will County Cmnty. Unit School District #365-U Series 2007 B, 0% 11/1/26 (Assured Guaranty Muni. Corp. Insured)  | 310000  | 272237  |
|  Will County Illinois Series 2016:  |  |  |
|  5% 11/15/32 (Pre-Refunded to 11/15/25 @ 100)  | 65000  | 69180  |
|  5% 11/15/33 (Pre-Refunded to 11/15/25 @ 100)  | 75000  | 79823  |
|  5% 11/15/34 (Pre-Refunded to 11/15/25 @ 100)  | 75000  | 79823  |
|  TOTAL ILLINOIS  |  | 112937449  |
| Indiana - 0.4%  |  |  |
|  Indiana Fin. Auth. Envir. Facilities Rev. Bonds (Indianapolis Pwr. & Lt. Co. Proj.):  |  |  |
|  Series 2020 A, 0.75%, tender 4/1/26 (b)  | 90000  | 78073  |
|  Series 2020 B, 0.95%, tender 4/1/26 (b)(d)  | 140000  | 122673  |
|  Indiana Fin. Auth. Rev.:  |  |  |
|  Series 2015 A, 5.25% 2/1/32  | 355000  | 372211  |
|  Series 2016:  |  |  |
|  5% 9/1/26 <br>| 65000  | 69740  |
|  5% 9/1/27 <br>| 30000  | 32073  |
|  5% 9/1/28 <br>| 155000  | 165134  |
|  5% 9/1/29 <br>| 75000  | 79619  |
|  5% 9/1/30 <br>| 70000  | 74172  |
|  Indiana Fin. Auth. Wastewtr. Util. Rev.:  |  |  |
|  (CWA Auth. Proj.) Series 2015 A, 5% 10/1/30  | 245000  | 252551  |
|  Series 2021 2, 5% 10/1/41  | 515000  | 563312  |
|  Indiana Hsg. & Cmnty. Dev. Auth.:  |  |  |
|  (Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (e)  | 180000  | 146122  |
|  Series 2021 B:  |  |  |
|  3% 7/1/50 <br>| 145000  | 140845  |
|  5% 1/1/23 <br>| 145000  | 145000  |
|  Indianapolis Local Pub. Impt.:  |  |  |
|  (Courthouse and Jail Proj.) Series 2019 A, 5% 2/1/49  | 340000  | 354316  |
|  Series 2016:  |  |  |
|  4% 1/1/32 (d) <br>| 50000  | 49743  |
|  4% 1/1/33 (d) <br>| 50000  | 49362  |
|  4% 1/1/34 (d) <br>| 65000  | 63581  |
|  4% 1/1/35 (d) <br>| 140000  | 136380  |
|  5% 1/1/26 (d) <br>| 55000  | 57483  |
|  Lake Central Multi-District School Bldg. Corp. Series 2012 B, 5% 1/15/30 (Pre-Refunded to 1/15/23 @ 100)  | 110000  | 110064  |
|  Purdue Univ. Rev. Series 2018 DD:  |  |  |
|  5% 7/1/34  | 60000  | 66453  |
|  5% 7/1/35  | 120000  | 132176  |
|  5% 7/1/36  | 130000  | 142553  |
|  5% 7/1/37  | 120000  | 130980  |
|  Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.):  |  |  |
|  Series 2019, 5% 4/1/43  | 495000  | 512190  |
|  Series 2020, 4% 4/1/37  | 245000  | 236931  |
|  TOTAL INDIANA  |  | 4283737  |
| Iowa - 0.2%  |  |  |
|  Iowa Fin. Auth. Rev. Series A:  |  |  |
|  5% 5/15/43  | 70000  | 60354  |
|  5% 5/15/48  | 710000  | 588369  |
|  Iowa Student Ln. Liquidity Corp. Student Ln. Rev. Series 2019 B, 5% 12/1/29 (d)  | 310000  | 337846  |
|  Tobacco Settlement Auth. Tobacco Settlement Rev.:  |  |  |
|  Series 2021 A2:  |  |  |
|  4% 6/1/34 <br>| 295000  | 286499  |
|  4% 6/1/36 <br>| 295000  | 279701  |
|  4% 6/1/39 <br>| 295000  | 269971  |
|  5% 6/1/32 <br>| 265000  | 280342  |
|  Series 2021 B1, 4% 6/1/49  | 410000  | 403151  |
|  TOTAL IOWA  |  | 2506233  |
| Kentucky - 0.7%  |  |  |
|  Ashland Med. Ctr. Rev. Series 2019, 3% 2/1/40 (Assured Guaranty Muni. Corp. Insured)  | 655000  | 516753  |
|  Kenton County Arpt. Board Arpt. Rev. Series 2016:  |  |  |
|  5% 1/1/28  | 80000  | 84987  |
|  5% 1/1/31  | 75000  | 79439  |
|  5% 1/1/32  | 75000  | 79264  |
|  Kentucky Econ. Dev. Fin. Auth. Series 2019 A2, 5% 8/1/49  | 930000  | 907692  |
|  Kentucky State Property & Buildings Commission Rev.:  |  |  |
|  (Proj. No. 119) Series 2018:  |  |  |
|  5% 5/1/26 <br>| 50000  | 53218  |
|  5% 5/1/29 <br>| 275000  | 302176  |
|  5% 5/1/32 <br>| 70000  | 76582  |
|  5% 5/1/33 <br>| 55000  | 60133  |
|  5% 5/1/34 <br>| 65000  | 70618  |
|  5% 5/1/35 <br>| 40000  | 43022  |
|  5% 5/1/36 <br>| 30000  | 32043  |
|  Series B, 5% 8/1/23  | 355000  | 359070  |
|  Kentucky, Inc. Pub. Energy:  |  |  |
|  Bonds Series A, 4%, tender 6/1/26 (b)  | 2760000  | 2732118  |
|  Series A, 4% 6/1/24  | 145000  | 144977  |
|  Louisville & Jefferson County:  |  |  |
|  Bonds:  |  |  |
|  Series 2020 C, 5%, tender 10/1/26 (b) <br>| 130000  | 136476  |
|  Series 2020 D, 5%, tender 10/1/29 (b) <br>| 155000  | 168150  |
|  Series 2013 A, 5.5% 10/1/33  | 170000  | 172077  |
|  Series 2020 A:  |  |  |
|  3% 10/1/43 <br>| 1770000  | 1362050  |
|  5% 10/1/37 <br>| 360000  | 373493  |
|  TOTAL KENTUCKY  |  | 7754338  |
| Louisiana - 0.7%  |  |  |
|  Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 5% 7/1/47  | 145000  | 146251  |
|  Louisiana Pub. Facilities Auth. Rev.:  |  |  |
|  (Ochsner Clinic Foundation Proj.) Series 2020 A, 4% 5/15/49  | 6440000  | 5694212  |
|  (Tulane Univ. of Louisiana Proj.) Series 2016 A:  |  |  |
|  5% 12/15/24 <br>| 75000  | 77859  |
|  5% 12/15/25 <br>| 155000  | 163217  |
|  5% 12/15/26 <br>| 65000  | 69540  |
|  5% 12/15/28 <br>| 100000  | 106754  |
|  5% 12/15/29 <br>| 70000  | 74654  |
|  5% 12/15/30 <br>| 140000  | 149223  |
|  New Orleans Aviation Board Rev.:  |  |  |
|  (North Term. Proj.):  |  |  |
|  Series 2015 B: <br>|  |  |
|  5% 1/1/29 (d) <br>| 265000  | 271474  |
|  5% 1/1/31 (d) <br>| 125000  | 128021  |
|  Series 2017 B: <br>|  |  |
|  5% 1/1/27 (d) <br>| 20000  | 21089  |
|  5% 1/1/28 (d) <br>| 10000  | 10515  |
|  5% 1/1/32 (d) <br>| 20000  | 20905  |
|  5% 1/1/33 (d) <br>| 35000  | 36467  |
|  5% 1/1/34 (d) <br>| 10000  | 10380  |
|  5% 1/1/35 (d) <br>| 20000  | 20643  |
|  5% 1/1/37 (d) <br>| 295000  | 301833  |
|  Series 2017 D2:  |  |  |
|  5% 1/1/27 (d) <br>| 25000  | 26361  |
|  5% 1/1/28 (d) <br>| 35000  | 36803  |
|  5% 1/1/31 (d) <br>| 30000  | 31401  |
|  5% 1/1/33 (d) <br>| 50000  | 52095  |
|  5% 1/1/34 (d) <br>| 60000  | 62281  |
|  5% 1/1/36 (d) <br>| 45000  | 46263  |
|  5% 1/1/37 (d) <br>| 80000  | 81853  |
|  TOTAL LOUISIANA  |  | 7640094  |
| Maine - 0.4%  |  |  |
|  City of South Portland Series 2022 C, 2.5% 7/15/32  | 1355000  | 1246839  |
|  Maine Health & Higher Edl. Facilities Auth. Rev.:  |  |  |
|  (Eastern Maine Healthcare Systems Proj.) Series 2013, 5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100)  | 235000  | 237042  |
|  Series 2013, 5% 7/1/25 (Pre-Refunded to 7/1/23 @ 100)  | 90000  | 90782  |
|  Series 2016 A:  |  |  |
|  4% 7/1/41 <br>| 120000  | 107109  |
|  4% 7/1/46 <br>| 165000  | 142298  |
|  5% 7/1/41 <br>| 525000  | 526803  |
|  5% 7/1/46 <br>| 1400000  | 1388567  |
|  Series 2017 B:  |  |  |
|  4% 7/1/25 <br>| 20000  | 20411  |
|  4% 7/1/31 <br>| 35000  | 35664  |
|  4% 7/1/32 <br>| 25000  | 25382  |
|  4% 7/1/34 <br>| 50000  | 50083  |
|  5% 7/1/26 <br>| 15000  | 15884  |
|  5% 7/1/28 <br>| 25000  | 26799  |
|  5% 7/1/29 <br>| 20000  | 21391  |
|  5% 7/1/33 <br>| 50000  | 53063  |
|  5% 7/1/35 <br>| 40000  | 41960  |
|  Maine Hsg. Auth. Mtg. Series 2022 E, 5% 11/15/52  | 390000  | 407011  |
|  Maine Tpk. Auth. Tpk. Rev. Series 2015:  |  |  |
|  5% 7/1/32  | 55000  | 57681  |
|  5% 7/1/36  | 130000  | 135636  |
|  5% 7/1/38  | 35000  | 36432  |
|  TOTAL MAINE  |  | 4666837  |
| Maryland - 1.5%  |  |  |
|  Anne Arundel County Gen. Oblig. Series 2021, 5% 4/1/28  | 1240000  | 1387262  |
|  Baltimore Proj. Rev.:  |  |  |
|  (Wtr. Proj.) Series 2020 A, 4% 7/1/45  | 585000  | 559102  |
|  (Wtr. Projs.) Series 2020 A, 5% 7/1/50  | 645000  | 685499  |
|  City of Westminster Series 2016:  |  |  |
|  5% 11/1/27  | 130000  | 136816  |
|  5% 11/1/28  | 140000  | 147218  |
|  5% 11/1/29  | 145000  | 152491  |
|  5% 11/1/30  | 155000  | 162691  |
|  Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25  | 145000  | 135615  |
|  Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev. Series 2019 B, 4% 9/1/49  | 495000  | 495840  |
|  Maryland Dept. of Trans. Series 2021 B:  |  |  |
|  4% 8/1/51 (d)  | 530000  | 456501  |
|  5% 8/1/46 (d)  | 1175000  | 1202117  |
|  Maryland Econ. Dev. Auth. Rev. (Ports America Chesapeake LLC. Proj.) Series 2017 A:  |  |  |
|  5% 6/1/30  | 65000  | 68856  |
|  5% 6/1/35  | 100000  | 104205  |
|  Maryland Gen. Oblig. Series 2022 2C, 4% 3/1/29  | 1260000  | 1359213  |
|  Maryland Health & Higher Edl. Series 2021 A:  |  |  |
|  3% 7/1/46  | 3970000  | 2913899  |
|  3% 7/1/51  | 1385000  | 968738  |
|  4% 6/1/55  | 200000  | 164627  |
|  5% 6/1/29  | 55000  | 58627  |
|  5% 6/1/33  | 130000  | 138442  |
|  Maryland Health & Higher Edl. Facilities Auth. Rev. Series 2016 A:  |  |  |
|  4% 7/1/42  | 85000  | 74611  |
|  5% 7/1/35  | 35000  | 35943  |
|  Maryland Stadium Auth. Series 2022 A:  |  |  |
|  5% 6/1/47  | 1935000  | 2097389  |
|  5% 6/1/52  | 455000  | 488365  |
|  Maryland Stadium Auth. Built to Learn Rev. Series 2021, 4% 6/1/46  | 260000  | 239921  |
|  Prince Georges County Ctfs. of Prtn. Series 2021:  |  |  |
|  5% 10/1/27  | 720000  | 792842  |
|  5% 10/1/28  | 1055000  | 1179345  |
|  TOTAL MARYLAND  |  | 16206175  |
| Massachusetts - 5.4%  |  |  |
|  Massachusetts Bay Trans. Auth. Sales Tax Rev. Series 2021 A1, 5% 7/1/34  | 1100000  | 1266575  |
|  Massachusetts Commonwealth Trans. Fund Rev.:  |  |  |
|  (Rail Enhacement Prog.) Series 2022 A, 5% 6/1/50  | 12350000  | 13296309  |
|  (Rail Enhancement Prog.) Series 2021 B, 5% 6/1/37  | 1500000  | 1623668  |
|  Massachusetts Dev. Fin. Agcy. Rev.:  |  |  |
|  (Lesley Univ. Proj.) Series 2016, 5% 7/1/39  | 85000  | 85605  |
|  (Partners Healthcare Sys., Inc. Proj.):  |  |  |
|  Series 2017 S: <br>|  |  |
|  5% 7/1/30 <br>| 195000  | 214220  |
|  5% 7/1/34 <br>| 215000  | 232010  |
|  Series 2017, 4% 7/1/41 <br>| 505000  | 487582  |
|  (Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L, 4% 7/1/44  | 50000  | 44417  |
|  (Wentworth Institute of Technology Proj.) Series 2017:  |  |  |
|  5% 10/1/27 <br>| 50000  | 52443  |
|  5% 10/1/28 <br>| 55000  | 57660  |
|  5% 10/1/29 <br>| 55000  | 57568  |
|  5% 10/1/31 <br>| 60000  | 62509  |
|  5% 10/1/32 <br>| 65000  | 67515  |
|  Series 2016:  |  |  |
|  5% 10/1/29 <br>| 50000  | 52873  |
|  5% 10/1/30 <br>| 75000  | 79238  |
|  5% 7/1/31 <br>| 85000  | 87915  |
|  5% 10/1/31 <br>| 80000  | 84432  |
|  5% 10/1/43 <br>| 440000  | 440293  |
|  Series 2019, 5% 9/1/59  | 1185000  | 1212924  |
|  Series 2020 A:  |  |  |
|  4% 7/1/45 <br>| 930000  | 784189  |
|  5% 10/15/29 <br>| 1470000  | 1690708  |
|  5% 10/15/30 <br>| 1470000  | 1719472  |
|  Series 2021 V, 5% 7/1/55  | 1595000  | 1803386  |
|  Series 2022, 5% 10/1/38  | 2500000  | 2833873  |
|  Series J2, 5% 7/1/53  | 2055000  | 2066328  |
|  Series M:  |  |  |
|  4% 10/1/50 <br>| 930000  | 768063  |
|  5% 10/1/45 <br>| 700000  | 700422  |
|  Massachusetts Edl. Fing. Auth. Rev.:  |  |  |
|  Series 2016, 5% 7/1/24 (d)  | 410000  | 419126  |
|  Series 2019 B, 5% 7/1/27 (d)  | 200000  | 212204  |
|  Massachusetts Gen. Oblig.:  |  |  |
|  Series 2019 A, 5% 1/1/49  | 295000  | 311114  |
|  Series 2019 C, 5% 5/1/49  | 460000  | 486334  |
|  Series 2022 C, 5.25% 10/1/47  | 15000000  | 16660484  |
|  Series D, 5% 7/1/45  | 1110000  | 1191693  |
|  Series E, 5% 11/1/45  | 470000  | 505888  |
|  Massachusetts Hsg. Fin. Auth. Series 2021 223, 3% 6/1/47  | 845000  | 818955  |
|  Massachusetts Port Auth. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 7/1/33 <br>| 105000  | 112330  |
|  5% 7/1/34 <br>| 55000  | 58678  |
|  5% 7/1/38 <br>| 80000  | 84237  |
|  Series 2016 B, 5% 7/1/43 (d)  | 435000  | 442545  |
|  Series 2019 A, 5% 7/1/40 (d)  | 145000  | 150483  |
|  Series 2021 E:  |  |  |
|  5% 7/1/37 (d) <br>| 1205000  | 1279322  |
|  5% 7/1/41 (d) <br>| 2040000  | 2127169  |
|  5% 7/1/46 (d) <br>| 390000  | 401975  |
|  5% 7/1/51 (d) <br>| 2645000  | 2709797  |
|  Massachusetts Port Auth. Spl. Facilities Rev. (Bosfuel Proj.) Series 2019 A, 5% 7/1/49 (d)  | 435000  | 439640  |
|  TOTAL MASSACHUSETTS  |  | 60284171  |
| Michigan - 1.7%  |  |  |
|  Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured)  | 120000  | 121623  |
|  Detroit Gen. Oblig. Series 2021 A, 5% 4/1/46  | 160000  | 151170  |
|  Grand Traverse County Hosp. Fin. Auth. Series 2021, 3% 7/1/51  | 605000  | 425516  |
|  Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2018 A:  |  |  |
|  5% 7/1/43  | 125000  | 131372  |
|  5% 7/1/48  | 535000  | 552819  |
|  Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016, 5% 5/15/28  | 120000  | 126074  |
|  Michigan Bldg. Auth. Rev. Series 2015 I:  |  |  |
|  5% 4/15/30  | 240000  | 253786  |
|  5% 4/15/30 (Pre-Refunded to 10/15/25 @ 100)  | 10000  | 10623  |
|  Michigan Fin. Auth. Rev.:  |  |  |
|  (Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018, 5% 11/1/43  | 155000  | 162745  |
|  Series 2015 MI, 5% 12/1/24  | 225000  | 233974  |
|  Series 2019 A, 3% 12/1/49  | 815000  | 588978  |
|  Series 2020 A, 4% 6/1/49  | 1725000  | 1429470  |
|  Series 2021:  |  |  |
|  4% 9/1/39 <br>| 175000  | 163832  |
|  4% 9/1/40 <br>| 175000  | 162303  |
|  4% 9/1/41 <br>| 145000  | 133259  |
|  Michigan Hosp. Fin. Auth. Rev. Series 2008 C:  |  |  |
|  5% 12/1/32  | 70000  | 76498  |
|  5% 12/1/32 (Pre-Refunded to 12/1/27 @ 100)  | 5000  | 5525  |
|  Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series A, 3.5% 12/1/50  | 165000  | 162993  |
|  Michigan Trunk Line Fund Rev. Series 2020 B, 4% 11/15/45  | 9250000  | 8745001  |
|  Oakland Univ. Rev. Series 2019:  |  |  |
|  5% 3/1/40  | 300000  | 315955  |
|  5% 3/1/41  | 315000  | 330595  |
|  5% 3/1/44  | 615000  | 642188  |
|  5% 3/1/50  | 1000000  | 1036866  |
|  Portage Pub. Schools Series 2016:  |  |  |
|  5% 11/1/30  | 145000  | 154617  |
|  5% 11/1/31  | 130000  | 138113  |
|  5% 11/1/36  | 15000  | 15781  |
|  Univ. of Michigan Rev. Series 2020 A, 4% 4/1/45  | 440000  | 423068  |
|  Wayne County Arpt. Auth. Rev.:  |  |  |
|  Series 2015 G, 5% 12/1/28 (d)  | 275000  | 285489  |
|  Series 2017 A:  |  |  |
|  4% 12/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 75000  | 76046  |
|  4% 12/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 60000  | 60617  |
|  4% 12/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 60000  | 60266  |
|  4% 12/1/36 (Assured Guaranty Muni. Corp. Insured) <br>| 65000  | 64747  |
|  5% 12/1/31 <br>| 20000  | 21703  |
|  5% 12/1/32 <br>| 20000  | 21666  |
|  5% 12/1/34 <br>| 35000  | 37678  |
|  5% 12/1/35 <br>| 30000  | 32111  |
|  5% 12/1/37 <br>| 20000  | 21045  |
|  Series 2017 B:  |  |  |
|  5% 12/1/29 (d) <br>| 30000  | 31579  |
|  5% 12/1/30 (d) <br>| 35000  | 36753  |
|  5% 12/1/31 (d) <br>| 40000  | 41937  |
|  5% 12/1/32 (d) <br>| 25000  | 26326  |
|  5% 12/1/32 (d) <br>| 30000  | 31400  |
|  5% 12/1/34 (d) <br>| 30000  | 31381  |
|  5% 12/1/35 (d) <br>| 30000  | 31230  |
|  5% 12/1/37 (d) <br>| 45000  | 46557  |
|  5% 12/1/42 (d) <br>| 50000  | 51064  |
|  Series 2018 B, 5% 12/1/48 (d)  | 295000  | 298865  |
|  Series 2018 D, 5% 12/1/29 (d)  | 235000  | 250903  |
|  TOTAL MICHIGAN  |  | 18254107  |
| Minnesota - 0.8%  |  |  |
|  Maple Grove Health Care Sys. Rev.:  |  |  |
|  Series 2015, 5% 9/1/29  | 140000  | 144377  |
|  Series 2017, 5% 5/1/25  | 40000  | 41391  |
|  Minnesota Higher Ed. Facilities Auth. Rev. Series 2018 A:  |  |  |
|  5% 10/1/30  | 40000  | 42819  |
|  5% 10/1/45  | 85000  | 86653  |
|  Minnesota Hsg. Fin. Agcy. Series 2022 M, 6% 1/1/53  | 7250000  | 7922204  |
|  Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25  | 45000  | 46049  |
|  Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (b)(e)  | 370000  | 363564  |
|  TOTAL MINNESOTA  |  | 8647057  |
| Mississippi - 0.4%  |  |  |
|  Mississippi Bus. finance Corp. Exempt Facilities Rev. Bonds (Enviva, Inc. Proj.) Series 2022, 7.75%, tender 7/15/32 (b)(d)  | 3600000  | 3620576  |
|  Mississippi Home Corp. Series 2021 B:  |  |  |
|  3% 6/1/51  | 405000  | 392580  |
|  5% 6/1/27  | 210000  | 227138  |
|  TOTAL MISSISSIPPI  |  | 4240294  |
| Missouri - 0.3%  |  |  |
|  Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A:  |  |  |
|  5% 3/1/30  | 35000  | 36307  |
|  5% 3/1/31  | 80000  | 82797  |
|  5% 3/1/36  | 155000  | 158486  |
|  Kansas City Indl. Dev. Auth. (Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2019 B, 5% 3/1/38 (d)  | 145000  | 149806  |
|  Missouri Health & Edl. Facilities Rev. Series 2015 B:  |  |  |
|  3.125% 2/1/27  | 50000  | 49825  |
|  3.25% 2/1/28  | 50000  | 49924  |
|  5% 2/1/29  | 65000  | 67287  |
|  5% 2/1/31  | 130000  | 134328  |
|  5% 2/1/33  | 145000  | 149328  |
|  5% 2/1/36  | 135000  | 138320  |
|  Missouri Hsg. Dev. Commission Single Family Mtg. Rev.:  |  |  |
|  Series 2019, 4% 5/1/50  | 40000  | 40098  |
|  Series 2021 A, 3% 5/1/52  | 735000  | 712264  |
|  Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A:  |  |  |
|  5.125% 9/1/48  | 75000  | 63854  |
|  5.25% 9/1/53  | 1335000  | 1137643  |
|  TOTAL MISSOURI  |  | 2970267  |
| Montana - 0.3%  |  |  |
|  Montana Board Hsg. Single Family:  |  |  |
|  Series 2017 B, 4% 12/1/48 (d)  | 30000  | 29869  |
|  Series 2019 B, 4% 6/1/50  | 25000  | 25080  |
|  Series 2022 C, 6% 6/1/53  | 2150000  | 2345618  |
|  Montana Facility Fin. Auth. Series 2021 A, 3% 6/1/50  | 930000  | 640440  |
|  TOTAL MONTANA  |  | 3041007  |
| Nebraska - 0.7%  |  |  |
|  Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (b)  | 6790000  | 6772292  |
|  Douglas County Neb Edl. Facilities Rev.:  |  |  |
|  (Creighton Univ. Proj.) Series 2017:  |  |  |
|  4% 7/1/34 <br>| 50000  | 50679  |
|  5% 7/1/36 <br>| 35000  | 37067  |
|  (Creighton Univ. Projs.) Series 2021 A, 3% 7/1/51  | 440000  | 300524  |
|  Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.:  |  |  |
|  Series 2019 B, 4% 9/1/49 (d)  | 110000  | 109432  |
|  Series 2019 E, 3.75% 9/1/49 (d)  | 130000  | 128789  |
|  Nebraska Pub. Pwr. District Rev. Series 2016 B:  |  |  |
|  5% 1/1/37  | 125000  | 130462  |
|  5% 1/1/40  | 55000  | 57308  |
|  Omaha Arpt. Auth. Arpt. Rev. Series 2017 A:  |  |  |
|  5% 12/15/25 (d)  | 20000  | 20945  |
|  5% 12/15/26 (d)  | 75000  | 79380  |
|  5% 12/15/27 (d)  | 50000  | 52718  |
|  5% 12/15/30 (d)  | 75000  | 78607  |
|  5% 12/15/31 (d)  | 40000  | 41867  |
|  5% 12/15/33 (d)  | 40000  | 41731  |
|  5% 12/15/35 (d)  | 100000  | 103492  |
|  5% 12/15/36 (d)  | 25000  | 25803  |
|  TOTAL NEBRASKA  |  | 8031096  |
| Nevada - 0.3%  |  |  |
|  Clark County Arpt. Rev.:  |  |  |
|  Series 2014 A2, 5% 7/1/30  | 140000  | 144351  |
|  Series 2019 A, 5% 7/1/26  | 570000  | 614329  |
|  Clark County Poll. Cont. Rev. Bonds Series 2017, 1.65%, tender 3/31/23 (b)  | 305000  | 303567  |
|  Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig. Series 2016 B, 5% 6/1/36  | 230000  | 242937  |
|  Nevada Hsg. Division Single Family Mtg. Rev.:  |  |  |
|  Series 2019 B, 4% 10/1/49  | 70000  | 70137  |
|  Series 2021 B, 3% 10/1/51  | 2525000  | 2426656  |
|  TOTAL NEVADA  |  | 3801977  |
| New Hampshire - 0.7%  |  |  |
|  Nat'l. Fin. Auth. Hosp. Rev.:  |  |  |
|  (St. Luke's Univ. Health Network Proj.) Series 2021 B, 5% 8/15/26  | 190000  | 203227  |
|  (St. Lukes Univ. Health Network Proj.) Series 2021 B, 3% 8/15/51 (Assured Guaranty Muni. Corp. Insured)  | 780000  | 550830  |
|  Nat'l. Finnance Auth. Series 2020 1, 4.125% 1/20/34  | 424344  | 411453  |
|  New Hampshire Health & Ed. Facilities Auth.:  |  |  |
|  (Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A:  |  |  |
|  5% 8/1/28 <br>| 60000  | 64832  |
|  5% 8/1/29 <br>| 55000  | 59413  |
|  5% 8/1/30 <br>| 50000  | 53996  |
|  (Partners Healthcare Sys., Inc. Proj.) Series 2017:  |  |  |
|  5% 7/1/30 <br>| 130000  | 142814  |
|  5% 7/1/32 <br>| 195000  | 213163  |
|  5% 7/1/33 <br>| 175000  | 190403  |
|  5% 7/1/34 <br>| 270000  | 291361  |
|  5% 7/1/35 <br>| 285000  | 304651  |
|  5% 7/1/36 <br>| 300000  | 317970  |
|  5% 7/1/37 <br>| 260000  | 273203  |
|  Series 2017, 5% 7/1/44  | 665000  | 643114  |
|  New Hampshire Health & Ed. Facilities Auth. Rev.:  |  |  |
|  Series 2012:  |  |  |
|  4% 7/1/32 <br>| 140000  | 139584  |
|  5% 7/1/24 <br>| 50000  | 50052  |
|  5% 7/1/25 <br>| 60000  | 60065  |
|  5% 7/1/27 <br>| 25000  | 25024  |
|  Series 2016:  |  |  |
|  4% 10/1/38 <br>| 120000  | 112225  |
|  5% 10/1/24 <br>| 105000  | 108020  |
|  5% 10/1/25 <br>| 105000  | 110008  |
|  5% 10/1/29 <br>| 340000  | 355876  |
|  5% 10/1/31 <br>| 265000  | 276647  |
|  5% 10/1/33 <br>| 205000  | 213368  |
|  5% 10/1/38 <br>| 375000  | 379960  |
|  New Hampshire Nat'l. Fin. Auth. Series 2022 2, 4% 10/20/36  | 2422700  | 2255532  |
|  TOTAL NEW HAMPSHIRE  |  | 7806791  |
| New Jersey - 7.0%  |  |  |
|  Atlantic County Impt. Auth. (Atlantic City Campus Proj.) Series 2016 A:  |  |  |
|  5% 7/1/28 (Assured Guaranty Muni. Corp. Insured)  | 55000  | 58613  |
|  5% 7/1/30 (Assured Guaranty Muni. Corp. Insured)  | 130000  | 138529  |
|  5% 7/1/32 (Assured Guaranty Muni. Corp. Insured)  | 65000  | 69195  |
|  5% 7/1/33 (Assured Guaranty Muni. Corp. Insured)  | 65000  | 69093  |
|  New Jersey Econ. Dev. Auth.:  |  |  |
|  (White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (e)  | 100000  | 74493  |
|  Series 2013, 5% 3/1/27  | 205000  | 205561  |
|  Series A:  |  |  |
|  5% 11/1/31 <br>| 665000  | 723705  |
|  5% 11/1/36 <br>| 745000  | 785416  |
|  Series QQQ:  |  |  |
|  4% 6/15/46 <br>| 850000  | 736688  |
|  4% 6/15/50 <br>| 4215000  | 3545068  |
|  New Jersey Econ. Dev. Auth. Rev.:  |  |  |
|  (Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (e)  | 100000  | 74821  |
|  Series 2013, 5% 3/1/24  | 910000  | 912427  |
|  Series 2014 PP, 5% 6/15/26  | 325000  | 333236  |
|  Series 2014 RR, 5% 6/15/32 (Pre-Refunded to 6/15/24 @ 100)  | 70000  | 72209  |
|  Series 2014 UU, 5% 6/15/30 (Pre-Refunded to 6/15/24 @ 100)  | 90000  | 92775  |
|  Series 2015 XX, 5.25% 6/15/27  | 860000  | 899120  |
|  Series LLL, 5% 6/15/44  | 335000  | 341538  |
|  New Jersey Econ. Dev. Auth. Wtr. Facilities Rev. Bonds (New Jersey-American Wtr. Co., Inc.) Series 2020, 1.2%, tender 6/1/23 (b)(d)  | 2350000  | 2326732  |
|  New Jersey Edl. Facility Series 2016 A:  |  |  |
|  5% 7/1/31  | 105000  | 109296  |
|  5% 7/1/32  | 120000  | 124755  |
|  New Jersey Gen. Oblig. Series 2020 A, 5% 6/1/29  | 325000  | 367296  |
|  New Jersey Health Care Facilities Fing. Auth. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 7/1/25 (Escrowed to Maturity) <br>| 100000  | 105194  |
|  5% 7/1/26 (Escrowed to Maturity) <br>| 55000  | 59106  |
|  5% 7/1/26 (Escrowed to Maturity) <br>| 20000  | 21459  |
|  5% 7/1/27 <br>| 40000  | 42909  |
|  5% 7/1/27 (Pre-Refunded to 7/1/26 @ 100) <br>| 25000  | 26823  |
|  5% 7/1/28 <br>| 20000  | 21451  |
|  5% 7/1/29 (Pre-Refunded to 7/1/26 @ 100) <br>| 35000  | 37613  |
|  5% 7/1/29 (Pre-Refunded to 7/1/26 @ 100) <br>| 25000  | 26823  |
|  5% 7/1/30 <br>| 50000  | 53503  |
|  5% 7/1/30 (Pre-Refunded to 7/1/26 @ 100) <br>| 45000  | 48282  |
|  Series 2016:  |  |  |
|  4% 7/1/48 <br>| 1610000  | 1347010  |
|  5% 7/1/41 <br>| 185000  | 185812  |
|  Series 2021, 3% 7/1/39  | 590000  | 489124  |
|  New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.:  |  |  |
|  Series 2017 1A:  |  |  |
|  5% 12/1/24 (d) <br>| 2600000  | 2674867  |
|  5% 12/1/25 (d) <br>| 2500000  | 2612903  |
|  5% 12/1/26 (d) <br>| 1970000  | 2086939  |
|  Series 2018 B:  |  |  |
|  5% 12/1/25 (d) <br>| 215000  | 224710  |
|  5% 12/1/26 (d) <br>| 305000  | 322990  |
|  5% 12/1/27 (d) <br>| 750000  | 803383  |
|  5% 12/1/28 (d) <br>| 1000000  | 1077180  |
|  Series 2019 A:  |  |  |
|  5% 12/1/23 <br>| 90000  | 91589  |
|  5% 12/1/24 <br>| 55000  | 56986  |
|  5% 12/1/25 <br>| 95000  | 100371  |
|  Series 2020:  |  |  |
|  5% 12/1/24 (d) <br>| 425000  | 436762  |
|  5% 12/1/24 (d) <br>| 205000  | 210826  |
|  5% 12/1/27 (d) <br>| 165000  | 175976  |
|  5% 12/1/28 (d) <br>| 295000  | 318170  |
|  Series 2022 A, 5% 12/1/26 (d)  | 205000  | 216093  |
|  Series 2022 B, 5% 12/1/26 (d)  | 2100000  | 2215989  |
|  New Jersey Tobacco Settlement Fing. Corp.:  |  |  |
|  Series 2018 A, 5.25% 6/1/46  | 3225000  | 3235369  |
|  Series 2018 B, 5% 6/1/46  | 5000000  | 4774119  |
|  New Jersey Tpk. Auth. Tpk. Rev.:  |  |  |
|  Series 2015 E, 5% 1/1/34  | 235000  | 243971  |
|  Series 2022 B, 5% 1/1/46  | 15000000  | 16047092  |
|  Series D, 5% 1/1/28  | 245000  | 263364  |
|  New Jersey Trans. Trust Fund Auth.:  |  |  |
|  (Trans. Prog.) Series 2019 AA, 5.25% 6/15/43  | 1460000  | 1516699  |
|  Series 2006 C:  |  |  |
|  0% 12/15/25 <br>| 2500000  | 2263324  |
|  0% 12/15/36 (AMBAC Insured) <br>| 3000000  | 1580211  |
|  Series 2010 A, 0% 12/15/27  | 690000  | 573527  |
|  Series 2014 BB2, 5% 6/15/33  | 1280000  | 1400559  |
|  Series 2016 A:  |  |  |
|  5% 6/15/27 <br>| 135000  | 142603  |
|  5% 6/15/29 <br>| 115000  | 121244  |
|  Series 2018 A, 5% 12/15/34  | 195000  | 206572  |
|  Series 2019 BB, 4% 6/15/50  | 3540000  | 2977352  |
|  Series 2021 A:  |  |  |
|  4% 6/15/34 <br>| 170000  | 170549  |
|  5% 6/15/32 <br>| 360000  | 396798  |
|  Series 2022 A:  |  |  |
|  4% 6/15/40 <br>| 220000  | 200913  |
|  4% 6/15/41 <br>| 945000  | 852325  |
|  Series 2022 AA:  |  |  |
|  5% 6/15/29 <br>| 295000  | 322480  |
|  5% 6/15/30 <br>| 1625000  | 1790675  |
|  5% 6/15/33 <br>| 380000  | 419343  |
|  Series 2022 BB:  |  |  |
|  4% 6/15/46 <br>| 1750000  | 1516710  |
|  4% 6/15/50 <br>| 1205000  | 1013477  |
|  Series AA:  |  |  |
|  4% 6/15/36 <br>| 280000  | 272534  |
|  4% 6/15/45 <br>| 2510000  | 2191872  |
|  4% 6/15/50 <br>| 3210000  | 2699803  |
|  5% 6/15/38 <br>| 315000  | 329508  |
|  Series BB, 5% 6/15/33  | 1265000  | 1352626  |
|  South Jersey Trans. Auth. Trans. Sys. Rev. Series 2022 A, 5% 11/1/39  | 750000  | 762410  |
|  TOTAL NEW JERSEY  |  | 77789438  |
| New Mexico - 0.2%  |  |  |
|  New Mexico Edl. Assistance Foundation Series 2021 1A:  |  |  |
|  5% 9/1/23 (d)  | 530000  | 534880  |
|  5% 9/1/24 (d)  | 295000  | 302400  |
|  5% 9/1/26 (d)  | 945000  | 999759  |
|  5% 9/1/27 (d)  | 445000  | 476200  |
|  5% 9/1/29 (d)  | 175000  | 191865  |
|  New Mexico Mtg. Fin. Auth. Series 2019 D, 3.75% 1/1/50  | 90000  | 89609  |
|  Santa Fe Retirement Fac. Series 2019 A:  |  |  |
|  5% 5/15/34  | 20000  | 18760  |
|  5% 5/15/39  | 15000  | 13306  |
|  5% 5/15/44  | 15000  | 12649  |
|  5% 5/15/49  | 30000  | 24518  |
|  TOTAL NEW MEXICO  |  | 2663946  |
| New York - 8.6%  |  |  |
|  Dorm. Auth. New York Univ. Rev.:  |  |  |
|  (Fordham Univ. Proj.) Series 2017:  |  |  |
|  4% 7/1/33 <br>| 65000  | 66765  |
|  4% 7/1/34 <br>| 65000  | 66478  |
|  Series 2017:  |  |  |
|  5% 12/1/23 (e) <br>| 100000  | 100852  |
|  5% 12/1/24 (e) <br>| 100000  | 101510  |
|  5% 12/1/25 (e) <br>| 100000  | 102203  |
|  Long Island Pwr. Auth. Elec. Sys. Rev. Bonds Series 2021 B, 1.5%, tender 9/1/26 (b)  | 630000  | 585347  |
|  MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56  | 1300000  | 1288541  |
|  New York City Edl. Construction Fund Series 2021 B, 5% 4/1/46  | 760000  | 804123  |
|  New York City Gen. Oblig.:  |  |  |
|  Series 2016 E, 5% 8/1/28  | 220000  | 236401  |
|  Series A, 5% 8/1/26  | 295000  | 318978  |
|  New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds:  |  |  |
|  Series 2021 C2, 0.7%, tender 7/1/25 (b)  | 355000  | 328780  |
|  Series 2021 K2, 0.9%, tender 1/1/26 (b)  | 2435000  | 2225417  |
|  Series 2021, 0.6%, tender 7/1/25 (b)  | 500000  | 461781  |
|  Series 2022 F 2B, 3.4%, tender 12/22/26 (b)  | 4100000  | 4100241  |
|  New York City Muni. Wtr. Fin. Auth.:  |  |  |
|  Series 2022 EE, 5% 6/15/45  | 3785000  | 4071223  |
|  Series GG 1, 5% 6/15/48  | 5265000  | 5569009  |
|  New York City Transitional Fin. Auth. Bldg. Aid Rev. Series 2015 S2, 5% 7/15/35  | 90000  | 93499  |
|  New York City Transitional Fin. Auth. Rev.:  |  |  |
|  Series 2018 A2, 5% 8/1/39  | 585000  | 617577  |
|  Series 2018 B, 5% 8/1/45  | 1860000  | 1941010  |
|  New York City Trust Cultural Resources Rev. Series 2021, 5% 7/1/31  | 1000000  | 1176888  |
|  New York Dorm. Auth. Rev.:  |  |  |
|  Series 2022 A:  |  |  |
|  5% 7/15/37 <br>| 120000  | 123469  |
|  5% 7/15/42 <br>| 340000  | 345644  |
|  5% 7/15/50 <br>| 880000  | 881908  |
|  Series 2022:  |  |  |
|  4% 7/1/36 <br>| 445000  | 450469  |
|  4% 7/1/38 <br>| 140000  | 139198  |
|  4% 7/1/40 <br>| 235000  | 229816  |
|  5% 7/1/34 <br>| 295000  | 335402  |
|  5% 7/1/35 <br>| 295000  | 332502  |
|  5% 7/1/37 <br>| 485000  | 539498  |
|  5% 7/1/39 <br>| 145000  | 159894  |
|  5% 7/1/41 <br>| 260000  | 284009  |
|  5% 7/1/57 <br>| 2190000  | 2065236  |
|  New York Metropolitan Trans. Auth. Rev.:  |  |  |
|  Series 2014 B, 5% 11/15/44  | 505000  | 488832  |
|  Series 2015 A1:  |  |  |
|  5% 11/15/29 <br>| 145000  | 147431  |
|  5% 11/15/45 <br>| 375000  | 361612  |
|  Series 2017 C1, 5% 11/15/30  | 990000  | 1024882  |
|  Series 2017 D, 5% 11/15/30  | 2120000  | 2194697  |
|  Series 2020 D, 4% 11/15/46  | 3440000  | 2876914  |
|  New York State Dorm. Auth.:  |  |  |
|  Series 2018 A, 5.25% 3/15/38  | 585000  | 632753  |
|  Series 2019 D, 3% 2/15/49  | 4140000  | 3140497  |
|  Series 2021 A, 4% 3/15/39  | 9000000  | 8772971  |
|  Series 2021 E, 3% 3/15/50  | 675000  | 508073  |
|  New York State Hsg. Fin. Agcy. Rev.:  |  |  |
|  Bonds Series 2021 J2:  |  |  |
|  1%, tender 11/1/26 (b) <br>| 355000  | 320213  |
|  1.1%, tender 5/1/27 (b) <br>| 1310000  | 1167314  |
|  Series J, 0.75% 5/1/25  | 415000  | 389295  |
|  New York State Mtg. Agcy. Homeowner Mtg. Series 221, 3.5% 10/1/32 (d)  | 55000  | 53854  |
|  New York State Urban Dev. Corp.:  |  |  |
|  Series 2020 A, 3% 3/15/50  | 7910000  | 5965083  |
|  Series 2020 E:  |  |  |
|  3% 3/15/48 <br>| 8915000  | 6823600  |
|  3% 3/15/50 <br>| 955000  | 720184  |
|  4% 3/15/44 <br>| 2555000  | 2399017  |
|  4% 3/15/45 <br>| 2055000  | 1919996  |
|  Series 2022 A, 5% 3/15/40  | 12000000  | 13071226  |
|  New York State Urban Eev Corp. Series 2019 A, 5% 3/15/37  | 1315000  | 1433316  |
|  New York Trans. Dev. Corp.:  |  |  |
|  (Laguardia Arpt. Term. Redev. Proj.) Series 2016 A, 5% 7/1/41 (d)  | 215000  | 209142  |
|  (Term. 4 John F. Kennedy Int'l. Arpt. Proj.) Series 2022:  |  |  |
|  5% 12/1/32 (d) <br>| 415000  | 443962  |
|  5% 12/1/33 (d) <br>| 640000  | 680802  |
|  5% 12/1/34 (d) <br>| 700000  | 735242  |
|  5% 12/1/35 (d) <br>| 350000  | 364445  |
|  5% 12/1/36 (d) <br>| 240000  | 248207  |
|  5% 12/1/37 (d) <br>| 635000  | 653406  |
|  5% 12/1/38 (d) <br>| 1550000  | 1589022  |
|  5% 12/1/39 (d) <br>| 1185000  | 1208516  |
|  5% 12/1/40 (d) <br>| 1000000  | 1014350  |
|  5% 12/1/41 (d) <br>| 910000  | 918340  |
|  5% 12/1/42 (d) <br>| 455000  | 458131  |
|  New York Urban Dev. Corp. Rev.:  |  |  |
|  (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34  | 320000  | 344200  |
|  Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32  | 275000  | 297467  |
|  Niagara Area Dev. Corp. Rev. (Catholic Health Sys., Inc. Proj.) Series 2022, 4.5% 7/1/52  | 600000  | 400250  |
|  Onondaga Civic Dev. Corp. (Le Moyne College Proj.) Series 2018, 5% 1/1/43  | 50000  | 50004  |
|  Rockland County Gen. Oblig. Series 2014 A, 4% 3/1/23 (Assured Guaranty Muni. Corp. Insured)  | 55000  | 55088  |
|  Schenectady County Cap. Resources Corp. Rev. (Union College Proj.) Series 2017, 5% 1/1/40  | 785000  | 814703  |
|  Suffolk County Econ. Dev. Corp. Rev. Series 2021:  |  |  |
|  4.625% 11/1/31 (e)  | 100000  | 83965  |
|  5.375% 11/1/54 (e)  | 260000  | 196119  |
|  Triborough Bridge & Tunnel Auth. Revs. Series 2015 A, 5.25% 11/15/45  | 255000  | 262947  |
|  TOTAL NEW YORK  |  | 95583736  |
| New York And New Jersey - 1.0%  |  |  |
|  Port Auth. of New York & New Jersey:  |  |  |
|  Series 194, 5.25% 10/15/55  | 330000  | 341741  |
|  Series 2022 236, 5% 1/15/47 (d)  | 10480000  | 10776173  |
|  TOTAL NEW YORK AND NEW JERSEY  |  | 11117914  |
| North Carolina - 0.2%  |  |  |
|  Charlotte Int'l. Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/30 <br>| 80000  | 87251  |
|  5% 7/1/33 <br>| 75000  | 80822  |
|  5% 7/1/37 <br>| 180000  | 189439  |
|  Series 2017 B:  |  |  |
|  5% 7/1/23 (d) <br>| 10000  | 10080  |
|  5% 7/1/25 (d) <br>| 5000  | 5197  |
|  5% 7/1/26 (d) <br>| 5000  | 5261  |
|  5% 7/1/27 (d) <br>| 10000  | 10614  |
|  5% 7/1/28 (d) <br>| 10000  | 10574  |
|  5% 7/1/29 (d) <br>| 10000  | 10555  |
|  5% 7/1/30 (d) <br>| 15000  | 15828  |
|  5% 7/1/31 (d) <br>| 25000  | 26334  |
|  5% 7/1/32 (d) <br>| 25000  | 26293  |
|  5% 7/1/33 (d) <br>| 25000  | 26245  |
|  5% 7/1/34 (d) <br>| 30000  | 31386  |
|  5% 7/1/35 (d) <br>| 20000  | 20829  |
|  5% 7/1/36 (d) <br>| 15000  | 15564  |
|  5% 7/1/37 (d) <br>| 20000  | 20672  |
|  5% 7/1/42 (d) <br>| 60000  | 61181  |
|  Series 2017 C, 4% 7/1/32  | 75000  | 76678  |
|  New Hanover County Hosp. Rev. Series 2017:  |  |  |
|  5% 10/1/27 (Escrowed to Maturity)  | 20000  | 21986  |
|  5% 10/1/47 (Pre-Refunded to 10/1/27 @ 100)  | 165000  | 181384  |
|  North Carolina Med. Care Commission Health Care Facilities Rev.:  |  |  |
|  Bonds Series 2019 C, 2.55%, tender 6/1/26 (b)  | 875000  | 855303  |
|  Series 2020 A, 3% 7/1/45  | 565000  | 424134  |
|  TOTAL NORTH CAROLINA  |  | 2213610  |
| North Dakota - 0.5%  |  |  |
|  Grand Forks Health Care Sys. Rev. Series 2021:  |  |  |
|  4% 12/1/35  | 530000  | 508048  |
|  4% 12/1/36  | 335000  | 317290  |
|  4% 12/1/37  | 405000  | 378381  |
|  4% 12/1/38  | 365000  | 336506  |
|  5% 12/1/33  | 550000  | 590172  |
|  5% 12/1/34  | 660000  | 705045  |
|  North Dakota Hsg. Fin. Agcy.:  |  |  |
|  Series 2021 A, 3% 1/1/52  | 245000  | 237787  |
|  Series 2021 B, 3% 7/1/52  | 780000  | 749776  |
|  Series 2022, 5% 1/1/53  | 945000  | 986198  |
|  Univ. of North Dakota Series 2021 A, 3% 6/1/61 (Assured Guaranty Muni. Corp. Insured)  | 1345000  | 893589  |
|  TOTAL NORTH DAKOTA  |  | 5702792  |
| Ohio - 2.0%  |  |  |
|  Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46  | 715000  | 722420  |
|  Allen County Hosp. Facilities Rev.:  |  |  |
|  (Mercy Health) Series 2017 A:  |  |  |
|  5% 8/1/25 <br>| 150000  | 157528  |
|  5% 8/1/26 <br>| 100000  | 106787  |
|  5% 8/1/27 <br>| 125000  | 135500  |
|  5% 8/1/28 <br>| 145000  | 158808  |
|  5% 8/1/29 <br>| 265000  | 290157  |
|  5% 8/1/30 <br>| 215000  | 235129  |
|  Series 2020 A, 4% 12/1/40  | 1175000  | 1100484  |
|  American Muni. Pwr., Inc. Rev. (Greenup Hydroelectric Proj.) Series 2016, 5% 2/15/46  | 620000  | 631572  |
|  Buckeye Tobacco Settlement Fing. Auth.:  |  |  |
|  Series 2020 A2:  |  |  |
|  3% 6/1/48 <br>| 890000  | 626434  |
|  4% 6/1/48 <br>| 260000  | 222484  |
|  5% 6/1/32 <br>| 685000  | 729395  |
|  5% 6/1/33 <br>| 2275000  | 2413928  |
|  Series 2020 B2, 5% 6/1/55  | 1720000  | 1492961  |
|  Chillicothe Hosp. Facilities Rev. (Adena Health Sys. Oblig. Group Proj.) Series 2017, 5% 12/1/47  | 295000  | 284241  |
|  Columbus City School District Series 2016 A, 5% 12/1/29  | 105000  | 112766  |
|  Franklin County Convention Facilities Authorities (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019:  |  |  |
|  5% 12/1/46  | 325000  | 348495  |
|  5% 12/1/51  | 485000  | 517398  |
|  Franklin County Hosp. Facilities Rev. (Ohiohealth Corp. Proj.) Series 2015, 5% 5/15/40  | 340000  | 344548  |
|  Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (b)  | 685000  | 696622  |
|  Middleburg Heights Hosp. Rev. Series 2021 A, 4% 8/1/41  | 645000  | 598266  |
|  Montgomery County Hosp. Rev. (Kettering Health Network Obligated Group Proj.) Series 2021, 5% 8/1/30  | 410000  | 455874  |
|  Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013, 5% 2/15/33  | 225000  | 225047  |
|  Ohio Gen. Oblig.:  |  |  |
|  Series 2021 A:  |  |  |
|  5% 3/1/29 <br>| 195000  | 221262  |
|  5% 3/1/29 <br>| 260000  | 295017  |
|  5% 3/1/30 <br>| 240000  | 276974  |
|  5% 3/1/30 <br>| 355000  | 409690  |
|  Series 2021 B:  |  |  |
|  5% 2/1/29 <br>| 475000  | 538199  |
|  5% 2/1/30 <br>| 395000  | 455225  |
|  Series 2021 C:  |  |  |
|  5% 3/15/29 <br>| 595000  | 675587  |
|  5% 3/15/30 <br>| 595000  | 687105  |
|  Ohio Higher Edl. Facility Commission Rev. (Univ. of Dayton Proj.) Series 2018 B, 5% 12/1/36  | 345000  | 364943  |
|  Ohio Hosp. Facilities Rev. Series 2021 B:  |  |  |
|  5% 1/1/25  | 350000  | 364586  |
|  5% 1/1/26  | 415000  | 441515  |
|  5% 1/1/27  | 955000  | 1035102  |
|  Ohio Hosp. Rev. Series 2020 A, 4% 1/15/50  | 75000  | 65332  |
|  Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50  | 35000  | 35478  |
|  Ohio Major New State Infrastructure Rev. Series 2021 1A:  |  |  |
|  5% 12/15/29  | 585000  | 667574  |
|  5% 12/15/30  | 530000  | 614227  |
|  Ohio Tpk. Commission Tpk. Rev.:  |  |  |
|  (Infrastructure Proj.) Series 2005 A, 0% 2/15/42  | 130000  | 54392  |
|  (Infrastructure Projs.) Series 2022 A, 5% 2/15/39  | 195000  | 219796  |
|  Scioto County Hosp. Facilities Rev.:  |  |  |
|  Series 2016:  |  |  |
|  5% 2/15/29 <br>| 110000  | 114044  |
|  5% 2/15/34 <br>| 20000  | 20406  |
|  Series 2019, 5% 2/15/29  | 245000  | 255619  |
|  Univ. of Akron Gen. Receipts Series 2016 A, 5% 1/1/35  | 230000  | 237175  |
|  Washington County Hosp. Rev. Series 2022:  |  |  |
|  6% 12/1/28  | 260000  | 263908  |
|  6% 12/1/29  | 270000  | 274814  |
|  6% 12/1/30  | 290000  | 295295  |
|  6% 12/1/31  | 310000  | 314990  |
|  TOTAL OHIO  |  | 21805099  |
| Oklahoma - 0.2%  |  |  |
|  Norman Reg'l. Hosp. Auth. Hosp. Rev. Series 2019, 3.25% 9/1/38  | 2015000  | 1601527  |
|  Oklahoma City Arpt. Trust Series 33, 5% 7/1/47 (d)  | 115000  | 116518  |
|  Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015:  |  |  |
|  5% 10/1/28  | 65000  | 68661  |
|  5% 10/1/29  | 70000  | 73905  |
|  5% 10/1/36  | 50000  | 52667  |
|  5% 10/1/39  | 100000  | 105227  |
|  Oklahoma Dev. Fin. Auth. Rev. (Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/44  | 180000  | 174283  |
|  TOTAL OKLAHOMA  |  | 2192788  |
| Oregon - 1.4%  |  |  |
|  Beaverton School District Series 2022 A:  |  |  |
|  0% 6/15/41  | 4250000  | 1780720  |
|  0% 6/15/42  | 4155000  | 1651539  |
|  Oregon Gen. Oblig. Series 2022 A:  |  |  |
|  5% 5/1/40  | 3330000  | 3734016  |
|  5% 12/1/52  | 670000  | 698940  |
|  Oregon State Hsg. & Cmnty. Svcs. Dept.:  |  |  |
|  (Single Family Mtg. Prog.) Series A, 3.5% 1/1/51  | 235000  | 232266  |
|  Series 2019 A, 4% 7/1/50  | 420000  | 420523  |
|  Series 2020 A, 3% 7/1/52  | 1165000  | 1128988  |
|  Port of Portland Arpt. Rev.:  |  |  |
|  Series 2020 27A, 5% 7/1/45 (d)  | 785000  | 801249  |
|  Series 2022 28:  |  |  |
|  5% 7/1/41 (d) <br>| 1760000  | 1823009  |
|  5% 7/1/52 (d) <br>| 1480000  | 1501869  |
|  Salem Hosp. Facility Auth. Rev.:  |  |  |
|  (Salem Health Projs.) Series 2019 A, 3% 5/15/49  | 1380000  | 983200  |
|  Series 2016 A, 4% 5/15/41  | 260000  | 250101  |
|  TOTAL OREGON  |  | 15006420  |
| Pennsylvania - 6.3%  |  |  |
|  Allegheny County Arpt. Auth. Rev. Series 2021 A:  |  |  |
|  5% 1/1/32 (d)  | 3940000  | 4257936  |
|  5% 1/1/33 (d)  | 4640000  | 4985174  |
|  5% 1/1/51 (d)  | 2730000  | 2757304  |
|  5% 1/1/56 (d)  | 1655000  | 1665366  |
|  Allegheny County Indl. Dev. Auth. Rev. Series 2021:  |  |  |
|  3.5% 12/1/31  | 220000  | 181524  |
|  4% 12/1/41  | 335000  | 243411  |
|  4.25% 12/1/50  | 375000  | 257164  |
|  Bucks County Indl. Dev. Auth. Hosp. Rev. Series 2021:  |  |  |
|  5% 7/1/32  | 150000  | 151884  |
|  5% 7/1/34  | 20000  | 20001  |
|  5% 7/1/38  | 395000  | 383434  |
|  Butler County Hosp. Auth. Hosp. Rev. (Butler Health Sys. Proj.) Series 2015 A, 5% 7/1/35  | 730000  | 736745  |
|  Cap. Region Wtr. Wtr. Rev. Series 2018:  |  |  |
|  5% 7/15/27  | 50000  | 54517  |
|  5% 7/15/29  | 80000  | 88225  |
|  5% 7/15/32  | 50000  | 54955  |
|  Commonwealth Fing. Auth. Rev. Series 2020 A:  |  |  |
|  5% 6/1/26  | 515000  | 549799  |
|  5% 6/1/28  | 275000  | 303361  |
|  Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A:  |  |  |
|  5% 6/1/28  | 55000  | 57819  |
|  5% 6/1/29  | 60000  | 62868  |
|  Delaware County Auth. Rev.:  |  |  |
|  (Cabrini College) Series 2017, 5% 7/1/47  | 815000  | 749829  |
|  Series 2017:  |  |  |
|  5% 7/1/28 <br>| 105000  | 105779  |
|  5% 7/1/29 <br>| 400000  | 403198  |
|  Doylestown Hosp. Auth. Hosp. Rev.:  |  |  |
|  Series 2016 A, 5% 7/1/46  | 75000  | 62882  |
|  Series 2019, 5% 7/1/49  | 285000  | 234860  |
|  Dubois Hosp. Auth. Hosp. Rev. (Penn Highlands Healthcare Proj.) Series 2018:  |  |  |
|  4% 7/15/33  | 125000  | 125191  |
|  4% 7/15/35  | 130000  | 128514  |
|  4% 7/15/37  | 255000  | 246757  |
|  5% 7/15/25  | 20000  | 20738  |
|  5% 7/15/26  | 65000  | 68314  |
|  5% 7/15/27  | 105000  | 111276  |
|  5% 7/15/28  | 80000  | 85246  |
|  5% 7/15/29  | 85000  | 90228  |
|  5% 7/15/30  | 110000  | 116473  |
|  5% 7/15/31  | 75000  | 79223  |
|  5% 7/15/32  | 80000  | 84359  |
|  5% 7/15/34  | 85000  | 89098  |
|  5% 7/15/36  | 255000  | 264530  |
|  5% 7/15/38  | 305000  | 310843  |
|  5% 7/15/43  | 355000  | 361818  |
|  Lehigh County Gen. Purp. Auth. Rev.:  |  |  |
|  (Muhlenberg College Proj.) Series 2017, 5% 2/1/39  | 130000  | 132168  |
|  Series 2021 A, 4% 11/1/51  | 3835000  | 3146511  |
|  Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A, 4% 7/1/49  | 5000000  | 4355861  |
|  Monroe County Hosp. Auth. Rev. Series 2016:  |  |  |
|  5% 7/1/26  | 50000  | 52861  |
|  5% 7/1/27  | 50000  | 52800  |
|  5% 7/1/28  | 50000  | 52623  |
|  5% 7/1/34  | 185000  | 190006  |
|  5% 7/1/36  | 100000  | 101904  |
|  Montgomery County Higher Ed. & Health Auth. Rev.:  |  |  |
|  Series 2014 A:  |  |  |
|  5% 10/1/23 <br>| 20000  | 20153  |
|  5% 10/1/24 <br>| 60000  | 60992  |
|  5% 10/1/25 <br>| 55000  | 55426  |
|  5% 10/1/27 <br>| 25000  | 25176  |
|  Series 2016 A:  |  |  |
|  5% 10/1/28 <br>| 75000  | 75822  |
|  5% 10/1/29 <br>| 130000  | 131395  |
|  5% 10/1/31 <br>| 230000  | 232098  |
|  5% 10/1/36 <br>| 415000  | 412356  |
|  5% 10/1/40 <br>| 205000  | 198296  |
|  Northampton County Gen. Purp. Auth. Hosp. Rev.:  |  |  |
|  (St. Luke's Univ. Health Network Proj.):  |  |  |
|  Series 2016 A, 5% 8/15/36 <br>| 40000  | 41285  |
|  Series 2018 A, 4% 8/15/48 <br>| 645000  | 589070  |
|  Series 2016 A, 5% 8/15/46  | 1515000  | 1521884  |
|  Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds Series 2011, 2.15%, tender 7/1/24 (b)(d)  | 935000  | 900645  |
|  Pennsylvania Higher Edl. Facilities Auth. Rev.:  |  |  |
|  (Drexel Univ. Proj.):  |  |  |
|  Series 2016, 5% 5/1/35 <br>| 175000  | 181744  |
|  Series 2017: <br>|  |  |
|  5% 5/1/35 <br>| 65000  | 68217  |
|  5% 5/1/37 <br>| 80000  | 83220  |
|  5% 5/1/41 <br>| 360000  | 370354  |
|  Series 2016:  |  |  |
|  5% 5/1/28 <br>| 25000  | 26356  |
|  5% 5/1/32 <br>| 65000  | 68008  |
|  5% 5/1/33 <br>| 85000  | 88789  |
|  Pennsylvania Hsg. Fin. Agcy.:  |  |  |
|  Series 2020 13 2A, 3.5% 4/1/51  | 105000  | 104055  |
|  Series 2021 134 A, 3% 10/1/49  | 5000000  | 4884988  |
|  Series 2021 134B, 5% 4/1/27 (d)  | 395000  | 417226  |
|  Series 2021 137, 3% 10/1/51  | 1150000  | 1096180  |
|  Pennsylvania Tpk. Commission Tpk. Rev.:  |  |  |
|  Series 2021 B, 5% 12/1/46  | 2645000  | 2791623  |
|  Series 2021 C:  |  |  |
|  5% 12/1/27 <br>| 220000  | 242981  |
|  5% 12/1/28 <br>| 215000  | 241015  |
|  Philadelphia Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/25 <br>| 50000  | 52351  |
|  5% 7/1/26 <br>| 50000  | 53303  |
|  5% 7/1/27 <br>| 40000  | 43340  |
|  Series 2017 B:  |  |  |
|  5% 7/1/23 (d) <br>| 75000  | 75498  |
|  5% 7/1/26 (d) <br>| 150000  | 157218  |
|  5% 7/1/27 (d) <br>| 125000  | 131883  |
|  5% 7/1/28 (d) <br>| 150000  | 157594  |
|  5% 7/1/29 (d) <br>| 115000  | 120601  |
|  5% 7/1/32 (d) <br>| 150000  | 156562  |
|  5% 7/1/33 (d) <br>| 115000  | 119810  |
|  5% 7/1/34 (d) <br>| 205000  | 212845  |
|  5% 7/1/37 (d) <br>| 230000  | 235838  |
|  5% 7/1/42 (d) <br>| 685000  | 694314  |
|  5% 7/1/47 (d) <br>| 1165000  | 1149744  |
|  Series 2021:  |  |  |
|  5% 7/1/26 (d) <br>| 3765000  | 3946179  |
|  5% 7/1/27 (d) <br>| 5190000  | 5504479  |
|  5% 7/1/28 (d) <br>| 550000  | 587938  |
|  5% 7/1/34 (d) <br>| 1100000  | 1176961  |
|  5% 7/1/35 (d) <br>| 590000  | 626316  |
|  5% 7/1/51 (d) <br>| 1000000  | 1010509  |
|  Philadelphia Auth. for Indl. Dev. Series 2017, 5% 11/1/47  | 400000  | 402379  |
|  Philadelphia School District:  |  |  |
|  Series 2016 D:  |  |  |
|  5% 9/1/25 <br>| 445000  | 467161  |
|  5% 9/1/26 <br>| 465000  | 494916  |
|  5% 9/1/27 <br>| 490000  | 523449  |
|  5% 9/1/28 <br>| 410000  | 437695  |
|  Series 2016 F:  |  |  |
|  5% 9/1/28 <br>| 710000  | 756185  |
|  5% 9/1/29 <br>| 460000  | 489267  |
|  Series 2018 A:  |  |  |
|  5% 9/1/36 <br>| 95000  | 101609  |
|  5% 9/1/37 <br>| 55000  | 58585  |
|  5% 9/1/38 <br>| 90000  | 95594  |
|  Series 2018 B, 5% 9/1/43  | 130000  | 136531  |
|  Series 2019 A:  |  |  |
|  4% 9/1/35 <br>| 385000  | 384422  |
|  5% 9/1/30 <br>| 400000  | 442411  |
|  5% 9/1/31 <br>| 320000  | 353360  |
|  5% 9/1/34 <br>| 185000  | 202548  |
|  Series F, 5% 9/1/30  | 345000  | 365724  |
|  Philadelphia Wtr. & Wastewtr. Rev. Series 2018 A, 5% 10/1/34  | 1055000  | 1160891  |
|  Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. Series 2019 A, 5% 9/1/38 (Assured Guaranty Muni. Corp. Insured)  | 200000  | 216203  |
|  Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 A:  |  |  |
|  4% 6/1/44  | 140000  | 134396  |
|  4% 6/1/49  | 335000  | 309630  |
|  5% 6/1/44  | 245000  | 253158  |
|  5% 6/1/49  | 390000  | 400153  |
|  State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.) Series 2015 A, 5% 6/1/26  | 65000  | 67517  |
|  Union County Hosp. Auth. Rev. Series 2018 B:  |  |  |
|  5% 8/1/43  | 280000  | 285519  |
|  5% 8/1/48  | 1225000  | 1235353  |
|  TOTAL PENNSYLVANIA  |  | 69552670  |
| Puerto Rico - 1.5%  |  |  |
|  Puerto Rico Commonwealth Aqueduct & Swr. Auth.:  |  |  |
|  Series 2021 B:  |  |  |
|  5% 7/1/33 (e) <br>| 400000  | 386378  |
|  5% 7/1/37 (e) <br>| 1695000  | 1600901  |
|  Series 2022 A, 4% 7/1/42 (e)  | 1690000  | 1354495  |
|  Puerto Rico Commonwealth Pub. Impt. Gen. Oblig. Series 2021 A1:  |  |  |
|  0% 7/1/33  | 8240022  | 4454231  |
|  4% 7/1/33  | 1927686  | 1671419  |
|  4% 7/1/35  | 695000  | 584904  |
|  5.625% 7/1/27  | 201149  | 204944  |
|  5.625% 7/1/29  | 1000434  | 1023657  |
|  Puerto Rico Sales Tax Fing. Corp. Sales Tax Rev. Series 2018 A1, 0% 7/1/31  | 8088000  | 5268700  |
|  TOTAL PUERTO RICO  |  | 16549629  |
| Rhode Island - 1.0%  |  |  |
|  Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.:  |  |  |
|  Series 2016 B:  |  |  |
|  5% 9/1/31 <br>| 420000  | 408701  |
|  5% 9/1/36 <br>| 355000  | 326839  |
|  Series 2016, 5% 5/15/39  | 320000  | 321395  |
|  Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. Series 2022 A, 5% 9/1/33  | 7000000  | 8411445  |
|  Rhode Island Hsg. & Mtg. Fin. Corp.:  |  |  |
|  Series 2019 70, 4% 10/1/49  | 75000  | 75118  |
|  Series 2021 74, 3% 4/1/49  | 640000  | 622264  |
|  Rhode Island Hsg. & Mtg. Fin. Corp. Rev. Series 72 A, 3.5% 10/1/50  | 175000  | 173041  |
|  Rhode Island Student Ln. Auth. Student Ln. Rev. Series A:  |  |  |
|  3.5% 12/1/34 (d)  | 70000  | 68005  |
|  5% 12/1/24 (d)  | 225000  | 230641  |
|  5% 12/1/28 (d)  | 500000  | 539271  |
|  TOTAL RHODE ISLAND  |  | 11176720  |
| South Carolina - 0.6%  |  |  |
|  Charleston County Arpt. District Series 2019, 5% 7/1/43  | 145000  | 150713  |
|  Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015:  |  |  |
|  5% 12/1/25  | 140000  | 146601  |
|  5% 12/1/28  | 285000  | 298238  |
|  South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50  | 115000  | 115330  |
|  South Carolina Jobs-Econ. Dev. Auth. Series 2019 C, 5% 7/1/33  | 365000  | 391423  |
|  South Carolina Ports Auth. Ports Rev. Series 2015, 5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d)  | 55000  | 57577  |
|  South Carolina Pub. Svc. Auth. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 12/1/29 <br>| 150000  | 157790  |
|  5% 12/1/38 <br>| 15000  | 15244  |
|  Series 2016 B:  |  |  |
|  5% 12/1/31 <br>| 55000  | 58162  |
|  5% 12/1/41 <br>| 765000  | 777670  |
|  Series A, 5% 12/1/23 (Escrowed to Maturity)  | 385000  | 392042  |
|  Spartanburg County Reg'l. Health Series 2017 A:  |  |  |
|  4% 4/15/43  | 945000  | 859136  |
|  4% 4/15/48  | 660000  | 581703  |
|  5% 4/15/48  | 2265000  | 2306646  |
|  TOTAL SOUTH CAROLINA  |  | 6308275  |
| South Dakota - 0.1%  |  |  |
|  South Dakota Health & Edl. Facilities Auth. Rev.:  |  |  |
|  (Avera Health Proj.) Series 2017, 5% 7/1/31  | 35000  | 37876  |
|  Series 2017:  |  |  |
|  5% 7/1/26 <br>| 15000  | 15970  |
|  5% 7/1/28 <br>| 15000  | 16321  |
|  5% 7/1/29 <br>| 30000  | 32635  |
|  Series 2020 A, 3% 9/1/45  | 730000  | 544019  |
|  TOTAL SOUTH DAKOTA  |  | 646821  |
| Tennessee - 2.1%  |  |  |
|  Chattanooga Health Ed. & Hsg. Facility Board Rev. Series 2019 A1, 4% 8/1/44  | 610000  | 525861  |
|  Jackson Hosp. Rev. Series 2018 A:  |  |  |
|  5% 4/1/41  | 560000  | 557195  |
|  5% 4/1/41 (Pre-Refunded to 10/1/28 @ 100)  | 30000  | 33452  |
|  Memphis-Shelby County Arpt. Auth. Arpt. Rev. Series 2018, 5% 7/1/37 (d)  | 235000  | 243535  |
|  Metropolitan Nashville Arpt. Auth. Rev.:  |  |  |
|  Series 2015 B, 4% 7/1/25 (d)  | 130000  | 131735  |
|  Series 2019 B:  |  |  |
|  5% 7/1/38 (d) <br>| 965000  | 1006048  |
|  5% 7/1/54 (d) <br>| 300000  | 301782  |
|  Series 2022 B:  |  |  |
|  5% 7/1/52 (d) <br>| 3250000  | 3295549  |
|  5.5% 7/1/39 (d) <br>| 2000000  | 2177929  |
|  5.5% 7/1/40 (d) <br>| 2000000  | 2166673  |
|  5.5% 7/1/42 (d) <br>| 3500000  | 3764902  |
|  Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series 2021 C:  |  |  |
|  5% 1/1/27  | 3010000  | 3281497  |
|  5% 1/1/30  | 3525000  | 4035061  |
|  Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. (Lipscomb Univ. Proj.) Series 2019 A, 4% 10/1/49  | 485000  | 373777  |
|  Tennessee Hsg. Dev. Agcy. Residential:  |  |  |
|  Series 2021 1, 3% 7/1/51  | 805000  | 782532  |
|  Series 2021 3A, 3% 1/1/52  | 310000  | 299810  |
|  TOTAL TENNESSEE  |  | 22977338  |
| Texas - 4.7%  |  |  |
|  Austin Arpt. Sys. Rev.:  |  |  |
|  Series 2014:  |  |  |
|  5% 11/15/26 (d) <br>| 50000  | 51426  |
|  5% 11/15/27 (d) <br>| 65000  | 66728  |
|  5% 11/15/28 (d) <br>| 75000  | 76866  |
|  5% 11/15/39 (d) <br>| 275000  | 277681  |
|  Series 2017 B:  |  |  |
|  5% 11/15/28 (d) <br>| 50000  | 52492  |
|  5% 11/15/30 (d) <br>| 80000  | 83625  |
|  5% 11/15/32 (d) <br>| 60000  | 62557  |
|  5% 11/15/35 (d) <br>| 65000  | 67151  |
|  5% 11/15/36 (d) <br>| 105000  | 108176  |
|  5% 11/15/37 (d) <br>| 70000  | 71946  |
|  5% 11/15/41 (d) <br>| 290000  | 295263  |
|  Austin Wtr. & Wastewtr. Sys. Rev. Series 2022:  |  |  |
|  5% 11/15/37  | 1000000  | 1136562  |
|  5% 11/15/38  | 1250000  | 1414235  |
|  5% 11/15/39  | 1750000  | 1967908  |
|  5% 11/15/40  | 2000000  | 2234957  |
|  5% 11/15/41  | 2000000  | 2221596  |
|  5% 11/15/42  | 3000000  | 3322116  |
|  Central Reg'l. Mobility Auth.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 1/1/28 <br>| 65000  | 67492  |
|  5% 1/1/31 (Pre-Refunded to 7/1/25 @ 100) <br>| 25000  | 26422  |
|  5% 1/1/32 (Pre-Refunded to 7/1/25 @ 100) <br>| 50000  | 52844  |
|  5% 1/1/40 (Pre-Refunded to 7/1/25 @ 100) <br>| 295000  | 311781  |
|  Series 2021 C, 5% 1/1/27  | 1055000  | 1107657  |
|  Dallas Fort Worth Int'l. Arpt. Rev. Series 2022 B, 5% 11/1/37  | 3000000  | 3326129  |
|  Dallas Wtrwks. & Swr. Sys. Rev. Series 2017, 5% 10/1/46  | 585000  | 614911  |
|  El Paso Independent School District Series 2020:  |  |  |
|  5% 8/15/25  | 220000  | 233096  |
|  5% 8/15/26  | 380000  | 411065  |
|  Fort Bend Independent School District Bonds Series 2021 B, 0.72%, tender 8/1/26 (b)  | 525000  | 466809  |
|  Grand Parkway Trans. Corp. Series 2018 A, 5% 10/1/38  | 160000  | 169984  |
|  Harris County Cultural Ed. Facilities Fin. Corp. Rev.:  |  |  |
|  (Texas Childrens Hosp., Proj.) Series 2015-1 5% 10/1/29  | 70000  | 73689  |
|  Series 2021 A, 3% 10/1/51  | 1000000  | 708085  |
|  Harris County Flood Cont. District Series 2021 A:  |  |  |
|  5% 10/1/28  | 500000  | 562322  |
|  5% 10/1/29  | 500000  | 571360  |
|  Harris County Gen. Oblig. Series 2002:  |  |  |
|  0% 8/15/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 150000  | 138884  |
|  0% 8/15/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 255000  | 214975  |
|  Harris County Toll Road Rev. Series 2018 A, 5% 8/15/43  | 585000  | 614329  |
|  Houston Arpt. Sys. Rev.:  |  |  |
|  Series 2018 A, 5% 7/1/41 (d)  | 880000  | 901985  |
|  Series 2018 C:  |  |  |
|  5% 7/1/29 (d) <br>| 100000  | 106356  |
|  5% 7/1/30 (d) <br>| 105000  | 111585  |
|  5% 7/1/31 (d) <br>| 75000  | 79617  |
|  5% 7/1/32 (d) <br>| 90000  | 95363  |
|  Houston Gen. Oblig. Series 2017 A:  |  |  |
|  5% 3/1/31  | 235000  | 253848  |
|  5% 3/1/32  | 100000  | 107861  |
|  Houston Util. Sys. Rev.:  |  |  |
|  Series 2016 B, 5% 11/15/33  | 140000  | 149854  |
|  Series 2020 C:  |  |  |
|  4% 11/15/43 <br>| 1030000  | 990848  |
|  4% 11/15/49 <br>| 1030000  | 951014  |
|  5% 11/15/45 <br>| 1030000  | 1101061  |
|  Irving Hosp. Auth. Hosp. Rev. Series 2017 A:  |  |  |
|  5% 10/15/28  | 25000  | 26309  |
|  5% 10/15/30  | 95000  | 99298  |
|  5% 10/15/32  | 50000  | 52111  |
|  5% 10/15/36  | 35000  | 36018  |
|  5% 10/15/37  | 55000  | 56393  |
|  5% 10/15/38  | 80000  | 81877  |
|  5% 10/15/44  | 80000  | 81104  |
|  Love Field Arpt. Modernization Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 11/1/26 (d) <br>| 50000  | 52128  |
|  5% 11/1/27 (d) <br>| 110000  | 114362  |
|  5% 11/1/28 (d) <br>| 165000  | 171120  |
|  5% 11/1/29 (d) <br>| 100000  | 103390  |
|  5% 11/1/32 (d) <br>| 185000  | 190880  |
|  Series 2017:  |  |  |
|  5% 11/1/24 (d) <br>| 50000  | 51446  |
|  5% 11/1/25 (d) <br>| 50000  | 52160  |
|  5% 11/1/26 (d) <br>| 50000  | 52835  |
|  5% 11/1/27 (d) <br>| 50000  | 52640  |
|  5% 11/1/28 (d) <br>| 90000  | 94443  |
|  5% 11/1/29 (d) <br>| 65000  | 67932  |
|  5% 11/1/30 (d) <br>| 50000  | 52244  |
|  5% 11/1/31 (d) <br>| 115000  | 120021  |
|  5% 11/1/32 (d) <br>| 130000  | 135495  |
|  5% 11/1/33 (d) <br>| 50000  | 52021  |
|  5% 11/1/34 (d) <br>| 50000  | 51829  |
|  5% 11/1/36 (d) <br>| 50000  | 51450  |
|  Lower Colorado River Auth. Rev.:  |  |  |
|  (LCRA Transmission Svcs. Corp. Proj.) Series 2020:  |  |  |
|  5% 5/15/25 <br>| 295000  | 308111  |
|  5% 5/15/26 <br>| 370000  | 393590  |
|  5% 5/15/27 <br>| 440000  | 475757  |
|  Series 2015 D:  |  |  |
|  5% 5/15/28 <br>| 110000  | 114971  |
|  5% 5/15/30 <br>| 255000  | 266451  |
|  New Hope Cultural Ed. Facilities Fin. Corp. (Childrens Med. Ctr. of Dallas) Series 2017 A:  |  |  |
|  5% 8/15/27  | 40000  | 43620  |
|  5% 8/15/29  | 100000  | 108461  |
|  5% 8/15/47  | 115000  | 117731  |
|  Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A:  |  |  |
|  5% 4/1/27  | 35000  | 36827  |
|  5% 4/1/30  | 175000  | 183983  |
|  North Texas Tollway Auth. Rev.:  |  |  |
|  (Sr. Lien Proj.) Series 2017 A:  |  |  |
|  5% 1/1/31 <br>| 50000  | 52930  |
|  5% 1/1/33 <br>| 60000  | 64349  |
|  5% 1/1/34 <br>| 75000  | 80280  |
|  5% 1/1/34 <br>| 150000  | 174692  |
|  5% 1/1/35 <br>| 110000  | 117246  |
|  5% 1/1/36 <br>| 305000  | 323209  |
|  5% 1/1/37 <br>| 405000  | 426347  |
|  (Sub Lien Proj.) Series 2017 B:  |  |  |
|  5% 1/1/30 <br>| 20000  | 21017  |
|  5% 1/1/31 <br>| 30000  | 31486  |
|  Series 2015 A, 5% 1/1/32  | 170000  | 175464  |
|  Series 2016 A, 5% 1/1/36  | 65000  | 68127  |
|  Series 2017 A:  |  |  |
|  5% 1/1/38 <br>| 20000  | 20014  |
|  5% 1/1/38 (Pre-Refunded to 1/1/23 @ 100) <br>| 145000  | 145000  |
|  5% 1/1/39 <br>| 1650000  | 1730375  |
|  Series 2018:  |  |  |
|  4% 1/1/37 <br>| 625000  | 625230  |
|  4% 1/1/38 <br>| 1280000  | 1268006  |
|  San Antonio Independent School District Series 2016, 5% 8/15/31  | 220000  | 237354  |
|  San Antonio Wtr. Sys. Rev. Series 2020 A, 5% 5/15/50  | 625000  | 660782  |
|  Southwest Higher Ed. Auth. Rev. (Southern Methodist Univ., TX. Proj.) Series 2017:  |  |  |
|  5% 10/1/29  | 20000  | 21716  |
|  5% 10/1/30  | 35000  | 37865  |
|  5% 10/1/31  | 30000  | 32331  |
|  5% 10/1/39  | 65000  | 68913  |
|  5% 10/1/40  | 50000  | 52899  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A, 4% 2/15/35  | 255000  | 256939  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Series 2019, 2.95% 7/1/36  | 1077249  | 958971  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev.:  |  |  |
|  Series 2019 A, 4% 3/1/50  | 260000  | 260829  |
|  Series A, 3.5% 3/1/51  | 290000  | 285732  |
|  Texas Private Activity Bond Surface Trans. Corp.:  |  |  |
|  (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A:  |  |  |
|  4% 6/30/36 <br>| 210000  | 200790  |
|  4% 6/30/39 <br>| 530000  | 490857  |
|  4% 6/30/40 <br>| 440000  | 402778  |
|  Series 2013, 6.75% 6/30/43 (d)  | 760000  | 772075  |
|  Texas State Univ. Sys. Fing. Rev. Series 2017 A, 5% 3/15/31  | 165000  | 177595  |
|  Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (b)  | 2970000  | 2703162  |
|  Texas Wtr. Dev. Board Rev.:  |  |  |
|  Series 2018 A, 5% 10/15/43  | 585000  | 618900  |
|  Series 2020:  |  |  |
|  3% 10/15/38 <br>| 1000000  | 879477  |
|  5% 8/1/30 <br>| 295000  | 341697  |
|  Series 2022, 4.45% 10/15/36  | 3000000  | 3204150  |
|  Univ. of Houston Univ. Revs. Series 2017 A:  |  |  |
|  5% 2/15/33  | 205000  | 216965  |
|  5% 2/15/34  | 255000  | 269727  |
|  5% 2/15/36  | 150000  | 158115  |
|  Univ. of North Texas Univ. Rev. Series 2017 A, 5% 4/15/32  | 105000  | 113548  |
|  Univ. of Texas Board of Regents Sys. Rev. Series 2020 C, 5% 8/15/31  | 880000  | 1040244  |
|  Univ. of Texas Permanent Univ. Fund Rev. Series 2016 B, 5% 7/1/29  | 105000  | 113530  |
|  Weatherford Independent School District Series 2002, 0% 2/15/33  | 350000  | 244121  |
|  TOTAL TEXAS  |  | 52127353  |
| Utah - 0.4%  |  |  |
|  Salt Lake City Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/25 (d) <br>| 100000  | 103776  |
|  5% 7/1/27 (d) <br>| 215000  | 228119  |
|  5% 7/1/29 (d) <br>| 190000  | 199975  |
|  5% 7/1/30 (d) <br>| 140000  | 147310  |
|  5% 7/1/31 (d) <br>| 265000  | 278586  |
|  5% 7/1/33 (d) <br>| 205000  | 214347  |
|  5% 7/1/35 (d) <br>| 205000  | 212642  |
|  5% 7/1/36 (d) <br>| 275000  | 284198  |
|  5% 7/1/37 (d) <br>| 690000  | 710349  |
|  5% 7/1/42 (d) <br>| 1240000  | 1261886  |
|  Series 2018 A:  |  |  |
|  5% 7/1/33 (d) <br>| 485000  | 511539  |
|  5.25% 7/1/48 (d) <br>| 355000  | 363279  |
|  Utah County Hosp. Rev. Series 2020 A, 5% 5/15/50  | 295000  | 304873  |
|  TOTAL UTAH  |  | 4820879  |
| Vermont - 0.2%  |  |  |
|  Vermont Edl. & Health Bldg. Fin. Agcy. Rev.:  |  |  |
|  (Champlain College Proj.) Series 2016 A:  |  |  |
|  5% 10/15/41 <br>| 230000  | 222324  |
|  5% 10/15/46 <br>| 290000  | 272706  |
|  (Middlebury College Proj.) Series 2020, 5% 11/1/49  | 625000  | 663634  |
|  Vermont Hsg. Fin. Agcy. Series 2021 B, 3% 11/1/51  | 380000  | 363704  |
|  Vermont Student Assistant Corp. Ed. Ln. Rev.:  |  |  |
|  Series 2019 A:  |  |  |
|  5% 6/15/27 (d) <br>| 295000  | 312585  |
|  5% 6/15/29 (d) <br>| 500000  | 524982  |
|  Series 2020 A, 5% 6/15/28 (d)  | 295000  | 308657  |
|  TOTAL VERMONT  |  | 2668592  |
| Virginia - 0.6%  |  |  |
|  Arlington County Series 2021, 5% 6/15/28  | 1340000  | 1504942  |
|  Fredericksburg Econ. Dev. Auth. Rev. Series 2014:  |  |  |
|  5% 6/15/25  | 235000  | 241808  |
|  5% 6/15/30  | 65000  | 66302  |
|  Lynchburg Econ. Dev. Series 2021, 3% 1/1/51  | 2250000  | 1553247  |
|  Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.:  |  |  |
|  (Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29  | 30000  | 29100  |
|  Series 2016:  |  |  |
|  4% 6/15/37 <br>| 35000  | 33396  |
|  5% 6/15/27 <br>| 75000  | 79148  |
|  5% 6/15/30 <br>| 30000  | 31343  |
|  5% 6/15/33 <br>| 20000  | 20721  |
|  5% 6/15/34 <br>| 40000  | 41335  |
|  5% 6/15/35 <br>| 110000  | 113120  |
|  Virginia Commonwealth Trans. Board Rev. (Virginia Gen. Oblig. Proj.) Series 2017 A, 5% 5/15/32  | 45000  | 49680  |
|  Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2019 A, 4% 8/1/36  | 675000  | 694587  |
|  Virginia Small Bus. Fing. Auth. (Elizabeth River Crossings OpCo, LLC Proj.) Series 2022:  |  |  |
|  4% 1/1/35 (d)  | 955000  | 925079  |
|  4% 7/1/35 (d)  | 720000  | 693011  |
|  Winchester Econ. Dev. Auth. Series 2015:  |  |  |
|  5% 1/1/31  | 125000  | 131336  |
|  5% 1/1/34  | 75000  | 78081  |
|  5% 1/1/35  | 75000  | 77720  |
|  5% 1/1/44  | 50000  | 50251  |
|  Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.2%, tender 5/31/24 (b)  | 240000  | 228993  |
|  TOTAL VIRGINIA  |  | 6643200  |
| Washington - 2.3%  |  |  |
|  City of Olympia Series 2019, 2% 12/1/30  | 1265000  | 1122949  |
|  King County Hsg. Auth. Rev. Series 2021:  |  |  |
|  4% 6/1/26  | 165000  | 169212  |
|  4% 6/1/28  | 105000  | 108275  |
|  Port of Seattle Rev.:  |  |  |
|  Series 2015 B, 5% 3/1/25  | 85000  | 87911  |
|  Series 2016 B:  |  |  |
|  5% 10/1/28 (d) <br>| 175000  | 183892  |
|  5% 10/1/30 (d) <br>| 100000  | 104206  |
|  Series 2019 A, 4% 4/1/44 (d)  | 185000  | 164106  |
|  Series 2019:  |  |  |
|  5% 4/1/35 (d) <br>| 2200000  | 2325871  |
|  5% 4/1/44 (d) <br>| 440000  | 450927  |
|  Series 2021 C:  |  |  |
|  5% 8/1/24 (d) <br>| 575000  | 588604  |
|  5% 8/1/25 (d) <br>| 465000  | 483995  |
|  5% 8/1/26 (d) <br>| 640000  | 674102  |
|  5% 8/1/27 (d) <br>| 395000  | 420183  |
|  5% 8/1/28 (d) <br>| 1105000  | 1184530  |
|  Seattle Hsg. Auth. Rev. (Northgate Plaza Proj.) Series 2021, 1% 6/1/26  | 255000  | 231971  |
|  Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. Series 2013 B:  |  |  |
|  5% 12/1/25 (Pre-Refunded to 6/1/23 @ 100)  | 285000  | 287206  |
|  5% 12/1/27 (Pre-Refunded to 6/1/23 @ 100)  | 210000  | 211625  |
|  Washington Convention Ctr. Pub. Facilities:  |  |  |
|  Series 2021 B, 3% 7/1/58 (Assured Guaranty Muni. Corp. Insured)  | 1940000  | 1299847  |
|  Series 2021, 4% 7/1/31  | 4190000  | 3832373  |
|  Washington Gen. Oblig.:  |  |  |
|  Series 2015 C, 5% 2/1/34  | 210000  | 218311  |
|  Series 2017 D, 5% 2/1/33  | 180000  | 194163  |
|  Series 2018 C, 5% 8/1/30  | 340000  | 370837  |
|  Series 2022 C, 5% 2/1/41  | 3790000  | 4172396  |
|  Series 2022 D:  |  |  |
|  4% 7/1/36 <br>| 850000  | 878825  |
|  4% 7/1/37 <br>| 590000  | 605420  |
|  Series R-2017 A, 5% 8/1/30  | 105000  | 112569  |
|  Washington Health Care Facilities Auth. Rev.:  |  |  |
|  (Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B:  |  |  |
|  5% 7/1/25 <br>| 40000  | 41724  |
|  5% 7/1/27 <br>| 80000  | 85430  |
|  5% 7/1/28 <br>| 95000  | 101950  |
|  5% 7/1/29 <br>| 35000  | 37270  |
|  5% 7/1/30 <br>| 45000  | 47693  |
|  5% 7/1/31 <br>| 55000  | 58003  |
|  5% 7/1/32 <br>| 100000  | 105140  |
|  5% 7/1/33 <br>| 145000  | 152011  |
|  5% 7/1/34 <br>| 35000  | 36555  |
|  5% 7/1/42 <br>| 485000  | 488384  |
|  (Providence Health Systems Proj.) Series 2012 A, 5% 10/1/25  | 260000  | 261105  |
|  Series 2015, 5% 1/1/27 (Pre-Refunded to 7/1/25 @ 100)  | 115000  | 121542  |
|  Series 2017, 4% 8/15/42  | 605000  | 545277  |
|  Series 2019 A2, 5% 8/1/44  | 340000  | 340603  |
|  Washington Higher Ed. Facilities Auth. Rev.:  |  |  |
|  (Gonzaga Univ. Proj.) Series 2019 A, 3% 4/1/49  | 1270000  | 898615  |
|  (Whitworth Univ. Proj.):  |  |  |
|  Series 2016 A: <br>|  |  |
|  5% 10/1/27 <br>| 110000  | 114632  |
|  5% 10/1/28 <br>| 110000  | 114616  |
|  5% 10/1/35 <br>| 115000  | 117346  |
|  5% 10/1/36 <br>| 175000  | 178066  |
|  5% 10/1/40 <br>| 170000  | 171396  |
|  Series 2019, 4% 10/1/49 <br>| 735000  | 600382  |
|  TOTAL WASHINGTON  |  | 25102046  |
| West Virginia - 0.1%  |  |  |
|  West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 A:  |  |  |
|  5% 1/1/31  | 80000  | 83836  |
|  5% 1/1/32  | 70000  | 73208  |
|  West Virginia Parkways Auth. Series 2021:  |  |  |
|  5% 6/1/25  | 295000  | 309285  |
|  5% 6/1/26  | 295000  | 315428  |
|  5% 6/1/27  | 295000  | 320854  |
|  5% 6/1/28  | 440000  | 486537  |
|  TOTAL WEST VIRGINIA  |  | 1589148  |
| Wisconsin - 1.3%  |  |  |
|  Pub. Fin. Auth. Edl. Facilities:  |  |  |
|  Series 2018 A:  |  |  |
|  5.25% 10/1/43 <br>| 470000  | 458480  |
|  5.25% 10/1/48 <br>| 470000  | 448145  |
|  Series 2022 A:  |  |  |
|  5.25% 3/1/42 <br>| 295000  | 296665  |
|  5.25% 3/1/47 <br>| 2175000  | 2164771  |
|  Pub. Fin. Auth. Hosp. Rev. Series 2019 A, 5% 10/1/44  | 690000  | 701134  |
|  Pub. Fin. Auth. Sr. Living Rev. (Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A:  |  |  |
|  5% 5/15/25 (e)  | 45000  | 44583  |
|  5% 5/15/28 (e)  | 70000  | 67539  |
|  5.25% 5/15/37 (e)  | 20000  | 18316  |
|  5.25% 5/15/42 (e)  | 415000  | 367033  |
|  5.25% 5/15/47 (e)  | 25000  | 21419  |
|  5.25% 5/15/52 (e)  | 45000  | 37819  |
|  Pub. Fin. Auth. Wisconsin Retirement Facility Rev. Series 2018:  |  |  |
|  5% 10/1/43 (e)  | 45000  | 38741  |
|  5% 10/1/48 (e)  | 60000  | 49988  |
|  5% 10/1/53 (e)  | 90000  | 73451  |
|  Roseman Univ. of Health:  |  |  |
|  (Roseman Univ. of Health Sciences Proj.) Series 2020, 5% 4/1/40 (e)  | 100000  | 94788  |
|  Series 2018 A, 5% 12/1/27  | 1000000  | 1026022  |
|  Series 2021 A:  |  |  |
|  3% 7/1/50 <br>| 655000  | 460808  |
|  4.5% 6/1/56 (e) <br>| 2330000  | 1686714  |
|  Series 2021 B, 6.5% 6/1/56 (e)  | 625000  | 495226  |
|  Wisconsin Gen. Oblig. Series 2021 A, 5% 5/1/36  | 1840000  | 2017600  |
|  Wisconsin Health & Edl. Facilities:  |  |  |
|  (Ascension Health Cr. Group Proj.) Series 2016 A, 5% 11/15/36  | 255000  | 262912  |
|  Series 2014, 4% 5/1/33  | 180000  | 180326  |
|  Series 2016 A:  |  |  |
|  5% 2/15/28 <br>| 120000  | 124928  |
|  5% 2/15/29 <br>| 155000  | 160930  |
|  5% 2/15/30 <br>| 170000  | 176262  |
|  Series 2017 A:  |  |  |
|  5% 9/1/29 (Pre-Refunded to 9/1/27 @ 100) <br>| 295000  | 322469  |
|  5% 9/1/31 (Pre-Refunded to 9/1/27 @ 100) <br>| 50000  | 54656  |
|  5% 9/1/33 (Pre-Refunded to 9/1/27 @ 100) <br>| 85000  | 92915  |
|  5% 9/1/35 (Pre-Refunded to 9/1/27 @ 100) <br>| 95000  | 103846  |
|  Series 2018, 5% 4/1/34  | 585000  | 639804  |
|  Series 2019 A:  |  |  |
|  5% 11/1/26 <br>| 105000  | 102497  |
|  5% 11/1/46 <br>| 300000  | 247078  |
|  Series 2019 B1, 2.825% 11/1/28  | 100000  | 88423  |
|  Series 2019 B2, 2.55% 11/1/27  | 60000  | 56290  |
|  Series 2019:  |  |  |
|  5% 10/1/30 <br>| 120000  | 132022  |
|  5% 10/1/32 <br>| 250000  | 273156  |
|  Wisconsin Hsg. & Econ. Dev. Auth. Series 2021 C, 3% 9/1/52  | 440000  | 425471  |
|  Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C:  |  |  |
|  0.61%, tender 5/1/24 (b)  | 80000  | 76154  |
|  0.81%, tender 5/1/25 (b)  | 265000  | 249730  |
|  TOTAL WISCONSIN  |  | 14339111  |
| <br> **TOTAL MUNICIPAL BONDS** <br> (Cost $1,027,291,178)  |  | <br> **985308801**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 10.8%**  | &nbsp;&nbsp; **Money Market Funds - 10.8%**  | &nbsp;&nbsp; **Money Market Funds - 10.8%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Municipal Cash Central Fund 3.72% (h)(i) <br>(Cost $119,418,572) <br>| 119394702  | **119418566**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.8%** <br> (Cost $1,146,709,750) <br>| <br>**1104727367**  |
| **NET OTHER ASSETS (LIABILITIES) - 0.2%**  | **1678026**  |
| **NET ASSETS - 100.0%**  | **1106405393**  |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

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

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

(d) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $9,808,744 or 0.9% of net assets.

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

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

(h) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund.

(i) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Municipal Cash Central Fund 3.72%  | 98408440  | 796181017  | 775170881  | 963013  | 9839  | (9849)  | 119418566  | 4.8%  |
| Total  | 98408440  | 796181017  | 775170881  | 963013  | 9839  | (9849)  | 119418566  |  |

---

Amounts in the dividend 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.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of December 31, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  Municipal Securities  | 985308801  | -  | 985308801  | -  |
|  Money Market Funds  | 119418566  | 119418566  | -  | -  |
| **Total Investments in Securities:**  | 1104727367  | 119418566  | 985308801  | -  |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $1,027,291,178)  | $985308801  |  |
|  Fidelity Central Funds (cost $119,418,572)  | 119418566  |  |
|  Total Investment in Securities (cost $1,146,709,750)  |  | $1104727367  |
|  Cash  |  | 649017  |
| Receivable for investments sold  |  | 582  |
|  Receivable for fund shares sold  |  | 2050290  |
|  Interest receivable  |  | 11184726  |
|  Distributions receivable from Fidelity Central Funds  |  | 359402  |
|  Prepaid expenses  |  | 717  |
|  Receivable from investment adviser for expense reductions  |  | 14741  |
| Other receivables  |  | 870  |
| **Total assets**  |  | 1118987712  |
| **Liabilities**  |  |  |
|  Payable for investments purchased on a delayed delivery basis  | $7995078  |  |
|  Payable for fund shares redeemed  | 1518044  |  |
|  Distributions payable  | 2692123  |  |
|  Accrued management fee  | 318407  |  |
|  Other payables and accrued expenses  | 58667  |  |
| **Total Liabilities**  |  | 12582319  |
| **Net Assets**  |  | $1106405393  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $1163218041  |
|  Total accumulated earnings (loss)  |  | (56812648)  |
|  **Net Assets**  |  | $1106405393  |
|  **Net Asset Value** , offering price and redemption price per share ($1,106,405,393 ÷ 115,504,845 shares)  |  | $9.58  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Year ended** <br> **December 31, 2022**  |
|  **Investment Income**  |  |  |
| Interest  |  | $37502193  |
| Income from Fidelity Central Funds  |  | 961511  |
| **Total Income**  |  | 38463704  |
|  **Expenses**  |  |  |
| Management fee  | $5308621  |  |
| Custodian fees and expenses  | 17178  |  |
| Independent trustees' fees and expenses  | 5208  |  |
| Registration fees  | 350627  |  |
| Audit  | 62271  |  |
| Legal  | 1449  |  |
| Miscellaneous  | 11732  |  |
| Total expenses before reductions  | 5757086  |  |
| Expense reductions  | (281956)  |  |
| Total expenses after reductions  |  | 5475130  |
| **Net Investment income (loss)**  |  | 32988574  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (15110738)  |  |
| Redemptions in-kind with affiliated entities  | (126836694)  |  |
| Fidelity Central Funds  | 9839  |  |
| Capital gain distributions from Fidelity Central Funds  | 1502  |  |
| Total net realized gain (loss)  |  | (141936091)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (149971238)  |  |
| Fidelity Central Funds  | (9849)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (149981087)  |
| **Net gain (loss)**  |  | (291917178)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(258928604)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Year ended** <br> **December 31, 2022**  | **Year ended** <br> **December 31, 2021**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $32988574  | $39942963  |
| &nbsp;&nbsp; Net realized gain (loss)  | (141936091) <br>| 3793062 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (149981087)  | 2185929 <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (258928604) <br>| 45921954 <br>|
| Distributions to shareholders  | (32731153) <br>| (43142512) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 4264535013  | 1513803032  |
| Reinvestment of distributions  | 9870551 <br>| 2644935 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (5389446258)  | (592173845)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | (1115040694) <br>| 924274122 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (1406700451) <br>| 927053564 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 2513105844  | 1586052280 <br>|
| &nbsp;&nbsp; End of period  | $1106405393  | $2513105844  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 430605180  | 138993500  |
| Issued in reinvestment of distributions  | 983117 <br>| 243126 <br>|
| &nbsp;&nbsp; Redeemed  | (547031720)  | (54481538)  |
| &nbsp;&nbsp; Net increase (decrease)  | (115443423)  | 84755088  |

---

**Financial Highlights** 

 **Fidelity® SAI Municipal Income Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.88  | $10.85  | $10.70  | $10.20  | $10.00  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .218  | .203  | .265  | .296  | .074  |
| Net realized and unrealized gain (loss)  | (1.297)  | .048  | .183  | .564  | .193  |
| Total from investment operations  | (1.079)  | .251  | .448  | .860  | .267  |
| Distributions from net investment income  | (.221)  | (.207)  | (.266)  | (.296)  | (.066)  |
| Distributions from net realized gain  | -  | (.014)  | (.032)  | (.064)  | (.001)  |
| Total distributions  | (.221)  | (.221)  | (.298)  | (.360)  | (.067)  |
| Net asset value, end of period  | $9.58  | $10.88  | $10.85  | $10.70  | $10.20  |
| **Total Return** <sup>D,E</sup>  | (9.94)%  | 2.33%  | 4.27%  | 8.51%  | 2.67%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |  |  |  |  |
| Expenses before reductions  | .38%  | .36%  | .37%  | .44%  | .59% <sup>H,I</sup>  |
| Expenses net of fee waivers, if any  | .36%  | .36%  | .36%  | .36%  | .36% <sup>I</sup>  |
| Expenses net of all reductions  | .36%  | .36%  | .36%  | .36%  | .36% <sup>I</sup>  |
| Net investment income (loss)  | 2.16%  | 1.87%  | 2.49%  | 2.80%  | 2.90% <sup>I</sup>  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $1106405  | $2513106  | $1586052  | $1258733  | $1108493  |
| Portfolio turnover rate <sup>J</sup>  | 26% <sup>K</sup>  | 4%  | 17%  | 21%  | 7% <sup>K,L</sup>  |

---

<sup>A</sup> *For the period October 2, 2018 (commencement of operations) through December 31, 2018.*

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

<sup>E</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

<sup>F</sup> *Fees 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.*

<sup>G</sup> *Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, 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.*

<sup>H</sup> *Audit fees are not annualized.*

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>K</sup> *Portfolio turnover rate excludes securities received or delivered in-kind.*

<sup>L</sup> *Amount not annualized.*

**Notes to Financial Statements**

For the period ended December 31, 2022

**1. Organization.**

Fidelity SAI Municipal Income 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** <sup>A</sup>  |
| 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%  |

---

<sup>A</sup> *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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

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 - unadjusted 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 services or from brokers who make markets in such securities. Municipal securities are valued by pricing services 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 services. 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 December 31, 2022 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. During the period, the Fund incurred a corporate tax liability on undistributed net investment income which is included in Miscellaneous expense on the Statement of Operations. As of December 31, 2022, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

Book-tax differences are primarily due to market discount, redemptions in kind and capital loss carryforwards.

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

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $12740879  |
| **Gross unrealized depreciation**  | <u>(54460654)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(41719775)</u>  |
| **Tax Cost**  | <u>$1146447142</u>  |

---

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

---

| | |
|:---|:---|
| **Undistributed tax-exempt income**  | <u>$4613</u>  |
| **Undistributed ordinary income**  | <u>$65</u>  |
| **Capital loss carryforward**  | <u>$(15097553)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(41719775)</u>  |

---

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 fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| **Short-term**  | $(8962728)  |
| **Long-term**  | <u>(6134825)</u>  |
| **Total capital loss carryforward**  | <u>$(15097553)</u>  |

---

Due to large redemptions in the period, Fidelity SAI Municipal Income Fund is subject to an annual limit on its use of some of its unrealized capital losses to offset capital gains in future periods. If those capital losses are realized and the limitation prevents the Fund from using any of those capital losses in a future period, those capital losses will be available to offset capital gains in subsequent periods.

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **December 31, 2022**  | **December 31, 2021**  |
| **Tax-exempt Income**  | $32731153  | $39905156  |
| **Long-term Capital Gains**  | <u>-</u>  | <u>3237356</u>  |
| **Total**  | <u>$32731153</u>  | <u>$43142512</u>  |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Fidelity SAI Municipal Income Fund**  | 697419253  | 380468108  |

---

**5. 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. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .25% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .35% 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**Affiliated Redemptions In-Kind.** Shares that were redeemed in-kind for investments, including accrued interest and cash, if any, are shown in the table below. The net realized gain or loss on investments delivered through in-kind redemptions is included in the accompanying Statement of Operations. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets. There was no gain or loss for federal income tax purposes.

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares**  | **Total net realized gain or loss** <br> **($)**  | **Total Proceeds** <br> **($)**  |
| **Fidelity SAI Municipal Income Fund**  | 157700518  | (126836694)  | 1510770968  |

---

**6. 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 Municipal Income Fund**  | $3221  |

---

**7. Expense Reductions.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .36% of average net assets. This reimbursement will remain in place through April 30, 2024. 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 $249,359.

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 $1,525.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $31,072.

**8. Other.**

A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**9. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI Municipal Income Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity SAI Municipal Income Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the "Fund") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statement of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the four years in the period ended December 31, 2022 and for the period October 2, 2018 (commencement of operations) through December 31, 2018 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the four years in the period ended December 31, 2022 and for the period October 2, 2018 (commencement of operations) through December 31, 2018 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 10, 2023

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Trustees and Officers**

**<u>TRUSTEES AND OFFICERS</u>**

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 295 funds. Mr. Chiel oversees 186 funds.

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

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

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

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

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

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

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

<u>Interested Trustees\*:</u>

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

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity <sup>®</sup> funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity <sup>®</sup> funds (2001-2005), and managed a number of Fidelity <sup>®</sup> funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity <sup>®</sup> funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.

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

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

<u>Independent Trustees:</u>

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

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity <sup>®</sup> funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2018).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity <sup>®</sup> funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2014-2016).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Mr. Johnson also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity <sup>®</sup> funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity <sup>®</sup> funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity <sup>®</sup> funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2016).

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

<u>Advisory Board Members and Officers:</u>

Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

<u>Name, Year of Birth; Principal Occupation</u>

Laura M. Bishop (1961)

Year of Election or Appointment: 2022

Member of the Advisory Board

Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2022).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Christopher M. Gouveia (1973)

Year of Election or Appointment: 2023

Chief Compliance Officer

Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity <sup>®</sup> funds (2016-2020) and Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2016-2018).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), FD Funds Management LLC (2021-present), and Fidelity Diversifying Solutions LLC (investment adviser firm, 2022-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer - Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity <sup>®</sup> funds.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2021).

**Shareholder Expense Example**

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2022 to December 31, 2022). <br>

***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. In addition, if these transactional costs were included, your costs would have been higher.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value July 1, 2022**  | **Ending Account Value December 31, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **July 1, 2022 to December 31, 2022**  |
| **Fidelity® SAI Municipal Income Fund**  | .36%  |  |  |  |
| **Actual**  |  | $1000  | $1002.20  | $1.82  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1023.39  | $1.84  |

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

*B 5% return per year before expenses*

*C Expenses 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.*

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com* .

During fiscal year ended 2022, 100% of the fund's income dividends was free from federal income tax, and 19.61% of the fund's income dividends was subject to the federal alternative minimum tax.

The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity SAI Municipal Income Fund** 

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

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

At its September 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

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

**Nature, Extent, and Quality of Services Provided** . The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds throughout the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.

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

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

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

<u>Investment in a Large Fund Family</u> . The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds, ETFs, and share classes with innovative structures, strategies and pricing and making other enhancements to meet investor needs; (iv) broadening eligibility requirements for certain funds and share classes; (v) reducing management fees and total expenses for certain funds and classes; (vi) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (vii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (ix) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.

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

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

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

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

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

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

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

![](img88178_7.jpg)

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2021.

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

<u>Total Expense Ratio</u> . In its review of the fund's total expense ratio, the Board considered the fund's management fee rate as well as other fund expenses, such as custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison, which focuses on the total expenses of the fund relative to a subset of non-Fidelity funds within the similar sales load structure group that are similar in size and management fee structure. The total expense ASPG is limited to 15 larger and 15 smaller classes of different funds, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in expenses relating to these items.

The Board noted that the fund's total net expense ratio ranked below the similar sales load structure group competitive median for 2021 and below the ASPG competitive median for 2021.

The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.36% through April 30, 2023.

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

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

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

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

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

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

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

**Additional Information Requested by the Board** . In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent, pricing and bookkeeping fees, expense and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the changes in flows for different types of funds; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.

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

![](img88178_2.jpg) <br>

1.9887613.104 SIM-ANN-0323

**Fidelity® International Bond Index Fund**

**Annual Report**

**December 31, 2022**

![](img88187_1.jpg)

![](img88187_2.jpg)

**Contents**

---

| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Management's Discussion of Fund Performance](#Sec_Mgt Discussion of FundPerformance)** |
| **[Investment Summary](#Sec_InvestmentSummary4506)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments4506)** |
| **[Financial Statements](#Sec_FinancialStatements4506)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Report of Independent Registered Public Accounting Firm](#Sec_Report of Independent Registered Public Accounting Firm)** |
| **[Trustees and Officers](#Sec_Trustee and Officers)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Distributions](#Sec_Distributions)** |
| **[Board Approval of Investment Advisory Contracts and Management Fees](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

---

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

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

BLOOMBERG <sup>®</sup> 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.© 2023 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.*

**Performance: The Bottom Line**

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

&nbsp;&nbsp; **Average Annual Total Returns** <br>

---

| | | |
|:---|:---|:---|
| **Periods ended December 31, 2022** <br>| **Past 1** <br> **year**  | **Life of** <br> **Fund** <sup>A</sup>  |
| Fidelity® International Bond Index Fund  | &nbsp;&nbsp; -10.84%  | &nbsp;&nbsp; -3.09%  |

---

<sup>A</sup> From October 10, 2019

---

| |
|:---|
| **$10,000 Over Life of Fund**  |
| Let's say hypothetically that $10,000 was invested in Fidelity® International Bond Index Fund, on October 10, 2019, when the fund started. <br>The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Global Aggregate ex-USD Float Adjusted RIC Diversified Index (Hedged USD) performed over the same period.  |
| ![](img88187_5.jpg)  |

---

**Management's Discussion of Fund Performance**

**Market Recap:** 

Asset prices around the world experienced a synchronous downturn for most of 2022, as a multitude of crosscurrents challenged the global economy and financial markets. Persistently high inflation in some markets, exacerbated by energy price shocks from the Russia-Ukraine conflict, spurred the U.S. Federal Reserve and other global central banks to aggressively tighten monetary policy. This led to a broad retreat from risk and declining prices for both stocks and bonds through September. In Q4, markets experienced a sharp reversal amid optimism on inflation and policy easing, and riskier assets rallied to cap a tumultuous year. Against this backdrop, global investment-grade bonds returned -14.22% in 2022, according to the Bloomberg Global Aggregate Credit Index (Hedged USD). For the full year, all major bond-market segments and maturity ranges experienced rising yields and falling prices. U.S credit outperformed European and most other regional credit, higher-rated bonds outperformed lower-rated securities, and shorter-duration debt outpaced longer-duration bonds. For most of the year, corporate-backed bonds materially underperformed government-backed bonds in an environment of widening credit spreads, but corporates rebounded strongly during the late-year market rally.

**Comments from Co-Portfolio Managers Brandon Bettencourt and Richard Munclinger:** 

For the fiscal year ending December 31, 2022, the fund returned -10.84%, slightly trailing, net of fees, the -10.35% result of the benchmark, the Bloomberg Global Aggregate ex-USD Float Adjusted RIC Diversified Index (USD Hedged), a multicurrency benchmark that includes fixed-rate treasury, government-related, corporate and securitized bonds from developed and emerging-markets issuers, while excluding U.S.-dollar-denominated debt. Our goal is to produce monthly returns, before expenses, that closely match the benchmark return. Given the large number of securities in the index (more than 12,400), we use "stratified sampling techniques" in constructing the portfolio. This approach involves defining and maintaining a subset of constituent securities that, in aggregate, mirrors the chief characteristics of the index, including maturity, duration, sector allocation, credit quality and other factors. Returns for most international bonds were solidly negative in 2022, as major central banks across the world raised interest rates to tame inflation. This pushed up bond yields, which move inversely to prices. For the year, the fund lagged the benchmark primarily due to increased hedging costs for a subset of currencies.

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

**Investment Summary December 31, 2022 (Unaudited)**

---

| |
|:---|
| &nbsp;&nbsp; **Quality Diversification (% of Fund's net assets)**  |
| ![](img88187_6.jpg) <br>|
| *Percentages shown as 0.0% may reflect amounts less than 0.05%.*  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88187_7.jpg)  |
| *Foreign investments - 95.3%*  |
| *Futures - 0.8%*  |
| *Foreign Currency Contracts - (92.5)%*  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Geographic Diversification (% of Fund's net assets)**  |
| ![](img88187_8.jpg) <br>|
| *\* Includes Short-Term investments and Net Other Assets (Liabilities).* <br> *Percentages are based on country or territory of incorporation and are adjusted for the effect of derivatives, if applicable.*  |

---

**Schedule of Investments December 31, 2022**

Showing Percentage of Net Assets

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Nonconvertible Bonds - 29.3%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 29.3%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 29.3%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 29.3%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Australia - 0.8%  |  |  |  |
|  National Australia Bank Ltd.:  |  |  |  |
|  2.125% 5/24/28 (Reg. S)  | EUR  | 160000  | 159119  |
|  2.347% 8/30/29  | EUR  | 130000  | 129613  |
|  New South Wales Treasury Corp.:  |  |  |  |
|  1% 2/8/24  | AUD  | 1099000  | 726100  |
|  1.25% 3/20/25 (Reg. S)  | AUD  | 803000  | 516792  |
|  2% 3/20/31  | AUD  | 1106000  | 619722  |
|  3% 4/20/29 (Reg. S)  | AUD  | 860000  | 541981  |
|  Western Australia Treasury Corp.:  |  |  |  |
|  2.5% 7/23/24  | AUD  | 1531000  | 1020522  |
|  3% 10/21/26  | AUD  | 1842000  | 1209300  |
|  TOTAL AUSTRALIA  |  |  | 4923149  |
| Austria - 0.1%  |  |  |  |
|  Autobahn Schnell AG 0.1% 7/16/35 (Reg. S)  | EUR  | 140000  | 103210  |
|  BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG 0.1% 5/12/31  | EUR  | 300000  | 246327  |
|  Erste Group Bank AG 0.25% 9/14/29 (Reg. S)  | EUR  | 100000  | 83003  |
|  Oesterreichische Kontrollbank AG 0.5% 12/15/25 (Reg. S)  | GBP  | 152000  | 164310  |
|  OMV AG 2.375% 4/9/32 (Reg. S)  | EUR  | 76000  | 71964  |
|  Raiffeisen International Bank-Holding AG 1% 12/4/23 (Reg. S)  | EUR  | 200000  | 208251  |
|  TOTAL AUSTRIA  |  |  | 877065  |
| Bailiwick of Jersey - 0.0%  |  |  |  |
|  AA Bond Co. Ltd. 4.875% 7/31/43 (Reg. S)  | GBP  | 128000  | 146448  |
|  Heathrow Funding Ltd. 3.661% 1/13/33  | CAD  | 215000  | 140034  |
|  TOTAL BAILIWICK OF JERSEY  |  |  | 286482  |
| Belgium - 0.2%  |  |  |  |
|  Anheuser-Busch InBev SA NV:  |  |  |  |
|  1.5% 4/18/30 (Reg. S)  | EUR  | 49000  | 45346  |
|  2% 3/17/28 (Reg. S)  | EUR  | 32000  | 31723  |
|  2.25% 5/24/29 (Reg. S)  | GBP  | 53000  | 55201  |
|  3.7% 4/2/40 (Reg. S)  | EUR  | 131000  | 129225  |
|  Belfius Bank SA/NV 0% 8/28/26 (Reg. S)  | EUR  | 100000  | 94239  |
|  Fluvius System Operator CVBA 0.25% 6/14/28 (Reg. S)  | EUR  | 100000  | 87869  |
|  KBC Group NV:  |  |  |  |
|  0.125% 1/14/29 (Reg. S) (b)  | EUR  | 100000  | 86166  |
|  0.5% 12/3/29 (b)  | EUR  | 100000  | 96512  |
|  1.125% 1/25/24 (Reg. S)  | EUR  | 500000  | 524598  |
|  TOTAL BELGIUM  |  |  | 1150879  |
| Canada - 2.4%  |  |  |  |
|  407 International, Inc.:  |  |  |  |
|  2.84% 3/7/50  | CAD  | 73000  | 37265  |
|  3.65% 9/8/44  | CAD  | 295000  | 179678  |
|  Altalink LP 3.717% 12/3/46  | CAD  | 338000  | 209720  |
|  Bank of Montreal 3.19% 3/1/28  | CAD  | 65000  | 44778  |
|  Bank of Nova Scotia:  |  |  |  |
|  0.25% 1/11/24 (Reg. S)  | EUR  | 797000  | 827056  |
|  1.375% 12/5/23 (Reg. S)  | GBP  | 134000  | 157038  |
|  3.1% 2/2/28  | CAD  | 85000  | 58404  |
|  Bell Canada 4.45% 2/27/47  | CAD  | 40000  | 25169  |
|  Canada Housing Trust No. 1:  |  |  |  |
|  1.6% 12/15/31 (c)  | CAD  | 320000  | 198216  |
|  1.9% 9/15/26 (c)  | CAD  | 480000  | 331313  |
|  Canadian Imperial Bank of Commerce:  |  |  |  |
|  0.01% 4/30/29 (Reg. S)  | EUR  | 3019000  | 2614074  |
|  1.7% 7/15/26  | CAD  | 498000  | 328577  |
|  2.43% 6/9/23  | CAD  | 91000  | 66428  |
|  Canadian National Railway Co. 3.6% 8/1/47  | CAD  | 229000  | 136680  |
|  Choice Properties REIT 4.178% 3/8/28  | CAD  | 128000  | 89704  |
|  CI Financial Corp. 3.759% 5/26/25  | CAD  | 513000  | 363739  |
|  CPPIB Capital, Inc. 1.25% 12/7/27 (Reg. S)  | GBP  | 544000  | 563254  |
|  CU, Inc. 3.548% 11/22/47  | CAD  | 280000  | 163879  |
|  Enbridge Gas, Inc. 3.65% 4/1/50  | CAD  | 290000  | 168252  |
|  Enbridge Pipelines, Inc. 4.13% 8/9/46  | CAD  | 766000  | 448325  |
|  EPCOR Utilities, Inc. 3.554% 11/27/47  | CAD  | 571000  | 339673  |
|  Fairfax Financial Holdings Ltd. 4.7% 12/16/26  | CAD  | 234000  | 168089  |
|  Greater Toronto Airports Authority 2.75% 10/17/39  | CAD  | 516000  | 289436  |
|  Hydro One, Inc.:  |  |  |  |
|  0.71% 1/16/23  | CAD  | 127000  | 93669  |
|  1.69% 1/16/31  | CAD  | 417000  | 249550  |
|  3.02% 4/5/29  | CAD  | 30000  | 20466  |
|  Hydro-Quebec:  |  |  |  |
|  4% 2/15/63  | CAD  | 270000  | 190655  |
|  5% 2/15/50  | CAD  | 50000  | 41276  |
|  Inter Pipeline Ltd. 4.232% 6/1/27  | CAD  | 1526000  | 1077588  |
|  Keyera Corp. 3.959% 5/29/30  | CAD  | 991000  | 662067  |
|  North West Redwater Partnership/NWR Financing Co. Ltd. 4.35% 1/10/39  | CAD  | 641000  | 424736  |
|  Nova Scotia Province 3.45% 6/1/45  | CAD  | 150000  | 95736  |
|  Ontario Power Generation, Inc.:  |  |  |  |
|  2.893% 4/8/25  | CAD  | 390000  | 276240  |
|  3.215% 4/8/30  | CAD  | 100000  | 66922  |
|  Ontario Teachers' Finance Trust 0.95% 11/24/51 (Reg. S)  | EUR  | 110000  | 63832  |
|  Pembina Pipeline Corp.:  |  |  |  |
|  3.62% 4/3/29  | CAD  | 80000  | 54272  |
|  4.74% 1/21/47  | CAD  | 522000  | 323956  |
|  PSP Capital, Inc. 3.29% 4/4/24  | CAD  | 520000  | 378659  |
|  Royal Bank of Canada:  |  |  |  |
|  0.25% 1/29/24 (Reg. S)  | EUR  | 779000  | 807473  |
|  0.625% 9/10/25 (Reg. S)  | EUR  | 756000  | 752309  |
|  2.609% 11/1/24  | CAD  | 102000  | 71974  |
|  Shaw Communications, Inc. 2.9% 12/9/30  | CAD  | 968000  | 598702  |
|  TELUS Corp. 3.95% 2/16/50  | CAD  | 33000  | 18543  |
|  The Toronto-Dominion Bank:  |  |  |  |
|  1.707% 7/28/25 (Reg. S)  | EUR  | 360000  | 369113  |
|  1.943% 3/13/25  | CAD  | 252000  | 174100  |
|  2.496% 12/2/24  | CAD  | 60000  | 42185  |
|  Toronto Hydro Corp. 2.43% 12/11/29  | CAD  | 80000  | 52276  |
|  TransCanada PipeLines Ltd.:  |  |  |  |
|  3% 9/18/29  | CAD  | 30000  | 19516  |
|  4.18% 7/3/48  | CAD  | 33000  | 19089  |
|  4.35% 6/6/46  | CAD  | 546000  | 327152  |
|  TOTAL CANADA  |  |  | 15080803  |
| China - 6.9%  |  |  |  |
|  Agricultural Development Bank of China:  |  |  |  |
|  2.99% 8/11/26  | CNY  | 31790000  | 4644021  |
|  3.52% 5/24/31  | CNY  | 38250000  | 5726279  |
|  China Development Bank:  |  |  |  |
|  3.34% 7/14/25  | CNY  | 49780000  | 7344130  |
|  3.41% 6/7/31  | CNY  | 2540000  | 377582  |
|  3.48% 1/8/29  | CNY  | 62240000  | 9284628  |
|  3.5% 11/4/46  | CNY  | 820000  | 120668  |
|  3.68% 2/26/26  | CNY  | 27100000  | 4046129  |
|  3.7% 10/20/30  | CNY  | 17030000  | 2579906  |
|  3.8% 1/25/36  | CNY  | 550000  | 84108  |
|  Export-Import Bank of China:  |  |  |  |
|  3.22% 5/14/26  | CNY  | 50670000  | 7456598  |
|  3.38% 7/16/31  | CNY  | 8990000  | 1332868  |
|  TOTAL CHINA  |  |  | 42996917  |
| Czech Republic - 0.0%  |  |  |  |
|  EP Infrastructure A/S 1.659% 4/26/24 (Reg. S)  | EUR  | 110000  | 103347  |
| Denmark - 0.2%  |  |  |  |
|  Danske Bank A/S:  |  |  |  |
|  0.01% 11/10/24 (Reg. S) (b)  | EUR  | 261000  | 270464  |
|  0.5% 8/27/25 (Reg. S) (b)  | EUR  | 140000  | 140430  |
|  2.5% 6/21/29 (Reg. S) (b)  | EUR  | 126000  | 129443  |
|  Nykredit Realkredit A/S:  |  |  |  |
|  0.125% 7/10/24 (Reg. S)  | EUR  | 130000  | 131264  |
|  0.5% 7/10/25 (Reg. S)  | EUR  | 144000  | 141590  |
|  ORSTED A/S:  |  |  |  |
|  2.125% 5/17/27 (Reg. S)  | GBP  | 104000  | 112644  |
|  2.5% 5/16/33 (Reg. S)  | GBP  | 104000  | 99098  |
|  TOTAL DENMARK  |  |  | 1024933  |
| Finland - 0.2%  |  |  |  |
|  Nordea Bank ABP:  |  |  |  |
|  1% 6/27/29 (Reg. S) (b)  | EUR  | 135000  | 135147  |
|  2.5% 5/23/29 (Reg. S)  | EUR  | 144000  | 141454  |
|  Nordea Mortgage Bank PLC:  |  |  |  |
|  1% 11/5/24 (Reg. S)  | EUR  | 180000  | 184842  |
|  2.5% 9/14/32 (Reg. S)  | EUR  | 110000  | 110354  |
|  OP Mortgage Bank PLC:  |  |  |  |
|  0.01% 11/19/30 (Reg. S)  | EUR  | 180000  | 149909  |
|  1% 11/28/24 (Reg. S)  | EUR  | 170000  | 174188  |
|  Pohjola Bank PLC:  |  |  |  |
|  0.1% 11/16/27 (Reg. S)  | EUR  | 130000  | 116824  |
|  1.375% 9/4/26 (Reg. S)  | GBP  | 160000  | 165959  |
|  TOTAL FINLAND  |  |  | 1178677  |
| France - 3.3%  |  |  |  |
|  Aeroports de Paris SA 2.125% 10/2/26 (Reg. S)  | EUR  | 500000  | 504868  |
|  Autoroutes du Sud de la France 2.75% 9/2/32 (Reg. S)  | EUR  | 100000  | 98846  |
|  AXA SA:  |  |  |  |
|  1.875% 7/10/42 (Reg. S) (b)  | EUR  | 153000  | 122048  |
|  3.375% 7/6/47 (Reg. S) (b)  | EUR  | 100000  | 99009  |
|  Banque Federative du Credit Mutuel SA:  |  |  |  |
|  0.625% 11/19/27 (Reg. S)  | EUR  | 100000  | 90645  |
|  0.875% 12/7/27 (Reg. S)  | GBP  | 600000  | 591442  |
|  1% 7/16/26 (Reg. S)  | GBP  | 100000  | 104907  |
|  1.25% 5/26/27 (Reg. S)  | EUR  | 100000  | 96274  |
|  2.5% 5/25/28 (Reg. S)  | EUR  | 300000  | 291268  |
|  2.625% 11/6/29 (Reg. S)  | EUR  | 100000  | 96496  |
|  BNP Paribas SA:  |  |  |  |
|  0.875% 7/11/30 (Reg. S) (b)  | EUR  | 100000  | 85091  |
|  1.25% 7/13/31 (Reg. S)  | GBP  | 100000  | 85511  |
|  1.875% 12/14/27 (Reg. S)  | GBP  | 200000  | 202503  |
|  2% 5/24/31 (Reg. S) (b)  | GBP  | 200000  | 205792  |
|  2% 9/13/36 (Reg. S)  | GBP  | 100000  | 79657  |
|  2.5% 3/31/32 (Reg. S) (b)  | EUR  | 100000  | 94686  |
|  3.375% 1/23/26 (Reg. S)  | GBP  | 550000  | 624196  |
|  BPCE SA:  |  |  |  |
|  0.25% 1/15/26 (Reg. S)  | EUR  | 100000  | 96686  |
|  0.625% 9/26/24 (Reg. S)  | EUR  | 500000  | 509139  |
|  1% 1/14/32 (Reg. S)  | EUR  | 200000  | 161933  |
|  1.625% 1/31/28 (Reg. S)  | EUR  | 100000  | 94085  |
|  2.5% 11/30/32 (Reg. S) (b)  | GBP  | 100000  | 97529  |
|  BPCE SFH 0.01% 10/16/28 (Reg. S)  | EUR  | 500000  | 442859  |
|  Caisse d'Amort de la Dette Sociale:  |  |  |  |
|  0% 2/25/28 (Reg. S)  | EUR  | 600000  | 545583  |
|  0% 11/25/30 (Reg. S)  | EUR  | 900000  | 745781  |
|  0% 5/25/31 (Reg. S)  | EUR  | 300000  | 245384  |
|  0.125% 10/25/23 (Reg. S)  | EUR  | 300000  | 313598  |
|  1.75% 11/25/27 (Reg. S)  | EUR  | 500000  | 500275  |
|  Caisse Francaise de Finance:  |  |  |  |
|  0.125% 6/30/31 (Reg. S)  | EUR  | 1200000  | 982891  |
|  0.125% 2/15/36 (Reg. S)  | EUR  | 900000  | 632506  |
|  Carrefour Banque SA 0.107% 6/14/25 (Reg. S)  | EUR  | 200000  | 196278  |
|  CNP Assurances 2.5% 6/30/51 (Reg. S) (b)  | EUR  | 100000  | 86749  |
|  Compagnie Financiere du Credit Mutuel:  |  |  |  |
|  0.875% 10/25/31 (Reg. S)  | EUR  | 100000  | 80060  |
|  1.875% 10/25/29 (b)  | EUR  | 100000  | 100969  |
|  Credit Agricole Home Loan SFH 1.5% 9/28/38  | EUR  | 300000  | 247602  |
|  Credit Agricole SA:  |  |  |  |
|  0.375% 4/20/28 (Reg. S)  | EUR  | 100000  | 87809  |
|  1% 9/18/25 (Reg. S)  | EUR  | 200000  | 201290  |
|  1.125% 7/12/32 (Reg. S)  | EUR  | 300000  | 245004  |
|  1.625% 6/5/30 (Reg. S) (b)  | EUR  | 100000  | 98546  |
|  1.874% 12/9/31 (b)  | GBP  | 200000  | 200064  |
|  2.625% 3/17/27 (Reg. S)  | EUR  | 107000  | 107134  |
|  3.875% 11/28/34 (Reg. S)  | EUR  | 100000  | 102740  |
|  Credit Commercial de France 0.1% 9/3/27 (Reg. S)  | EUR  | 200000  | 182820  |
|  CTE Co. 1.5% 7/29/28 (Reg.S)  | EUR  | 100000  | 93970  |
|  Dexia Credit Local SA:  |  |  |  |
|  0.625% 2/3/24 (Reg. S)  | EUR  | 100000  | 104146  |
|  0.625% 1/17/26 (Reg. S)  | EUR  | 500000  | 494968  |
|  0.75% 1/25/23 (Reg. S)  | EUR  | 100000  | 106966  |
|  Electricite de France SA:  |  |  |  |
|  1% 11/29/33 (Reg. S)  | EUR  | 100000  | 74343  |
|  2% 12/9/49 (Reg. S)  | EUR  | 400000  | 257449  |
|  Engie SA 0.875% 3/27/24 (Reg. S)  | EUR  | 300000  | 311223  |
|  Gecina SA 1.375% 1/26/28 (Reg. S)  | EUR  | 200000  | 189962  |
|  ICADE 1.625% 2/28/28 (Reg. S)  | EUR  | 100000  | 88802  |
|  Klepierre SA 0.875% 2/17/31 (Reg. S)  | EUR  | 100000  | 78187  |
|  La Banque Postale:  |  |  |  |
|  1% 2/9/28 (Reg. S) (b)  | EUR  | 100000  | 92858  |
|  5.625% 9/21/28 (Reg. S) (b)  | GBP  | 100000  | 117929  |
|  La Mondiale 0.75% 4/20/26 (Reg. S)  | EUR  | 100000  | 93986  |
|  La Poste 1.375% 4/21/32 (Reg. S)  | EUR  | 400000  | 341966  |
|  MACIF 0.625% 6/21/27 (Reg. S)  | EUR  | 100000  | 88312  |
|  Orange SA 0.75% 6/29/34 (Reg. S)  | EUR  | 500000  | 377726  |
|  Oseo SA:  |  |  |  |
|  0.125% 11/25/23 (Reg. S)  | EUR  | 100000  | 104193  |
|  0.125% 3/25/25 (Reg. S)  | EUR  | 200000  | 200067  |
|  0.25% 3/29/30 (Reg. S)  | EUR  | 100000  | 86380  |
|  0.625% 5/25/26 (Reg. S)  | EUR  | 200000  | 196777  |
|  0.75% 11/25/24  | EUR  | 200000  | 204606  |
|  2.125% 11/29/27 (Reg. S)  | EUR  | 200000  | 203192  |
|  RCI Banque SA:  |  |  |  |
|  0.75% 4/10/23 (Reg. S)  | EUR  | 41000  | 43677  |
|  1.625% 5/26/26 (Reg. S)  | EUR  | 37000  | 35772  |
|  RTE EdF Transport SA:  |  |  |  |
|  0% 9/9/27 (Reg. S)  | EUR  | 100000  | 89918  |
|  0.625% 7/8/32 (Reg. S)  | EUR  | 200000  | 159045  |
|  Societe du Grand Paris EPIC:  |  |  |  |
|  0% 11/25/30 (Reg. S)  | EUR  | 200000  | 165323  |
|  1.7% 5/25/50 (Reg. S)  | EUR  | 500000  | 352357  |
|  Societe Generale:  |  |  |  |
|  1% 11/24/30 (b)  | EUR  | 100000  | 93851  |
|  1.25% 2/15/24 (Reg. S)  | EUR  | 500000  | 522182  |
|  1.25% 12/7/27  | GBP  | 300000  | 291770  |
|  1.5% 5/30/25 (Reg. S) (b)  | EUR  | 500000  | 518563  |
|  Societe Generale SFH 0.25% 9/11/23 (Reg. S)  | EUR  | 100000  | 105098  |
|  Societe Nationale des Chemins de Fer Francais 0.625% 4/17/30 (Reg. S)  | EUR  | 300000  | 264450  |
|  Suez SACA 1.875% 5/24/27 (Reg. S)  | EUR  | 100000  | 97090  |
|  UNEDIC:  |  |  |  |
|  0% 11/25/28 (Reg. S)  | EUR  | 200000  | 178204  |
|  0.25% 11/25/29 (Reg. S)  | EUR  | 600000  | 527933  |
|  0.25% 7/16/35 (Reg. S)  | EUR  | 400000  | 287659  |
|  0.875% 5/25/28 (Reg. S)  | EUR  | 400000  | 379930  |
|  1.25% 10/21/27 (Reg. S)  | EUR  | 100000  | 98143  |
|  1.5% 4/20/32 (Reg. S)  | EUR  | 100000  | 92042  |
|  Unibail-Rodamco:  |  |  |  |
|  0.75% 10/25/28 (Reg. S)  | EUR  | 200000  | 171373  |
|  1% 2/27/27 (Reg. S)  | EUR  | 600000  | 558601  |
|  Veolia Environnement SA:  |  |  |  |
|  0.892% 1/14/24 (Reg. S)  | EUR  | 1000000  | 1044941  |
|  1.25% 4/15/28 (Reg. S)  | EUR  | 100000  | 94424  |
|  TOTAL FRANCE  |  |  | 20858907  |
| Germany - 2.1%  |  |  |  |
|  Aareal Bank AG 0.05% 9/2/26 (Reg. S)  | EUR  | 100000  | 88130  |
|  Allianz SE:  |  |  |  |
|  1.301% 9/25/49 (Reg. S) (b)  | EUR  | 100000  | 83420  |
|  4.252% 7/5/52 (Reg. S) (b)  | EUR  | 100000  | 98241  |
|  Amprion GmbH 3.45% 9/22/27 (Reg. S)  | EUR  | 100000  | 105000  |
|  Bayer AG 1.375% 7/6/32 (Reg. S)  | EUR  | 300000  | 252243  |
|  Bayerische Landesbank 1% 12/20/24 (Reg. S)  | GBP  | 300000  | 338068  |
|  Berlin Hannoversche Hypothekenbank AG:  |  |  |  |
|  0.25% 5/30/23 (Reg. S)  | EUR  | 108000  | 114567  |
|  0.25% 5/19/33 (Reg. S)  | EUR  | 1020000  | 807991  |
|  Bremen Freie Hansestadt 0.4% 8/20/49 (Reg. S)  | EUR  | 29000  | 16213  |
|  Commerzbank AG:  |  |  |  |
|  0.01% 3/11/30  | EUR  | 53000  | 45251  |
|  0.5% 12/4/26 (Reg. S)  | EUR  | 58000  | 54814  |
|  1.25% 1/9/34  | EUR  | 58000  | 50653  |
|  1.5% 8/28/28 (Reg. S)  | EUR  | 100000  | 95193  |
|  1.875% 2/28/28 (Reg. S)  | EUR  | 100000  | 92423  |
|  Deutsche Bahn Finance BV:  |  |  |  |
|  0.375% 12/3/26 (Reg. S)  | GBP  | 214000  | 220406  |
|  0.625% 12/8/50 (Reg. S)  | EUR  | 144000  | 76121  |
|  0.875% 6/23/39 (Reg. S)  | EUR  | 198000  | 138778  |
|  1.375% 7/7/25 (Reg. S)  | GBP  | 28000  | 31472  |
|  1.875% 2/13/26 (Reg. S)  | GBP  | 171000  | 191376  |
|  Deutsche Bank AG:  |  |  |  |
|  3 month EURIBOR + 1.870% 1.875% 2/23/28 (Reg. S) (b)(d)  | EUR  | 100000  | 93592  |
|  1.375% 9/3/26 (Reg. S) (b)  | EUR  | 200000  | 195015  |
|  1.625% 1/20/27 (Reg. S)  | EUR  | 300000  | 282993  |
|  2.625% 12/16/24 (Reg. S)  | GBP  | 200000  | 224506  |
|  4% 6/24/32 (Reg. S) (b)  | EUR  | 100000  | 94708  |
|  Deutsche Borse AG 0.125% 2/22/31 (Reg. S)  | EUR  | 100000  | 81764  |
|  Deutsche Telekom AG 3.125% 2/6/34 (Reg. S)  | GBP  | 60000  | 60845  |
|  E.ON SE:  |  |  |  |
|  0.25% 10/24/26 (Reg. S)  | EUR  | 69000  | 65970  |
|  0.75% 2/20/28 (Reg. S)  | EUR  | 99000  | 92224  |
|  0.875% 10/18/34 (Reg. S)  | EUR  | 117000  | 89111  |
|  EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (b)  | EUR  | 100000  | 79078  |
|  Hannover Reuck SE 1.75% 10/8/40 (Reg. S) (b)  | EUR  | 100000  | 83099  |
|  KfW:  |  |  |  |
|  0% 6/30/23 (Reg. S)  | EUR  | 173000  | 183008  |
|  0% 9/30/26 (Reg. S)  | EUR  | 273000  | 262326  |
|  0% 9/15/28 (Reg. S)  | EUR  | 442000  | 398672  |
|  0% 9/17/30 (Reg. S)  | EUR  | 261000  | 221278  |
|  0.01% 5/5/27 (Reg. S)  | EUR  | 38000  | 35788  |
|  0.05% 9/29/34 (Reg. S)  | EUR  | 1284000  | 966307  |
|  0.125% 12/30/26 (Reg. S)  | GBP  | 1064000  | 1090400  |
|  0.625% 2/22/27  | EUR  | 283000  | 275280  |
|  0.625% 1/7/28  | EUR  | 324000  | 308614  |
|  0.75% 6/28/28  | EUR  | 72000  | 68286  |
|  0.875% 9/15/26 (Reg. S)  | GBP  | 43000  | 45923  |
|  0.875% 7/4/39 (Reg. S)  | EUR  | 110000  | 83691  |
|  1.375% 12/9/24 (Reg. S)  | GBP  | 151000  | 172452  |
|  1.375% 2/2/28  | SEK  | 310000  | 26818  |
|  1.5% 7/24/24  | AUD  | 82000  | 53730  |
|  3.2% 9/11/26  | AUD  | 118000  | 77622  |
|  Landesbank Baden-Wurttemberg 0.375% 5/7/29 (Reg. S)  | EUR  | 100000  | 83129  |
|  Landwirtschaftliche Rentenbank:  |  |  |  |
|  0.05% 12/18/29 (Reg. S)  | EUR  | 42000  | 36629  |
|  0.875% 12/15/26 (Reg. S)  | GBP  | 19000  | 20130  |
|  1.375% 9/8/25 (Reg. S)  | GBP  | 1512000  | 1692695  |
|  2.6% 3/23/27 (Reg. S)  | AUD  | 60000  | 38069  |
|  LEG Immobilien AG:  |  |  |  |
|  0.375% 1/17/26 (Reg. S)  | EUR  | 100000  | 93631  |
|  0.875% 1/17/29 (Reg. S)  | EUR  | 100000  | 84144  |
|  Mercedes-Benz Group AG:  |  |  |  |
|  1.125% 8/8/34 (Reg. S)  | EUR  | 27000  | 21798  |
|  1.5% 7/3/29 (Reg. S)  | EUR  | 44000  | 41731  |
|  Muenchener Hypothekenbank eG:  |  |  |  |
|  0.5% 12/11/24 (Reg. S)  | GBP  | 800000  | 896070  |
|  1.875% 8/25/32 (Reg. S)  | EUR  | 60000  | 57174  |
|  NRW.BANK 0.875% 4/12/34  | EUR  | 387000  | 322664  |
|  RWE AG 2.75% 5/24/30 (Reg. S)  | EUR  | 120000  | 116970  |
|  UniCredit Bank AG:  |  |  |  |
|  0.25% 1/15/32 (Reg. S)  | EUR  | 39000  | 32131  |
|  0.375% 1/17/33 (Reg. S)  | EUR  | 200000  | 162135  |
|  0.85% 5/22/34 (Reg. S)  | EUR  | 102000  | 84268  |
|  Vier Gas Transport GmbH 1.5% 9/25/28 (Reg. S)  | EUR  | 100000  | 92001  |
|  Volkswagen Financial Services AG:  |  |  |  |
|  0.875% 1/31/28 (Reg. S)  | EUR  | 630000  | 559053  |
|  1.5% 10/1/24 (Reg. S)  | EUR  | 36000  | 36875  |
|  2.5% 4/6/23  | EUR  | 35000  | 37433  |
|  3.375% 4/6/28 (Reg. S)  | EUR  | 32000  | 32106  |
|  Vonovia SE 1% 6/16/33 (Reg. S)  | EUR  | 400000  | 282944  |
|  TOTAL GERMANY  |  |  | 13437240  |
| Ireland - 0.2%  |  |  |  |
|  Bank of Ireland Group PLC 1% 11/25/25 (Reg. S) (b)  | EUR  | 100000  | 100117  |
|  ESB Finance Ltd. 1.125% 6/11/30 (Reg. S)  | EUR  | 135000  | 119596  |
|  Johnson Controls International PLC 1.375% 2/25/25  | EUR  | 1296000  | 1321570  |
|  TOTAL IRELAND  |  |  | 1541283  |
| Italy - 0.4%  |  |  |  |
|  ACEA SpA 1.5% 6/8/27 (Reg. S)  | EUR  | 117000  | 110907  |
|  Amco - Asset Management Co. SpA 1.375% 1/27/25 (Reg. S)  | EUR  | 110000  | 110931  |
|  Assicurazioni Generali SpA:  |  |  |  |
|  2.124% 10/1/30 (Reg. S)  | EUR  | 130000  | 114308  |
|  5.5% 10/27/47 (Reg. S) (b)  | EUR  | 100000  | 107822  |
|  Ferrovie dello Stato FS SpA 1.5% 6/27/25 (Reg. S)  | EUR  | 144000  | 144600  |
|  Intesa Sanpaolo SpA:  |  |  |  |
|  0.75% 3/16/28 (Reg. S)  | EUR  | 260000  | 231379  |
|  2.125% 5/26/25 (Reg. S)  | EUR  | 323000  | 331078  |
|  Mediobanca SpA 1.625% 1/7/25 (Reg. S)  | EUR  | 280000  | 287908  |
|  Snam SpA:  |  |  |  |
|  0% 5/12/24 (Reg. S)  | EUR  | 110000  | 112089  |
|  0.75% 6/20/29 (Reg. S)  | EUR  | 190000  | 165827  |
|  UniCredit SpA 2.2% 7/22/27 (Reg. S) (b)  | EUR  | 490000  | 474826  |
|  TOTAL ITALY  |  |  | 2191675  |
| Japan - 0.0%  |  |  |  |
|  Takeda Pharmaceutical Co. Ltd. 2% 7/9/40  | EUR  | 157000  | 119213  |
| Korea (South) - 0.0%  |  |  |  |
|  Korea Housing Finance Corp. 0.01% 7/7/25 (Reg. S)  | EUR  | 160000  | 156267  |
| Luxembourg - 1.4%  |  |  |  |
|  Aroundtown SA 0.375% 4/15/27 (Reg. S)  | EUR  | 200000  | 141074  |
|  Becton Dickinson Euro Finance SARL 1.208% 6/4/26  | EUR  | 1553000  | 1522318  |
|  Blackstone Property Partners Europe LP:  |  |  |  |
|  1.25% 4/26/27 (Reg. S)  | EUR  | 153000  | 127529  |
|  2% 2/15/24 (Reg. S)  | EUR  | 180000  | 182719  |
|  CK Hutchison Group Telecom Finance SA 0.375% 10/17/23 (Reg. S)  | EUR  | 887000  | 926918  |
|  CPI Property Group SA 2.75% 5/12/26 (Reg. S)  | EUR  | 153000  | 128161  |
|  DH Europe Finance II SARL:  |  |  |  |
|  0.2% 3/18/26  | EUR  | 2894000  | 2794352  |
|  0.75% 9/18/31  | EUR  | 456000  | 380836  |
|  1.35% 9/18/39  | EUR  | 192000  | 139682  |
|  Logicor Financing SARL 0.75% 7/15/24 (Reg. S)  | EUR  | 558000  | 547913  |
|  Medtronic Global Holdings SCA:  |  |  |  |
|  0.25% 7/2/25  | EUR  | 100000  | 98972  |
|  1.75% 7/2/49 (Reg. S)  | EUR  | 1527000  | 1006916  |
|  Nestle Finance International Ltd. 1.25% 11/2/29 (Reg. S)  | EUR  | 30000  | 28046  |
|  Prologis International Funding II SA 1.75% 3/15/28 (Reg. S)  | EUR  | 144000  | 137134  |
|  Segro Capital SARL 1.25% 3/23/26 (Reg. S)  | EUR  | 160000  | 156189  |
|  SELP Finance SARL 1.5% 11/20/25 (Reg. S)  | EUR  | 100000  | 96715  |
|  Whirlpool EMEA Finance SARL 0.5% 2/20/28  | EUR  | 170000  | 150294  |
|  TOTAL LUXEMBOURG  |  |  | 8565768  |
| Mexico - 0.1%  |  |  |  |
|  America Movil S.A.B. de CV:  |  |  |  |
|  0.75% 6/26/27  | EUR  | 100000  | 93818  |
|  1.5% 3/10/24  | EUR  | 100000  | 104422  |
|  2.125% 3/10/28  | EUR  | 200000  | 196869  |
|  Petroleos Mexicanos 4.75% 2/26/29 (Reg. S)  | EUR  | 100000  | 83682  |
|  TOTAL MEXICO  |  |  | 478791  |
| Multi-National - 0.0%  |  |  |  |
|  EUROFIMA 0.15% 10/10/34 (Reg. S)  | EUR  | 191000  | 142489  |
| Netherlands - 1.9%  |  |  |  |
|  ABN AMRO Bank NV:  |  |  |  |
|  0.375% 1/14/35 (Reg. S)  | EUR  | 200000  | 152038  |
|  0.6% 1/15/27 (Reg. S)  | EUR  | 300000  | 282828  |
|  0.875% 1/15/24 (Reg. S)  | EUR  | 150000  | 157395  |
|  1.375% 1/12/37 (Reg. S)  | EUR  | 400000  | 334753  |
|  Airbus Group NV 2.375% 6/9/40 (Reg. S)  | EUR  | 166000  | 134231  |
|  Allianz Finance II BV 1.5% 1/15/30 (Reg. S)  | EUR  | 200000  | 187736  |
|  Bank Nederlandse Gemeenten NV:  |  |  |  |
|  0.75% 1/24/29 (Reg. S)  | EUR  | 2004000  | 1868174  |
|  3.3% 7/17/28 (Reg. S)  | AUD  | 97000  | 61276  |
|  BAT Netherlands Finance BV 3.125% 4/7/28 (Reg. S)  | EUR  | 100000  | 98411  |
|  BMV Finance NV:  |  |  |  |
|  0.625% 10/6/23 (Reg. S)  | EUR  | 32000  | 33679  |
|  1.5% 2/6/29 (Reg. S)  | EUR  | 86000  | 81566  |
|  CTP BV 0.75% 2/18/27 (Reg. S)  | EUR  | 108000  | 86592  |
|  Daimler International Finance BV:  |  |  |  |
|  0.375% 11/8/26 (Reg. S)  | EUR  | 23000  | 22024  |
|  1.375% 6/26/26 (Reg. S)  | EUR  | 44000  | 44196  |
|  2.625% 4/7/25 (Reg. S)  | EUR  | 472000  | 498735  |
|  Deutsche Annington Finance BV:  |  |  |  |
|  0.625% 10/7/27 (Reg. S)  | EUR  | 100000  | 87144  |
|  0.75% 1/15/24 (Reg. S)  | EUR  | 200000  | 206963  |
|  1.625% 4/7/24 (Reg. S)  | EUR  | 400000  | 415793  |
|  Digital Dutch Finco BV 1.5% 3/15/30 (Reg. S)  | EUR  | 100000  | 83567  |
|  Digital Intrepid Holding BV 0.625% 7/15/31 (Reg. S)  | EUR  | 100000  | 73203  |
|  E.ON International Finance BV:  |  |  |  |
|  1% 4/13/25 (Reg. S)  | EUR  | 660000  | 669971  |
|  1.5% 7/31/29 (Reg. S)  | EUR  | 115000  | 106372  |
|  EDP Finance BV 1.875% 9/21/29 (Reg. S)  | EUR  | 100000  | 94144  |
|  EnBW International Finance BV 0.5% 3/1/33 (Reg. S)  | EUR  | 81000  | 60060  |
|  Eneco Holding NV 0% 11/16/26 (Reg. S)  | EUR  | 117000  | 109121  |
|  ENEL Finance International NV:  |  |  |  |
|  0.375% 6/17/27 (Reg. S)  | EUR  | 220000  | 202975  |
|  2.875% 4/11/29 (Reg. S)  | GBP  | 456000  | 470923  |
|  Euronext NV 1% 4/18/25 (Reg. S)  | EUR  | 240000  | 241031  |
|  Heimstaden Bostad Treasury BV 1.375% 7/24/28 (Reg. S)  | EUR  | 135000  | 107868  |
|  ING Groep NV:  |  |  |  |
|  0.25% 2/18/29 (Reg. S) (b)  | EUR  | 500000  | 430897  |
|  1.125% 2/14/25 (Reg. S)  | EUR  | 300000  | 306337  |
|  2.125% 5/26/31 (Reg. S) (b)  | EUR  | 400000  | 388355  |
|  3% 2/18/26 (Reg. S)  | GBP  | 100000  | 112450  |
|  JAB Holdings BV 2.5% 6/25/29  | EUR  | 100000  | 95471  |
|  LeasePlan Corp. NV 2.125% 5/6/25 (Reg. S)  | EUR  | 130000  | 132324  |
|  Nationale-Nederlanden Bank NV 1% 9/25/28 (Reg. S)  | EUR  | 700000  | 661648  |
|  Naturgy Finance BV 1.25% 1/15/26 (Reg. S)  | EUR  | 200000  | 197248  |
|  Nederlandse Waterschapsbank NV:  |  |  |  |
|  0.75% 10/4/41 (Reg. S)  | EUR  | 748000  | 522378  |
|  3.3% 5/2/29 (Reg. S)  | AUD  | 40000  | 24880  |
|  NIBC Bank NV 2% 4/9/24 (Reg. S)  | EUR  | 200000  | 208311  |
|  Rabobank Nederland:  |  |  |  |
|  0.25% 10/30/26 (Reg. S)  | EUR  | 500000  | 472284  |
|  0.75% 8/29/23 (Reg. S)  | EUR  | 300000  | 317273  |
|  1.25% 3/23/26 (Reg. S)  | EUR  | 79000  | 79399  |
|  Royal Schiphol Group NV 2% 4/6/29 (Reg. S)  | EUR  | 117000  | 111611  |
|  Schlumberger Finance BV 2% 5/6/32 (Reg. S)  | EUR  | 230000  | 210389  |
|  Siemens Financieringsmaatschappij NV:  |  |  |  |
|  0.125% 9/5/29 (Reg. S)  | EUR  | 24000  | 21143  |
|  1.75% 2/28/39 (Reg. S)  | EUR  | 23000  | 19508  |
|  TenneT Holding BV 0.875% 6/16/35 (Reg. S)  | EUR  | 234000  | 173970  |
|  Volkswagen Financial Services AG 2.25% 4/12/25 (Reg. S)  | GBP  | 26000  | 29230  |
|  Volkswagen International Finance NV:  |  |  |  |
|  1.125% 10/2/23 (Reg. S)  | EUR  | 100000  | 105429  |
|  1.625% 1/16/30 (Reg. S)  | EUR  | 45000  | 40529  |
|  4.125% 11/16/38 (Reg. S)  | EUR  | 200000  | 195571  |
|  WPC Eurobond BV 2.25% 4/9/26  | EUR  | 110000  | 108422  |
|  TOTAL NETHERLANDS  |  |  | 11937826  |
| Norway - 0.6%  |  |  |  |
|  DNB Bank ASA:  |  |  |  |
|  0.05% 11/14/23 (Reg. S)  | EUR  | 400000  | 417270  |
|  4% 8/17/27 (Reg. S) (b)  | GBP  | 100000  | 114218  |
|  DNB Naeringskreditt A/S 0.375% 11/14/23 (Reg. S)  | EUR  | 850000  | 888932  |
|  Equinor ASA 1.375% 5/22/32 (Reg. S)  | EUR  | 241000  | 213433  |
|  Kommunalbanken A/S:  |  |  |  |
|  0.6% 6/1/26  | AUD  | 500000  | 299556  |
|  1.5% 12/15/23 (Reg. S)  | GBP  | 100000  | 118161  |
|  Sparebank 1 Boligkreditt A/S 0.01% 9/22/27 (Reg. S)  | EUR  | 1151000  | 1055525  |
|  Telenor ASA:  |  |  |  |
|  0% 9/25/23 (Reg. S)  | EUR  | 253000  | 265166  |
|  0.75% 5/31/26 (Reg. S)  | EUR  | 100000  | 96985  |
|  1.125% 5/31/29 (Reg. S)  | EUR  | 157000  | 143154  |
|  TOTAL NORWAY  |  |  | 3612400  |
| Spain - 0.5%  |  |  |  |
|  Abertis Infraestructuras SA 2.375% 9/27/27 (Reg. S)  | EUR  | 400000  | 387523  |
|  Banco Bilbao Vizcaya Argentaria SA:  |  |  |  |
|  2.575% 2/22/29 (Reg. S) (b)  | EUR  | 100000  | 104329  |
|  4.375% 10/14/29 (Reg. S)  | EUR  | 200000  | 216803  |
|  Banco Santander SA:  |  |  |  |
|  0.2% 2/11/28 (Reg. S)  | EUR  | 300000  | 264830  |
|  1.375% 1/5/26 (Reg. S)  | EUR  | 300000  | 297767  |
|  2.125% 2/8/28 (Reg. S)  | EUR  | 100000  | 95374  |
|  3.125% 1/19/27 (Reg. S)  | EUR  | 100000  | 102631  |
|  CaixaBank SA:  |  |  |  |
|  0.75% 5/26/28 (Reg. S) (b)  | EUR  | 100000  | 89937  |
|  2.25% 4/17/30 (Reg. S) (b)  | EUR  | 100000  | 97547  |
|  2.375% 2/1/24 (Reg. S)  | EUR  | 800000  | 847647  |
|  3.75% 2/15/29 (Reg. S) (b)  | EUR  | 100000  | 105011  |
|  Comunidad de Madrid 1.571% 4/30/29 (Reg. S)  | EUR  | 316000  | 302592  |
|  Iberdrola Finanzas SAU 3.375% 11/22/32 (Reg. S)  | EUR  | 100000  | 103303  |
|  TOTAL SPAIN  |  |  | 3015294  |
| Sweden - 1.3%  |  |  |  |
|  Akelius Residential Property AB 1.125% 3/14/24 (Reg. S)  | EUR  | 297000  | 302236  |
|  Fastighets AB Balder 1.25% 1/28/28 (Reg. S)  | EUR  | 108000  | 79886  |
|  Kommuninvest I Sverige AB:  |  |  |  |
|  0.75% 2/22/23 (Reg. S)  | SEK  | 990000  | 94655  |
|  1% 10/2/24 (Reg. S)  | SEK  | 8080000  | 740837  |
|  1% 5/12/25 (Reg. S)  | SEK  | 9970000  | 900755  |
|  1% 11/12/26 (Reg. S)  | SEK  | 6710000  | 585576  |
|  Lansforsakringar Hypotek AB:  |  |  |  |
|  1.25% 9/17/25  | SEK  | 400000  | 36052  |
|  1.5% 9/16/26 (Reg. S)  | SEK  | 5600000  | 497397  |
|  Nordea Hypotek AB 1% 9/17/25  | SEK  | 1700000  | 152156  |
|  Sagax AB 2.25% 3/13/25 (Reg. S)  | EUR  | 120000  | 118345  |
|  Samhallsbyggnadsbolaget I Norden AB 1% 8/12/27 (Reg. S)  | EUR  | 108000  | 79770  |
|  Skandinaviska Enskilda Banken AB:  |  |  |  |
|  0.75% 11/15/27 (Reg. S)  | EUR  | 100000  | 95044  |
|  1.75% 11/11/26 (Reg. S)  | EUR  | 210000  | 210071  |
|  Stadshypotek AB:  |  |  |  |
|  0.375% 3/13/26 (Reg. S)  | EUR  | 500000  | 488285  |
|  1.5% 6/1/23 (Reg. S)  | SEK  | 5000000  | 476608  |
|  1.5% 3/1/24 (Reg. S)  | SEK  | 1000000  | 94011  |
|  1.5% 12/3/24 (Reg. S)  | SEK  | 8000000  | 738642  |
|  Svenska Handelsbanken AB:  |  |  |  |
|  1% 4/15/25 (Reg. S)  | EUR  | 220000  | 223368  |
|  1.625% 12/15/23 (Reg. S)  | GBP  | 656000  | 771629  |
|  1.625% 3/5/29 (Reg. S) (b)  | EUR  | 130000  | 133700  |
|  Swedbank AB 2.1% 5/25/27 (Reg. S)  | EUR  | 108000  | 107653  |
|  Swedbank Hypotek AB:  |  |  |  |
|  0.45% 8/23/23 (Reg. S)  | EUR  | 190000  | 200207  |
|  1% 9/18/24 (Reg. S)  | SEK  | 800000  | 73557  |
|  Swedish Covered Bond Corp. 2% 6/17/26 (Reg. S)  | SEK  | 11000000  | 999430  |
|  Vattenfall AB 0.125% 2/12/29 (Reg. S)  | EUR  | 108000  | 92382  |
|  TOTAL SWEDEN  |  |  | 8292252  |
| Switzerland - 0.8%  |  |  |  |
|  Credit Suisse Group AG:  |  |  |  |
|  0.65% 1/14/28 (Reg. S) (b)  | EUR  | 100000  | 79823  |
|  1% 6/24/27 (Reg. S) (b)  | EUR  | 150000  | 125952  |
|  1.25% 7/17/25 (Reg. S) (b)  | EUR  | 307000  | 294474  |
|  3.25% 4/2/26 (Reg. S) (b)  | EUR  | 605000  | 580678  |
|  Pfandbrief Schweiz Hypo:  |  |  |  |
|  0% 7/29/24 (Reg. S)  | CHF  | 40000  | 42133  |
|  0% 8/26/49 (Reg. S)  | CHF  | 520000  | 320961  |
|  0.125% 12/19/31 (Reg. S)  | CHF  | 1110000  | 1002499  |
|  Pfandbriefbank Schweizerischer Hypothekarinstitute AG:  |  |  |  |
|  0% 3/13/28 (Reg. S)  | CHF  | 750000  | 732277  |
|  0% 7/25/31 (Reg. S)  | CHF  | 110000  | 99412  |
|  0.1% 12/3/31 (Reg. S)  | CHF  | 195000  | 176362  |
|  0.5% 11/24/28 (Reg. S)  | CHF  | 40000  | 39720  |
|  UBS Group AG:  |  |  |  |
|  0.25% 1/29/26 (Reg. S) (b)  | EUR  | 669000  | 656706  |
|  1% 3/21/25 (Reg. S) (b)  | EUR  | 300000  | 308852  |
|  1.25% 4/17/25 (Reg. S) (b)  | EUR  | 414000  | 425842  |
|  TOTAL SWITZERLAND  |  |  | 4885691  |
| United Kingdom - 1.3%  |  |  |  |
|  Amcor UK Finance PLC 1.125% 6/23/27  | EUR  | 1384000  | 1302389  |
|  Annington Funding PLC 2.308% 10/6/32 (Reg. S)  | GBP  | 104000  | 90200  |
|  Barclays PLC:  |  |  |  |
|  2% 2/7/28 (Reg. S) (b)  | EUR  | 335000  | 355739  |
|  3.25% 1/17/33  | GBP  | 299000  | 281791  |
|  3.375% 4/2/25 (Reg. S) (b)  | EUR  | 701000  | 742768  |
|  BP Capital Markets PLC 1.637% 6/26/29 (Reg. S)  | EUR  | 100000  | 93861  |
|  HSBC Holdings PLC:  |  |  |  |
|  Eur Swap Annual 5Y Index + 3.300% 6.364% 11/16/32 (Reg. S) (b)(d)  | EUR  | 270000  | 293195  |
|  1.5% 12/4/24 (Reg. S) (b)  | EUR  | 930000  | 977312  |
|  3% 7/22/28 (b)  | GBP  | 110000  | 115656  |
|  LCR Finance PLC 5.1% 3/7/51  | GBP  | 93000  | 123935  |
|  Lloyds Bank PLC 0.125% 9/23/29 (Reg. S)  | EUR  | 100000  | 86419  |
|  Lloyds Banking Group PLC:  |  |  |  |
|  0.5% 11/12/25 (Reg. S) (b)  | EUR  | 130000  | 130000  |
|  0.625% 1/15/24 (b)  | EUR  | 100000  | 106988  |
|  1.985% 12/15/31 (b)  | GBP  | 104000  | 105235  |
|  2.25% 10/16/24  | GBP  | 100000  | 114691  |
|  3.5% 4/1/26 (Reg. S) (b)  | EUR  | 404000  | 425305  |
|  London & Quadrant Housing Trust 2% 3/31/32 (Reg. S)  | GBP  | 112000  | 102086  |
|  M&G PLC 5.625% 10/20/51 (Reg. S) (b)  | GBP  | 104000  | 114245  |
|  Nationwide Building Society 0.625% 3/25/27 (Reg. S)  | EUR  | 903000  | 862436  |
|  NatWest Group PLC:  |  |  |  |
|  3 month EURIBOR + 1.080% 1.75% 3/2/26 (Reg. S) (b)(d)  | EUR  | 110000  | 110786  |
|  3.622% 8/14/30 (Reg. S) (b)  | GBP  | 411000  | 456823  |
|  Standard Chartered PLC 0.85% 1/27/28 (Reg. S) (b)  | EUR  | 107000  | 97765  |
|  Westpac Securities NZ Ltd. London Branch 0.01% 6/8/28 (Reg. S)  | EUR  | 998000  | 882101  |
|  TOTAL UNITED KINGDOM  |  |  | 7971726  |
| United States of America - 4.6%  |  |  |  |
|  ACE INA Holdings, Inc. 1.55% 3/15/28  | EUR  | 639000  | 603535  |
|  Air Products & Chemicals, Inc. 0.5% 5/5/28  | EUR  | 1223000  | 1121209  |
|  Altria Group, Inc.:  |  |  |  |
|  2.2% 6/15/27  | EUR  | 398000  | 382677  |
|  3.125% 6/15/31  | EUR  | 174000  | 154254  |
|  American Honda Finance Corp. 1.95% 10/18/24  | EUR  | 1294000  | 1347827  |
|  Apple, Inc. 0.5% 11/15/31  | EUR  | 911000  | 774307  |
|  AT&T, Inc.:  |  |  |  |
|  0.25% 3/4/26  | EUR  | 100000  | 95914  |
|  2.9% 12/4/26  | GBP  | 2720000  | 3030597  |
|  Bank of America Corp. 0.694% 3/22/31 (Reg. S) (b)  | EUR  | 486000  | 402424  |
|  Berkshire Hathaway, Inc. 2.15% 3/15/28  | EUR  | 797000  | 787286  |
|  Citigroup, Inc.:  |  |  |  |
|  2.75% 1/24/24  | GBP  | 204000  | 241245  |
|  4.112% 9/22/33 (Reg. S) (b)  | EUR  | 220000  | 227030  |
|  Comcast Corp. 1.875% 2/20/36  | GBP  | 405000  | 345126  |
|  DXC Technology Co. 1.75% 1/15/26  | EUR  | 914000  | 902889  |
|  FedEx Corp. 0.95% 5/4/33  | EUR  | 371000  | 283337  |
|  Fidelity National Information Services, Inc. 1.5% 5/21/27  | EUR  | 758000  | 728153  |
|  Fiserv, Inc. 2.25% 7/1/25  | GBP  | 925000  | 1041361  |
|  Ford Motor Credit Co. LLC 2.33% 11/25/25  | EUR  | 100000  | 98348  |
|  General Electric Co.:  |  |  |  |
|  0.875% 5/17/25  | EUR  | 2219000  | 2229089  |
|  2.125% 5/17/37  | EUR  | 110000  | 91948  |
|  Goldman Sachs Group, Inc.:  |  |  |  |
|  1.375% 5/15/24 (Reg. S)  | EUR  | 1230000  | 1287766  |
|  1.875% 12/16/30 (Reg. S)  | GBP  | 100000  | 92466  |
|  2% 11/1/28 (Reg. S)  | EUR  | 51000  | 48482  |
|  3.125% 7/25/29 (Reg. S)  | GBP  | 27000  | 28138  |
|  3.375% 3/27/25 (Reg. S)  | EUR  | 488000  | 519302  |
|  IBM Corp. 1.2% 2/11/40  | EUR  | 272000  | 191805  |
|  Illinois Tool Works, Inc. 0.25% 12/5/24  | EUR  | 2734000  | 2760578  |
|  JPMorgan Chase & Co. 0.389% 2/24/28 (Reg. S) (b)  | EUR  | 792000  | 725531  |
|  Marsh & McLennan Companies, Inc. 1.349% 9/21/26  | EUR  | 768000  | 744805  |
|  McKesson Corp. 3.125% 2/17/29  | GBP  | 573000  | 604097  |
|  Metropolitan Life Global Funding I 1.75% 5/25/25 (Reg. S)  | EUR  | 350000  | 359959  |
|  Morgan Stanley:  |  |  |  |
|  1.102% 4/29/33 (b)  | EUR  | 243000  | 192136  |
|  5.789% 11/18/33 (b)  | GBP  | 170000  | 205758  |
|  New York Life Global Funding 0.125% 7/23/30 (Reg. S)  | CHF  | 215000  | 194038  |
|  Philip Morris International, Inc.:  |  |  |  |
|  1.45% 8/1/39  | EUR  | 100000  | 61224  |
|  2% 5/9/36  | EUR  | 210000  | 149488  |
|  PPG Industries, Inc. 0.875% 11/3/25  | EUR  | 744000  | 730902  |
|  Procter & Gamble Co.:  |  |  |  |
|  1.375% 5/3/25  | GBP  | 221000  | 249802  |
|  1.8% 5/3/29  | GBP  | 381000  | 395280  |
|  Prologis LP 2.25% 6/30/29  | GBP  | 619000  | 625771  |
|  Public Storage 0.875% 1/24/32  | EUR  | 245000  | 193142  |
|  Realty Income Corp. 1.75% 7/13/33  | GBP  | 413000  | 343167  |
|  The Coca-Cola Co. 0.375% 3/15/33  | EUR  | 906000  | 706523  |
|  The Dow Chemical Co. 1.875% 3/15/40  | EUR  | 232000  | 164074  |
|  Thermo Fisher Scientific, Inc.:  |  |  |  |
|  0.125% 3/1/25  | EUR  | 100000  | 99763  |
|  1.875% 10/1/49  | EUR  | 106000  | 72267  |
|  Verizon Communications, Inc.:  |  |  |  |
|  1.375% 10/27/26  | EUR  | 762000  | 748201  |
|  3.375% 10/27/36  | GBP  | 486000  | 476043  |
|  VF Corp. 0.25% 2/25/28  | EUR  | 606000  | 535897  |
|  Wells Fargo & Co. 2.125% 9/24/31 (Reg. S)  | GBP  | 350000  | 322917  |
|  TOTAL UNITED STATES OF AMERICA  |  |  | 28717878  |
| <br> **TOTAL NONCONVERTIBLE BONDS** <br> (Cost $214,098,711)  |  |  | <br> **183546952**  |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Government Obligations - 66.7%**  | &nbsp;&nbsp; **Government Obligations - 66.7%**  | &nbsp;&nbsp; **Government Obligations - 66.7%**  | &nbsp;&nbsp; **Government Obligations - 66.7%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Australia - 2.0%  |  |  |  |
|  Australian Commonwealth:  |  |  |  |
|  0.25% 11/21/24 (Reg. S)  | AUD  | 493000  | 316513  |
|  0.25% 11/21/25 (Reg. S)  | AUD  | 211000  | 130947  |
|  1% 12/21/30 (Reg. S)  | AUD  | 1482000  | 805622  |
|  1.25% 5/21/32  | AUD  | 3826000  | 2042918  |
|  1.75% 11/21/32 (Reg. S)  | AUD  | 1280000  | 709417  |
|  1.75% 6/21/51 (Reg. S)  | AUD  | 589000  | 232395  |
|  2.75% 4/21/24  | AUD  | 1810000  | 1223096  |
|  2.75% 11/21/28  | AUD  | 729000  | 469403  |
|  2.75% 11/21/29 (Reg. S)  | AUD  | 1280000  | 812410  |
|  2.75% 5/21/41(Reg. S)  | AUD  | 1224000  | 663622  |
|  3% 3/21/47  | AUD  | 468000  | 253037  |
|  3.25% 4/21/25 (Reg. S)  | AUD  | 56000  | 37948  |
|  3.25% 4/21/29(Reg. S)  | AUD  | 70000  | 46138  |
|  4.75% 4/21/27(Reg. S)  | AUD  | 2430000  | 1726517  |
|  Queensland Treasury Corp.:  |  |  |  |
|  1.75% 8/21/31 (Reg. S) (c)  | AUD  | 2111000  | 1146642  |
|  3.25% 7/21/26 (Reg. S) (c)  | AUD  | 247000  | 163944  |
|  3.25% 7/21/28 (Reg. S) (c)  | AUD  | 154000  | 99721  |
|  3.5% 8/21/30 (Reg. S) (c)  | AUD  | 58000  | 37014  |
|  Treasury Corp. of Victoria:  |  |  |  |
|  0.5% 11/20/25  | AUD  | 110000  | 67893  |
|  1.25% 11/19/27  | AUD  | 952000  | 564602  |
|  1.5% 11/20/30  | AUD  | 1347000  | 730306  |
|  2.5% 10/22/29  | AUD  | 424000  | 255795  |
|  TOTAL AUSTRALIA  |  |  | 12535900  |
| Austria - 0.6%  |  |  |  |
|  Austrian Republic:  |  |  |  |
|  0% 4/20/23 (Reg. S) (c)  | EUR  | 12000  | 12752  |
|  0% 2/20/30 (Reg. S) (c)  | EUR  | 162000  | 139839  |
|  0% 10/20/40 (Reg. S) (c)  | EUR  | 628000  | 383159  |
|  0.5% 4/20/27 (Reg. S) (c)  | EUR  | 821000  | 796009  |
|  0.5% 2/20/29 (Reg. S) (c)  | EUR  | 677000  | 624493  |
|  0.75% 10/20/26 (Reg. S) (c)  | EUR  | 185000  | 184193  |
|  0.75% 2/20/28 (Reg. S) (c)  | EUR  | 65000  | 62552  |
|  0.75% 3/20/51 (Reg. S) (c)  | EUR  | 1090000  | 668739  |
|  0.9% 2/20/32 (Reg. S) (c)  | EUR  | 744000  | 657278  |
|  1.2% 10/20/25 (Reg. S) (c)  | EUR  | 77000  | 79178  |
|  1.5% 2/20/47 (Reg. S) (c)  | EUR  | 483000  | 380432  |
|  2.4% 5/23/34(Reg. S) (c)  | EUR  | 40000  | 39879  |
|  3.15% 6/20/44(Reg. S) (c)  | EUR  | 10000  | 10635  |
|  4.15% 3/15/37 (c)  | EUR  | 20000  | 23731  |
|  TOTAL AUSTRIA  |  |  | 4062869  |
| Belgium - 1.3%  |  |  |  |
|  Belgian Kingdom:  |  |  |  |
|  0% 10/22/27 (Reg. S) (c)  | EUR  | 1690000  | 1581101  |
|  0% 10/22/31 (c)  | EUR  | 622000  | 509885  |
|  0.1% 6/22/30 (Reg. S) (c)  | EUR  | 175000  | 152015  |
|  0.35% 6/22/32 (c)  | EUR  | 549000  | 455083  |
|  0.4% 6/22/40 (c)  | EUR  | 1212000  | 791057  |
|  0.5% 10/22/24 (Reg. S) (c)  | EUR  | 544000  | 559924  |
|  0.8% 6/22/25 (Reg. S) (c)  | EUR  | 105000  | 107424  |
|  0.8% 6/22/27 (c)  | EUR  | 39000  | 38293  |
|  0.9% 6/22/29 (c)  | EUR  | 1373000  | 1301103  |
|  1% 6/22/26 (Reg. S) (c)  | EUR  | 161000  | 162828  |
|  1.25% 4/22/33 (Reg. S) (c)  | EUR  | 1521000  | 1362339  |
|  1.4% 6/22/53 (Reg. S) (c)  | EUR  | 682000  | 462188  |
|  1.45% 6/22/37 (Reg. S) (c)  | EUR  | 84000  | 70675  |
|  1.6% 6/22/47 (c)  | EUR  | 118000  | 90028  |
|  1.7% 6/22/50 (c)  | EUR  | 23000  | 17374  |
|  1.9% 6/22/38(Reg. S) (c)  | EUR  | 101000  | 89396  |
|  2.25% 6/22/57 (Reg. S) (c)  | EUR  | 124000  | 106150  |
|  3.75% 6/22/45(Reg. S)  | EUR  | 20000  | 22700  |
|  4% 3/28/32  | EUR  | 30000  | 34299  |
|  4.25% 3/28/41 (c)  | EUR  | 195000  | 232057  |
|  5.5% 3/28/28  | EUR  | 40000  | 48509  |
|  Walloon Region 1.05% 6/22/40 (Reg. S)  | EUR  | 100000  | 69987  |
|  TOTAL BELGIUM  |  |  | 8264415  |
| Canada - 3.7%  |  |  |  |
|  Alberta Province:  |  |  |  |
|  0.5% 4/16/25 (Reg. S)  | EUR  | 100000  | 100641  |
|  2.05% 6/1/30  | CAD  | 260000  | 168731  |
|  3.05% 12/1/48  | CAD  | 724000  | 430229  |
|  3.1% 6/1/50  | CAD  | 231000  | 138609  |
|  British Columbia Province:  |  |  |  |
|  2.3% 6/18/26  | CAD  | 210000  | 147110  |
|  2.75% 6/18/52  | CAD  | 140000  | 77693  |
|  2.95% 6/18/50  | CAD  | 924000  | 540397  |
|  Canada Housing Trust No. 1:  |  |  |  |
|  1.75% 6/15/30 (c)  | CAD  | 730000  | 470677  |
|  1.8% 12/15/24 (c)  | CAD  | 305000  | 215345  |
|  2.1% 9/15/29 (c)  | CAD  | 70000  | 46826  |
|  3.15% 9/15/23 (c)  | CAD  | 2440000  | 1785957  |
|  3.6% 12/15/27 (c)  | CAD  | 1910000  | 1404598  |
|  Canadian Government:  |  |  |  |
|  0.25% 3/1/26  | CAD  | 548000  | 363513  |
|  0.5% 12/1/30  | CAD  | 161000  | 95959  |
|  1% 6/1/27  | CAD  | 58000  | 38788  |
|  1.25% 3/1/27  | CAD  | 1460000  | 986018  |
|  1.25% 6/1/30  | CAD  | 16000  | 10249  |
|  1.5% 9/1/24  | CAD  | 18000  | 12754  |
|  1.5% 12/1/31  | CAD  | 480000  | 305385  |
|  1.75% 3/1/23  | CAD  | 10000  | 7355  |
|  1.75% 12/1/53  | CAD  | 310000  | 161298  |
|  2% 6/1/28  | CAD  | 50000  | 34634  |
|  2% 6/1/32  | CAD  | 2410000  | 1594925  |
|  2% 12/1/51  | CAD  | 410000  | 230866  |
|  3% 11/1/24  | CAD  | 1820000  | 1319406  |
|  City of Montreal 2.3% 9/1/29  | CAD  | 140000  | 92817  |
|  City of Ottawa 4.6% 7/14/42  | CAD  | 70000  | 51515  |
|  City of Toronto 2.8% 11/22/49  | CAD  | 180000  | 95509  |
|  Manitoba Province:  |  |  |  |
|  3.2% 3/5/50  | CAD  | 256000  | 153819  |
|  3.4% 9/5/48  | CAD  | 310000  | 193679  |
|  New Brunswick Province:  |  |  |  |
|  3.05% 8/14/50  | CAD  | 227000  | 132332  |
|  3.55% 6/3/43  | CAD  | 100000  | 65106  |
|  Newfoundland Province:  |  |  |  |
|  2.65% 10/17/50  | CAD  | 167000  | 85238  |
|  3.3% 10/17/46  | CAD  | 50000  | 29715  |
|  3.7% 10/17/48  | CAD  | 70000  | 44369  |
|  Nova Scotia Province 3.15% 12/1/51  | CAD  | 80000  | 47589  |
|  Ontario Province:  |  |  |  |
|  0.25% 12/15/26 (Reg. S)  | GBP  | 638000  | 650592  |
|  0.375% 6/14/24 (Reg. S)  | EUR  | 100000  | 102583  |
|  0.375% 4/8/27 (Reg. S)  | EUR  | 283000  | 268261  |
|  1.05% 9/8/27  | CAD  | 460000  | 299894  |
|  1.75% 9/8/25  | CAD  | 401000  | 278899  |
|  2.05% 6/2/30  | CAD  | 59000  | 38287  |
|  2.15% 6/2/31  | CAD  | 170000  | 109030  |
|  2.3% 9/8/24  | CAD  | 53000  | 37882  |
|  2.4% 6/2/26  | CAD  | 49000  | 34440  |
|  2.6% 6/2/25  | CAD  | 3000000  | 2140126  |
|  2.65% 12/2/50  | CAD  | 49000  | 26718  |
|  2.7% 6/2/29  | CAD  | 1703000  | 1173359  |
|  2.8% 6/2/48  | CAD  | 1868000  | 1062456  |
|  2.9% 6/2/49  | CAD  | 885000  | 510672  |
|  Quebec Province:  |  |  |  |
|  0% 10/29/30 (Reg. S)  | EUR  | 430000  | 355129  |
|  0.5% 1/25/32 (Reg. S)  | EUR  | 330000  | 273193  |
|  0.75% 12/13/24 (Reg. S)  | GBP  | 192000  | 216484  |
|  1.5% 9/1/31  | CAD  | 1966000  | 1189401  |
|  1.9% 9/1/30  | CAD  | 131000  | 83776  |
|  2.25% 2/22/24  | CAD  | 290000  | 209008  |
|  2.25% 9/15/26 (Reg. S)  | GBP  | 112000  | 124629  |
|  2.3% 9/1/29  | CAD  | 1179000  | 791132  |
|  2.5% 9/1/26  | CAD  | 423000  | 297859  |
|  3.1% 12/1/51  | CAD  | 230000  | 138039  |
|  3.5% 12/1/45  | CAD  | 130000  | 84732  |
|  3.65% 5/20/32  | CAD  | 410000  | 295155  |
|  5% 12/1/38  | CAD  | 90000  | 71885  |
|  5% 12/1/41  | CAD  | 420000  | 337501  |
|  Saskatchewan Province 3.1% 6/2/50  | CAD  | 293000  | 175235  |
|  TOTAL CANADA  |  |  | 23056008  |
| Chile - 0.3%  |  |  |  |
|  Chilean Republic:  |  |  |  |
|  1.25% 1/29/40  | EUR  | 114000  | 79992  |
|  1.875% 5/27/30  | EUR  | 100000  | 92547  |
|  5.1% 7/15/50  | CLP  | 120000000  | 140872  |
|  5.8% 6/1/24 (Reg. S) (c)  | CLP  | 1300000000  | 1498074  |
|  TOTAL CHILE  |  |  | 1811485  |
| China - 10.9%  |  |  |  |
|  Peoples Republic of China:  |  |  |  |
|  2.18% 8/25/25  | CNY  | 40460000  | 5827124  |
|  2.24% 5/25/25  | CNY  | 8680000  | 1252147  |
|  2.26% 2/24/25  | CNY  | 11900000  | 1720218  |
|  2.28% 3/17/24  | CNY  | 14710000  | 2132846  |
|  2.37% 1/20/27  | CNY  | 5670000  | 813913  |
|  2.44% 10/15/27  | CNY  | 4120000  | 591971  |
|  2.48% 4/15/27  | CNY  | 6860000  | 987083  |
|  2.5% 7/25/27  | CNY  | 21290000  | 3065008  |
|  2.6% 9/1/32  | CNY  | 15220000  | 2153741  |
|  2.62% 9/25/29  | CNY  | 9480000  | 1356815  |
|  2.68% 5/21/30  | CNY  | 1760000  | 252286  |
|  2.7% 11/3/26  | CNY  | 20270000  | 2946478  |
|  2.75% 6/15/29  | CNY  | 11830000  | 1708551  |
|  2.75% 2/17/32  | CNY  | 9650000  | 1384121  |
|  2.76% 5/15/32  | CNY  | 37100000  | 5326614  |
|  2.8% 3/24/29  | CNY  | 7560000  | 1095940  |
|  2.84% 4/8/24  | CNY  | 22610000  | 3300827  |
|  2.91% 10/14/28  | CNY  | 13650000  | 1998649  |
|  3.02% 10/22/25  | CNY  | 41220000  | 6064730  |
|  3.02% 5/27/31  | CNY  | 2210000  | 324262  |
|  3.25% 6/6/26  | CNY  | 18000000  | 2671567  |
|  3.27% 11/19/30  | CNY  | 54840000  | 8226017  |
|  3.32% 4/15/52  | CNY  | 15390000  | 2271503  |
|  3.53% 10/18/51  | CNY  | 2230000  | 337755  |
|  3.81% 9/14/50  | CNY  | 41140000  | 6521292  |
|  3.86% 7/22/49  | CNY  | 22330000  | 3564714  |
|  4.12% 8/2/42  | CNY  | 3320000  | 556694  |
|  TOTAL CHINA  |  |  | 68452866  |
| Colombia - 0.2%  |  |  |  |
|  Colombian Republic:  |  |  |  |
|  5.75% 11/3/27  | COP  | 2000000000  | 310952  |
|  7% 3/26/31  | COP  | 3780000000  | 550702  |
|  7% 6/30/32  | COP  | 873300000  | 121902  |
|  7.25% 10/18/34  | COP  | 2346200000  | 317215  |
|  10% 7/24/24  | COP  | 1080000000  | 216873  |
|  TOTAL COLOMBIA  |  |  | 1517644  |
| Croatia - 0.1%  |  |  |  |
|  Croatia Republic:  |  |  |  |
|  1.125% 6/19/29 (Reg. S)  | EUR  | 151000  | 137271  |
|  2.7% 6/15/28  | EUR  | 200000  | 206302  |
|  TOTAL CROATIA  |  |  | 343573  |
| Cyprus - 0.0%  |  |  |  |
|  Republic of Cyprus:  |  |  |  |
|  2.25% 4/16/50 (Reg. S)  | EUR  | 189000  | 143580  |
|  2.375% 9/25/28 (Reg. S)  | EUR  | 84000  | 82376  |
|  2.75% 6/27/24 (Reg. S)  | EUR  | 32000  | 34132  |
|  3.75% 7/26/23 (Reg. S)  | EUR  | 44000  | 47394  |
|  TOTAL CYPRUS  |  |  | 307482  |
| Czech Republic - 0.5%  |  |  |  |
|  Czech Republic:  |  |  |  |
|  0% 12/12/24  | CZK  | 19800000  | 791636  |
|  0.25% 2/10/27  | CZK  | 10030000  | 362946  |
|  0.45% 10/25/23  | CZK  | 5390000  | 226887  |
|  1.2% 3/13/31  | CZK  | 5250000  | 173239  |
|  1.25% 2/14/25  | CZK  | 170000  | 6891  |
|  1.5% 4/24/40  | CZK  | 10600000  | 279007  |
|  1.75% 6/23/32  | CZK  | 7650000  | 256086  |
|  2% 10/13/33  | CZK  | 2230000  | 74008  |
|  5.7% 5/25/24  | CZK  | 24800000  | 1098880  |
|  TOTAL CZECH REPUBLIC  |  |  | 3269580  |
| Denmark - 0.4%  |  |  |  |
|  Danish Kingdom:  |  |  |  |
|  0% 11/15/24  | DKK  | 10010000  | 1368342  |
|  0.25% 11/15/52 (Reg. S)  | DKK  | 1731000  | 133610  |
|  0.5% 11/15/29(Reg. S)  | DKK  | 3944000  | 490366  |
|  4.5% 11/15/39  | DKK  | 1260000  | 226042  |
|  TOTAL DENMARK  |  |  | 2218360  |
| Finland - 0.3%  |  |  |  |
|  Finnish Government:  |  |  |  |
|  0% 9/15/23 (Reg. S) (c)  | EUR  | 19000  | 19955  |
|  0% 9/15/24 (c)  | EUR  | 84000  | 85875  |
|  0.125% 4/15/36 (Reg. S) (c)  | EUR  | 452000  | 327788  |
|  0.125% 4/15/52 (Reg. S) (c)  | EUR  | 244000  | 122498  |
|  0.25% 9/15/40 (Reg. S) (c)  | EUR  | 433000  | 281908  |
|  0.5% 4/15/26 (Reg. S) (c)  | EUR  | 44000  | 43908  |
|  0.5% 9/15/28 (Reg. S) (c)  | EUR  | 400000  | 374885  |
|  0.5% 4/15/43(Reg. S) (c)  | EUR  | 63000  | 41488  |
|  1.125% 4/15/34 (Reg. S) (c)  | EUR  | 166000  | 144712  |
|  1.5% 9/15/32 (Reg. S) (c)  | EUR  | 270000  | 251243  |
|  2.625% 7/4/42 (c)  | EUR  | 20000  | 19936  |
|  TOTAL FINLAND  |  |  | 1714196  |
| France - 5.5%  |  |  |  |
|  French Government:  |  |  |  |
|  0% 2/25/23 (Reg. S)  | EUR  | 15000  | 16008  |
|  0% 3/25/24(Reg. S)  | EUR  | 268000  | 277079  |
|  0% 2/25/25(Reg. S)  | EUR  | 5233000  | 5273452  |
|  0% 3/25/25(Reg. S)  | EUR  | 14000  | 14086  |
|  0% 2/25/26 (Reg. S)  | EUR  | 2423000  | 2379243  |
|  0% 2/25/27 (Reg. S)  | EUR  | 315000  | 301087  |
|  0% 11/25/29 (Reg. S)  | EUR  | 2537000  | 2239637  |
|  0% 11/25/30 (Reg. S)  | EUR  | 839000  | 716807  |
|  0% 11/25/31 (Reg. S)  | EUR  | 747000  | 617561  |
|  0% 5/25/32 (Reg. S)  | EUR  | 883000  | 715257  |
|  0.25% 11/25/26(Reg. S)  | EUR  | 1615000  | 1570108  |
|  0.5% 5/25/25  | EUR  | 182000  | 184623  |
|  0.5% 5/25/26  | EUR  | 33000  | 32754  |
|  0.5% 5/25/29 (Reg. S)  | EUR  | 1326000  | 1227256  |
|  0.5% 5/25/40 (Reg. S) (c)  | EUR  | 3627000  | 2462443  |
|  0.5% 6/25/44(Reg. S) (c)  | EUR  | 770000  | 479913  |
|  0.75% 2/25/28 (Reg. S)  | EUR  | 2090000  | 2017960  |
|  0.75% 5/25/28 (Reg. S)  | EUR  | 823000  | 790608  |
|  0.75% 5/25/52 (Reg. S)  | EUR  | 2316000  | 1330160  |
|  0.75% 5/25/53 (Reg. S) (c)  | EUR  | 1558000  | 870438  |
|  1% 11/25/25(Reg. S)  | EUR  | 36000  | 36690  |
|  1% 5/25/27  | EUR  | 3126000  | 3100580  |
|  1.25% 5/25/34(Reg. S)  | EUR  | 137000  | 119888  |
|  1.25% 5/25/36(Reg. S) (c)  | EUR  | 2368000  | 1986239  |
|  1.5% 5/25/31(Reg. S)  | EUR  | 2633000  | 2536820  |
|  1.5% 5/25/50 (Reg. S) (c)  | EUR  | 354000  | 259375  |
|  1.75% 6/25/39 (Reg. S) (c)  | EUR  | 655000  | 571827  |
|  1.75% 5/25/66 (c)  | EUR  | 33000  | 24101  |
|  2% 11/25/32 (Reg. S)  | EUR  | 1800000  | 1757617  |
|  2% 5/25/48 (c)  | EUR  | 124000  | 103709  |
|  4.75% 4/25/35  | EUR  | 100000  | 123340  |
|  TOTAL FRANCE  |  |  | 34136666  |
| Germany - 4.6%  |  |  |  |
|  Free & Hanseatic City of Hamburg 0.25% 2/18/41 (Reg. S)  | EUR  | 190000  | 122213  |
|  German Federal Republic:  |  |  |  |
|  0% 4/14/23 (Reg. S)  | EUR  | 13000  | 13844  |
|  0% 4/5/24 (e)  | EUR  | 500000  | 519040  |
|  0% 10/18/24 (Reg. S) (e)  | EUR  | 1391000  | 1422661  |
|  0% 4/11/25 (Reg. S) (e)  | EUR  | 1215000  | 1228505  |
|  0% 10/10/25 (Reg. S) (e)  | EUR  | 4868000  | 4865465  |
|  0% 8/15/26(Reg. S)  | EUR  | 57000  | 55861  |
|  0% 8/15/29(Reg. S) (e)  | EUR  | 4375000  | 3987536  |
|  0% 2/15/30 (Reg. S)  | EUR  | 451000  | 406498  |
|  0% 8/15/30 (Reg. S) (e)  | EUR  | 3871000  | 3448654  |
|  0% 2/15/32 (Reg. S)  | EUR  | 918000  | 785977  |
|  0% 8/15/50  | EUR  | 1270000  | 710330  |
|  0% 8/15/52 (Reg. S)  | EUR  | 360000  | 192509  |
|  0.25% 8/15/28 (Reg. S) (e)  | EUR  | 760000  | 720258  |
|  0.25% 2/15/29  | EUR  | 576000  | 540422  |
|  0.5% 2/15/28  | EUR  | 87000  | 84387  |
|  1.25% 8/15/48 (e)(f)  | EUR  | 2043000  | 1700994  |
|  1.7% 8/15/32 (Reg. S)  | EUR  | 1220000  | 1217406  |
|  1.8% 8/15/53 (Reg. S)  | EUR  | 80000  | 73796  |
|  2.1% 11/15/29 (Reg. S) (e)  | EUR  | 1800000  | 1880519  |
|  2.5% 7/4/44  | EUR  | 20000  | 21388  |
|  3.25% 7/4/42  | EUR  | 740000  | 878697  |
|  4% 1/4/37  | EUR  | 40000  | 49921  |
|  4.75% 7/4/40  | EUR  | 20000  | 27843  |
|  Land Niedersachsen:  |  |  |  |
|  0.01% 11/25/27 (Reg. S)  | EUR  | 430000  | 397705  |
|  1.125% 9/12/33 (Reg. S)  | EUR  | 70000  | 61401  |
|  Land Nordrhein-Westfalen:  |  |  |  |
|  0.2% 3/31/27 (Reg. S)  | EUR  | 1513000  | 1438116  |
|  0.2% 4/9/30 (Reg. S)  | EUR  | 725000  | 632921  |
|  0.2% 1/27/51 (Reg. S)  | EUR  | 50000  | 25199  |
|  0.5% 11/25/39 (Reg. S)  | EUR  | 72000  | 50012  |
|  0.625% 7/21/31 (Reg. S)  | EUR  | 24000  | 20984  |
|  0.8% 7/30/49 (Reg. S)  | EUR  | 104000  | 66033  |
|  1.25% 5/12/36 (Reg. S)  | EUR  | 226000  | 190308  |
|  1.55% 6/16/48 (Reg. S)  | EUR  | 178000  | 140922  |
|  1.65% 2/22/38 (Reg. S)  | EUR  | 607000  | 526758  |
|  1.95% 9/26/78 (Reg. S)  | EUR  | 270000  | 210555  |
|  TOTAL GERMANY  |  |  | 28715638  |
| Hong Kong - 0.0%  |  |  |  |
|  Hong Kong Government SAR 0.36% 4/15/24  | HKD  | 2200000  | 268282  |
| Hungary - 0.2%  |  |  |  |
|  Hungarian Republic:  |  |  |  |
|  1% 11/26/25  | HUF  | 30380000  | 62305  |
|  1.5% 8/23/23  | HUF  | 63350000  | 158870  |
|  1.5% 4/22/26  | HUF  | 43280000  | 87051  |
|  1.625% 4/28/32 (Reg. S)  | EUR  | 246000  | 188495  |
|  2.5% 10/24/24  | HUF  | 3780000  | 8618  |
|  2.75% 12/22/26  | HUF  | 30520000  | 61074  |
|  3% 6/26/24  | HUF  | 7530000  | 17801  |
|  3% 8/21/30  | HUF  | 64320000  | 116042  |
|  3% 4/25/41  | HUF  | 87920000  | 117605  |
|  4.5% 3/23/28  | HUF  | 112000000  | 232508  |
|  TOTAL HUNGARY  |  |  | 1050369  |
| Indonesia - 0.9%  |  |  |  |
|  Indonesian Republic:  |  |  |  |
|  1.45% 9/18/26  | EUR  | 100000  | 97331  |
|  2.15% 7/18/24 (Reg. S)  | EUR  | 129000  | 135007  |
|  2.625% 6/14/23  | EUR  | 100000  | 106731  |
|  5.125% 4/15/27  | IDR  | 9200000000  | 566154  |
|  5.5% 4/15/26  | IDR  | 8615000000  | 539008  |
|  6.375% 4/15/32  | IDR  | 4300000000  | 265168  |
|  6.375% 4/15/42  | IDR  | 900000000  | 51338  |
|  6.5% 6/15/25  | IDR  | 717000000  | 46242  |
|  6.5% 2/15/31  | IDR  | 4193000000  | 262206  |
|  7% 9/15/30  | IDR  | 15924000000  | 1030061  |
|  7.125% 6/15/42  | IDR  | 2600000000  | 166806  |
|  7.375% 5/15/48  | IDR  | 8728000000  | 559534  |
|  7.5% 6/15/35  | IDR  | 1449000000  | 95545  |
|  7.5% 5/15/38  | IDR  | 1631000000  | 107179  |
|  7.5% 4/15/40  | IDR  | 9622000000  | 632607  |
|  8.125% 5/15/24  | IDR  | 15401000000  | 1017994  |
|  8.375% 4/15/39  | IDR  | 1794000000  | 126937  |
|  TOTAL INDONESIA  |  |  | 5805848  |
| Ireland - 0.4%  |  |  |  |
|  Irish Republic:  |  |  |  |
|  0.2% 5/15/27 (Reg. S)  | EUR  | 225000  | 215164  |
|  0.2% 10/18/30 (Reg. S)  | EUR  | 86000  | 74613  |
|  0.4% 5/15/35 (Reg. S)  | EUR  | 355000  | 272315  |
|  0.55% 4/22/41 (Reg. S)  | EUR  | 130000  | 87405  |
|  0.9% 5/15/28 (Reg. S)  | EUR  | 32000  | 31006  |
|  1% 5/15/26(Reg. S)  | EUR  | 188000  | 190723  |
|  1.1% 5/15/29 (Reg. S)  | EUR  | 279000  | 267840  |
|  1.3% 5/15/33  | EUR  | 570000  | 513066  |
|  1.5% 5/15/50 (Reg. S)  | EUR  | 310000  | 229413  |
|  1.7% 5/15/37  | EUR  | 380000  | 335537  |
|  3.4% 3/18/24 (Reg.S)  | EUR  | 28000  | 30212  |
|  TOTAL IRELAND  |  |  | 2247294  |
| Israel - 0.2%  |  |  |  |
|  Israeli State:  |  |  |  |
|  1% 3/31/30  | ILS  | 1452000  | 343818  |
|  1.3% 4/30/32  | ILS  | 840000  | 196490  |
|  1.5% 11/30/23  | ILS  | 912000  | 254415  |
|  1.5% 1/16/29 (Reg. S)  | EUR  | 335000  | 320654  |
|  1.5% 5/31/37  | ILS  | 1208000  | 261273  |
|  3.75% 3/31/47  | ILS  | 476000  | 135774  |
|  TOTAL ISRAEL  |  |  | 1512424  |
| Italy - 4.9%  |  |  |  |
|  Italian Republic:  |  |  |  |
|  0% 12/15/24 (Reg. S)  | EUR  | 3196000  | 3216573  |
|  0.35% 2/1/25  | EUR  | 191000  | 192229  |
|  0.45% 2/15/29(Reg. S)  | EUR  | 190000  | 163221  |
|  0.6% 6/15/23 (Reg. S)  | EUR  | 14000  | 14865  |
|  0.85% 1/15/27 (Reg. S)  | EUR  | 81000  | 77592  |
|  0.9% 4/1/31  | EUR  | 82000  | 66996  |
|  0.95% 9/15/27 (Reg. S)  | EUR  | 1948000  | 1832835  |
|  0.95% 8/1/30 (Reg. S)  | EUR  | 142000  | 119224  |
|  0.95% 6/1/32 (Reg. S)  | EUR  | 701000  | 550569  |
|  1.1% 4/1/27 (Reg. S)  | EUR  | 2024000  | 1943241  |
|  1.35% 4/1/30 (Reg. S)  | EUR  | 1950000  | 1714188  |
|  1.45% 11/15/24 (Reg. S)  | EUR  | 245000  | 253960  |
|  1.45% 5/15/25  | EUR  | 80000  | 81954  |
|  1.45% 3/1/36 (Reg. S) (c)  | EUR  | 1347000  | 991304  |
|  1.6% 6/1/26  | EUR  | 179000  | 179152  |
|  1.65% 3/1/32 (c)  | EUR  | 575000  | 488283  |
|  1.7% 9/1/51 (Reg. S) (c)  | EUR  | 536000  | 318677  |
|  1.75% 7/1/24(Reg. S)  | EUR  | 185000  | 193800  |
|  1.8% 3/1/41 (Reg. S) (c)  | EUR  | 1761000  | 1221302  |
|  2.05% 8/1/27  | EUR  | 213000  | 211553  |
|  2.1% 7/15/26  | EUR  | 1186000  | 1204027  |
|  2.15% 9/1/52 (Reg. S) (c)  | EUR  | 712000  | 461735  |
|  2.15% 3/1/72 (Reg. S) (c)  | EUR  | 279000  | 167105  |
|  2.2% 6/1/27 (Reg. S)  | EUR  | 1612000  | 1620447  |
|  2.25% 9/1/36 (Reg. S) (c)  | EUR  | 639000  | 519847  |
|  2.45% 9/1/33 (c)  | EUR  | 1237000  | 1078902  |
|  2.45% 9/1/50 (Reg. S) (c)  | EUR  | 77000  | 54852  |
|  2.5% 12/1/24  | EUR  | 680000  | 718659  |
|  2.5% 11/15/25  | EUR  | 2093000  | 2182515  |
|  2.5% 12/1/32 (Reg. S)  | EUR  | 260000  | 232958  |
|  2.65% 12/1/27 (Reg. S)  | EUR  | 640000  | 646880  |
|  2.7% 3/1/47 (c)  | EUR  | 116000  | 89890  |
|  2.8% 6/15/29 (Reg. S)  | EUR  | 1740000  | 1717205  |
|  2.95% 9/1/38 (c)  | EUR  | 433000  | 373631  |
|  3% 8/1/29  | EUR  | 2038000  | 2041407  |
|  3.1% 3/1/40 (Reg. S) (c)  | EUR  | 1208000  | 1042381  |
|  3.35% 3/1/35 (c)  | EUR  | 1808000  | 1677334  |
|  3.45% 3/1/48 (c)  | EUR  | 261000  | 229789  |
|  3.75% 9/1/24  | EUR  | 80000  | 86348  |
|  3.85% 9/1/49 (c)  | EUR  | 769000  | 720091  |
|  4.5% 3/1/26 (c)  | EUR  | 50000  | 54921  |
|  5% 3/1/25 (c)  | EUR  | 80000  | 88532  |
|  5% 8/1/34 (c)  | EUR  | 20000  | 21820  |
|  5% 8/1/39 (c)  | EUR  | 20000  | 21930  |
|  6.5% 11/1/27  | EUR  | 50000  | 59907  |
|  TOTAL ITALY  |  |  | 30944631  |
| Japan - 13.6%  |  |  |  |
|  Japan Government:  |  |  |  |
|  0.005% 5/1/24  | JPY  | 11000000  | 83802  |
|  0.005% 6/1/24  | JPY  | 29000000  | 220921  |
|  0.005% 7/1/24  | JPY  | 514000000  | 3914883  |
|  0.005% 11/1/24  | JPY  | 296000000  | 2254305  |
|  0.005% 3/20/27  | JPY  | 206000000  | 1557683  |
|  0.005% 6/20/27  | JPY  | 230000000  | 1736146  |
|  0.1% 3/20/23  | JPY  | 150000  | 1143  |
|  0.1% 9/20/23  | JPY  | 350000  | 2669  |
|  0.1% 3/20/24  | JPY  | 203050000  | 1548759  |
|  0.1% 6/20/24  | JPY  | 180200000  | 1374485  |
|  0.1% 9/20/24  | JPY  | 30100000  | 229605  |
|  0.1% 12/20/24  | JPY  | 4300000  | 32800  |
|  0.1% 3/20/25  | JPY  | 50000  | 381  |
|  0.1% 9/20/25  | JPY  | 15500000  | 118233  |
|  0.1% 3/20/26  | JPY  | 19900000  | 151763  |
|  0.1% 6/20/26  | JPY  | 121400000  | 925134  |
|  0.1% 9/20/26  | JPY  | 63300000  | 481830  |
|  0.1% 12/20/26  | JPY  | 70150000  | 533261  |
|  0.1% 3/20/27  | JPY  | 295100000  | 2239670  |
|  0.1% 6/20/27  | JPY  | 32450000  | 245929  |
|  0.1% 9/20/27  | JPY  | 13700000  | 103734  |
|  0.1% 9/20/27  | JPY  | 177000000  | 1340070  |
|  0.1% 12/20/27  | JPY  | 75800000  | 572993  |
|  0.1% 6/20/28  | JPY  | 30400000  | 229003  |
|  0.1% 9/20/28  | JPY  | 231650000  | 1742458  |
|  0.1% 12/20/28  | JPY  | 69800000  | 524085  |
|  0.1% 3/20/29  | JPY  | 23050000  | 172756  |
|  0.1% 6/20/29  | JPY  | 208100000  | 1556469  |
|  0.1% 12/20/29  | JPY  | 617250000  | 4596782  |
|  0.1% 3/20/30  | JPY  | 15400000  | 114355  |
|  0.1% 6/20/30  | JPY  | 372350000  | 2758721  |
|  0.1% 9/20/30  | JPY  | 210300000  | 1555041  |
|  0.2% 3/20/32  | JPY  | 28000000  | 209076  |
|  0.2% 6/20/32  | JPY  | 166000000  | 1237955  |
|  0.2% 9/20/32  | JPY  | 53150000  | 396458  |
|  0.2% 6/20/36  | JPY  | 451050000  | 3129615  |
|  0.3% 12/20/25  | JPY  | 756050000  | 5800339  |
|  0.3% 6/20/39  | JPY  | 158200000  | 1052264  |
|  0.3% 9/20/39  | JPY  | 56150000  | 371915  |
|  0.3% 12/20/39  | JPY  | 61650000  | 406503  |
|  0.3% 6/20/46  | JPY  | 153200000  | 907865  |
|  0.4% 6/20/25  | JPY  | 12550000  | 96430  |
|  0.4% 9/20/25  | JPY  | 44650000  | 343340  |
|  0.4% 3/20/36  | JPY  | 192500000  | 1377598  |
|  0.4% 3/20/40  | JPY  | 51800000  | 346157  |
|  0.4% 6/20/40  | JPY  | 10450000  | 69546  |
|  0.4% 9/20/40  | JPY  | 138350000  | 916268  |
|  0.4% 9/20/49  | JPY  | 5450000  | 31322  |
|  0.4% 3/20/50  | JPY  | 35400000  | 204427  |
|  0.4% 3/20/56  | JPY  | 521900000  | 2738742  |
|  0.5% 9/20/36  | JPY  | 177000000  | 1274578  |
|  0.5% 12/20/38  | JPY  | 15550000  | 107852  |
|  0.5% 3/20/49  | JPY  | 10450000  | 62234  |
|  0.6% 6/20/37  | JPY  | 204850000  | 1479949  |
|  0.6% 12/20/37  | JPY  | 6700000  | 48000  |
|  0.6% 6/20/50  | JPY  | 27350000  | 164527  |
|  0.7% 3/20/37  | JPY  | 22050000  | 162104  |
|  0.7% 9/20/38  | JPY  | 1033250000  | 7422253  |
|  0.7% 6/20/48  | JPY  | 13100000  | 83234  |
|  0.7% 12/20/48  | JPY  | 10800000  | 68070  |
|  0.8% 3/20/42  | JPY  | 149000000  | 1044862  |
|  0.8% 9/20/47  | JPY  | 10200000  | 67089  |
|  0.9% 6/20/42  | JPY  | 345000000  | 2460872  |
|  0.9% 9/20/48  | JPY  | 249150000  | 1656931  |
|  0.9% 3/20/57  | JPY  | 212650000  | 1315889  |
|  1% 12/20/35  | JPY  | 735450000  | 5693966  |
|  1% 3/20/52  | JPY  | 170000000  | 1121321  |
|  1.1% 9/20/42  | JPY  | 184200000  | 1357345  |
|  1.2% 3/20/35  | JPY  | 19650000  | 156680  |
|  1.3% 6/20/52  | JPY  | 232000000  | 1657234  |
|  1.4% 12/20/45  | JPY  | 368200000  | 2803078  |
|  1.4% 9/20/52  | JPY  | 52050000  | 379096  |
|  1.4% 3/20/55  | JPY  | 5500000  | 39687  |
|  1.6% 6/20/30  | JPY  | 4600000  | 37945  |
|  1.6% 3/20/33  | JPY  | 4300000  | 36085  |
|  1.6% 12/20/33  | JPY  | 33050000  | 276725  |
|  1.9% 3/20/53  | JPY  | 67000000  | 547436  |
|  2% 3/20/42  | JPY  | 110000000  | 942066  |
|  2.3% 5/20/32  | JPY  | 1000000  | 8863  |
|  TOTAL JAPAN  |  |  | 85031660  |
| Korea (South) - 2.4%  |  |  |  |
|  Korean Republic:  |  |  |  |
|  1.125% 9/10/25  | KRW  | 359480000  | 266316  |
|  1.125% 9/10/39  | KRW  | 321370000  | 172977  |
|  1.25% 3/10/26  | KRW  | 2172900000  | 1595406  |
|  1.375% 9/10/24  | KRW  | 836330000  | 638576  |
|  1.375% 12/10/29  | KRW  | 41420000  | 28091  |
|  1.375% 6/10/30  | KRW  | 368030000  | 246756  |
|  1.5% 12/10/26  | KRW  | 32000000  | 23295  |
|  1.5% 12/10/30  | KRW  | 1148560000  | 769175  |
|  1.5% 9/10/40  | KRW  | 2069710000  | 1172856  |
|  1.875% 3/10/24  | KRW  | 2060000000  | 1600892  |
|  1.875% 3/10/51  | KRW  | 2378220000  | 1294828  |
|  2% 6/10/31  | KRW  | 1103570000  | 763035  |
|  2% 3/10/49  | KRW  | 381850000  | 218031  |
|  2.125% 6/10/27  | KRW  | 1520000000  | 1124972  |
|  2.125% 3/10/47  | KRW  | 29200000  | 17426  |
|  2.25% 9/10/23  | KRW  | 448940000  | 352924  |
|  2.25% 6/10/25  | KRW  | 150000000  | 114929  |
|  2.375% 12/10/27  | KRW  | 50660000  | 37651  |
|  2.375% 12/10/28  | KRW  | 514930000  | 378876  |
|  2.375% 12/10/31  | KRW  | 600000000  | 425197  |
|  2.375% 9/10/38  | KRW  | 415730000  | 276681  |
|  2.5% 3/10/52  | KRW  | 1040000000  | 653328  |
|  2.625% 6/10/28  | KRW  | 940310000  | 704344  |
|  2.625% 3/10/48  | KRW  | 622670000  | 409022  |
|  2.875% 6/10/24  | KRW  | 1140000000  | 894484  |
|  3.375% 9/10/23  | KRW  | 41520000  | 32888  |
|  3.375% 6/10/32  | KRW  | 838210000  | 643000  |
|  TOTAL KOREA (SOUTH)  |  |  | 14855956  |
| Latvia - 0.2%  |  |  |  |
|  Latvian Republic:  |  |  |  |
|  1.375% 9/23/25 (Reg. S)  | EUR  | 100000  | 100947  |
|  2.875% 4/30/24 (Reg. S)  | EUR  | 1269000  | 1350590  |
|  TOTAL LATVIA  |  |  | 1451537  |
| Lithuania - 0.0%  |  |  |  |
|  Lithuanian Republic:  |  |  |  |
|  0.5% 6/19/29 (Reg. S)  | EUR  | 32000  | 27924  |
|  2.125% 10/22/35 (Reg. S)  | EUR  | 57000  | 50752  |
|  TOTAL LITHUANIA  |  |  | 78676  |
| Luxembourg - 0.1%  |  |  |  |
|  Grand Duchy of Luxembourg:  |  |  |  |
|  0% 4/28/25 (Reg. S)  | EUR  | 35000  | 34867  |
|  0% 9/14/32 (Reg. S)  | EUR  | 360000  | 288703  |
|  TOTAL LUXEMBOURG  |  |  | 323570  |
| Malaysia - 0.8%  |  |  |  |
|  Malaysian Government:  |  |  |  |
|  3.478% 6/14/24  | MYR  | 4060000  | 920362  |
|  3.582% 7/15/32  | MYR  | 2240000  | 489800  |
|  3.757% 5/22/40  | MYR  | 2310000  | 482772  |
|  3.828% 7/5/34  | MYR  | 420000  | 92042  |
|  3.899% 11/16/27  | MYR  | 3032000  | 689575  |
|  3.9% 11/30/26  | MYR  | 2999000  | 682172  |
|  3.906% 7/15/26  | MYR  | 171000  | 38940  |
|  4.059% 9/30/24  | MYR  | 219000  | 50067  |
|  4.065% 6/15/50  | MYR  | 833000  | 172131  |
|  4.119% 11/30/34  | MYR  | 831000  | 185512  |
|  4.128% 8/15/25  | MYR  | 405000  | 92627  |
|  4.504% 4/30/29  | MYR  | 560000  | 130622  |
|  4.696% 10/15/42  | MYR  | 700000  | 164868  |
|  4.724% 6/15/33  | MYR  | 2083000  | 492841  |
|  4.736% 3/15/46  | MYR  | 90000  | 20871  |
|  4.921% 7/6/48  | MYR  | 50000  | 11830  |
|  4.935% 9/30/43  | MYR  | 150000  | 35863  |
|  TOTAL MALAYSIA  |  |  | 4752895  |
| Mexico - 0.8%  |  |  |  |
|  United Mexican States:  |  |  |  |
|  1.125% 1/17/30  | EUR  | 100000  | 86793  |
|  2.125% 10/25/51  | EUR  | 100000  | 58895  |
|  2.25% 8/12/36  | EUR  | 130000  | 98655  |
|  2.875% 4/8/39  | EUR  | 185000  | 143797  |
|  5.5% 3/4/27  | MXN  | 19600000  | 877109  |
|  5.75% 3/5/26  | MXN  | 26769000  | 1241500  |
|  7.5% 6/3/27  | MXN  | 2000000  | 96654  |
|  7.75% 11/13/42  | MXN  | 5000000  | 224154  |
|  8% 9/5/24  | MXN  | 17600000  | 873551  |
|  8% 11/7/47  | MXN  | 13363000  | 611824  |
|  8.5% 5/31/29  | MXN  | 10000000  | 498341  |
|  TOTAL MEXICO  |  |  | 4811273  |
| Multi-National - 0.3%  |  |  |  |
|  European Stability Mechanism 0.5% 3/5/29 (Reg. S)  | EUR  | 2229000  | 2046897  |
| Netherlands - 1.1%  |  |  |  |
|  Dutch Government:  |  |  |  |
|  0% 1/15/24(Reg. S) (c)  | EUR  | 15000  | 15627  |
|  0% 1/15/27 (Reg. S) (c)  | EUR  | 1052000  | 1011362  |
|  0% 7/15/30 (Reg. S) (c)  | EUR  | 168000  | 146348  |
|  0% 1/15/52 (Reg. S) (c)  | EUR  | 625000  | 323898  |
|  0.25% 7/15/25 (c)  | EUR  | 91000  | 91736  |
|  0.25% 7/15/29(Reg. S) (c)  | EUR  | 1336000  | 1220809  |
|  0.5% 7/15/26(Reg. S) (c)  | EUR  | 714000  | 709432  |
|  0.5% 7/15/32 (Reg. S) (c)  | EUR  | 1061000  | 917832  |
|  0.5% 1/15/40 (Reg. S) (c)  | EUR  | 1722000  | 1270597  |
|  0.75% 7/15/27 (Reg. S) (c)  | EUR  | 866000  | 852582  |
|  2.5% 1/15/33 (c)  | EUR  | 80000  | 83012  |
|  4% 1/15/37 (c)  | EUR  | 30000  | 36142  |
|  TOTAL NETHERLANDS  |  |  | 6679377  |
| New Zealand - 0.3%  |  |  |  |
|  New Zealand Government:  |  |  |  |
|  0.5% 5/15/24  | NZD  | 318000  | 189732  |
|  1.5% 5/15/31  | NZD  | 1322000  | 667861  |
|  1.75% 5/15/41  | NZD  | 582000  | 237167  |
|  2.75% 4/15/25  | NZD  | 485000  | 293589  |
|  2.75% 4/15/37 (Reg. S)  | NZD  | 410000  | 209416  |
|  TOTAL NEW ZEALAND  |  |  | 1597765  |
| Norway - 0.1%  |  |  |  |
|  Kingdom of Norway:  |  |  |  |
|  1.75% 2/17/27 (Reg. S) (c)  | NOK  | 8340000  | 808659  |
|  3% 3/14/24 (c)  | NOK  | 220000  | 22416  |
|  TOTAL NORWAY  |  |  | 831075  |
| Peru - 0.2%  |  |  |  |
|  Peruvian Republic:  |  |  |  |
|  5.4% 8/12/34(Reg. S)  | PEN  | 550000  | 115887  |
|  5.94% 2/12/29  | PEN  | 956000  | 230604  |
|  6.15% 8/12/32  | PEN  | 2364000  | 547276  |
|  6.7142% 2/12/55  | PEN  | 500000  | 112760  |
|  TOTAL PERU  |  |  | 1006527  |
| Poland - 0.5%  |  |  |  |
|  Polish Government:  |  |  |  |
|  0% 2/10/25 (Reg. S)  | EUR  | 41000  | 40879  |
|  0.75% 4/25/25  | PLN  | 830000  | 165722  |
|  1% 3/7/29 (Reg. S)  | EUR  | 309000  | 284523  |
|  1.25% 10/25/30  | PLN  | 396000  | 60721  |
|  1.75% 4/25/32  | PLN  | 3150000  | 472117  |
|  2% 3/8/49 (Reg. S)  | EUR  | 17000  | 12511  |
|  2.5% 4/25/24  | PLN  | 6238000  | 1353855  |
|  2.5% 7/25/27  | PLN  | 3047000  | 579426  |
|  2.75% 10/25/29  | PLN  | 2390000  | 428764  |
|  4% 10/25/23  | PLN  | 97000  | 21706  |
|  4% 4/25/47  | PLN  | 96000  | 14614  |
|  TOTAL POLAND  |  |  | 3434838  |
| Portugal - 0.5%  |  |  |  |
|  Portugal Obrigacoes Do Tesouro:  |  |  |  |
|  0.475% 10/18/30 (Reg. S) (c)  | EUR  | 728000  | 630216  |
|  0.7% 10/15/27 (Reg. S) (c)  | EUR  | 350000  | 337894  |
|  0.9% 10/12/35 (Reg. S) (c)  | EUR  | 734000  | 567579  |
|  1.65% 7/16/32 (Reg. S) (c)  | EUR  | 63000  | 57371  |
|  1.95% 6/15/29 (Reg. S) (c)  | EUR  | 458000  | 457508  |
|  2.875% 10/15/25 (Reg. S) (c)  | EUR  | 22000  | 23550  |
|  2.875% 7/21/26(Reg. S) (c)  | EUR  | 333000  | 356525  |
|  4.125% 4/14/27 (Reg. S) (c)  | EUR  | 524000  | 587756  |
|  Portuguese Republic 2.25% 4/18/34 (c)  | EUR  | 260000  | 244536  |
|  TOTAL PORTUGAL  |  |  | 3262935  |
| Romania - 0.4%  |  |  |  |
|  Romanian Republic:  |  |  |  |
|  1.375% 12/2/29 (Reg. S)  | EUR  | 567000  | 439770  |
|  2.125% 3/7/28 (Reg. S)  | EUR  | 470000  | 417991  |
|  2.5% 10/25/27  | RON  | 2330000  | 400074  |
|  2.875% 5/26/28 (Reg. S)  | EUR  | 32000  | 29562  |
|  2.875% 4/13/42 (Reg. S)  | EUR  | 60000  | 35839  |
|  3.375% 1/28/50 (Reg. S)  | EUR  | 54000  | 33140  |
|  3.5% 11/25/25  | RON  | 4230000  | 827243  |
|  4.125% 3/11/39  | EUR  | 145000  | 110620  |
|  TOTAL ROMANIA  |  |  | 2294239  |
| Russia - 0.0%  |  |  |  |
|  Ministry of Finance of the Russian Federation 7.6% 12/31/49 (g)(h)  | RUB  | 4237000  | 15512  |
| Saudi Arabia - 0.0%  |  |  |  |
|  Kingdom of Saudi Arabia 2% 7/9/39 (Reg. S)  | EUR  | 163000  | 128987  |
| Singapore - 0.4%  |  |  |  |
|  Republic of Singapore:  |  |  |  |
|  , yield at date of purchase 2.7941% 10/1/51  | SGD  | 130000  | 85591  |
|  2% 2/1/24  | SGD  | 147000  | 108292  |
|  2.125% 6/1/26  | SGD  | 271000  | 197554  |
|  2.25% 8/1/36  | SGD  | 768000  | 520897  |
|  2.375% 7/1/39  | SGD  | 325000  | 224448  |
|  2.625% 5/1/28  | SGD  | 1016000  | 744667  |
|  2.625% 8/1/32  | SGD  | 310000  | 222580  |
|  2.75% 4/1/42  | SGD  | 160000  | 121971  |
|  2.75% 3/1/46  | SGD  | 20000  | 15529  |
|  TOTAL SINGAPORE  |  |  | 2241529  |
| Slovakia - 0.2%  |  |  |  |
|  Slovakia Republic:  |  |  |  |
|  0.125% 6/17/27 (Reg. S)  | EUR  | 288000  | 266436  |
|  0.25% 5/14/25 (Reg. S)  | EUR  | 84000  | 83595  |
|  1% 10/9/30 (Reg. S)  | EUR  | 110000  | 96781  |
|  1.625% 1/21/31 (Reg. S)  | EUR  | 348000  | 322359  |
|  1.875% 3/9/37 (Reg. S)  | EUR  | 185000  | 153245  |
|  3% 2/28/23 (Reg. S)  | EUR  | 52000  | 55670  |
|  TOTAL SLOVAKIA  |  |  | 978086  |
| Slovenia - 0.1%  |  |  |  |
|  Republic of Slovenia:  |  |  |  |
|  0.125% 7/1/31(Reg. S)  | EUR  | 288000  | 226158  |
|  1.1875% 3/14/29 (Reg. S)  | EUR  | 110000  | 102760  |
|  1.25% 3/22/27 (Reg. S)  | EUR  | 84000  | 83328  |
|  1.75% 11/3/40 (Reg. S)  | EUR  | 89000  | 65709  |
|  2.125% 7/28/25 (Reg. S)  | EUR  | 64000  | 68043  |
|  2.25% 3/3/32 (Reg. S)  | EUR  | 230000  | 217350  |
|  TOTAL SLOVENIA  |  |  | 763348  |
| Spain - 3.8%  |  |  |  |
|  Spanish Kingdom:  |  |  |  |
|  0% 4/30/23  | EUR  | 32000  | 34001  |
|  0% 5/31/24  | EUR  | 2574000  | 2646552  |
|  0% 1/31/26  | EUR  | 3427000  | 3345221  |
|  0% 1/31/27  | EUR  | 880000  | 831468  |
|  0.25% 7/30/24(Reg. S) (c)  | EUR  | 1340000  | 1377199  |
|  0.5% 4/30/30 (Reg. S) (c)  | EUR  | 143000  | 125616  |
|  0.5% 10/31/31 (Reg. S) (c)  | EUR  | 756000  | 629863  |
|  0.6% 10/31/29 (Reg. S) (c)  | EUR  | 574000  | 516750  |
|  0.7% 4/30/32 (Reg. S) (c)  | EUR  | 140000  | 116727  |
|  0.8% 7/30/27 (Reg. S) (c)  | EUR  | 1203000  | 1162286  |
|  0.85% 7/30/37 (Reg. S) (c)  | EUR  | 1258000  | 895646  |
|  1% 7/30/42(Reg. S) (c)  | EUR  | 171000  | 111677  |
|  1% 10/31/50 (Reg. S) (c)  | EUR  | 1856000  | 1034861  |
|  1.2% 10/31/40 (Reg. S) (c)  | EUR  | 2179000  | 1526358  |
|  1.25% 10/31/30 (Reg. S) (c)  | EUR  | 1376000  | 1264291  |
|  1.3% 10/31/26 (c)  | EUR  | 150000  | 150840  |
|  1.4% 4/30/28 (Reg. S) (c)  | EUR  | 100000  | 97901  |
|  1.45% 10/31/27 (c)  | EUR  | 100000  | 99187  |
|  1.45% 4/30/29 (Reg. S) (c)  | EUR  | 2826000  | 2726219  |
|  1.5% 4/30/27 (Reg. S) (c)  | EUR  | 157000  | 157701  |
|  1.6% 4/30/25 (c)  | EUR  | 243000  | 252603  |
|  1.85% 7/30/35 (Reg. S) (c)  | EUR  | 480000  | 418231  |
|  1.9% 10/31/52 (Reg. S) (c)  | EUR  | 360000  | 246794  |
|  1.95% 4/30/26 (Reg. S) (c)  | EUR  | 2712000  | 2807556  |
|  1.95% 7/30/30 (Reg. S) (c)  | EUR  | 26000  | 25310  |
|  2.15% 10/31/25 (Reg. S) (c)  | EUR  | 44000  | 46159  |
|  2.35% 7/30/33 (Reg. S) (c)  | EUR  | 292000  | 278719  |
|  2.55% 10/31/32 (Reg. S) (c)  | EUR  | 720000  | 705402  |
|  2.7% 10/31/48 (c)  | EUR  | 189000  | 165001  |
|  5.15% 10/31/28 (c)  | EUR  | 80000  | 94284  |
|  TOTAL SPAIN  |  |  | 23890423  |
| Sweden - 0.0%  |  |  |  |
|  Sweden Kingdom 1.375% 6/23/71 (c)  | SEK  | 1440000  | 81235  |
| Switzerland - 0.5%  |  |  |  |
|  Switzerland Confederation:  |  |  |  |
|  0% 6/22/29 (Reg. S)  | CHF  | 2912000  | 2860855  |
|  0% 6/26/34 (Reg. S)  | CHF  | 24000  | 21581  |
|  0% 7/24/39 (Reg. S)  | CHF  | 273000  | 226030  |
|  1.25% 5/28/26  | CHF  | 35000  | 37701  |
|  3.5% 4/8/33  | CHF  | 45000  | 57354  |
|  TOTAL SWITZERLAND  |  |  | 3203521  |
| Thailand - 0.7%  |  |  |  |
|  Kingdom of Thailand:  |  |  |  |
|  1.45% 12/17/24  | THB  | 5595000  | 161343  |
|  1.6% 12/17/29  | THB  | 4153000  | 115112  |
|  1.6% 6/17/35  | THB  | 14678000  | 363614  |
|  2% 6/17/42  | THB  | 7800000  | 180310  |
|  2.125% 12/17/26  | THB  | 69582000  | 2037569  |
|  2.75% 6/17/52  | THB  | 8520000  | 201369  |
|  2.875% 6/17/46  | THB  | 9832000  | 250157  |
|  3.3% 6/17/38  | THB  | 13193000  | 382518  |
|  3.4% 6/17/36  | THB  | 3260000  | 97503  |
|  3.65% 6/20/31  | THB  | 2464000  | 77472  |
|  3.775% 6/25/32  | THB  | 13170000  | 418804  |
|  3.85% 12/12/25  | THB  | 1091000  | 33485  |
|  TOTAL THAILAND  |  |  | 4319256  |
| United Kingdom - 2.7%  |  |  |  |
|  United Kingdom, Great Britain and Northern Ireland:  |  |  |  |
|  0.125% 1/31/23 (Reg. S)  | GBP  | 13000  | 15679  |
|  0.25% 1/31/25 (Reg. S)  | GBP  | 740000  | 830332  |
|  0.25% 7/31/31 (Reg. S)  | GBP  | 1137000  | 1029768  |
|  0.375% 10/22/30 (Reg. S)  | GBP  | 1087000  | 1026597  |
|  0.5% 1/31/29(Reg. S)  | GBP  | 872000  | 871383  |
|  0.625% 6/7/25  | GBP  | 34000  | 38367  |
|  0.625% 7/31/35 (Reg. S)  | GBP  | 2162000  | 1759822  |
|  0.625% 10/22/50 (Reg. S)  | GBP  | 1885000  | 1014963  |
|  0.875% 1/31/46 (Reg. S)  | GBP  | 665000  | 425403  |
|  1% 4/22/24(Reg. S) (e)  | GBP  | 2944000  | 3439811  |
|  1.25% 7/22/27  | GBP  | 42000  | 45741  |
|  1.25% 10/22/41 (Reg. S) (e)  | GBP  | 3889076  | 2980587  |
|  1.25% 7/31/51(Reg. S)  | GBP  | 1470000  | 959842  |
|  1.5% 7/22/47  | GBP  | 195000  | 143753  |
|  1.625% 10/22/28  | GBP  | 37000  | 40171  |
|  1.625% 10/22/54 (Reg. S)  | GBP  | 769000  | 548420  |
|  1.75% 9/7/37 (Reg. S)  | GBP  | 227000  | 206436  |
|  1.75% 1/22/49(Reg. S)  | GBP  | 742000  | 573896  |
|  1.75% 7/22/57 (Reg. S)  | GBP  | 1444000  | 1065503  |
|  4.25% 9/7/39  | GBP  | 13000  | 16105  |
|  4.25% 12/7/40  | GBP  | 19000  | 23487  |
|  4.25% 12/7/55  | GBP  | 30000  | 38722  |
|  TOTAL UNITED KINGDOM  |  |  | 17094788  |
| <br> **TOTAL GOVERNMENT OBLIGATIONS** <br> (Cost $497,221,095)  |  |  | <br> **417411435**  |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Supranational Obligations - 3.7%**  | &nbsp;&nbsp; **Supranational Obligations - 3.7%**  | &nbsp;&nbsp; **Supranational Obligations - 3.7%**  | &nbsp;&nbsp; **Supranational Obligations - 3.7%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  African Development Bank:  |  |  |  |
|  0.125% 10/7/26  | EUR  | 41000  | 39266  |
|  0.875% 5/24/28  | EUR  | 87000  | 82827  |
|  1.1% 12/16/26  | AUD  | 260000  | 155506  |
|  1.125% 6/18/25 (Reg. S)  | GBP  | 80000  | 89610  |
|  Agence Francaise de Developpement 0% 3/25/25 (Reg. S)  | EUR  | 1600000  | 1596416  |
|  Asian Development Bank:  |  |  |  |
|  1.125% 12/15/25  | GBP  | 32000  | 35308  |
|  1.375% 3/7/25  | GBP  | 25000  | 28353  |
|  1.625% 1/28/25  | CAD  | 290000  | 202970  |
|  2.45% 1/17/24  | AUD  | 65000  | 43595  |
|  3.3% 8/8/28 (Reg. S)  | AUD  | 55000  | 35096  |
|  4.65% 2/16/27  | CAD  | 700000  | 531364  |
|  Corporacion Andina de Fomento 1.625% 6/3/25 (Reg. S)  | EUR  | 198000  | 200222  |
|  Council of Europe Development Bank:  |  |  |  |
|  0% 4/9/27 (Reg. S)  | EUR  | 33000  | 31028  |
|  0.125% 5/25/23  | EUR  | 23000  | 24403  |
|  European Financial Stability Facility:  |  |  |  |
|  0% 10/13/27 (Reg. S)  | EUR  | 85000  | 78951  |
|  0.05% 10/17/29 (Reg. S)  | EUR  | 23000  | 20158  |
|  0.05% 1/18/52  | EUR  | 225000  | 100713  |
|  0.125% 10/17/23 (Reg. S)  | EUR  | 250000  | 262255  |
|  0.625% 10/16/26 (Reg. S)  | EUR  | 466000  | 457569  |
|  0.7% 1/20/50 (Reg. S)  | EUR  | 176000  | 105673  |
|  0.75% 5/3/27 (Reg. S)  | EUR  | 43000  | 41955  |
|  0.875% 4/10/35 (Reg. S)  | EUR  | 610000  | 496898  |
|  1.25% 5/24/33 (Reg. S)  | EUR  | 299000  | 266940  |
|  1.45% 9/5/40 (Reg. S)  | EUR  | 1125000  | 919551  |
|  European Investment Bank:  |  |  |  |
|  0% 6/17/27  | EUR  | 215000  | 201798  |
|  0% 9/9/30 (Reg. S)  | EUR  | 109000  | 92696  |
|  0.01% 5/15/41 (Reg. S)  | EUR  | 330000  | 197823  |
|  0.05% 10/13/34 (Reg. S)  | EUR  | 1627000  | 1208014  |
|  0.125% 6/20/29 (Reg. S)  | EUR  | 578000  | 515109  |
|  0.375% 7/16/25  | EUR  | 577000  | 579161  |
|  0.375% 4/14/26 (Reg. S)  | EUR  | 413000  | 406739  |
|  0.875% 12/15/23 (Reg. S)  | GBP  | 145000  | 170482  |
|  1% 9/21/26 (Reg. S)  | GBP  | 226000  | 242581  |
|  1% 4/14/32  | EUR  | 736000  | 655744  |
|  1.125% 4/13/33 (Reg. S)  | EUR  | 265000  | 233705  |
|  1.375% 3/7/25 (Reg. S)  | GBP  | 504000  | 571891  |
|  1.5% 1/26/24  | NOK  | 740000  | 74064  |
|  1.75% 7/30/24 (Reg. S)  | CAD  | 69000  | 48927  |
|  1.75% 11/12/26 (Reg. S)  | SEK  | 240000  | 21592  |
|  2.7% 1/12/23  | AUD  | 72000  | 49016  |
|  European Stability Mechanism:  |  |  |  |
|  0.01% 3/4/30  | EUR  | 35000  | 30187  |
|  0.75% 3/15/27  | EUR  | 184000  | 179771  |
|  0.75% 9/5/28 (Reg. S)  | EUR  | 48000  | 45346  |
|  0.875% 7/18/42 (Reg. S)  | EUR  | 266000  | 186839  |
|  1.125% 5/3/32 (Reg. S)  | EUR  | 47000  | 42264  |
|  1.2% 5/23/33 (Reg. S)  | EUR  | 37000  | 32757  |
|  1.625% 11/17/36 (Reg. S)  | EUR  | 218000  | 190994  |
|  1.85% 12/1/55 (Reg. S)  | EUR  | 186000  | 148581  |
|  European Union:  |  |  |  |
|  0% 11/4/25 (Reg. S)  | EUR  | 1426000  | 1408108  |
|  0% 10/4/30 (Reg. S)  | EUR  | 169000  | 143446  |
|  0% 7/4/35 (Reg. S)  | EUR  | 1357000  | 978181  |
|  0.1% 10/4/40 (Reg. S)  | EUR  | 946000  | 582986  |
|  0.3% 11/4/50 (Reg. S)  | EUR  | 442000  | 225514  |
|  0.45% 7/4/41 (Reg. S)  | EUR  | 162000  | 105156  |
|  0.45% 5/2/46 (Reg. S)  | EUR  | 50000  | 29700  |
|  0.8% 7/4/25 (Reg. S)  | EUR  | 1760000  | 1788132  |
|  0.875% 3/11/37 (Reg. S)  | EUR  | 100000  | 77992  |
|  1.125% 4/4/36 (Reg. S)  | EUR  | 94000  | 78651  |
|  1.25% 4/4/33 (Reg. S)  | EUR  | 1418000  | 1270001  |
|  1.25% 2/4/43 (Reg. S)  | EUR  | 172000  | 129473  |
|  2% 10/4/27 (Reg. S)  | EUR  | 860000  | 878866  |
|  Inter-American Development Bank:  |  |  |  |
|  1.25% 12/15/25  | GBP  | 308000  | 341056  |
|  1.7% 10/10/24  | CAD  | 100000  | 70527  |
|  3.15% 6/26/29  | AUD  | 120000  | 74493  |
|  International Bank for Reconstruction & Development:  |  |  |  |
|  0% 1/15/27  | EUR  | 1828000  | 1730657  |
|  0.01% 4/24/28  | EUR  | 687000  | 625703  |
|  1% 12/21/29  | GBP  | 248000  | 242277  |
|  1.2% 8/8/34  | EUR  | 23000  | 19909  |
|  1.8% 7/26/24  | CAD  | 87000  | 61791  |
|  2.2% 2/27/24  | AUD  | 207000  | 138200  |
|  2.25% 1/17/23  | CAD  | 93000  | 68641  |
|  2.5% 8/3/23  | CAD  | 68000  | 49568  |
|  International Development Association 0.7% 1/17/42 (Reg. S)  | EUR  | 207000  | 144800  |
|  International Finance Corp.:  |  |  |  |
|  1.375% 9/13/24  | CAD  | 196000  | 137988  |
|  3.15% 6/26/29 (Reg. S)  | AUD  | 90000  | 55855  |
|  Nordic Investment Bank 1.125% 12/15/23 (Reg. S)  | GBP  | 40000  | 47136  |
| <br> **TOTAL SUPRANATIONAL OBLIGATIONS** <br> (Cost $29,651,064)  |  |  | **23477515**  |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Preferred Securities - 0.2%**  | &nbsp;&nbsp; **Preferred Securities - 0.2%**  | &nbsp;&nbsp; **Preferred Securities - 0.2%**  | &nbsp;&nbsp; **Preferred Securities - 0.2%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
| France - 0.1%  |  |  |  |
|  Engie SA:  |  |  |  |
|  1.5% (Reg. S) (b)(i)  | EUR  | 300000  | 254139  |
|  1.625% (Reg. S) (b)(i)  | EUR  | 100000  | 98656  |
|  Veolia Environnement SA 1.625% (Reg. S) (b)(i)  | EUR  | 100000  | 92588  |
|  TOTAL FRANCE  |  |  | 445383  |
| Italy - 0.0%  |  |  |  |
|  Enel SpA 1.375% (Reg. S) (b)(i)  | EUR  | 150000  | 127350  |
| Luxembourg - 0.0%  |  |  |  |
|  Aroundtown SA 3.375% (Reg. S) (b)(i)  | EUR  | 100000  | 49611  |
| Netherlands - 0.1%  |  |  |  |
|  Iberdrola International BV:  |  |  |  |
|  1.825% (Reg. S) (b)(i)  | EUR  | 100000  | 83186  |
|  2.625% (Reg. S) (b)(i)  | EUR  | 100000  | 106091  |
|  3.25% (Reg. S) (b)(i)  | EUR  | 100000  | 105853  |
|  TOTAL NETHERLANDS  |  |  | 295130  |
| United Kingdom - 0.0%  |  |  |  |
|  SSE PLC 3.74% (Reg. S) (b)(i)  | GBP  | 216000  | 243989  |
| <br> **TOTAL PREFERRED SECURITIES** <br> (Cost $1,199,237)  |  |  | <br> **1161463**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 0.5%**  | &nbsp;&nbsp; **Money Market Funds - 0.5%**  | &nbsp;&nbsp; **Money Market Funds - 0.5%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.37% (j) <br>(Cost $2,826,784) <br>| 2826219  | **2826784**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.4%** <br> (Cost $744,996,891) <br>| <br>**628424149**  |
| **NET OTHER ASSETS (LIABILITIES) - (0.4)%**  | **(2361003)**  |
| **NET ASSETS - 100.0%**  | **626063146**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Bond Index Contracts  |  |  |  |  |  |
| Eurex Euro-Bobl Contracts (Germany)  | 30  | Mar 2023  | 3717138  | (124254)  | (124254)  |
| ICE Long Gilt Contracts (United Kingdom)  | 10  | Mar 2023  | 1207741  | (83605)  | (83605)  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **(207859)**  |
| The notional amount of futures purchased as a percentage of Net Assets is 0.8%  | The notional amount of futures purchased as a percentage of Net Assets is 0.8%  | The notional amount of futures purchased as a percentage of Net Assets is 0.8%  | The notional amount of futures purchased as a percentage of Net Assets is 0.8%  | The notional amount of futures purchased as a percentage of Net Assets is 0.8%  | The notional amount of futures purchased as a percentage of Net Assets is 0.8%  |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  |
| Currency <br> Purchased  | Currency <br> Purchased  | Currency <br> Sold  | Currency <br> Sold  | Counterparty  | Settlement <br> Date  | Unrealized <br> Appreciation/ <br> (Depreciation) ($)  |
| EUR  | 27000  | USD  | 28863  | Bank of America, N.A.  | 1/03/23  | 39  |
| GBP  | 12000  | USD  | 14485  | Brown Brothers Harriman & Co  | 1/03/23  | 23  |
| AUD  | 27729129  | USD  | 18747664  | Bank of America, N.A.  | 1/04/23  | 131713  |
| AUD  | 2973000  | USD  | 1993923  | Brown Brothers Harriman & Co  | 1/04/23  | 30244  |
| CAD  | 45628031  | USD  | 33644028  | Citibank, N. A.  | 1/04/23  | 54665  |
| CHF  | 5564046  | USD  | 6022380  | HSBC Bank  | 1/04/23  | (4917)  |
| CLP  | 1411646000  | USD  | 1636862  | Citibank, N. A.  | 1/04/23  | 27324  |
| CNY  | 788991000  | USD  | 113003581  | Bank of America, N.A.  | 1/04/23  | 1366147  |
| CNY  | 772447000  | USD  | 110910462  | Bank of America, N.A.  | 1/04/23  | 1061098  |
| CNY  | 16544000  | USD  | 2375442  | Bank of America, N.A.  | 1/04/23  | 22726  |
| COP  | 6608800000  | USD  | 1383462  | Citibank, N. A.  | 1/04/23  | (20261)  |
| COP  | 6608800000  | USD  | 1373914  | Citibank, N. A.  | 1/04/23  | (10712)  |
| CZK  | 75816000  | USD  | 3345247  | HSBC Bank  | 1/04/23  | 9607  |
| DKK  | 22125000  | USD  | 3172985  | Bank of America, N.A.  | 1/04/23  | 11935  |
| EUR  | 269023000  | USD  | 286859225  | State Street Bank and Trust Co  | 1/04/23  | 1116445  |
| GBP  | 35055000  | USD  | 42274577  | State Street Bank and Trust Co  | 1/04/23  | 105165  |
| HKD  | 2076000  | USD  | 266349  | HSBC Bank  | 1/04/23  | (381)  |
| HUF  | 526374700  | USD  | 1399250  | HSBC Bank  | 1/04/23  | 11952  |
| IDR  | 86485900000  | USD  | 5481076  | Citibank, N. A.  | 1/04/23  | 74466  |
| ILS  | 4320000  | USD  | 1227377  | HSBC Bank  | 1/04/23  | 1606  |
| JPY  | 488400000  | USD  | 3514364  | Canadian Imperial Bk. of Comm.  | 1/04/23  | 207062  |
| JPY  | 11448287044  | USD  | 85902957  | HSBC Bank  | 1/04/23  | 1328734  |
| JPY  | 164050000  | USD  | 1206527  | JPMorgan Chase Bank, N.A.  | 1/04/23  | 43473  |
| KRW  | 18360800000  | USD  | 14407407  | Bank of America, N.A.  | 1/04/23  | 175130  |
| MXN  | 86718000  | USD  | 4473874  | JPMorgan Chase Bank, N.A.  | 1/04/23  | (23716)  |
| MYR  | 21169000  | USD  | 4794790  | Goldman Sachs Bank USA  | 1/04/23  | 10885  |
| MYR  | 27371000  | USD  | 6202076  | Goldman Sachs Bank USA  | 1/04/23  | 11545  |
| MYR  | 6202000  | USD  | 1402374  | Goldman Sachs Bank USA  | 1/04/23  | 5571  |
| NOK  | 12042000  | USD  | 1216914  | Bank of America, N.A.  | 1/04/23  | 12263  |
| NZD  | 2595600  | USD  | 1647349  | Bank of America, N.A.  | 1/04/23  | 597  |
| PEN  | 2348000  | USD  | 616273  | Citibank, N. A.  | 1/04/23  | 2151  |
| PLN  | 13879000  | USD  | 3160272  | HSBC Bank  | 1/04/23  | 7473  |
| RON  | 5684000  | USD  | 1225018  | BNP Paribas S.A.  | 1/04/23  | 6271  |
| SEK  | 61663000  | USD  | 5894116  | Bank of America, N.A.  | 1/04/23  | 15217  |
| SGD  | 2933518  | USD  | 2178624  | State Street Bank and Trust Co  | 1/04/23  | 11549  |
| THB  | 240553000  | USD  | 6946376  | JPMorgan Chase Bank, N.A.  | 1/04/23  | 19613  |
| USD  | 20124596  | AUD  | 30299000  | Bank of America, N.A.  | 1/04/23  | (504478)  |
| USD  | 280381  | AUD  | 419000  | Brown Brothers Harriman & Co  | 1/04/23  | (4895)  |
| USD  | 274033  | CAD  | 375000  | Brown Brothers Harriman & Co  | 1/04/23  | (2924)  |
| USD  | 33063359  | CAD  | 44252000  | HSBC Bank  | 1/04/23  | 380937  |
| USD  | 756077  | CAD  | 1023000  | JPMorgan Chase Bank, N.A.  | 1/04/23  | 538  |
| USD  | 5874033  | CHF  | 5565000  | State Street Bank and Trust Co  | 1/04/23  | (144461)  |
| USD  | 1512856  | CLP  | 1411646000  | Citibank, N. A.  | 1/04/23  | (151330)  |
| USD  | 2375305  | CNY  | 16544000  | Bank of America, N.A.  | 1/04/23  | (22863)  |
| USD  | 113285903  | CNY  | 788991000  | Bank of America, N.A.  | 1/04/23  | (1083824)  |
| USD  | 108741747  | CNY  | 772447000  | Bank of America, N.A.  | 1/04/23  | (3229812)  |
| USD  | 1710958  | CNY  | 11908922  | Citibank, N. A.  | 1/04/23  | (15323)  |
| USD  | 22819  | CNY  | 158828  | Citibank, N. A.  | 1/04/23  | (204)  |
| USD  | 4556965  | CNY  | 31690869  | Citibank, N. A.  | 1/04/23  | (36847)  |
| USD  | 1373914  | COP  | 6608800000  | Citibank, N. A.  | 1/04/23  | 10712  |
| USD  | 1336096  | COP  | 6608800000  | Citibank, N. A.  | 1/04/23  | (27105)  |
| USD  | 2094313  | CZK  | 49676000  | HSBC Bank  | 1/04/23  | (103847)  |
| USD  | 1129813  | CZK  | 26140000  | State Street Bank and Trust Co  | 1/04/23  | (26881)  |
| USD  | 3067093  | DKK  | 22125000  | Bank of America, N.A.  | 1/04/23  | (117826)  |
| USD  | 6707471  | EUR  | 6496000  | BNP Paribas S.A.  | 1/04/23  | (246172)  |
| USD  | 1880539  | EUR  | 1769000  | Brown Brothers Harriman & Co  | 1/04/23  | (13087)  |
| USD  | 217812  | EUR  | 205000  | Brown Brothers Harriman & Co  | 1/04/23  | (1630)  |
| USD  | 265668031  | EUR  | 257338000  | JPMorgan Chase Bank, N.A.  | 1/04/23  | (9799430)  |
| USD  | 2003943  | EUR  | 1902000  | State Street Bank and Trust Co  | 1/04/23  | (32052)  |
| USD  | 1365023  | EUR  | 1293000  | State Street Bank and Trust Co  | 1/04/23  | (19069)  |
| USD  | 507226  | GBP  | 413000  | Brown Brothers Harriman & Co  | 1/04/23  | 7930  |
| USD  | 163044  | GBP  | 134000  | Brown Brothers Harriman & Co  | 1/04/23  | 1044  |
| USD  | 39056818  | GBP  | 32809000  | HSBC Bank  | 1/04/23  | (607623)  |
| USD  | 1415762  | GBP  | 1188000  | JPMorgan Chase Bank, N.A.  | 1/04/23  | (20470)  |
| USD  | 617386  | GBP  | 505000  | State Street Bank and Trust Co  | 1/04/23  | 6866  |
| USD  | 265544  | HKD  | 2076000  | Brown Brothers Harriman & Co  | 1/04/23  | (424)  |
| USD  | 446262  | HUF  | 177080000  | BNP Paribas S.A.  | 1/04/23  | (28486)  |
| USD  | 875362  | HUF  | 350134000  | BNP Paribas S.A.  | 1/04/23  | (63341)  |
| USD  | 5512167  | IDR  | 86485900000  | Bank of America, N.A.  | 1/04/23  | (43375)  |
| USD  | 1249488  | ILS  | 4320000  | HSBC Bank  | 1/04/23  | 20505  |
| USD  | 91409  | JPY  | 12550000  | Brown Brothers Harriman & Co  | 1/04/23  | (4218)  |
| USD  | 185188  | JPY  | 25250000  | Brown Brothers Harriman & Co  | 1/04/23  | (7208)  |
| USD  | 69985  | JPY  | 9200000  | Citibank, N. A.  | 1/04/23  | (116)  |
| USD  | 2234782  | JPY  | 313800000  | Royal Bank of Canada  | 1/04/23  | (156258)  |
| USD  | 957104  | JPY  | 127100000  | State Street Bank and Trust Co  | 1/04/23  | (11351)  |
| USD  | 82574160  | JPY  | 11612850000  | State Street Bank and Trust Co  | 1/04/23  | (5911439)  |
| USD  | 13562417  | KRW  | 18360800000  | Bank of America, N.A.  | 1/04/23  | (1020121)  |
| USD  | 4408171  | MXN  | 86718000  | State Street Bank and Trust Co  | 1/04/23  | (41987)  |
| USD  | 1405329  | MYR  | 6202000  | Goldman Sachs Bank USA  | 1/04/23  | (2616)  |
| USD  | 4796746  | MYR  | 21169000  | Goldman Sachs Bank USA  | 1/04/23  | (8929)  |
| USD  | 5982732  | MYR  | 27371000  | Goldman Sachs Bank USA  | 1/04/23  | (230889)  |
| USD  | 1187614  | NOK  | 12042000  | Bank of America, N.A.  | 1/04/23  | (41563)  |
| USD  | 248388  | NZD  | 389000  | Bank of America, N.A.  | 1/04/23  | 1411  |
| USD  | 1357515  | NZD  | 2207000  | Bank of America, N.A.  | 1/04/23  | (43710)  |
| USD  | 608101  | PEN  | 2348000  | Citibank, N. A.  | 1/04/23  | (10323)  |
| USD  | 84921  | PLN  | 379000  | Bank of America, N.A.  | 1/04/23  | (1582)  |
| USD  | 2394179  | PLN  | 11017000  | Brown Brothers Harriman & Co  | 1/04/23  | (120343)  |
| USD  | 552317  | PLN  | 2483000  | Citibank, N. A.  | 1/04/23  | (14403)  |
| USD  | 780563  | RON  | 3752000  | Brown Brothers Harriman & Co  | 1/04/23  | (32209)  |
| USD  | 412382  | RON  | 1932000  | Citibank, N. A.  | 1/04/23  | (6135)  |
| USD  | 5816513  | SEK  | 61783000  | HSBC Bank  | 1/04/23  | (104320)  |
| USD  | 2226748  | SGD  | 3071000  | State Street Bank and Trust Co  | 1/04/23  | (66069)  |
| USD  | 6674612  | THB  | 240553000  | JPMorgan Chase Bank, N.A.  | 1/04/23  | (291377)  |
| CNY  | 39755000  | USD  | 5759925  | Goldman Sachs Bank USA  | 2/01/23  | 16361  |
| EUR  | 8696000  | USD  | 9315068  | Bank of America, N.A.  | 2/01/23  | 12525  |
| GBP  | 1106000  | USD  | 1336015  | Brown Brothers Harriman & Co  | 2/01/23  | 2163  |
| JPY  | 202000000  | USD  | 1537605  | Brown Brothers Harriman & Co  | 2/01/23  | 7574  |
| USD  | 18823162  | AUD  | 27812000  | Bank of America, N.A.  | 2/01/23  | (135975)  |
| USD  | 33781462  | CAD  | 45808000  | Citibank, N. A.  | 2/01/23  | (54836)  |
| USD  | 6100877  | CHF  | 5620000  | HSBC Bank  | 2/01/23  | 2865  |
| USD  | 1622469  | CLP  | 1401797000  | Citibank, N. A.  | 2/01/23  | (25755)  |
| USD  | 117813844  | CNY  | 822105000  | Bank of America, N.A.  | 2/01/23  | (1635615)  |
| USD  | 1619089  | COP  | 7777700000  | Citibank, N. A.  | 2/01/23  | 23681  |
| USD  | 3355408  | CZK  | 76173000  | HSBC Bank  | 2/01/23  | (9102)  |
| USD  | 3260028  | DKK  | 22685000  | Bank of America, N.A.  | 2/01/23  | (13037)  |
| USD  | 287824517  | EUR  | 269402000  | State Street Bank and Trust Co  | 2/01/23  | (1144222)  |
| USD  | 42378222  | GBP  | 35115000  | State Street Bank and Trust Co  | 2/01/23  | (108306)  |
| USD  | 269198  | HKD  | 2097000  | HSBC Bank  | 2/01/23  | 360  |
| USD  | 1419231  | HUF  | 538860000  | HSBC Bank  | 2/01/23  | (12732)  |
| USD  | 5468770  | IDR  | 86330000000  | Citibank, N. A.  | 2/01/23  | (74911)  |
| USD  | 1233873  | ILS  | 4338000  | HSBC Bank  | 2/01/23  | (1774)  |
| USD  | 86184512  | JPY  | 11444200000  | HSBC Bank  | 2/01/23  | (1356798)  |
| USD  | 14786488  | KRW  | 18843900000  | Bank of America, N.A.  | 2/01/23  | (189174)  |
| USD  | 4528745  | MXN  | 88223000  | JPMorgan Chase Bank, N.A.  | 2/01/23  | 26960  |
| USD  | 1240766  | NOK  | 12265000  | Bank of America, N.A.  | 2/01/23  | (12688)  |
| USD  | 1652567  | NZD  | 2603000  | Bank of America, N.A.  | 2/01/23  | (807)  |
| USD  | 1047689  | PEN  | 4005000  | Citibank, N. A.  | 2/01/23  | (3788)  |
| USD  | 3165492  | PLN  | 13937000  | HSBC Bank  | 2/01/23  | (7604)  |
| USD  | 1231909  | RON  | 5725000  | BNP Paribas S.A.  | 2/01/23  | (6184)  |
| USD  | 5966441  | SEK  | 62323000  | Bank of America, N.A.  | 2/01/23  | (16448)  |
| USD  | 2223807  | SGD  | 2993000  | State Street Bank and Trust Co  | 2/01/23  | (11963)  |
| USD  | 7183495  | THB  | 248082000  | JPMorgan Chase Bank, N.A.  | 2/01/23  | (22435)  |
| USD  | 4742100  | MYR  | 20934000  | Goldman Sachs Bank USA  | 2/02/23  | (16545)  |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  |  | **(22990510)**  |
| Unrealized Appreciation  | Unrealized Appreciation  | Unrealized Appreciation  |  |  |  | 6405121  |
| Unrealized Depreciation  | Unrealized Depreciation  | Unrealized Depreciation  |  |  |  | (29395631)  |

---

For the period, the average contract value for forward foreign currency contracts was $1,255,041,818. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD  | -  | Australian dollar  |
| CAD  | -  | Canadian dollar  |
| CHF  | -  | Swiss franc  |
| CLP  | -  | Chilean peso  |
| CNY  | -  | Chinese yuan  |
| COP  | -  | Colombian peso  |
| CZK  | -  | Czech koruna  |
| DKK  | -  | Danish krone  |
| EUR  | -  | European Monetary Unit  |
| GBP  | -  | British pound sterling  |
| HKD  | -  | Hong Kong dollar  |
| HUF  | -  | Hungarian forint  |
| IDR  | -  | Indonesian rupiah  |
| ILS  | -  | Israeli shekel  |
| JPY  | -  | Japanese yen  |
| KRW  | -  | Korean won  |
| MXN  | -  | Mexican peso  |
| MYR  | -  | Malyasian ringgit  |
| NOK  | -  | Norwegian krone  |
| NZD  | -  | New Zealand dollar  |
| PEN  | -  | Peruvian new sol  |
| PLN  | -  | Polish zloty  |
| RON  | -  | Romanian leu (new)  |
| RUB  | -  | Russian ruble  |
| SEK  | -  | Swedish krona  |
| SGD  | -  | Singapore dollar  |
| THB  | -  | Thai baht  |
| USD  | -  | U.S. dollar  |

---

Categorizations in the Schedule of Investments are based on country or territory of incorporation.

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $65,532,486 or 10.5% of net assets.

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

(e) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts. At period end, the value of securities pledged amounted to $18,519,651.

(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $174,856.

(g) Non-income producing - Security is in default.

(h) Level 3 security

(i) Security is perpetual in nature with no stated maturity date.

(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.37%  | 4534506  | 267793183  | 269500905  | 78709  | -  | -  | 2826784  | 0.0%  |
| Total  | 4534506  | 267793183  | 269500905  | 78709  | -  | -  | 2826784  |  |

---

Amounts in the dividend 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.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of December 31, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  Corporate Bonds  | 183546952  | -  | 183546952  | -  |
|  Government Obligations  | 417411435  | -  | 417395923  | 15512  |
|  Supranational Obligations  | 23477515  | -  | 23477515  | -  |
|  Preferred Securities  | 1161463  | -  | 1161463  | -  |
|  Money Market Funds  | 2826784  | 2826784  | -  | -  |
| **Total Investments in Securities:**  | 628424149  | 2826784  | 625581853  | 15512  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Forward Foreign Currency Contracts  | 6405121  | -  | 6405121  | -  |
| Total Assets  | 6405121  | -  | 6405121  | -  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (207859)  | (207859)  | -  | -  |
| Forward Foreign Currency Contracts  | (29395631)  | -  | (29395631)  | -  |
| Total Liabilities  | (29603490)  | (207859)  | (29395631)  | -  |
| **Total Derivative Instruments:**  | (23198369)  | (207859)  | (22990510)  | -  |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of December 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value**  | **Value**  |
|  | **Asset ($)**  | **Liability ($)**  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts (a)  | 6405121  | (29395631)  |
| **Total Foreign Exchange Risk**  | 6405121  | (29395631)  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts (b)  | 0  | (207859)  |
| **Total Interest Rate Risk**  | 0  | (207859)  |
| **Total Value of Derivatives**  | 6405121  | (29603490)  |

---

(a)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.

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

The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Counterparty**  | **Value of** <br> **Derivative** <br> **Assets ($)**  | **Value of** <br> **Derivative** <br> **Liabilities ($)**  | <br> **Collateral** <br> **Received** <sup>(a)</sup> **($)**  | <br> **Collateral** <br> **Pledged** <sup>(a)</sup> **($)**  | <br>**Net** <sup>(b)</sup> **($)**  |
| Bank of America, N.A.  | 2810801  | (8112898)  | -  | 3944724  | (1357373)  |
| HSBC Bank  | 1764039  | (2209098)  | -  | -  | (445059)  |
| State Street Bank and Trust Co  | 1240025  | (7517800)  | -  | 4341947  | (1935828)  |
| Canadian Imperial Bk. of Comm.  | 207062  | -  | -  | -  | 207062  |
| Citibank, N. A.  | 192999  | (452049)  | -  | 202896  | (56154)  |
| JPMorgan Chase Bank, N.A.  | 90584  | (10157428)  | -  | 9573125  | (493719)  |
| Brown Brothers Harriman & Co  | 48978  | (186938)  | -  | -  | (137960)  |
| Goldman Sachs Bank USA  | 44362  | (258979)  | -  | 214617  | -  |
| BNP Paribas S.A.  | 6271  | (344183)  | -  | 194325  | (143587)  |
| Royal Bank of Canada  | -  | (156258)  | -  | -  | (156258)  |
| Exchange Traded Futures  | -  | (207859)  | -  | 174856  | (33003)  |
| Total  | $6405121  | $(29603490)  |  |  |  |

---

*(a) Reflects collateral received from or pledged to an individual counterparty, excluding any excess or initial collateral amounts.*

*(b) Net represents the receivable / (payable) that would be due from / (to) the counterparty in an event of default. Netting may be allowed across transactions traded under the same legal agreement with the same legal entity. Please refer to Derivative Instruments - Risk Exposures and the Use of Derivative Instruments section in the accompanying Notes to Financial Statements.*

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  | $— |  |
|  Unaffiliated issuers (cost $742,170,107)  | 625597365  |  |
|  Fidelity Central Funds (cost $2,826,784)  | 2826784  |  |
|  Total Investment in Securities (cost $744,996,891)  |  | $628424149  |
|  Foreign currency held at value (cost $180,019)  |  | 181527  |
| Receivable for investments sold  |  | 16408592  |
|  Unrealized appreciation on forward foreign currency contracts  |  | 6405121  |
|  Receivable for fund shares sold  |  | 2097068  |
|  Interest receivable  |  | 4414341  |
|  Distributions receivable from Fidelity Central Funds  |  | 28841  |
| **Total assets**  |  | 657959639  |
| **Liabilities**  |  |  |
|  Unrealized depreciation on forward foreign currency contracts  | $29395631  |  |
|  Payable for fund shares redeemed  | 2455525  |  |
|  Accrued management fee  | 31523  |  |
|  Payable for daily variation margin on futures contracts  | 7515  |  |
|  Other payables and accrued expenses  | 6299  |  |
| **Total Liabilities**  |  | 31896493  |
| **Net Assets**  |  | $626063146  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $706360733  |
|  Total accumulated earnings (loss)  |  | (80297587)  |
|  **Net Assets**  |  | $626063146  |
|  **Net Asset Value** , offering price and redemption price per share ($626,063,146 ÷ 71,062,075 shares)  |  | $8.81  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Year ended** <br> **December 31, 2022**  |
|  **Investment Income**  |  |  |
| Dividends  |  | $9910  |
| Interest  |  | 7646790  |
| Income from Fidelity Central Funds  |  | 78709  |
| **Total Income**  |  | 7735409  |
|  **Expenses**  |  |  |
| Management fee  | $360462  |  |
| Independent trustees' fees and expenses  | 1912  |  |
| Interest  | 539  |  |
| Total expenses before reductions  | 362913  |  |
| Expense reductions  | (96)  |  |
| Total expenses after reductions  |  | 362817  |
| **Net Investment income (loss)**  |  | 7372592  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers (net of foreign taxes of $41)  | (19730778)  |  |
| Forward foreign currency contracts  | 70540920  |  |
| Foreign currency transactions  | (182517)  |  |
| Futures contracts  | 97283  |  |
| Total net realized gain (loss)  |  | 50724908  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers (net of decrease in deferred foreign taxes of $9)  | (107280847)  |  |
| Forward foreign currency contracts  | (20957893)  |  |
| Assets and liabilities in foreign currencies  | 107802  |  |
| Futures contracts  | (207859)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (128338797)  |
| **Net gain (loss)**  |  | (77613889)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(70241297)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Year ended** <br> **December 31, 2022**  | **Year ended** <br> **December 31, 2021**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $7372592  | $2123232  |
| &nbsp;&nbsp; Net realized gain (loss)  | 50724908 <br>| 12158281 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (128338797)  | (18781401) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (70241297) <br>| (4499888) <br>|
| Distributions to shareholders  | (5966263) <br>| (1876795) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 276251223  | 471380646  |
| Reinvestment of distributions  | 5731984 <br>| 1778510 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (177849202)  | (53277335)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 104134005 <br>| 419881821 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 27926445 <br>| 413505138 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 598136701  | 184631563 <br>|
| &nbsp;&nbsp; End of period  | $626063146  | $598136701  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 29771106  | 47006798  |
| Issued in reinvestment of distributions  | 635781 <br>| 177570 <br>|
| &nbsp;&nbsp; Redeemed  | (19301789)  | (5284680)  |
| &nbsp;&nbsp; Net increase (decrease)  | 11105098  | 41899688  |

---

**Financial Highlights** 

 **Fidelity® International Bond Index Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.98  | $10.22  | $9.87  | $10.00  |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .113  | .079  | .054  | .010  |
| Net realized and unrealized gain (loss)  | (1.193)  | (.257)  | .372  | (.123)  |
| Total from investment operations  | (1.080)  | (.178)  | .426  | (.113)  |
| Distributions from net investment income  | (.090)  | (.062)  | (.076)  | (.009)  |
| Distributions from net realized gain  | -  | -  | -  | (.008)  |
| Total distributions  | (.090)  | (.062)  | (.076)  | (.017)  |
| Net asset value, end of period  | $8.81  | $9.98  | $10.22  | $9.87  |
| **Total Return** <sup>D,E</sup>  | (10.84)%  | (1.74)%  | 4.33%  | (1.13)%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |  |  |  |
| Expenses before reductions  | .06%  | .06%  | .06%  | .06% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .06%  | .06%  | .06%  | .06% <sup>H</sup>  |
| Expenses net of all reductions  | .06%  | .06%  | .06%  | .06% <sup>H</sup>  |
| Net investment income (loss)  | 1.23%  | .79%  | .54%  | .45% <sup>H</sup>  |
| **Supplemental Data**  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $626063  | $598137  | $184632  | $16121  |
| Portfolio turnover rate <sup>I</sup>  | 22%  | 18%  | 5%  | 3% <sup>J</sup>  |

---

<sup>A</sup> *For the period October 10, 2019 (commencement of operations) through December 31, 2019.*

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

<sup>E</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

<sup>F</sup> *Fees 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.*

<sup>G</sup> *Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, 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.*

<sup>H</sup> *Annualized.*

<sup>I</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>J</sup> *Amount not annualized.*

**Notes to Financial Statements**

For the period ended December 31, 2022

**1. Organization.**

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

**2. Investments in Fidelity Central Funds.**

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** <sup>A</sup>  |
| 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%  |

---

<sup>A</sup> *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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

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 - unadjusted 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 services or from brokers who make markets in such securities. Corporate bonds foreign government and government agency obligations, preferred securities, and supranational obligations are valued by pricing services 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 services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of December 31, 2022 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

**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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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. As of December 31, 2022, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests.

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 foreign currency transactions, certain foreign taxes, market discount, capital loss carryforwards, futures contracts, 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:

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $5103652  |
| **Gross unrealized depreciation**  | <u>(81649622)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(76545970)</u>  |
| **Tax Cost**  | <u>$743990360</u>  |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$3570022</u>  |
| **Capital loss carryforward**  | <u>$(7414923)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(76452686)</u>  |

---

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 fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term  | $(4972552)  |
| Long-term  | <u>(2442371)</u>  |
| Total capital loss carryforward  | <u>$(7414923)</u>  |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **December 31, 2022**  | **December 31, 2021**  |
| **Ordinary Income**  | $5966263  | $1876795  |

---

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**4. Derivative Instruments.**

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

Derivatives were used to increase returns, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

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| | |
|:---|:---|
| Foreign Exchange Risk  | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. <br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.  |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade.

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

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type**  | **Net Realized Gain (Loss)**  | **Change in Net Unrealized Appreciation (Depreciation)**  |
| **Fidelity International Bond Index Fund**  |  |  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts  | <u>$70540920</u>  | <u>$(20957893)</u>  |
| **Total Foreign Exchange Risk**  | <u>70540920</u>  | <u>(20957893)</u>  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts  | <u>97283</u>  | <u>(207859)</u>  |
| **Total Interest Rate Risk**  | <u>97283</u>  | <u>(207859)</u>  |
| Totals  | <u>$70638203</u>  | <u>$(21165752)</u>  |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

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

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

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Fidelity International Bond Index Fund**  | 317976374  | 131606527  |

---

**6. 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. The management fee is based on an annual rate of .06% of the 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 miscellaneous expenses such as proxy and shareholder meeting expenses.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Borrower or Lender**  | **Average Loan Balance**  | **Weighted Average Interest Rate**  | **Interest Expense**  |
| **Fidelity International Bond Index Fund**  | Borrower  | $5856000  | 3.32%  | $539  |

---

**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. During the period, there were no interfund trades.

**Other.** During the period, the investment adviser reimbursed the Fund for certain losses as follows:

---

| | |
|:---|:---|
|  | **Amount ($)**  |
| **Fidelity International Bond Index Fund**  | 1083  |

---

**7. 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.

**8. 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 $96.

**9. Other.**

A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a 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.

---

| | |
|:---|:---|
|  | **Fidelity Multi-Asset Index Fund**  |
| Fidelity International Bond Index Fund  | 33%  |

---

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 International Bond Index Fund  | 51%  |

---

**10. Risks of Investing in European Countries.**

There continues to be uncertainty surrounding the sovereign debt of many European countries. If there is a default or debt restructuring by any European country, or if more countries leave the European Monetary Union or the European Monetary Union dissolves, there may be wide-ranging effects on global markets. Such events could significantly affect the value or liquidity of investments in the region or with exposure to the region.

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity International Bond Index Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity International Bond Index Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the "Fund") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statement of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the three years in the period ended December 31, 2022 and for the period October 10, 2019 (commencement of operations) through December 31, 2019 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the three years in the period ended December 31, 2022 and for the period October 10, 2019 (commencement of operations) through December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 16, 2023

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Trustees and Officers**

**<u>TRUSTEES AND OFFICERS</u>**

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 295 funds. Mr. Chiel oversees 186 funds.

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

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

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

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

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

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

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

<u>Interested Trustees\*:</u>

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

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity <sup>®</sup> funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity <sup>®</sup> funds (2001-2005), and managed a number of Fidelity <sup>®</sup> funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity <sup>®</sup> funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.

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

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

<u>Independent Trustees:</u>

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

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity <sup>®</sup> funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2018).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity <sup>®</sup> funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2014-2016).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Mr. Johnson also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity <sup>®</sup> funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity <sup>®</sup> funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity <sup>®</sup> funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2016).

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

<u>Advisory Board Members and Officers:</u>

Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

<u>Name, Year of Birth; Principal Occupation</u>

Laura M. Bishop (1961)

Year of Election or Appointment: 2022

Member of the Advisory Board

Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2022).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Christopher M. Gouveia (1973)

Year of Election or Appointment: 2023

Chief Compliance Officer

Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity <sup>®</sup> funds (2016-2020) and Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2016-2018).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), FD Funds Management LLC (2021-present), and Fidelity Diversifying Solutions LLC (investment adviser firm, 2022-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity <sup>®</sup> funds.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2021).

**Shareholder Expense Example**

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2022 to December 31, 2022). <br>

***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. In addition, if these transactional costs were included, your costs would have been higher.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value July 1, 2022**  | **Ending Account Value December 31, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **July 1, 2022 to December 31, 2022**  |
| **Fidelity® International Bond Index Fund**  | .06%  |  |  |  |
| **Actual**  |  | $1000  | $977.20  | $.30  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.90  | $.31  |

---

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

*B 5% return per year before expenses*

*C Expenses 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.*

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com* .

The fund designates $701,401 of distributions paid in the calendar year 2021 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity International Bond Index Fund** 

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

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

At its September 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

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

**Nature, Extent, and Quality of Services Provided.** The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds throughout the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.

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

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

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

<u>Investment in a Large Fund Family.</u> The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds, ETFs, and share classes with innovative structures, strategies and pricing and making other enhancements to meet investor needs; (iv) broadening eligibility requirements for certain funds and share classes; (v) reducing management fees and total expenses for certain funds and classes; (vi) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (vii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (ix) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.

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

The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against the securities market index the fund seeks to track. The Board also periodically considers the fund's tracking error versus its benchmark index.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to the fund's benchmark index, over appropriate time periods, taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.

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

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

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

![](img88187_9.jpg)

The Board noted that the fund's management fee rate ranked equal to the median of its Total Mapped Group and below the median of its ASPG for 2021.

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

<u>Total Expense Ratio</u> . In its review of the fund's total expense ratio, the Board considered the fund's unitary (subject to certain limited exceptions) fee rate as well as fund expenses paid by FMR under the fund's management contract, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison, which focuses on the total expenses of the fund relative to a subset of non-Fidelity funds within the similar sales load structure group that are similar in size and management fee structure. The total expense ASPG is limited to 15 larger and 15 smaller classes of different funds, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in expenses relating to these items.

The Board noted that the fund's total net expense ratio ranked below the similar sales group load competitive median and below the ASPG competitive median for 2021.

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

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

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

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

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

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

**Additional Information Requested by the Board.** In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent, pricing and bookkeeping fees, expense and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the changes in flows for different types of funds; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.

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

![](img88187_2.jpg) <br>

1.9896131.103 IBI-ANN-0323

**Fidelity® Inflation-Protected Bond Index Fund**

**Annual Report**

**December 31, 2022**

![](img88189_1.jpg)

![](img88189_2.jpg)

**Contents**

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| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Management's Discussion of Fund Performance](#Sec_Mgt Discussion of FundPerformance)** |
| **[Investment Summary](#Sec_InvestmentSummary2415)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments2415)** |
| **[Financial Statements](#Sec_FinancialStatements2415)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Report of Independent Registered Public Accounting Firm](#Sec_Report of Independent Registered Public Accounting Firm)** |
| **[Trustees and Officers](#Sec_Trustee and Officers)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Distributions](#Sec_Distributions)** |
| **[Board Approval of Investment Advisory Contracts and Management Fees](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

---

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

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

BLOOMBERG <sup>®</sup> 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.© 2023 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.*

**Performance: The Bottom Line**

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

&nbsp;&nbsp; **Average Annual Total Returns** <br>

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| | | | |
|:---|:---|:---|:---|
| **Periods ended December 31, 2022** <br>| **Past 1** <br> **year**  | **Past 5** <br> **years**  | **Past 10** <br> **years**  |
| Fidelity® Inflation-Protected Bond Index Fund  | &nbsp;&nbsp; -12.05%  | &nbsp;&nbsp; 1.99%  | &nbsp;&nbsp; 1.05%  |

---

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| |
|:---|
| **$10,000 Over 10 Years**  |
| Let's say hypothetically that $10,000 was invested in Fidelity® Inflation-Protected Bond Index Fund on December 31, 2012. <br>The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) Index performed over the same period.  |
| ![](img88189_5.jpg)  |

---

**Management's Discussion of Fund Performance**

**Market Recap:** 

U.S. taxable investment-grade bonds notably declined in 2022, as a multitude of crosscurrents challenged the global economy and financial markets. The Bloomberg U.S. Aggregate Bond Index returned -13.01% for the year, its worst annual return on record and the first time it ever ceded ground in back-to-back calendar years. In late 2021, the Federal Reserve began its pivot to a tighter monetary policy, tapering the large-scale asset purchases it initially started in 2008, and dramatically expanded in 2020 amid the COVID-19 pandemic. In early 2022, the Fed, faced with persistent inflationary pressure, implemented an aggressive series of rate hikes, raising its benchmark interest rate seven times, by a total of 4.25 percentage points, between March and December. This represented the fastest-ever pace of monetary tightening and helped push nominal and real (inflation-adjusted) U.S. bond yields to their highest level in more than a decade. Bond prices, which move inversely to yields, fell sharply. Credit spreads significantly widened, as investors demanded more yield for buying corporate debt and other credit-sensitive assets. In November and December, the bond market staged a broad rally (+3.21%) when comments by Fed Chair Jerome Powell pointed to a slowdown in the size and pace of rate hikes, but all major market segments lost ground for the 12 months, with higher-quality, shorter-term bonds holding up best. Spread sectors broadly trailed Treasuries on a duration-adjusted basis.

**Comments from Co-Portfolio Managers Brandon Bettencourt and Richard Munclinger:**

For the fiscal year, the fund returned -12.05%, modestly lagging, net of fees, the -11.85% return of the benchmark, the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) Index (Series L). We attempt to hold all positions held by the index in the same relative proportions. This past year, the fund's performance versus the benchmark was hurt by "pricing basis." On December 30, 2022, the fund was priced at 4 p.m. Eastern Standard Time, while the benchmark was priced at 1:00 p.m. EST. This time difference accounted for most of the variance between the respective results. During the 12-month period, the Federal Reserve aggressively hiked short-term policy interest rates, with the aim of bringing down persistently high inflation. Year-over-year inflation peaked at 9.1% in June, the largest 12-month increase since 1981, and remained elevated before ending October at about 8%. Even with inflation soaring to a multi-decade high, TIPS prices tumbled along with the rest of the bond market as interest rates rose, largely because their prices fell more than the upward inflation-adjustment made to their principal. In all, the Fed raised its policy rate seven times in 2022, totaling 4.25 percentage points, prompting investors to sell bonds, including both traditional (nominal) and inflation-protected Treasuries throughout most of the first nine months of the year. TIPS staged a partial rebound in October and November - as inflation moderated and some investors began to expect the Fed would stop raising interest rates in early 2023 - before falling back a bit in December. For the full year, TIPS posted their worst annual return since they were created in the 1990s, suffering losses only slightly smaller than those incurred by comparable-duration nominal Treasuries. Shorter-term TIPs outpaced their longer-term counterparts, which were especially sensitive when bond yields rose.

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

**Investment Summary December 31, 2022 (Unaudited)**

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Coupon Distribution (% of Fund's Investments)**  | &nbsp;&nbsp; **Coupon Distribution (% of Fund's Investments)**  |
| 0.01 - 0.99%  | 78.6  |
| 1 - 1.99%  | 5.6  |
| 2 - 2.99%  | 8.0  |
| 3 - 3.99%  | 4.6  |
| <br> *Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.*  | <br> *Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.*  |

---

The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund's prospectus for more information.

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88189_6.jpg)  |

---

**Schedule of Investments December 31, 2022**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Inflation-Protected Obligations - 99.5%**  | &nbsp;&nbsp; **U.S. Treasury Inflation-Protected Obligations - 99.5%**  | &nbsp;&nbsp; **U.S. Treasury Inflation-Protected Obligations - 99.5%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  U.S. Treasury Inflation-Indexed Bonds:  |  |  |
|  0.125% 2/15/51  | 140537838  | 90624359  |
|  0.125% 2/15/52 (b)  | 128036584  | 83027288  |
|  0.25% 2/15/50  | 131327058  | 88664139  |
|  0.625% 2/15/43  | 133623696  | 107897761  |
|  0.75% 2/15/42  | 124358890  | 104169688  |
|  0.75% 2/15/45  | 175996117  | 142458050  |
|  0.875% 2/15/47  | 144453461  | 118532991  |
|  1% 2/15/46  | 107426492  | 91317094  |
|  1% 2/15/48  | 78173031  | 65858030  |
|  1% 2/15/49  | 28949029  | 24220346  |
|  1.375% 2/15/44  | 163188973  | 151666105  |
|  1.75% 1/15/28  | 168410720  | 168331118  |
|  2% 1/15/26  | 157486782  | 157293454  |
|  2.125% 2/15/40  | 84638403  | 89643013  |
|  2.125% 2/15/41  | 87107368  | 92080273  |
|  2.375% 1/15/25  | 227687856  | 227856490  |
|  2.375% 1/15/27  | 93576196  | 95458298  |
|  2.5% 1/15/29  | 98861761  | 103103277  |
|  3.375% 4/15/32  | 72271651  | 82581241  |
|  3.625% 4/15/28  | 225777481  | 246109883  |
|  3.875% 4/15/29  | 97644659  | 109743940  |
|  U.S. Treasury Inflation-Indexed Notes:  |  |  |
|  0.125% 7/15/24  | 334639314  | 323808486  |
|  0.125% 10/15/24  | 307495970  | 296091389  |
|  0.125% 4/15/25  | 176185328  | 167897715  |
|  0.125% 10/15/25  | 251323523  | 238845594  |
|  0.125% 4/15/26  | 188377806  | 177108708  |
|  0.125% 7/15/26  | 343952852  | 324127539  |
|  0.125% 10/15/26  | 341768004  | 320380587  |
|  0.125% 4/15/27 (b)  | 277169048  | 258337338  |
|  0.125% 1/15/30  | 266923285  | 239860814  |
|  0.125% 7/15/30  | 307109670  | 275100593  |
|  0.125% 1/15/31  | 351907725  | 312681274  |
|  0.125% 7/15/31  | 274985101  | 243107920  |
|  0.125% 1/15/32  | 371974220  | 326007586  |
|  0.25% 1/15/25  | 275219597  | 263979251  |
|  0.25% 7/15/29  | 283029092  | 259196154  |
|  0.375% 7/15/23  | 108848  | 107534  |
|  0.375% 7/15/25  | 332705895  | 319522058  |
|  0.375% 1/15/27  | 277151939  | 261381886  |
|  0.375% 7/15/27  | 327401535  | 308610875  |
|  0.5% 4/15/24  | 233492044  | 227024482  |
|  0.5% 1/15/28  | 346021857  | 325452546  |
|  0.625% 1/15/24  | 238282684  | 233183812  |
|  0.625% 1/15/26  | 280159433  | 268929106  |
|  0.625% 7/15/32  | 362478846  | 332218067  |
|  0.75% 7/15/28  | 232549092  | 221573934  |
|  0.875% 1/15/29  | 232082788  | 221167469  |
|  1.625% 10/15/27  | 28772172  | 28744177  |
| <br> **TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS** <br> (Cost $10,203,763,076)  |  | **9215083732**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 3.3%**  | &nbsp;&nbsp; **Money Market Funds - 3.3%**  | &nbsp;&nbsp; **Money Market Funds - 3.3%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.37% (c)  | 37614788  | 37622311  |
|  Fidelity Securities Lending Cash Central Fund 4.37% (c)(d)  | 265098490  | 265125000  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $302,747,311)  |  | **302747311**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 102.8%** <br> (Cost $10,506,510,387) <br>| <br>**9517831043**  |
| **NET OTHER ASSETS (LIABILITIES) - (2.8)%**  | **(261780469)**  |
| **NET ASSETS - 100.0%**  | **9256050574**  |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

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

(c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.37%  | 42519434  | 894015496  | 898912619  | 184511  | -  | -  | 37622311  | 0.1%  |
|  Fidelity Securities Lending Cash Central Fund 4.37%  | -  | 1542905138  | 1277780138  | 172193  | -  | -  | 265125000  | 0.8%  |
| Total  | 42519434  | 2436920634  | 2176692757  | 356704  | -  | -  | 302747311  |  |

---

Amounts in the dividend 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.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of December 31, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  U.S. Government and Government Agency Obligations  | 9215083732  | -  | 9215083732  | -  |
|  Money Market Funds  | 302747311  | 302747311  | -  | -  |
| **Total Investments in Securities:**  | 9517831043  | 302747311  | 9215083732  | -  |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022**  |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $258,972,978) - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $10,203,763,076)  | $9215083732  |  |
|  Fidelity Central Funds (cost $302,747,311)  | 302747311  |  |
|  Total Investment in Securities (cost $10,506,510,387)  |  | $9517831043  |
| Receivable for investments sold  |  | 143416224  |
|  Receivable for fund shares sold  |  | 13193620  |
|  Interest receivable  |  | 24388285  |
|  Distributions receivable from Fidelity Central Funds  |  | 60251  |
| Other receivables  |  | 21296  |
| **Total assets**  |  | 9698910719  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  | $120878585  |  |
|  Payable for fund shares redeemed  | 56436573  |  |
|  Distributions payable  | 377  |  |
|  Accrued management fee  | 398320  |  |
|  Other payables and accrued expenses  | 21290  |  |
|  Collateral on securities loaned  | 265125000  |  |
| **Total Liabilities**  |  | 442860145  |
| **Net Assets**  |  | $9256050574  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $10542416930  |
|  Total accumulated earnings (loss)  |  | (1286366356)  |
|  **Net Assets**  |  | $9256050574  |
|  **Net Asset Value** , offering price and redemption price per share ($9,256,050,574 ÷ 1,026,068,075 shares)  |  | $9.02  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Year ended** <br> **December 31, 2022**  |
|  **Investment Income**  |  |  |
| Interest  |  | $775373198  |
| Income from Fidelity Central Funds (including $172,193 from security lending)  |  | 356704  |
| **Total Income**  |  | 775729902  |
|  **Expenses**  |  |  |
| Management fee  | $5332507  |  |
| Independent trustees' fees and expenses  | 34716  |  |
| Total expenses before reductions  | 5367223  |  |
| Expense reductions  | (929)  |  |
| Total expenses after reductions  |  | 5366294  |
| **Net Investment income (loss)**  |  | 770363608  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (292666217)  |  |
| Total net realized gain (loss)  |  | (292666217)  |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | (1875046947)  |
| **Net gain (loss)**  |  | (2167713164)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(1397349556)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Year ended** <br> **December 31, 2022**  | **Year ended** <br> **December 31, 2021**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $770363608  | $531096655  |
| &nbsp;&nbsp; Net realized gain (loss)  | (292666217) <br>| 20227079 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (1875046947)  | 33076734 <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (1397349556) <br>| 584400468 <br>|
| Distributions to shareholders  | (772691228) <br>| (530589842) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 4604531508  | 5490931795  |
| Reinvestment of distributions  | 714010214 <br>| 490863198 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (5664287113)  | (3214302911)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | (345745391) <br>| 2767492082 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (2515786175) <br>| 2821302708 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 11771836749  | 8950534041 <br>|
| &nbsp;&nbsp; End of period  | $9256050574  | $11771836749  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 439922023  | 487159950  |
| Issued in reinvestment of distributions  | 78722208 <br>| 44221970 <br>|
| &nbsp;&nbsp; Redeemed  | (547695637)  | (286850319)  |
| &nbsp;&nbsp; Net increase (decrease)  | (29051406)  | 244531601  |

---

**Financial Highlights** 

 **Fidelity® Inflation-Protected Bond Index Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.16  | $11.04  | $10.08  | $9.49  | $9.84  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .748  | .593  | .157  | .233  | .262  |
| Net realized and unrealized gain (loss)  | (2.088)  | .058  | .940  | .555  | (.398)  |
| Total from investment operations  | (1.340)  | .651  | 1.097  | .788  | (.136)  |
| Distributions from net investment income  | (.800)  | (.531)  | (.027)  | (.041)  | (.031)  |
| Distributions from net realized gain  | -  | -  | (.110)  | (.157)  | (.183)  |
| Total distributions  | (.800)  | (.531)  | (.137)  | (.198)  | (.214)  |
| Net asset value, end of period  | $9.02  | $11.16  | $11.04  | $10.08  | $9.49  |
| **Total Return** <sup>C</sup>  | (12.05)%  | 5.93%  | 10.90%  | 8.31%  | (1.37)%  |
| **Ratios to Average Net Assets** <sup>B,D,E</sup>  |  |  |  |  |  |
| Expenses before reductions  | .05%  | .05%  | .05%  | .05%  | .05%  |
| Expenses net of fee waivers, if any  | .05%  | .05%  | .05%  | .05%  | .05%  |
| Expenses net of all reductions  | .05%  | .05%  | .05%  | .05%  | .05%  |
| Net investment income (loss)  | 7.22%  | 5.27%  | 1.47%  | 2.34%  | 2.71%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $9256051  | $11771837  | $8950534  | $7066927  | $4929939  |
| Portfolio turnover rate <sup>F</sup>  | 28%  | 22%  | 31%  | 33%  | 41% <sup>G,H</sup>  |

---

<sup>A</sup> *Calculated based on average shares outstanding during the period.*

<sup>B</sup> *Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

<sup>C</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

<sup>D</sup> *Fees 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.*

<sup>E</sup> *Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, 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.*

<sup>F</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>G</sup> *Portfolio turnover rate excludes securities received or delivered in-kind.*

<sup>H</sup> *The portfolio turnover rate does not include the assets acquired in the merger.*

**Notes to Financial Statements**

For the period ended December 31, 2022

**1** . **Organization.**

Fidelity Inflation-Protected 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. 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** <sup>A</sup>  |
| 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%  |

---

<sup>A</sup> *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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

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 - unadjusted 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 services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services 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 services. 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 December 31, 2022 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. 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. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may result in negative Interest and may have a significant impact on the Fund's distributions.

**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.

**Deferred Trustee Compensation.** Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

---

| | |
|:---|:---|
| **Fidelity Inflation-Protected Bond Index Fund**  | $21296  |

---

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of December 31, 2022, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

Book-tax differences are primarily due to market discount, 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**  | $4272046  |
| **Gross unrealized depreciation**  | <u>(1026146806)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(1021874760)</u>  |
| **Tax Cost**  | <u>$10539705803</u>  |

---

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

---

| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$</u> <u>(264491599)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(1021874760)</u>  |

---

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 fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term  | $(157662968)  |
| Long-term  | (<u>106828631</u>)  |
| **Total capital loss carryforward**  | <u>$(264491599)</u>  |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **December 31, 2022**  | **December 31, 2021**  |
| **Ordinary Income**  | <u>$</u> <u>772691228</u>  | <u>$</u> <u>530589842</u>  |

---

**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. The management fee is based on an annual rate of .05% of the 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**Other.** During the period, the investment adviser reimbursed the Fund for certain losses as follows:

---

| | |
|:---|:---|
|  | **Amount ($)**  |
| **Fidelity Inflation-Protected Bond Index Fund**  | 86408  |

---

**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 Inflation-Protected Bond Index Fund**  | $18295  | $-  | $-  |

---

**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 $929.

**8. Other.**

A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**9. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Inflation-Protected Bond Index Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Inflation-Protected Bond Index Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the "Fund") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statement of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian and broker; when replies were not received from the broker, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 14, 2023

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Trustees and Officers**

**<u>TRUSTEES AND OFFICERS</u>**

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 295 funds. Mr. Chiel oversees 186 funds.

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

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

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

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

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

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

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

<u>Interested Trustees\*:</u>

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

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity <sup>®</sup> funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity <sup>®</sup> funds (2001-2005), and managed a number of Fidelity <sup>®</sup> funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity <sup>®</sup> funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.

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

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

<u>Independent Trustees:</u>

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

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity <sup>®</sup> funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2018).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity <sup>®</sup> funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2014-2016).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Mr. Johnson also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity <sup>®</sup> funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity <sup>®</sup> funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity <sup>®</sup> funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity <sup>®</sup> funds (2016).

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

<u>Advisory Board Members and Officers:</u>

Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

<u>Name, Year of Birth; Principal Occupation</u>

Laura M. Bishop (1961)

Year of Election or Appointment: 2022

Member of the Advisory Board

Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2022).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Christopher M. Gouveia (1973)

Year of Election or Appointment: 2023

Chief Compliance Officer

Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity <sup>®</sup> funds (2016-2020) and Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2016-2018).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), FD Funds Management LLC (2021-present), and Fidelity Diversifying Solutions LLC (investment adviser firm, 2022-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer - Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity <sup>®</sup> funds.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2021).

**Shareholder Expense Example**

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2022 to December 31, 2022). <br>

***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. In addition, if these transactional costs were included, your costs would have been higher.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value July 1, 2022**  | **Ending Account Value December 31, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **July 1, 2022 to December 31, 2022**  |
| **Fidelity® Inflation-Protected Bond Index Fund**  | .05%  |  |  |  |
| **Actual**  |  | $1000  | $967.10  | $.25  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.95  | $.26  |

---

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

*B 5% return per year before expenses*

*C Expenses 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.*

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com* .

A total of 99.95% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $528,669,422 of distributions paid in the calendar year 2021 as qualifying to be taxed as interest related dividends for nonresident alien shareholders.

The fund designates $528,736,457 of distributions paid in the calendar year 2021 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity Inflation-Protected Bond Index Fund** 

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

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

At its September 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

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

**Nature, Extent, and Quality of Services Provided** . The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds throughout the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.

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

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

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

<u>Investment in a Large Fund Family.</u> The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds, ETFs, and share classes with innovative structures, strategies and pricing and making other enhancements to meet investor needs; (iv) broadening eligibility requirements for certain funds and share classes; (v) reducing management fees and total expenses for certain funds and classes; (vi) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (vii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (ix) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.

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

The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against the securities market index the fund seeks to track and an appropriate peer group of funds with similar objectives (peer group). The Board also periodically considers the fund's tracking error versus its benchmark index.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to the fund's benchmark index, over appropriate time periods, taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and its benchmark index and peer group for the most recent one-, three-, and five-year periods. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.

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

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

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

![](img88189_7.jpg)

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2021.

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

<u>Total Expense Ratio</u> . In its review of the fund's total expense ratio, the Board considered the fund's unitary (subject to certain limited exceptions) fee rate as well as fund expenses paid by FMR under the fund's management contract, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison, which focuses on the total expenses of the fund relative to a subset of non-Fidelity funds within the similar sales load structure group that are similar in size and management fee structure. The total expense ASPG is limited to 15 larger and 15 smaller classes of different funds, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in expenses relating to these items.

The Board noted that the fund's total net expense ratio ranked below the similar sales load structure group competitive median and below the ASPG competitive median for 2021.

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

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

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

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

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

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

**Additional Information Requested by the Board.** In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent, pricing and bookkeeping fees, expense and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the changes in flows for different types of funds; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.

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

![](img88189_2.jpg) <br>

1.939238.110 PIB-I-PIB-AI-ANN-0323

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 2.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Code of Ethics</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; As of the end of the period, December 31, 2022, Fidelity Salem Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 3.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Audit Committee Financial Expert</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 4.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Principal Accountant Fees and Services</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Fees and Services</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC ") in each of the last two fiscal years for services rendered to Fidelity Inflation-Protected Bond Index Fund, Fidelity International Bond Index Fund, Fidelity SAI Municipal Income Fund, Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund (the "Funds "):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

  **<u>Services Billed by PwC</u>** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

  **<u>December 31, 2022 Fees</u> <sup>A</sup>** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Audit Fees**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Audit-Related Fees**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Tax Fees**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **All Other Fees**  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity Inflation-Protected Bond Index Fund  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $33200  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $2800  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $5200  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1200  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity International Bond Index Fund  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $74900  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $6200  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $12000  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $2800  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity SAI Municipal Income Fund  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $50200  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $4000  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $5200  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1800  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $51000  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $2800  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $15400  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1200  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity Series 5+ Year Inflation-Protected Bond Index Fund  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $51000  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $2800  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $13800  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1200  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

  **<u>December 31, 2021 Fees</u> <sup>A,B</sup>** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Audit Fees**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Audit-Related Fees**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Tax Fees**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **All Other Fees**  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity Inflation-Protected Bond Index Fund  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $34000  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $3100  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $5100  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1300  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity International Bond Index Fund  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $72900  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $6700  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $13900  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $2900  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity SAI Municipal Income Fund  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $48900  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $4300  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $5100  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1800  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $20700  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $900  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $5100  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $400  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity Series 5+ Year Inflation-Protected Bond Index Fund  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $20700  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $900  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $5100  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $400  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>A</sup> Amounts may reflect rounding

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>B</sup> Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund commenced operations on August 13, 2021.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

  **<u>Services Billed by PwC</u>** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | | |
|:---|:---|:---|
|  |  **<u>December 31, 2022</u> <sup>A</sup>**  |  **<u>December 31, 2021</u> <sup>A,B</sup>**  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit-Related Fees  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $7914600  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $8522600  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tax Fees  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1000  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $354200  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Fees  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $-  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $-  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>A</sup> Amounts may reflect rounding.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>B</sup> May include amounts billed prior to the Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund 's commencement of operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Assurance services must be performed by an independent public accountant.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; \* \* \*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The aggregate non-audit fees billed by PwC for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | | |
|:---|:---|:---|
|   **<u>Billed By</u>**  |  **<u>December 31, 2022</u> <sup>A</sup>**  |  **<u>December 31, 2021</u> <sup>A,B</sup>**  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PwC  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $12970900  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $14186000  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>A</sup> Amounts may reflect rounding.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>B</sup> May include amounts billed prior to the Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund and Fidelity Series 5+ Year Inflation-Protected Bond Index Fund 's commencement of operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Audit Committee Pre-Approval Policies and Procedures</u> 

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception ")</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 5.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Audit Committee of Listed Registrants</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 6.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Investments</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (a)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (b)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 7.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 8.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Portfolio Managers of Closed-End Management Investment Companies</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 9.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 10.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Submission of Matters to a Vote of Security Holders</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; There were no material changes to the procedures by which shareholders may recommend nominees to the trust 's Board of Trustees.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 11.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Controls and Procedures</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 12.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Disclosure of Securities Lending Activities for Closed-End Management</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Investment Companies</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 13.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Exhibits</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | | |
|:---|:---|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (a)  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1)  | [<u>Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.</u>](coe.htm)<u> </u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (a)  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2)  | [<u>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.</u>](ex99cert.htm)<u> </u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (a)  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3)  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Not applicable.  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (b)  |  | [<u>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.</u>](ex99_906cert.htm)<u> </u>  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SIGNATURES

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fidelity Salem Street Trust

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | |
|:---|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; By:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/Laura M. Del Prato</u>  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Laura M. Del Prato  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; President and Treasurer  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 21, 2023  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | |
|:---|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; By:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/Laura M. Del Prato</u>  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Laura M. Del Prato  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; President and Treasurer  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 21, 2023  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | |
|:---|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; By:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/John J. Burke III</u>  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; John J. Burke III  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Financial Officer  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 21, 2023  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

## Ex-99.Cert

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Exhibit EX-99.CERT</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I, Laura M. Del Prato, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I have reviewed this report on Form N-CSR of Fidelity Salem Street Trust;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; c.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; d.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Disclosed in this report any change in the registrant 's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant 's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 21, 2023

---

| |
|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/Laura M. Del Prato</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Laura M. Del Prato  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; President and Treasurer  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I, John J. Burke III, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I have reviewed this report on Form N-CSR of Fidelity Salem Street Trust;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; c.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; d.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Disclosed in this report any change in the registrant 's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant 's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 21, 2023

---

| |
|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/John J. Burke III</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; John J. Burke III  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Financial Officer  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

## Exhibit 99.906

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exhibit EX-99.906CERT

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; In connection with the attached Report of Fidelity Salem Street Trust (the "Trust ") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report "), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer 's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dated: February 21, 2023

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| |
|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/Laura M. Del Prato</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Laura M. Del Prato  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; President and Treasurer  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dated: February 21, 2023

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| |
|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/John J. Burke III</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; John J. Burke III  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Financial Officer  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

## Ex-99.Code

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **EXHIBIT EX-99.CODE ETH** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **FIDELITY FUNDS' CODE OF ETHICS FOR** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **PRESIDENT, TREASURER AND PRINCIPAL ACCOUNTING OFFICER** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **I. Purposes of the Code/Covered Officers** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to the provisions of Rule 30b2-1(a) under the Investment Company Act of 1940), which Rule implements Sections 406 of the Sarbanes-Oxley Act of 2002 with respect to registered investment companies. The Code applies to the Fidelity Funds' President and Treasurer, and Chief Financial Officer (Covered Officers). Fidelity's Ethics Office, a part of Corporate Compliance Group within Core Compliance, administers the Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; full, fair, accurate, timely and understandable disclosure in reports and documents that the Fidelity Funds submit to the Securities and Exchange Commission (SEC), and in other public communications by a Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; compliance with applicable laws and governmental rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; accountability for adherence to the Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **II.** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Covered Officers Should Handle Ethically** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Actual and Apparent Conflicts of Interest** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Overview.** A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or his service to, the Fidelity Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Fidelity Funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Certain conflicts of interest arise out of the relationships between Covered Officers and the Fidelity Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a Fidelity Fund because of their status as "affiliated persons" of the Fund. Separate compliance programs and procedures of the Fidelity Funds, Fidelity Management & Research Company (FMR) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fidelity Funds, FMR or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Fidelity Funds, FMR and other Fidelity companies. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company), and is consistent with the performance by the Covered Officers of their duties as officers of the Fidelity Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Board of Trustees (Board) that the Covered Officers also may be officers or employees of one or more other Fidelity Funds covered by this Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fidelity Fund.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; \* \* \*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by any Fidelity Fund whereby the Covered Officer would benefit personally to the detriment of any Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; not cause a Fidelity Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; not engage in any outside business activity, including serving as a director or trustee, that prevents the Covered Officer from devoting appropriate time and attention to the Covered Officer's responsibilities with the Fidelity Funds;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; not have a consulting or employment relationship with any of the Fidelity Funds' service providers that are not affiliated with Fidelity; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; not retaliate against any employee or Covered Officer for reports of actual or potential misconduct, which are made in good faith.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Fidelity Ethics Office for resolution. Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Fidelity Ethics Office immediately.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **III. Disclosure and Compliance** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Each Covered Officer should familiarize himself with the disclosure requirements generally applicable to the Fidelity Funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about any Fidelity Fund to others, whether within or outside Fidelity, including to the Board and auditors, and to governmental regulators and self-regulatory organizations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Each Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the Fidelity Funds, FMR and the Fidelity service providers, and with the Board's Compliance Committee, with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fidelity Funds file with, or submit to, the SEC and in other public communications made by the Fidelity Funds; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IV. Reporting and Accountability** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; upon receipt of the Code, and annually thereafter, submit to the Fidelity Ethics Office an acknowledgement stating that he or she has received, read, and understands the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; · &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; notify the Fidelity Ethics Office promptly if he or she knows of any violation of the Code. <u>Failure to do so is itself a violation of this Code</u> .

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Fidelity Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it. Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below. The Covered Officer will be informed of any action determined to be appropriate. The Fidelity Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response. Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities. Additionally, other legal remedies may be pursued.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The policies and procedures described in the Code do not create any obligations to any person or entity other than the Fidelity Funds. The Code is intended solely for the internal use by the Fidelity Funds and does not constitute a promise, contract or an admission by or on behalf of any Fidelity Fund as to any fact, circumstance, or legal conclusion. The Fidelity Funds, the Fidelity companies and the Fidelity Chief Ethics Officer retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **V. Oversight** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Material violations of this Code will be reported promptly by FMR to the Board's Compliance Committee. In addition, at least once each year, FMR will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **VI. Other Policies and Procedures** 

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; This Code shall be the sole code of ethics adopted by the Fidelity Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others), and are not part of this Code.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **VII. Amendments** 

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Fidelity Funds.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **VIII. Records and Confidentiality** 

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Fidelity Ethics Office. All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fidelity Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.

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