# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0001752724-23-067556
**Filing Date:** 2023-3
**Character Count:** 71228
**Document Hash:** d17550bffb12a2349e8c35d2cd16e0bd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-067556.hdr.sgml**: 20230327

**ACCESSION NUMBER**: 0001752724-23-067556

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230327

**DATE AS OF CHANGE**: 20230327

**PERIOD START**: 20231031

**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:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 23763667

**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 SAI Emerging Markets Low Volatility Index Fund (Series ID: S000063743)

| Class ID   | Class Name                                              | Ticker Symbol   |
|:---|:---|:---|
| C000206607 | Fidelity SAI Emerging Markets Low Volatility Index Fund | FGKPX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **SAI Emerging Markets Low Volatility Index Fund**

**January 31, 2023**

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® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.

MLV-NPRT1-0423

1.9892172.104 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 99.2%** | &nbsp;&nbsp;**Common Stocks - 99.2%** | &nbsp;&nbsp;**Common Stocks - 99.2%** |
|  | Shares | Value ($)<br>|
| Bailiwick of Jersey - 0.8%  |  |  |
| WNS Holdings Ltd. sponsored ADR (a) | 269633 | 22846004 |
| Bermuda - 0.9%  |  |  |
| China Gas Holdings Ltd.  | 661800 | 1030303 |
| China Resource Gas Group Ltd.  | 6437500 | 27071220 |
| TOTAL BERMUDA |  | 28101523 |
| Brazil - 1.7%  |  |  |
| Rumo SA  | 6814500 | 24673583 |
| Telefonica Brasil SA  | 2985800 | 24597868 |
| TOTAL BRAZIL |  | 49271451 |
| Cayman Islands - 7.0%  |  |  |
| Anta Sports Products Ltd.  | 2145200 | 32539722 |
| Hansoh Pharmaceutical Group Co. Ltd. (b) | 6298000 | 12890190 |
| Hengan International Group Co. Ltd.  | 4129500 | 20314501 |
| JD Health International, Inc. (a)(b) | 1546250 | 12840583 |
| JD.com, Inc. sponsored ADR  | 469570 | 27953502 |
| Li Ning Co. Ltd.  | 494000 | 4883518 |
| Shenzhou International Group Holdings Ltd.  | 2103800 | 26494455 |
| Want Want China Holdings Ltd.  | 34781000 | 22652877 |
| ZTO Express, Inc. sponsored ADR  | 1651253 | 47077223 |
| TOTAL CAYMAN ISLANDS |  | 207646571 |
| Chile - 0.8%  |  |  |
| Banco de Chile  | 218554444 | 23882581 |
| China - 11.4%  |  |  |
| Bank of China Ltd. (H Shares)  | 123932000 | 47176549 |
| Bank of Communications Co. Ltd. (H Shares)  | 79841000 | 49349668 |
| CGN Power Co. Ltd. (H Shares) (b) | 79251000 | 18517727 |
| China Minsheng Banking Corp. Ltd. (H Shares)  | 47190500 | 17643412 |
| China Railway Group Ltd. (H Shares)  | 28839000 | 15732663 |
| China Shenhua Energy Co. Ltd. (H Shares)  | 14672500 | 45669910 |
| China Tower Corp. Ltd. (H Shares) (b) | 181718000 | 20646976 |
| Industrial & Commercial Bank of China Ltd. (H Shares)  | 7328000 | 3919886 |
| PetroChina Co. Ltd. (H Shares)  | 93426000 | 49978258 |
| Postal Savings Bank of China Co. Ltd. (H Shares) (b) | 51691000 | 35176129 |
| Shandong Weigao Medical Polymer Co. Ltd. (H Shares)  | 13916400 | 23134360 |
| Sinopharm Group Co. Ltd. (H Shares)  | 4145200 | 10159853 |
| TOTAL CHINA |  | 337105391 |
| Hong Kong - 1.5%  |  |  |
| China Resources Power Holdings Co. Ltd.  | 10527000 | 21927227 |
| Guangdong Investment Ltd.  | 20052000 | 21784875 |
| TOTAL HONG KONG |  | 43712102 |
| India - 15.0%  |  |  |
| Cipla Ltd./India  | 2191706 | 27379327 |
| Dr. Reddy's Laboratories Ltd.  | 718003 | 38159531 |
| Embassy Office Parks (REIT)  | 4156944 | 16700134 |
| HCL Technologies Ltd.  | 3098301 | 42815146 |
| Hindustan Unilever Ltd.  | 1293677 | 40902734 |
| Infosys Ltd.  | 2149787 | 40577948 |
| Lupin Ltd.  | 1423929 | 12872175 |
| MRF Ltd.  | 17267 | 19251466 |
| Nestle India Ltd.  | 161583 | 37672048 |
| Pidilite Industries Ltd.  | 30716 | 858742 |
| Power Grid Corp. of India Ltd.  | 14467085 | 38473557 |
| Sun Pharmaceutical Industries Ltd.  | 1213943 | 15402922 |
| Tata Consultancy Services Ltd.  | 1025556 | 42418423 |
| Tech Mahindra Ltd.  | 2434366 | 30461361 |
| Torrent Pharmaceuticals Ltd.  | 691018 | 12896362 |
| Wipro Ltd.  | 5612148 | 27539506 |
| TOTAL INDIA |  | 444381382 |
| Indonesia - 2.5%  |  |  |
| PT Bank Central Asia Tbk  | 70922500 | 40249166 |
| PT Telkom Indonesia Persero Tbk  | 127649800 | 32988886 |
| TOTAL INDONESIA |  | 73238052 |
| Korea (South) - 8.3%  |  |  |
| Coway Co. Ltd.  | 327432 | 14830384 |
| Db Insurance Co. Ltd.  | 265381 | 14125247 |
| Hankook Tire Co. Ltd.  | 468968 | 12360875 |
| Hyundai Mobis  | 150990 | 25215802 |
| Industrial Bank of Korea  | 1782066 | 14855335 |
| Kangwon Land, Inc. (a) | 674730 | 12913330 |
| Korea Electric Power Corp. (a) | 1387847 | 22379771 |
| KT&G Corp.  | 602654 | 45150825 |
| NCSOFT Corp.  | 112480 | 41581572 |
| Orion Corp./Republic of Korea  | 37147 | 3755468 |
| Samsung Electronics Co. Ltd.  | 652816 | 32477250 |
| Samsung SDS Co. Ltd.  | 20250 | 2062492 |
| SK Hynix, Inc.  | 57762 | 4173629 |
| TOTAL KOREA (SOUTH) |  | 245881980 |
| Kuwait - 3.0%  |  |  |
| Boubyan Bank KSC  | 7730516 | 19854953 |
| Kuwait Finance House KSCP  | 2016565 | 5522845 |
| Mobile Telecommunication Co.  | 12921171 | 23450708 |
| National Bank of Kuwait  | 11048872 | 39707167 |
| TOTAL KUWAIT |  | 88535673 |
| Malaysia - 5.5%  |  |  |
| Dialog Group Bhd  | 18791700 | 11491695 |
| DiGi.com Bhd  | 17030300 | 16842960 |
| IHH Healthcare Bhd  | 15448000 | 21477838 |
| Malayan Banking Bhd  | 8110116 | 16633758 |
| Nestle (Malaysia) Bhd  | 208800 | 6664096 |
| Petronas Gas Bhd  | 2607500 | 10291996 |
| PPB Group Bhd  | 3082000 | 12804994 |
| Public Bank Bhd  | 29388400 | 29253734 |
| Tenaga Nasional Bhd  | 16785700 | 37093115 |
| TOTAL MALAYSIA |  | 162554186 |
| Mexico - 0.5%  |  |  |
| Gruma S.A.B. de CV Series B  | 148245 | 2156227 |
| Kimberly-Clark de Mexico SA de CV Series A  | 6686000 | 12760938 |
| TOTAL MEXICO |  | 14917165 |
| Philippines - 2.1%  |  |  |
| Bank of the Philippine Islands (BPI)  | 9408460 | 18078809 |
| BDO Unibank, Inc.  | 12270552 | 27618572 |
| PLDT, Inc.  | 548465 | 13564703 |
| SM Prime Holdings, Inc.  | 6509700 | 4401771 |
| TOTAL PHILIPPINES |  | 63663855 |
| Qatar - 3.1%  |  |  |
| Barwa Real Estate Co. (a) | 11029819 | 8601548 |
| Masraf al Rayan  | 3943681 | 2956339 |
| Qatar Islamic Bank (a) | 5967634 | 32232680 |
| Qatar National Bank SAQ (a) | 6355035 | 31410896 |
| The Commercial Bank of Qatar (a) | 9803679 | 16152145 |
| TOTAL QATAR |  | 91353608 |
| Russia - 0.0%  |  |  |
| PhosAgro PJSC (c) | 1400 | 114 |
| PhosAgro PJSC: |  |  |
|  GDR (c) | 3774 | 77 |
|  GDR (Reg. S) (c) | 586072 | 12020 |
| TOTAL RUSSIA |  | 12211 |
| Saudi Arabia - 8.0%  |  |  |
| Advanced Polypropylene Co.  | 898905 | 11281222 |
| Alinma Bank  | 4044031 | 35397394 |
| Almarai Co. Ltd.  | 1776303 | 26220940 |
| Jarir Marketing Co.  | 418731 | 16780480 |
| Mouwasat Medical Services Co.  | 334608 | 18366440 |
| Sabic Agriculture-Nutrients Co.  | 728034 | 26576248 |
| Saudi Basic Industries Corp.  | 1533480 | 37877324 |
| Saudi Electricity Co.  | 4434618 | 27200881 |
| Saudi Telecom Co.  | 3810274 | 37463126 |
| The Savola Group  | 52627 | 419978 |
| TOTAL SAUDI ARABIA |  | 237584033 |
| Taiwan - 18.7%  |  |  |
| ASUSTeK Computer, Inc.  | 3361000 | 30586973 |
| Chang Hwa Commercial Bank  | 36638287 | 21512257 |
| Chicony Electronics Co. Ltd.  | 4623000 | 13395392 |
| Chunghwa Telecom Co. Ltd.  | 10975000 | 40979381 |
| Compal Electronics, Inc.  | 29336000 | 22126138 |
| Far EasTone Telecommunications Co. Ltd.  | 11406000 | 25350963 |
| Formosa Petrochemical Corp.  | 10000000 | 28003520 |
| Formosa Plastics Corp.  | 10065000 | 29976489 |
| Inventec Corp.  | 22341000 | 18817022 |
| Lite-On Technology Corp.  | 11624000 | 25807325 |
| Mega Financial Holding Co. Ltd.  | 36061075 | 38473136 |
| President Chain Store Corp.  | 3845000 | 34604233 |
| Quanta Computer, Inc.  | 16929000 | 42243395 |
| Sinopac Financial Holdings Co.  | 48063870 | 27743599 |
| Synnex Technology International Corp.  | 9099000 | 18373080 |
| Taiwan Cooperative Financial Holding Co. Ltd.  | 41152594 | 36333866 |
| Taiwan Mobile Co. Ltd.  | 7465000 | 23533204 |
| The Shanghai Commercial & Savings Bank Ltd.  | 17614080 | 27351095 |
| Uni-President Enterprises Corp.  | 14232000 | 31945772 |
| WPG Holding Co. Ltd.  | 10141000 | 16152281 |
| TOTAL TAIWAN |  | 553309121 |
| Thailand - 2.7%  |  |  |
| Advanced Info Service PCL (For. Reg.)  | 7436600 | 44287029 |
| Advanced Information Service PCL NVDR  | 350800 | 2089112 |
| Bangkok Bank PCL (For. Reg.)  | 2836100 | 13751665 |
| Bangkok Dusit Medical Services PCL (For. Reg.)  | 23670400 | 21525652 |
| TOTAL THAILAND |  | 81653458 |
| United Arab Emirates - 4.1%  |  |  |
| Abu Dhabi National Oil Co. for Distribution PJSC  | 20613773 | 24693202 |
| ADNOC Drilling Co. PJSC  | 18079290 | 16685849 |
| Dubai Islamic Bank Pakistan Ltd.  | 20304405 | 30679657 |
| Emirates Telecommunications Corp.  | 5777586 | 40424699 |
| First Abu Dhabi Bank PJSC  | 2269637 | 8403546 |
| TOTAL UNITED ARAB EMIRATES |  | 120886953 |
| United States of America - 1.6%  |  |  |
| Yum China Holdings, Inc.  | 768720 | 47360839 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $2,815,087,379) |  | <br> **2937898139** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Government Obligations - 0.1%** | &nbsp;&nbsp;**Government Obligations - 0.1%** | &nbsp;&nbsp;**Government Obligations - 0.1%** |
|  | Principal<br> Amount (d)<br>| Value ($)<br>|
| United States of America - 0.1%  |  |  |
| U.S. Treasury Bills, yield at date of purchase 4.65% 6/29/23 (e)<br> (Cost $1,766,238) | 1800000 | **1766207** |

---

---

| | | |
|:---|:---|:---|
| &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 4.38% (f) <br>(Cost $15,301,194) <br>| 15298134 | **15301194** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.8%**<br> (Cost $2,832,154,811)<br>| <br>**2954965540** |
| **NET OTHER ASSETS (LIABILITIES) - 0.2%**  | **6801206** |
| **NET ASSETS - 100.0%** | **2961766746** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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 |  |  |  |  |  |
| Equity Index Contracts |  |  |  |  |  |
| ICE E-mini MSCI Emerging Markets Index Contracts (United States) | 455 | Mar 2023 | 23764650 | 1008607 | 1008607 |
| 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% |

---

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

**Legend**

(a) Non-income producing

(b) 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 $100,071,605 or 3.4% of net assets.

(c) Level 3 security

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

(e) 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 $981,226.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 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 4.38% | 30186116 | 470801267 | 485686189 | 326408 | - | - | 15301194 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 4.38% | 12500000 | 3 | 12500003 | 290 | - | - | - | 0.0% |
| Total | 42686116 | 470801270 | 498186192 | 326698 | - | - | 15301194 |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.

Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. 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 inputs to valuation techniques used to value investments are categorized 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 investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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. Government 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.

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 any open-end mutual 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.

**Derivative Instruments**

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

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

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. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the stock market.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Fidelity Salem Street Trust

- **b. Investment Company Act file number:** 811-02105

- **c. CIK number of Registrant:** 0000035315

- **d. LEI of Registrant:** S4W85DGKOEJ24DPRB829

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

**Item A.2. Information about the Series.**

- **a. Name of Series:** Fidelity SAI Emerging Markets Low Volatility Index Fund

- **b. EDGAR series identifier (if any):** S000063743

- **c. LEI of Series:** 5493007F8S2PTRH8KW15

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $2961939071.09

**Total Liabilities:** $700549.23

**Net Assets:** $2961238521.86

**Cash Not Reported:** $4990389.68

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000206607 | 9.58%                | -2.13%               | 4.50%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6600430.82             | $220468917.15                              |
| Month 2  | $-1239638.70             | $-68821801.23                              |
| Month 3  | $-6384061.14             | $133461832.56                              |

### Schedule of Portfolio Investments

| Name                                             | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHINA RESOURCE GAS GROUP LTD                     | CHINA RESOURCES GAS GROUP LTD                               | CUSIP: N/A<br>LEI: 529900A0E1J5JSOKEK83       | Long             | EC               | CORP              | BM        |   6437500 | NS      | $27071219.61  | 0.91%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYAN BANKING BERHAD                           | MALAYAN BANKING                                             | CUSIP: N/A<br>LEI: 5493004OT3TOY404V310       | Long             | EC               | CORP              | MY        |   8110116 | NS      | $16633757.51  | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| TELEFONICA BRASIL SA                             | TELEFONICA BRASIL SA                                        | CUSIP: N/A<br>LEI: 529900MTGG2HSDBIWG79       | Long             | EC               | CORP              | BR        |   2985800 | NS      | $24597867.74  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA TOWER CORP LTD                             | CHINA TOWER CORP LTD H                                      | CUSIP: N/A<br>LEI: 300300T6BNNP0L7O7H91       | Long             | EC               | CORP              | CN        | 181718000 | NS      | $20646976.15  | 0.70%             |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC BANK BHD                                  | PUBLIC BANK BHD (LOC) (MLAY)                                | CUSIP: N/A<br>LEI: 549300L2RSQCVMOHGM20       | Long             | EC               | CORP              | MY        |  29388400 | NS      | $29253733.99  | 0.99%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMSUNG ELECTRONICS CO LTD                       | SAMSUNG ELECTRONICS CO LTD                                  | CUSIP: N/A<br>LEI: 9884007ER46L6N7EI764       | Long             | EC               | CORP              | KR        |    652816 | NS      | $32477250.22  | 1.10%             |  |  |  | No            |                  2 | On Loan: No      |
| SINOPAC FINANCIAL HOLDINGS CO LTD                | SINOPAC HOLDINGS                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |  48063870 | NS      | $27743599.46  | 0.94%             |  |  |  | No            |                  2 | On Loan: No      |
| HINDUSTAN UNILEVER LTD                           | HINDUSTAN UNILEVER LTD                                      | CUSIP: N/A<br>LEI: 5493007IW5N37IKRPM32       | Long             | EC               | CORP              | IN        |   1293677 | NS      | $40902733.94  | 1.38%             |  |  |  | No            |                  2 | On Loan: No      |
| QUANTA COMPUTER INC                              | QUANTA COMPUTER INC                                         | CUSIP: N/A<br>LEI: 529900DE8BIV3XOXIK04       | Long             | EC               | CORP              | TW        |  16929000 | NS      | $42243395.23  | 1.43%             |  |  |  | No            |                  2 | On Loan: No      |
| FAR EASTONE TELECOMMUNICATIONS CO LTD            | FAR EASTONE TELECOM CO LTD                                  | CUSIP: N/A<br>LEI: 529900L7W7BWDLVZL253       | Long             | EC               | CORP              | TW        |  11406000 | NS      | $25350962.84  | 0.86%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNNEX TECHNOLOGY INTL CORP                      | SYNNEX TECHNOLOGY INTL CORP                                 | CUSIP: N/A<br>LEI: 529900GMBJ3R4A2WBC71       | Long             | EC               | CORP              | TW        |   9099000 | NS      | $18373080.08  | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| BOUBYAN BANK KSCP                                | BOUBYAN BANK KSC                                            | CUSIP: N/A<br>LEI: 254900D1UAYOAUPGL280       | Long             | EC               | CORP              | KW        |   7730516 | NS      | $19854953.45  | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA MINSHENG BANKING CORP LTD                  | CHINA MINSHENG BANK CORP H                                  | CUSIP: N/A<br>LEI: 549300HBUGSQD1VCXG94       | Long             | EC               | CORP              | CN        |  47190500 | NS      | $17643412.12  | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| QATAR ISLAMIC BANK                               | QATAR ISLAMIC BANK                                          | CUSIP: N/A<br>LEI: 254900CFGPXJI71OHT95       | Long             | EC               | CORP              | QA        |   5967634 | NS      | $32232679.56  | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| BARWA REAL ESTATE CO                             | BARWA REAL ESTATE CO                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | QA        |  11029819 | NS      | $8601547.60   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| ORION CORP/REPUBLIC OF KOREA/NEW                 | ORION CORP/REPUBLIC OF KOREA                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KR        |     37147 | NS      | $3755468.34   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| POWER GRID CORP OF INDIA LTD                     | POWER GRID CORP OF INDIA LTD                                | CUSIP: N/A<br>LEI: 3358009SHWZ3DZEQ4Z56       | Long             | EC               | CORP              | IN        |  14467085 | NS      | $38473557.14  | 1.30%             |  |  |  | No            |                  2 | On Loan: No      |
| DR REDDY'S LABORATORIES LTD                      | DR REDDYS LABS LTD (DEMAT)                                  | CUSIP: N/A<br>LEI: 335800OVDPY3DVZR2798       | Long             | EC               | CORP              | IN        |    718003 | NS      | $38159531.32  | 1.29%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE CHILE                                   | BANCO DE CHILE                                              | CUSIP: N/A<br>LEI: 8B4EZFY8IHJC44TT2K84       | Long             | EC               | CORP              | CL        | 218554444 | NS      | $23882581.44  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| ADNOC DRILLING COMPANY PJSC                      | ADNOC DRILLING COMPANY PJSC                                 | CUSIP: N/A<br>LEI: 254900JPRSQL1PM0JV19       | Long             | EC               | CORP              | AE        |  18079290 | NS      | $16685849.31  | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| KUWAIT FINANCE HOUSE                             | KUWAIT FINANCE HOUSE                                        | CUSIP: N/A<br>LEI: 2549007KX0N057S9BC98       | Long             | EC               | CORP              | KW        |   2016565 | NS      | $5522844.68   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| HYUNDAI MOBIS CO LTD                             | HYUNDAI MOBIS                                               | CUSIP: N/A<br>LEI: 988400HJA9E0ZVDHRS65       | Long             | EC               | CORP              | KR        |    150990 | NS      | $25215801.50  | 0.85%             |  |  |  | No            |                  2 | On Loan: No      |
| EMBASSY OFFICE PARKS REIT                        | EMBASSY OFFICE PARKS REIT                                   | CUSIP: N/A<br>LEI: 335800O555A557E43Z08       | Long             | EC               | CORP              | IN        |   4156944 | NS      | $16700134.27  | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| SHENZHOU INTL GROUP HLDGS LTD                    | SHENZHOU INTL GROUP                                         | CUSIP: N/A<br>LEI: 529900B4W41TCUKJFM73       | Long             | EC               | CORP              | KY        |   2103800 | NS      | $26494454.61  | 0.89%             |  |  |  | No            |                  2 | On Loan: No      |
| WNS HLDGS LTD                                    | WNS HLDGS LTD SP ADR                                        | CUSIP: 92932M101<br>LEI: 529900RM7QHUD3W9DM42 | Long             | EC               | CORP              | JE        |    269633 | NS      | $22846004.09  | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| ALMARAI CO LTD                                   | ALMARAI CO LTD                                              | CUSIP: N/A<br>LEI: 549300B4EDUXYD2G6098       | Long             | EC               | CORP              | SA        |   1776303 | NS      | $26220939.57  | 0.89%             |  |  |  | No            |                  1 | On Loan: No      |
| CHANG HWA COMMERCIAL BANK                        | CHANG HWA COMMERCIAL BANK                                   | CUSIP: N/A<br>LEI: 549300FHFNGCSKDTHT42       | Long             | EC               | CORP              | TW        |  36638287 | NS      | $21512256.81  | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| ANTA SPORTS PRODUCTS LTD                         | ANTA SPORTS PRODUCTS LTD                                    | CUSIP: N/A<br>LEI: 529900291XG0CTK4LF95       | Long             | EC               | CORP              | KY        |   2145200 | NS      | $32539721.94  | 1.10%             |  |  |  | No            |                  2 | On Loan: No      |
| TELKOM INDONESIA PERSERO TBK PT (DEMAT)          | TELKOM INDONESIA PERSERO TBK PT (DEMAT) DEMATERIALIZED SHRS | CUSIP: N/A<br>LEI: 529900M5SQZAOKV1PC81       | Long             | EC               | CORP              | ID        | 127649800 | NS      | $32988885.89  | 1.11%             |  |  |  | No            |                  2 | On Loan: No      |
| UNI-PRESIDENT ENTERPRISES CORP                   | UNI-PRESIDENT ENTERPRISES CORP                              | CUSIP: N/A<br>LEI: 254900DAXBDMVEXU5959       | Long             | EC               | CORP              | TW        |  14232000 | NS      | $31945772.04  | 1.08%             |  |  |  | No            |                  2 | On Loan: No      |
| INVENTEC CORP                                    | INVENTEC CO LTD                                             | CUSIP: N/A<br>LEI: 391200XSJU5WEVAXB086       | Long             | EC               | CORP              | TW        |  22341000 | NS      | $18817021.72  | 0.64%             |  |  |  | No            |                  2 | On Loan: No      |
| PRESIDENT CHAIN STORE CORP                       | PRESIDENT CHAIN STORE CORP                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |   3845000 | NS      | $34604233.07  | 1.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LUPIN LTD                                        | LUPIN LTD                                                   | CUSIP: N/A<br>LEI: 335800HHXTESDEE2FC65       | Long             | EC               | CORP              | IN        |   1423929 | NS      | $12872175.09  | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| FORMOSA PLASTICS CORP                            | FORMOSA PLASTICS CORP                                       | CUSIP: N/A<br>LEI: 254900KM6G17UTG1QN82       | Long             | EC               | CORP              | TW        |  10065000 | NS      | $29976489.45  | 1.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CGN POWER CO LTD                                 | CGN POWER CO LTD H                                          | CUSIP: N/A<br>LEI: 529900D2UINCGWQYBK45       | Long             | EC               | CORP              | CN        |  79251000 | NS      | $18517727.12  | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| YUM CHINA HOLDINGS INC                           | YUM CHINA HOLDINGS INC                                      | CUSIP: 98850P109<br>LEI: 529900DO9BYZ7VA3K502 | Long             | EC               | CORP              | US        |    768720 | NS      | $47360839.20  | 1.60%             |  |  |  | No            |                  1 | On Loan: No      |
| SAUDI BASIC INDUSTRIES CORP                      | SAUDI BASIC INDUSTRIES CORP                                 | CUSIP: N/A<br>LEI: 213800ZCTFZZZJSK8645       | Long             | EC               | CORP              | SA        |   1533480 | NS      | $37877323.74  | 1.28%             |  |  |  | No            |                  1 | On Loan: No      |
| PLDT INC                                         | PLDT INC                                                    | CUSIP: N/A<br>LEI: 254900ADE8GQHM5P2648       | Long             | EC               | CORP              | PH        |    548465 | NS      | $13564702.77  | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| ZTO EXPRESS CAYMAN INC                           | ZTO EXPRESS CAYMAN INC ADR                                  | CUSIP: 98980A105<br>LEI: 549300SCJPK3YZJTJR78 | Long             | EC               | CORP              | KY        |   1651253 | NS      | $47077223.03  | 1.59%             |  |  |  | No            |                  1 | On Loan: No      |
| FORMOSA PETROCHEMICAL CORP                       | FORMOSA PETROCHEMICAL CORP                                  | CUSIP: N/A<br>LEI: 529900UWWAOQ8470E792       | Long             | EC               | CORP              | TW        |  10000000 | NS      | $28003520.02  | 0.95%             |  |  |  | No            |                  2 | On Loan: No      |
| RUMO SA                                          | RUMO SA                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | BR        |   6814500 | NS      | $24673583.12  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| JD HEALTH INTERNATIONAL INC                      | JD HEALTH INTERNATIONAL INC                                 | CUSIP: N/A<br>LEI: 254900OM3MAXYK8PCC84       | Long             | EC               | CORP              | KY        |   1546250 | NS      | $12840583.25  | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| LI NING CO LTD                                   | LI NING CO LTD                                              | CUSIP: N/A<br>LEI: 529900T77L2FV3FZ3U81       | Long             | EC               | CORP              | KY        |    494000 | NS      | $4883518.12   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| KIMBERLY CLARK DE MEXICO SAB D                   | KIMBERLY-CLARK DE MEXICO CL A                               | CUSIP: N/A<br>LEI: 549300JGHL56QT00KT54       | Long             | EC               | CORP              | MX        |   6686000 | NS      | $12760937.84  | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF COMMUNICATIONS CO LTD                    | BANK OF COMMUNICATIONS H                                    | CUSIP: N/A<br>LEI: 549300AX1UM10U30HK09       | Long             | EC               | CORP              | CN        |  79841000 | NS      | $49349667.98  | 1.67%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ELECTRICITY COMPANY                        | SAUDI ELECTRICITY COMPANY                                   | CUSIP: N/A<br>LEI: 549300FXO4ZXUIAXGP41       | Long             | EC               | CORP              | SA        |   4434618 | NS      | $27200880.99  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| DUBAI ISLAMIC BANK LTD                           | DUBAI ISLAMIC BANK LTD                                      | CUSIP: N/A<br>LEI: 5493003E7YRAQY3JGW88       | Long             | EC               | CORP              | AE        |  20304405 | NS      | $30679656.90  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MEGA FINANCIAL HOLDING CO                        | MEGA FINANCIAL HOLDING CO LTD                               | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |  36061075 | NS      | $38473136.48  | 1.30%             |  |  |  | No            |                  2 | On Loan: No      |
| WIPRO LTD                                        | WIPRO LTD (DEMAT)                                           | CUSIP: N/A<br>LEI: 335800IFS1IJHESG8362       | Long             | EC               | CORP              | IN        |   5612148 | NS      | $27539505.72  | 0.93%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK CENTRAL ASIA TBK PT                         | BANK CENTRAL ASIA                                           | CUSIP: N/A<br>LEI: 254900BR956G2OHVOM21       | Long             | EC               | CORP              | ID        |  70922500 | NS      | $40249165.84  | 1.36%             |  |  |  | No            |                  2 | On Loan: No      |
| HANKOOK TIRE and TECHNOLOGY CO LTD               | HANKOOK TIRE AND TECHNOLOGY CO L                            | CUSIP: N/A<br>LEI: 9884001BIEVM09M7AH02       | Long             | EC               | CORP              | KR        |    468968 | NS      | $12360874.51  | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| KT and G CORP                                    | KT and G CORP                                               | CUSIP: N/A<br>LEI: 988400ZJV6ISYBLQX875       | Long             | EC               | CORP              | KR        |    602654 | NS      | $45150824.80  | 1.52%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA ELEC POWER CORP                            | KOREA ELECTRIC POWER CORP                                   | CUSIP: N/A<br>LEI: 988400QG33WS7JEIV602       | Long             | EC               | CORP              | KR        |   1387847 | NS      | $22379771.30  | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| EMIRATES TELECOMMUNICATIONS GROUP CO PJSC        | EMIRATES TELECOMMUNICATIONS GRP CO                          | CUSIP: N/A<br>LEI: 529900XDPQPWEQ9BGB80       | Long             | EC               | CORP              | AE        |   5777586 | NS      | $40424698.54  | 1.37%             |  |  |  | No            |                  1 | On Loan: No      |
| NCSOFT CORPORATION                               | NCSOFT CORPORATION                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KR        |    112480 | NS      | $41581572.45  | 1.40%             |  |  |  | No            |                  2 | On Loan: No      |
| HCL TECHNOLOGIES LTD                             | HCL TECHNOLOGIES LTD (DEMAT)                                | CUSIP: N/A<br>LEI: 549300C1F8OLYSOQYB65       | Long             | EC               | CORP              | IN        |   3098301 | NS      | $42815146.45  | 1.45%             |  |  |  | No            |                  2 | On Loan: No      |
| CHUNGHWA TELECOM CO LTD                          | CHUNGHWA TELECOM CO LTD                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |  10975000 | NS      | $40979381.25  | 1.38%             |  |  |  | No            |                  2 | On Loan: No      |
| AL MOUWASAT MEDICAL SERVICES CO                  | AL MOUWASAT MEDICAL SERVICES CO                             | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | SA        |    334608 | NS      | $18366439.65  | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| ADVANCED POLYPROPYLENE CO                        | ADVANCED PETROCHEMICALS CO                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | SA        |    898905 | NS      | $11281221.82  | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| DIGI.COM BERHAD                                  | DIGI.COM BHD                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | MY        |  17030300 | NS      | $16842959.71  | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST ABU DHABI BANK                             | FIRST ABU DHABI BANK PJSC                                   | CUSIP: N/A<br>LEI: 2138002Y3WMK6RZS8H90       | Long             | EC               | CORP              | AE        |   2269637 | NS      | $8403545.56   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| TAIWAN COOPERATIVE FINANCIAL HOLDING CO LTD      | TAIWAN COOPERATIVE FIN HLD INC                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |  41152594 | NS      | $36333866.34  | 1.23%             |  |  |  | No            |                  2 | On Loan: No      |
| PHOSAGRO PJSC                                    | PHOSAGRO PJSC                                               | CUSIP: N/A<br>LEI: 25340053KRUNNYUWF472       | Long             | EC               | CORP              | RU        |      1400 | NS      | $114.16       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BANGKOK DUSIT MEDICAL SERVICES PCL               | BANGKOK DUSIT MEDIC SVC (FOR)                               | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TH        |  23670400 | NS      | $21525652.21  | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| SM PRIME HOLDINGS INC                            | SM PRIME HOLDINGS INC                                       | CUSIP: N/A<br>LEI: 254900SZK83MIAB8CU32       | Long             | EC               | CORP              | PH        |   6509700 | NS      | $4401771.26   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| TENAGA NASIONAL BERHAD                           | TENAGA NASIONAL BHD                                         | CUSIP: N/A<br>LEI: 549300FV8X6UID6I1413       | Long             | EC               | CORP              | MY        |  16785700 | NS      | $37093114.90  | 1.25%             |  |  |  | No            |                  2 | On Loan: No      |
| HENGAN INTERNATIONAL GROUP CO LTD                | HENGAN INTL GRP CO LTD                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KY        |   4129500 | NS      | $20314500.69  | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| GUANGDONG INVESTMENT LTD                         | GUANGDONG INVESTMENTS LTD                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | HK        |  20052000 | NS      | $21784874.60  | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF CHINA LTD                                | BANK OF CHINA LTD H                                         | CUSIP: N/A<br>LEI: 54930053HGCFWVHYZX42       | Long             | EC               | CORP              | CN        | 123932000 | NS      | $47176548.94  | 1.59%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVANCED INFO SERVICE PCL                        | ADVANCED INFO SERVICE NVDR                                  | CUSIP: N/A<br>LEI: 529900DU2YW1NO5RMU78       | Long             | EC               | CORP              | TH        |    350800 | NS      | $2089111.95   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF THE PHILIPPINE ISLAND                    | BANK OF PHILIPPINE ISLAND (BPI)                             | CUSIP: N/A<br>LEI: 549300UW4UH6XT2X8C50       | Long             | EC               | CORP              | PH        |   9408460 | NS      | $18078808.87  | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| QATAR NATIONAL BANK                              | QATAR NATIONAL BANK LTD                                     | CUSIP: N/A<br>LEI: 549300FFSRVBS0SQXY75       | Long             | EC               | CORP              | QA        |   6355035 | NS      | $31410895.86  | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| KANGWON LAND INC                                 | KANGWON LAND INC                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KR        |    674730 | NS      | $12913329.87  | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| DIALOG GROUP BHD                                 | DIALOG GROUP BHD                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | MY        |  18791700 | NS      | $11491695.10  | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| BDO UNIBANK INC                                  | BDO UNIBANK INC                                             | CUSIP: N/A<br>LEI: 3FGIIBS1PEI1FYQBGN97       | Long             | EC               | CORP              | PH        |  12270552 | NS      | $27618571.51  | 0.93%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICONY ELECTRONICS CO LTD                       | CHICONY ELECTRONICS CO LTD                                  | CUSIP: N/A<br>LEI: 254900JBP5GB5B1IHS51       | Long             | EC               | CORP              | TW        |   4623000 | NS      | $13395391.67  | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| PHOSAGRO PJSC                                    | PHOSAGRO PJSC GDR REG S                                     | CUSIP: 71922G308<br>LEI: 25340053KRUNNYUWF472 | Long             | EC               | CORP              | RU        |    586072 | NS      | $12020.34     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| TATA CONSULTANCY SERVICES LTD                    | TATA CONSULTANCY SERVICES LTD                               | CUSIP: N/A<br>LEI: 335800ZJKU9GPQRE2U66       | Long             | EC               | CORP              | IN        |   1025556 | NS      | $42418422.88  | 1.43%             |  |  |  | No            |                  2 | On Loan: No      |
| POSTAL SAVINGS BANK OF CHINA CORPORATION LIMITED | POSTAL SAVINGS BANK OF CHINA CORPORATION LIMITED H          | CUSIP: N/A<br>LEI: 300300C1040311005298       | Long             | EC               | CORP              | CN        |  51691000 | NS      | $35176128.72  | 1.19%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                        | UST BILLS 0% 06/29/2023                                     | CUSIP: 912796ZR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1766206.67   | 0.06%             | 2023-06-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COMPAL ELECTRONICS INC                           | COMPAL ELECTRONICS INC                                      | CUSIP: N/A<br>LEI: 529900ZPKWFDL21LW166       | Long             | EC               | CORP              | TW        |  29336000 | NS      | $22126137.85  | 0.75%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVANCED INFO SERVICE PCL                        | ADVANCED INFO SERVICES (FOR)                                | CUSIP: N/A<br>LEI: 529900DU2YW1NO5RMU78       | Long             | EC               | CORP              | TH        |   7436600 | NS      | $44287029.33  | 1.50%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMSUNG SDS CO LTD                               | SAMSUNG SDS CO LTD                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KR        |     20250 | NS      | $2062492.44   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| DB INSURANCE CO LTD                              | DB INSURANCE CO LTD                                         | CUSIP: N/A<br>LEI: 9884000ZF26VNJBWSJ91       | Long             | EC               | CORP              | KR        |    265381 | NS      | $14125246.96  | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| SABIC AGRI-NUTRIENTS CO                          | SABIC AGRI-NUTRIENTS CO                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | SA        |    728034 | NS      | $26576247.80  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| LITE-ON TECHNOLOGY CORP                          | LITE ON TECHNOLOGY CORP                                     | CUSIP: N/A<br>LEI: 2549005GU1PQ73SZBT32       | Long             | EC               | CORP              | TW        |  11624000 | NS      | $25807325.26  | 0.87%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                     | Fidelity Cash Central Fund                                  | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  15298134 | NS      | $15301193.60  | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| SINOPHARM GROUP CO LTD                           | SINOPHARM GROUP CO LTD H                                    | CUSIP: N/A<br>LEI: 529900N54X78YH9JYK92       | Long             | EC               | CORP              | CN        |   4145200 | NS      | $10159852.58  | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| MOBILE TELECOMMUNICATION CO                      | MOBILE TELECOMMUNICATION CO                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KW        |  12921171 | NS      | $23450708.37  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                   | MSCI EMGMKT FUT MAR23 MESH3                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |       439 | NC      | $1008362.39   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SAUDI TELECOM CO                                 | SAUDI TELECOM CO                                            | CUSIP: N/A<br>LEI: 21380028ATJ79OTA9W17       | Long             | EC               | CORP              | SA        |   3810274 | NS      | $37463125.66  | 1.27%             |  |  |  | No            |                  1 | On Loan: No      |
| PETROCHINA CO LTD                                | PETROCHINA CO LTD H                                         | CUSIP: N/A<br>LEI: 529900RPY4YG47TRSV05       | Long             | EC               | CORP              | CN        |  93426000 | NS      | $49978261.43  | 1.69%             |  |  |  | No            |                  2 | On Loan: No      |
| MRF LTD                                          | MRF LTD (DEMAT)                                             | CUSIP: N/A<br>LEI: 335800EQP78LTJ76DZ82       | Long             | EC               | CORP              | IN        |     17267 | NS      | $19251466.04  | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| TAIWAN MOBILE CO LTD                             | TAIWAN MOBILE CO LTD                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |   7465000 | NS      | $23533203.82  | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA SHENHUA ENERGY CO LTD                      | CHINA SHENHUA ENERGY CO H                                   | CUSIP: N/A<br>LEI: 529900N9JOX4C108MA40       | Long             | EC               | CORP              | CN        |  14672500 | NS      | $45669909.53  | 1.54%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GAS HOLDINGS LTD                           | CHINA GAS HOLDINGS LTD                                      | CUSIP: N/A<br>LEI: 254900KTSZLZ21VV8T33       | Long             | EC               | CORP              | BM        |    661800 | NS      | $1030303.05   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF KUWAIT                          | NATIONAL BANK OF KUWAIT                                     | CUSIP: N/A<br>LEI: 549300NB7FE83IH6BW96       | Long             | EC               | CORP              | KW        |  11048872 | NS      | $39707166.52  | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| PIDILITE INDUSTRIES LTD                          | PIDILITE INDUSTRIES LTD                                     | CUSIP: N/A<br>LEI: 335800APXGEBZ349GN74       | Long             | EC               | CORP              | IN        |     30716 | NS      | $858741.69    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SUN PHARMACEUTICAL INDUSTRIES LTD                | SUN PHARMA IND LTD(DEMAT)                                   | CUSIP: N/A<br>LEI: 335800KJ7GE29LB4SS73       | Long             | EC               | CORP              | IN        |   1213943 | NS      | $15402921.78  | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| INDUSTRIAL and COMMERCIAL BANK OF CHINA          | INDUSTRIAL and COM BK OF CHINA H                            | CUSIP: N/A<br>LEI: 5493002ERZU2K9PZDL40       | Long             | EC               | CORP              | CN        |   7328000 | NS      | $3919885.75   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| IHH HEALTHCARE BHD                               | IHH HEALTHCARE BHD                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | MY        |  15448000 | NS      | $21477838.06  | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| NESTLE (MALAYSIA) BHD                            | NESTLE (MALAYSIA) BHD                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | MY        |    208800 | NS      | $6664096.19   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| SHANGHAI COMMERCIAL and SAVINGS BANK LTD         | SHANGHAI COMMERCIAL and SAVINGS BANK LTD                    | CUSIP: N/A<br>LEI: 549300TLB5ALPCGBHN23       | Long             | EC               | CORP              | TW        |  17614080 | NS      | $27351095.11  | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| PHOSAGRO PJSC                                    | PHOSAGRO PJSC SPONSORED GDR REG S CANCELLATION RESTRICTED   | CUSIP: 71922G407<br>LEI: 25340053KRUNNYUWF472 | Long             | EC               | CORP              | RU        |      3774 | NS      | $77.40        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| PPB GROUP BERHAD                                 | PPB GROUP BHD                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | MY        |   3082000 | NS      | $12804993.82  | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| ASUSTEK COMPUTER INC                             | ASUSTEK COMPUTER INC                                        | CUSIP: N/A<br>LEI: 254900B3WB4OGRB7HM13       | Long             | EC               | CORP              | TW        |   3361000 | NS      | $30586973.33  | 1.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SHANDONG WEIGAO GROUP MED POLYMER CO LTD         | SHANDONG WEIGAO GP MED H                                    | CUSIP: N/A<br>LEI: 5299005WQUU15JQU8S60       | Long             | EC               | CORP              | CN        |  13916400 | NS      | $23134359.52  | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| WANT WANT CHINA HOLDINGS LTD                     | WANT WANT CHINA HOLDINGS LTD                                | CUSIP: N/A<br>LEI: 5299005HZCEKX4O1J230       | Long             | EC               | CORP              | KY        |  34781000 | NS      | $22652877.08  | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| GRUMA SAB DE CV                                  | GRUMA SAB CL B                                              | CUSIP: N/A<br>LEI: 5493000XJLJ6C4T0PG82       | Long             | EC               | CORP              | MX        |    148245 | NS      | $2156226.50   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| JD.COM INC                                       | JD.COM INC SPON ADR                                         | CUSIP: 47215P106<br>LEI: 549300HVTWB0GJZ16V92 | Long             | EC               | CORP              | KY        |    469570 | NS      | $27953502.10  | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| HANSOH PHARMACEUTICAL GROUP CO LTD               | HANSOH PHARMACETICAL GROUP                                  | CUSIP: N/A<br>LEI: 254900Q6MR00EBXTPF42       | Long             | EC               | CORP              | KY        |   6298000 | NS      | $12890190.23  | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMERCIAL BANK OF QATAR                         | COMMERCIAL BANK OF QATAR                                    | CUSIP: N/A<br>LEI: 2138004FUUD4I7X8H721       | Long             | EC               | CORP              | QA        |   9803679 | NS      | $16152144.99  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| TECH MAHINDRA LTD                                | TECH MAHINDRA LTD (DEMAT)                                   | CUSIP: N/A<br>LEI: 3358005FZUZ1I25XQH69       | Long             | EC               | CORP              | IN        |   2434366 | NS      | $30461361.28  | 1.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS GAS BHD                                 | PETRONAS GAS BHD                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | MY        |   2607500 | NS      | $10291996.17  | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| JARIR MARKETING COMPANY                          | JARIR MARKETING COMPANY                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | SA        |    418731 | NS      | $16780480.26  | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| SK HYNIX INC                                     | SK HYNIX INC                                                | CUSIP: N/A<br>LEI: 988400XAIK6XISWQV045       | Long             | EC               | CORP              | KR        |     57762 | NS      | $4173628.66   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| TORRENT PHARMACEUTICALS LTD                      | TORRENT PHARMA LTD (DEMAT)                                  | CUSIP: N/A<br>LEI: 335800NA6HK275RIJE13       | Long             | EC               | CORP              | IN        |    691018 | NS      | $12896362.42  | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI NATIONAL OIL CO FOR DISTRIBUTION PJSC  | ABU DHABI NATIONAL OIL CO FOR DISTRIBUTION PJSC             | CUSIP: N/A<br>LEI: 213800YI1ZIOJB3HLB11       | Long             | EC               | CORP              | AE        |  20613773 | NS      | $24693202.25  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA RESOURCES POWER HOLDINGS CO LTD            | CHINA RESOURCES POWER HLDS LTD                              | CUSIP: N/A<br>LEI: 529900K60FC0AI053735       | Long             | EC               | CORP              | HK        |  10527000 | NS      | $21927226.94  | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| ALINMA BANK                                      | ALINMA BANK                                                 | CUSIP: N/A<br>LEI: 558600HPAUTN6XSVBK93       | Long             | EC               | CORP              | SA        |   4044031 | NS      | $35397393.65  | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA RAILWAY GROUP LIMITED                      | CHINA RAILWAY GROUP LIMITED H                               | CUSIP: N/A<br>LEI: 529900TFRLG8UDJ7QA89       | Long             | EC               | CORP              | CN        |  28839000 | NS      | $15732662.55  | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| SAVOLA GROUP                                     | SAVOLA GROUP                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | SA        |     52627 | NS      | $419978.32    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NESTLE INDIA LTD                                 | NESTLE INDIA LTD (DEMAT)                                    | CUSIP: N/A<br>LEI: 3358008SYYY9CPWH5D94       | Long             | EC               | CORP              | IN        |    161583 | NS      | $37672047.91  | 1.27%             |  |  |  | No            |                  2 | On Loan: No      |
| CIPLA LTD/INDIA                                  | CIPLA LTD                                                   | CUSIP: N/A<br>LEI: 335800KMJJYEDDK82Q34       | Long             | EC               | CORP              | IN        |   2191706 | NS      | $27379326.78  | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| MASRAF AL RAYAN                                  | MASRAF AL RAYAN                                             | CUSIP: N/A<br>LEI: 254900KFL51VLXABR231       | Long             | EC               | CORP              | QA        |   3943681 | NS      | $2956339.43   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| COWAY CO LTD                                     | COWAY CO LTD                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KR        |    327432 | NS      | $14830384.05  | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| WPG HOLDING CO LTD                               | WPG HOLDING CO LTD                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |  10141000 | NS      | $16152280.57  | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| BANGKOK BANK PUBLIC CO LTD                       | BANGKOK BANK PUBLIC CO LTD(FOR)                             | CUSIP: N/A<br>LEI: 549300CCL2BKJGMYXV60       | Long             | EC               | CORP              | TH        |   2836100 | NS      | $13751665.05  | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| INFOSYS LTD                                      | INFOSYS LTD                                                 | CUSIP: N/A<br>LEI: 335800TYLGG93MM7PR89       | Long             | EC               | CORP              | IN        |   2149787 | NS      | $40577948.44  | 1.37%             |  |  |  | No            |                  2 | On Loan: No      |
| INDUSTRIAL BANK OF KOREA                         | INDUSTRIAL BANK OF KOREA                                    | CUSIP: N/A<br>LEI: 988400RBIWE3YA18PK12       | Long             | EC               | CORP              | KR        |   1782066 | NS      | $14855335.47  | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-02

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer