# EDGAR Filing Document

**Accession Number:** 0000215829
**File Stem:** 0000215829-23-000008
**Filing Date:** 2023-2
**Character Count:** 985727
**Document Hash:** adcc8bf189e3607b08ba36ca095854b6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000215829-23-000008.hdr.sgml**: 20230221

**ACCESSION NUMBER**: 0000215829-23-000008

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 35

**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 SCHOOL STREET TRUST
- **CENTRAL INDEX KEY:** 0000215829
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02676
- **FILM NUMBER:** 23646393

**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 SCHOOL STREET TRUST/
- **DATE OF NAME CHANGE:** 19940526

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY LIMITED TERM MUNICIPALS
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Fidelity Intermediate Municipal Income Fund (Series ID: S000007186)

| Class ID   | Class Name                                                   | Ticker Symbol   |
|:---|:---|:---|
| C000019665 | Fidelity Intermediate Municipal Income Fund                  | FLTMX           |
| C000019666 | Fidelity Advisor Intermediate Municipal Income Fund: Class A | FZIAX           |
| C000019668 | Fidelity Advisor Intermediate Municipal Income Fund: Class C | FZICX           |
| C000019669 | Fidelity Advisor Intermediate Municipal Income Fund: Class M | FZITX           |
| C000019670 | Fidelity Advisor Intermediate Municipal Income Fund: Class I | FZIIX           |
| C000205053 | Fidelity Advisor Intermediate Municipal Income Fund: Class Z | FIQZX           |

### Fidelity Global Credit Fund (Series ID: S000037006)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000113297 | Fidelity Advisor Global Credit Fund: Class A | FGBZX           |
| C000113298 | Fidelity Advisor Global Credit Fund: Class M | FGBWX           |
| C000113299 | Fidelity Advisor Global Credit Fund: Class C | FGBYX           |
| C000113300 | Fidelity Advisor Global Credit Fund: Class I | FGBIX           |
| C000113301 | Fidelity Global Credit Fund                  | FGBFX           |
| C000205054 | Fidelity Advisor Global Credit Fund: Class Z | FIQYX           |

### Fidelity Advisor Multi-Asset Income Fund (Series ID: S000050482)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000159358 | Class A                          | FWATX           |
| C000159359 | Class M                          | FAZYX           |
| C000159360 | Class C                          | FWBTX           |
| C000159361 | Class I                          | FAYZX           |
| C000199669 | Fidelity Multi-Asset Income Fund | FMSDX           |
| C000205055 | Class Z                          | FIWBX           |

### Fidelity Series International Credit Fund (Series ID: S000058189)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000190811 | Fidelity Series International Credit Fund | FCDSX           |

### Fidelity Series International Developed Markets Bond Index Fund (Series ID: S000072687)

| Class ID   | Class Name                                                      | Ticker Symbol   |
|:---|:---|:---|
| C000229122 | Fidelity Series International Developed Markets Bond Index Fund | FSTQX           |

&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>811-02676</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 School 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 International Credit Fund**

**Annual Report**

**December 31, 2022**

![](img88176_1.jpg)

![](img88176_2.jpg)

**Contents**

---

| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Management's Discussion of Fund Performance](#Sec_Mgt Discussion of FundPerformance)** |
| **[Investment Summary](#Sec_InvestmentSummary3017)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments3017)** |
| **[Financial Statements](#Sec_FinancialStatements3017)** |
| **[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.

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**  | **Past 5** <br> **years**  | **Life of** <br> **Fund** <sup>A</sup>  |
| Fidelity® Series International Credit Fund  | &nbsp;&nbsp; -17.44%  | &nbsp;&nbsp; 0.14%  | &nbsp;&nbsp; 0.48%  |

---

<sup>A</sup> From July 25, 2017

---

| |
|:---|
| **$10,000 Over Life of Fund**  |
| Let's say hypothetically that $10,000 was invested in Fidelity® Series International Credit Fund, on July 25, 2017, 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 Credit Ex U.S. Index (Hedged USD) performed over the same period.  |
| ![](img88176_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 Michael Foggin, Andrew Lewis and Lisa Easterbrook:**

For the year, the fund returned -17.44%, notably lagging, net of fees, the -13.07% result of the benchmark, the Bloomberg Global Aggregate Credit Ex US Index (Hedged USD). At year-end, about 75% of the portfolio was in investment-grade corporate bond holdings, roughly equal to the benchmark index, and about 17% in investment-grade government bonds. The majority of holdings are concentrated in Europe. The fund's positioning in corporate debt, including an overweight in yield-advantaged but lower-rated BBB and BB bonds, detracted from performance versus the benchmark. Our security selection within corporates was the largest relative detractor. Specifically, an overweight in European property securities hurt most, with our debt holdings in three German property companies - Aroundtown, Grand City Properties and Adler Group - among the fund's largest individual detractors. Yield-curve positioning also hurt, as our preference for the belly of the duration curve hampered our result. Conversely, the fund's beta, a measurement of the portfolio's volatility relative to the overall market, was the primary contributor to performance versus the benchmark, as the fund added risk as spreads widened then reduced risk during the fourth-quarter rally. Top fund holdings at the end of the year included Credit Suisse, Volkswagen and AIB Group.

*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)**  |
| ![](img88176_6.jpg) <br>|
| 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)**  |
| ![](img88176_7.jpg)  |
| *Foreign investments - 89.8%*  |
| *Futures and Swaps - 34.9%*  |
| *Currency Contracts - (17.7)%*  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Geographic Diversification (% of Fund's net assets)**  |
| ![](img88176_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.*  |

---

*Foreign currency contracts and other assets and liabilities are included within United States of America, as applicable.*

**Schedule of Investments December 31, 2022**

Showing Percentage of Net Assets

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Nonconvertible Bonds - 56.7%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 56.7%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 56.7%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 56.7%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Australia - 1.8%  |  |  |  |
|  AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (b)  | EUR  | 150000  | 130863  |
|  Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S)  | EUR  | 700000  | 560298  |
|  QBE Insurance Group Ltd.:  |  |  |  |
|  2.5% 9/13/38 (Reg. S) (b)  | GBP  | 600000  | 548913  |
|  6.75% 12/2/44 (Reg. S) (b)  |  | 570000  | 552900  |
|  TOTAL AUSTRALIA  |  |  | 1792974  |
| Bailiwick of Guernsey - 0.2%  |  |  |  |
|  Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S)  | EUR  | 300000  | 249653  |
| Bailiwick of Jersey - 1.5%  |  |  |  |
|  Heathrow Funding Ltd.:  |  |  |  |
|  2.625% 3/16/28 (Reg. S)  | GBP  | 650000  | 630243  |
|  7.125% 2/14/24  | GBP  | 750000  | 907414  |
|  TOTAL BAILIWICK OF JERSEY  |  |  | 1537657  |
| Cayman Islands - 0.4%  |  |  |  |
|  Alibaba Group Holding Ltd. 2.125% 2/9/31  |  | 200000  | 157752  |
|  Southern Water Services Finance Ltd. 1.625% 3/30/27 (Reg. S)  | GBP  | 208000  | 214301  |
|  TOTAL CAYMAN ISLANDS  |  |  | 372053  |
| Czech Republic - 0.1%  |  |  |  |
|  CEZ A/S 2.375% 4/6/27 (Reg. S)  | EUR  | 150000  | 144837  |
| Denmark - 1.1%  |  |  |  |
|  Danske Bank A/S 2.25% 1/14/28 (Reg. S) (b)  | GBP  | 705000  | 727486  |
|  ORSTED A/S 5.125% 9/13/34 (Reg. S)  | GBP  | 300000  | 356832  |
|  TOTAL DENMARK  |  |  | 1084318  |
| France - 3.6%  |  |  |  |
|  BNP Paribas SA:  |  |  |  |
|  2.159% 9/15/29 (b)(c)  |  | 225000  | 183425  |
|  2.5% 3/31/32 (Reg. S) (b)  | EUR  | 900000  | 852170  |
|  BPCE SA 1.5% 1/13/42 (Reg. S) (b)  | EUR  | 800000  | 717261  |
|  Credit Agricole Assurances SA 4.75% 9/27/48 (b)  | EUR  | 400000  | 412388  |
|  Credit Agricole SA 1.25% 10/2/24 (Reg. S)  | GBP  | 100000  | 113343  |
|  Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S)  | EUR  | 200000  | 166684  |
|  Iliad SA:  |  |  |  |
|  1.5% 10/14/24 (Reg. S)  | EUR  | 200000  | 202741  |
|  1.875% 2/11/28 (Reg. S)  | EUR  | 200000  | 176021  |
|  Lagardere S.C.A.:  |  |  |  |
|  1.625% 6/21/24 (Reg. S)  | EUR  | 100000  | 103339  |
|  1.75% 10/7/27 (Reg. S)  | EUR  | 200000  | 197451  |
|  Societe Generale 4.75% 11/24/25 (c)  |  | 200000  | 191969  |
|  Valeo SA 1% 8/3/28 (Reg. S)  | EUR  | 400000  | 329057  |
|  TOTAL FRANCE  |  |  | 3645849  |
| Germany - 3.9%  |  |  |  |
|  ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S)  | EUR  | 525000  | 268157  |
|  Bayer AG 3.75% 7/1/74 (Reg. S) (b)  | EUR  | 500000  | 512696  |
|  Commerzbank AG 8.625% 2/28/33 (Reg. S) (b)  | GBP  | 100000  | 121237  |
|  Deutsche Bank AG:  |  |  |  |
|  3.25% 5/24/28 (Reg. S) (b)  | EUR  | 400000  | 395142  |
|  4% 6/24/32 (Reg. S) (b)  | EUR  | 800000  | 757661  |
|  EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (b)  | EUR  | 500000  | 395390  |
|  RWE AG 2.75% 5/24/30 (Reg. S)  | EUR  | 1250000  | 1218437  |
|  ZF Finance GmbH 2% 5/6/27 (Reg. S)  | EUR  | 300000  | 261789  |
|  TOTAL GERMANY  |  |  | 3930509  |
| Greece - 0.2%  |  |  |  |
|  Alpha Bank SA 4.25% 2/13/30 (Reg. S) (b)  | EUR  | 250000  | 216820  |
| Hong Kong - 0.2%  |  |  |  |
|  AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (b)  | EUR  | 300000  | 248635  |
| Ireland - 6.1%  |  |  |  |
|  AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 6.5% 7/15/25  |  | 150000  | 151992  |
|  AIB Group PLC:  |  |  |  |
|  1.875% 11/19/29 (Reg. S) (b)  | EUR  | 1000000  | 976250  |
|  2.25% 4/4/28 (Reg. S) (b)  | EUR  | 1200000  | 1146054  |
|  2.875% 5/30/31 (Reg. S) (b)  | EUR  | 250000  | 240102  |
|  Bank of Ireland Group PLC:  |  |  |  |
|  1.375% 8/11/31 (Reg. S) (b)  | EUR  | 800000  | 720860  |
|  2.029% 9/30/27 (b)(c)  |  | 950000  | 801618  |
|  2.375% 10/14/29 (Reg. S) (b)  | EUR  | 800000  | 794497  |
|  Cloverie PLC 4.5% 9/11/44 (Reg. S) (b)  |  | 902000  | 852390  |
|  Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (b)  |  | 600000  | 460500  |
|  TOTAL IRELAND  |  |  | 6144263  |
| Italy - 2.1%  |  |  |  |
|  Aeroporti di Roma SPA:  |  |  |  |
|  1.625% 2/2/29 (Reg. S)  | EUR  | 100000  | 87144  |
|  1.75% 7/30/31 (Reg. S)  | EUR  | 175000  | 139189  |
|  Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S)  | EUR  | 300000  | 244019  |
|  Enel SpA 3.375% (Reg. S) (b)(d)  | EUR  | 550000  | 530613  |
|  UniCredit SpA:  |  |  |  |
|  2.731% 1/15/32 (Reg. S) (b)  | EUR  | 1050000  | 944184  |
|  5.861% 6/19/32 (b)(c)  |  | 200000  | 175575  |
|  TOTAL ITALY  |  |  | 2120724  |
| Luxembourg - 3.6%  |  |  |  |
|  ADLER Group SA:  |  |  |  |
|  1.875% 1/14/26 (Reg. S)  | EUR  | 2000000  | 856360  |
|  2.25% 4/27/27 (Reg. S)  | EUR  | 200000  | 73861  |
|  Alpha Trains Finance SA 2.064% 6/30/30  | EUR  | 802000  | 805325  |
|  Blackstone Property Partners Europe LP:  |  |  |  |
|  1% 5/4/28 (Reg. S)  | EUR  | 1050000  | 819264  |
|  1.75% 3/12/29 (Reg. S)  | EUR  | 600000  | 468260  |
|  2.625% 10/20/28 (Reg. S)  | GBP  | 250000  | 225939  |
|  GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S)  | EUR  | 500000  | 390982  |
|  TOTAL LUXEMBOURG  |  |  | 3639991  |
| Mexico - 1.8%  |  |  |  |
|  Petroleos Mexicanos 6.5% 3/13/27  |  | 1980000  | 1799325  |
| Netherlands - 3.3%  |  |  |  |
|  Demeter Investments BV:  |  |  |  |
|  5.625% 8/15/52 (Reg. S) (b)  |  | 964000  | 882060  |
|  5.75% 8/15/50 (Reg. S) (b)  |  | 1300000  | 1238250  |
|  JDE Peet's BV 2.25% 9/24/31 (c)  |  | 150000  | 113386  |
|  Technip Energies NV 1.125% 5/28/28  | EUR  | 600000  | 519740  |
|  VIA Outlets 1.75% 11/15/28 (Reg. S)  | EUR  | 450000  | 362882  |
|  ZF Europe Finance BV 2% 2/23/26 (Reg. S)  | EUR  | 200000  | 184096  |
|  TOTAL NETHERLANDS  |  |  | 3300414  |
| Portugal - 0.3%  |  |  |  |
|  Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (b)  | EUR  | 300000  | 259198  |
| Spain - 0.9%  |  |  |  |
|  Cellnex Finance Co. SA 1% 9/15/27 (Reg. S)  | EUR  | 900000  | 801430  |
|  Iberdrola Finanzas SAU 7.375% 1/29/24  | GBP  | 100000  | 123574  |
|  TOTAL SPAIN  |  |  | 925004  |
| Sweden - 1.0%  |  |  |  |
|  Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (b)  | EUR  | 251000  | 257591  |
|  Heimstaden AB 4.375% 3/6/27 (Reg. S)  | EUR  | 500000  | 351692  |
|  Samhallsbyggnadsbolaget I Norden AB:  |  |  |  |
|  1% 8/12/27 (Reg. S)  | EUR  | 250000  | 184653  |
|  1.75% 1/14/25 (Reg. S)  | EUR  | 200000  | 182409  |
|  TOTAL SWEDEN  |  |  | 976345  |
| Switzerland - 2.6%  |  |  |  |
|  Credit Suisse Group AG:  |  |  |  |
|  2.125% 11/15/29 (Reg. S) (b)  | GBP  | 500000  | 428144  |
|  4.194% 4/1/31 (b)(c)  |  | 250000  | 194074  |
|  4.282% 1/9/28 (c)  |  | 298000  | 246998  |
|  6.5% 8/8/23 (Reg. S)  |  | 795000  | 768765  |
|  7.375% 9/7/33 (Reg. S) (b)  | GBP  | 250000  | 274371  |
|  7.75% 3/1/29 (Reg. S) (b)  | EUR  | 500000  | 531457  |
|  UBS Group AG 4.988% 8/5/33 (Reg. S) (b)  |  | 200000  | 185136  |
|  TOTAL SWITZERLAND  |  |  | 2628945  |
| United Kingdom - 19.1%  |  |  |  |
|  Anglian Water (Osprey) Financing PLC 2% 7/31/28 (Reg. S)  | GBP  | 175000  | 161751  |
|  Barclays PLC:  |  |  |  |
|  2% 2/7/28 (Reg. S) (b)  | EUR  | 500000  | 530954  |
|  5.262% 1/29/34 (Reg. S) (b)  | EUR  | 190000  | 200812  |
|  7.437% 11/2/33 (b)  |  | 200000  | 209560  |
|  8.407% 11/14/32 (Reg. S) (b)  | GBP  | 300000  | 374073  |
|  BAT International Finance PLC 2.25% 6/26/28 (Reg. S)  | GBP  | 510000  | 496884  |
|  HSBC Holdings PLC:  |  |  |  |
|  5.402% 8/11/33 (b)  |  | 200000  | 185205  |
|  7.39% 11/3/28 (b)  |  | 350000  | 367833  |
|  8.201% 11/16/34 (Reg. S) (b)  | GBP  | 400000  | 500404  |
|  Imperial Tobacco Finance PLC 3.5% 7/26/26 (c)  |  | 2407000  | 2207561  |
|  InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S)  | GBP  | 860000  | 897502  |
|  John Lewis PLC 6.125% 1/21/25  | GBP  | 1474000  | 1706112  |
|  Lloyds Bank Corporate Markets PLC:  |  |  |  |
|  1.5% 6/23/23 (Reg. S)  | GBP  | 130000  | 154932  |
|  1.75% 7/11/24 (Reg. S)  | GBP  | 140000  | 161132  |
|  Lloyds Banking Group PLC:  |  |  |  |
|  1.985% 12/15/31 (b)  | GBP  | 400000  | 404751  |
|  4.976% 8/11/33 (b)  |  | 200000  | 183638  |
|  M&G PLC 6.5% 10/20/48 (Reg. S) (b)  |  | 500000  | 488750  |
|  Marks & Spencer PLC:  |  |  |  |
|  3.75% 5/19/26 (Reg. S)  | GBP  | 400000  | 420736  |
|  4.5% 7/10/27 (Reg. S)  | GBP  | 520000  | 538411  |
|  Nationwide Building Society 6.178% 12/7/27 (Reg. S) (b)  | GBP  | 300000  | 363461  |
|  NatWest Group PLC:  |  |  |  |
|  2.105% 11/28/31 (Reg. S) (b)  | GBP  | 650000  | 650832  |
|  3.619% 3/29/29 (Reg. S) (b)  | GBP  | 600000  | 632817  |
|  3.622% 8/14/30 (Reg. S) (b)  | GBP  | 250000  | 277873  |
|  7.416% 6/6/33 (Reg. S) (b)  | GBP  | 300000  | 365249  |
|  NGG Finance PLC 2.125% 9/5/82 (Reg. S) (b)  | EUR  | 1000000  | 885583  |
|  Prudential PLC 2.95% 11/3/33 (Reg. S) (b)  |  | 1300000  | 1063499  |
|  Rentokil Initial PLC 5% 6/27/32 (Reg. S)  | GBP  | 300000  | 341119  |
|  Rolls-Royce PLC 3.375% 6/18/26  | GBP  | 740000  | 766978  |
|  Severn Trent Utilities Finance PLC:  |  |  |  |
|  4.625% 11/30/34 (Reg. S)  | GBP  | 140000  | 158530  |
|  6.125% 2/26/24  | GBP  | 65000  | 79280  |
|  Thames Water Utility Finance PLC 1.875% 1/24/24 (Reg. S)  | GBP  | 130000  | 151569  |
|  The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)  | GBP  | 400000  | 321714  |
|  Travis Perkins PLC:  |  |  |  |
|  3.75% 2/17/26 (Reg. S)  | GBP  | 200000  | 213803  |
|  4.5% 9/7/23 (Reg. S)  | GBP  | 350000  | 416786  |
|  Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S)  | EUR  | 210000  | 182393  |
|  Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (b)  | GBP  | 400000  | 447340  |
|  Vodafone Group PLC:  |  |  |  |
|  4.875% 10/3/78 (Reg. S) (b)  | GBP  | 250000  | 282522  |
|  6.25% 10/3/78 (Reg. S) (b)  |  | 200000  | 190560  |
|  Western Power Distribution PLC 3.625% 11/6/23 (Reg. S)  | GBP  | 130000  | 155381  |
|  Whitbread PLC:  |  |  |  |
|  2.375% 5/31/27 (Reg. S)  | GBP  | 250000  | 253886  |
|  3.375% 10/16/25 (Reg. S)  | GBP  | 800000  | 891238  |
|  TOTAL UNITED KINGDOM  |  |  | 19283414  |
| United States of America - 2.9%  |  |  |  |
|  Blackstone Private Credit Fund 4.875% 4/14/26  | GBP  | 800000  | 866326  |
|  Citigroup, Inc. 5.875% 7/1/24 (Reg. S)  | GBP  | 200000  | 242559  |
|  Duke Energy Corp. 3.85% 6/15/34  | EUR  | 550000  | 543962  |
|  MPT Operating Partnership LP/MPT Finance Corp. 2.5% 3/24/26  | GBP  | 250000  | 239810  |
|  Southern Co. 1.875% 9/15/81 (b)  | EUR  | 1000000  | 832532  |
|  Wells Fargo & Co. 2.125% 12/20/23 (Reg. S)  | GBP  | 130000  | 153163  |
|  TOTAL UNITED STATES OF AMERICA  |  |  | 2878352  |
| <br> **TOTAL NONCONVERTIBLE BONDS** <br> (Cost $71,667,622)  |  |  | <br> **57179280**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Government and Government Agency Obligations - 2.1%**  | &nbsp;&nbsp; **U.S. Government and Government Agency Obligations - 2.1%**  | &nbsp;&nbsp; **U.S. Government and Government Agency Obligations - 2.1%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| U.S. Treasury Obligations - 2.1%  |  |  |
|  U.S. Treasury Bonds 3.25% 5/15/42 (e)  | 400000  | 350688  |
|  U.S. Treasury Notes 0.75% 3/31/26 (e)  | 1960000  | 1756727  |
| <br> **TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS** <br> (Cost $2,354,218)  |  | <br> **2107415**  |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 11.0%**  | &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 11.0%**  | &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 11.0%**  | &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 11.0%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Germany - 5.3%  |  |  |  |
|  German Federal Republic:  |  |  |  |
|  0% 10/10/25 (Reg. S)  | EUR  | 1850000  | 1849036  |
|  0% 8/15/31  | EUR  | 1050000  | 911688  |
|  0% 2/15/32 (Reg. S)  | EUR  | 680000  | 582205  |
|  0% 5/15/35 (Reg. S)  | EUR  | 1350000  | 1053691  |
|  1.25% 8/15/48  | EUR  | 1195000  | 994952  |
|  TOTAL GERMANY  |  |  | 5391572  |
| United Kingdom - 5.7%  |  |  |  |
|  United Kingdom, Great Britain and Northern Ireland:  |  |  |  |
|  1% 4/22/24(Reg. S)  | GBP  | 1393000  | 1627601  |
|  2.25% 9/7/23  | GBP  | 3407000  | 4080248  |
|  TOTAL UNITED KINGDOM  |  |  | 5707849  |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS** <br> (Cost $12,527,497)  |  |  | <br> **11099421**  |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Preferred Securities - 25.0%**  | &nbsp;&nbsp; **Preferred Securities - 25.0%**  | &nbsp;&nbsp; **Preferred Securities - 25.0%**  | &nbsp;&nbsp; **Preferred Securities - 25.0%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Australia - 1.6%  |  |  |  |
|  QBE Insurance Group Ltd.:  |  |  |  |
|  5.25% (Reg. S) (b)(d)  |  | 1100000  | 986388  |
|  5.875% (b)(c)(d)  |  | 650000  | 618015  |
|  TOTAL AUSTRALIA  |  |  | 1604403  |
| Canada - 1.1%  |  |  |  |
|  Bank of Nova Scotia:  |  |  |  |
|  3 month U.S. LIBOR + 2.640% 6.5671% (b)(d)(f)  |  | 800000  | 755436  |
|  4.9% (b)(d)  |  | 350000  | 336849  |
|  TOTAL CANADA  |  |  | 1092285  |
| Finland - 0.2%  |  |  |  |
|  Citycon Oyj 4.496% (Reg. S) (b)(d)  | EUR  | 300000  | 200326  |
| France - 4.5%  |  |  |  |
|  BNP Paribas SA 6.625% (Reg. S) (b)(d)  |  | 550000  | 541330  |
|  Danone SA 1.75% (Reg. S) (b)(d)  | EUR  | 600000  | 637787  |
|  Electricite de France SA 5.25% (Reg. S) (b)(d)  |  | 2300000  | 2351187  |
|  Societe Generale 7.875% (Reg. S) (b)(d)  |  | 200000  | 198569  |
|  Veolia Environnement SA 2% (Reg. S) (b)(d)  | EUR  | 900000  | 803272  |
|  TOTAL FRANCE  |  |  | 4532145  |
| Germany - 1.1%  |  |  |  |
|  Bayer AG 2.375% 11/12/79 (Reg. S) (b)  | EUR  | 1100000  | 1071810  |
| Ireland - 0.4%  |  |  |  |
|  AIB Group PLC 6.25% (Reg. S) (b)(d)  | EUR  | 450000  | 450630  |
| Italy - 0.9%  |  |  |  |
|  Enel SpA 2.5% (Reg. S) (b)(d)  | EUR  | 900000  | 940825  |
| Luxembourg - 1.7%  |  |  |  |
|  Aroundtown SA 3.375% (Reg. S) (b)(d)  | EUR  | 1400000  | 694558  |
|  CPI Property Group SA 3.75% (Reg. S) (b)(d)  | EUR  | 800000  | 451073  |
|  Grand City Properties SA 1.5% (Reg. S) (b)(d)  | EUR  | 1300000  | 586923  |
|  TOTAL LUXEMBOURG  |  |  | 1732554  |
| Netherlands - 5.4%  |  |  |  |
|  AerCap Holdings NV 5.875% 10/10/79 (b)  |  | 1050000  | 970039  |
|  AT Securities BV 5.25% (Reg. S) (b)(d)  |  | 750000  | 362752  |
|  Stichting AK Rabobank Certificaten 6.5% (Reg. S) (b)(d)(f)  | EUR  | 379300  | 389436  |
|  Telefonica Europe BV 3.875% (Reg. S) (b)(d)  | EUR  | 500000  | 490118  |
|  Volkswagen International Finance NV:  |  |  |  |
|  3.375% (Reg. S) (b)(d)  | EUR  | 100000  | 103419  |
|  3.748% (Reg. S) (b)(d)  | EUR  | 300000  | 272535  |
|  3.875% (Reg. S) (b)(d)  | EUR  | 900000  | 817477  |
|  4.625% (Reg. S) (b)(d)  | EUR  | 1900000  | 2000011  |
|  TOTAL NETHERLANDS  |  |  | 5405787  |
| Spain - 0.4%  |  |  |  |
|  Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (b)(d)  | EUR  | 400000  | 411251  |
| Sweden - 1.5%  |  |  |  |
|  Heimstaden Bostad AB:  |  |  |  |
|  3.248% (Reg. S) (b)(d)  | EUR  | 1500000  | 1203885  |
|  3.625% (Reg. S) (b)(d)  | EUR  | 150000  | 89124  |
|  Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (b)(d)  | EUR  | 650000  | 271488  |
|  TOTAL SWEDEN  |  |  | 1564497  |
| Switzerland - 1.9%  |  |  |  |
|  Credit Suisse Group AG 7.5% (Reg. S) (b)(d)  |  | 1900000  | 1660830  |
|  UBS Group AG 7% (Reg. S) (b)(d)  |  | 200000  | 209620  |
|  TOTAL SWITZERLAND  |  |  | 1870450  |
| United Kingdom - 4.3%  |  |  |  |
|  Barclays PLC:  |  |  |  |
|  5.875% (Reg. S) (b)(d)  | GBP  | 350000  | 387931  |
|  7.125% (b)(d)  | GBP  | 200000  | 228991  |
|  8.875% (b)(d)  | GBP  | 200000  | 238882  |
|  British American Tobacco PLC 3% (Reg. S) (b)(d)  | EUR  | 1900000  | 1575666  |
|  HSBC Holdings PLC 6.375% (b)(d)  |  | 750000  | 739091  |
|  National Express Group PLC 4.25% (Reg. S) (b)(d)  | GBP  | 190000  | 196936  |
|  SSE PLC:  |  |  |  |
|  3.74% (Reg. S) (b)(d)  | GBP  | 400000  | 451831  |
|  4% (Reg. S) (b)(d)  | EUR  | 500000  | 501915  |
|  TOTAL UNITED KINGDOM  |  |  | 4321243  |
| <br> **TOTAL PREFERRED SECURITIES** <br> (Cost $33,355,087)  |  |  | <br> **25198206**  |

---

---

| | | |
|:---|:---|:---|
| &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% (g) <br>(Cost $3,368,958) <br>| 3368284  | **3368958**  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Purchased Swaptions - 0.1%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.1%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.1%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.1%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.1%**  |
|  | Expiration <br> Date  | Notional <br> Amount (a)  | Notional <br> Amount (a)  | Value ($)  |
| Put Options - 0.1%  |  |  |  |  |
|  Option with an exercise rate of 4.875% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly.  | 1/18/23  | EUR  | 3850000  | 31171  |
|  Option with an exercise rate of 5.25% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly.  | 1/18/23  | EUR  | 3950000  | 14804  |
| **TOTAL PURCHASED SWAPTIONS** <br> (Cost $117,306)  |  |  |  | <br> **45975**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 98.2%** <br> (Cost $123,390,688) <br>| <br>**98999255**  |
| **NET OTHER ASSETS (LIABILITIES) - 1.8%**  | **1790155**  |
| **NET ASSETS - 100.0%**  | **100789410**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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  |  |  |  |  |  |
| ASX 10 Year Treasury Bond Index Contracts (Australia)  | 8  | Mar 2023  | 630094  | (37935)  | (37935)  |
| Eurex Euro-Bund Contracts (Germany)  | 22  | Mar 2023  | 3130488  | (196878)  | (196878)  |
| Eurex Euro-Buxl 30 Year Bond Contracts (Germany)  | 6  | Mar 2023  | 868606  | (133414)  | (133414)  |
| TME 10 Year Canadian Note Contracts (Canada)  | 36  | Mar 2023  | 3258346  | (63086)  | (63086)  |
| **TOTAL BOND INDEX CONTRACTS**  |  |  |  |  | (431313)  |
| Treasury Contracts  |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States)  | 53  | Mar 2023  | 10869141  | 12732  | 12732  |
| CBOT 5-Year U.S. Treasury Note Contracts (United States)  | 88  | Mar 2023  | 9497813  | 1198  | 1198  |
| CBOT Long Term U.S. Treasury Bond Contracts (United States)  | 95  | Mar 2023  | 11907656  | (28973)  | (28973)  |
| **TOTAL TREASURY CONTRACTS**  |  |  |  |  | (15043)  |
| TOTAL PURCHASED  |  |  |  |  | (446356)  |
| Sold  |  |  |  |  |  |
| Bond Index Contracts  |  |  |  |  |  |
| Eurex Euro-Bobl Contracts (Germany)  | 10  | Mar 2023  | 1239046  | 35362  | 35362  |
| ICE Long Gilt Contracts (United Kingdom)  | 22  | Mar 2023  | 2657030  | 161269  | 161269  |
| TOTAL SOLD  |  |  |  |  | 196631  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **(249725)**  |
| The notional amount of futures purchased as a percentage of Net Assets is 39.8%  | The notional amount of futures purchased as a percentage of Net Assets is 39.8%  | The notional amount of futures purchased as a percentage of Net Assets is 39.8%  | The notional amount of futures purchased as a percentage of Net Assets is 39.8%  | The notional amount of futures purchased as a percentage of Net Assets is 39.8%  | The notional amount of futures purchased as a percentage of Net Assets is 39.8%  |
| The notional amount of futures sold as a percentage of Net Assets is 3.8%  | The notional amount of futures sold as a percentage of Net Assets is 3.8%  | The notional amount of futures sold as a percentage of Net Assets is 3.8%  | The notional amount of futures sold as a percentage of Net Assets is 3.8%  | The notional amount of futures sold as a percentage of Net Assets is 3.8%  | The notional amount of futures sold as a percentage of Net Assets is 3.8%  |

---

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $47,301,355.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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) ($)  |
| AUD  | 19000  | USD  | 12881  | State Street Bank and Trust Co  | 1/03/23  | 55  |
| EUR  | 122000  | USD  | 130252  | Bank of America, N.A.  | 1/12/23  | 419  |
| EUR  | 64000  | USD  | 67621  | Brown Brothers Harriman & Co  | 1/12/23  | 927  |
| EUR  | 55000  | USD  | 58583  | Brown Brothers Harriman & Co  | 1/12/23  | 326  |
| EUR  | 810000  | USD  | 864902  | Brown Brothers Harriman & Co  | 1/12/23  | 2667  |
| EUR  | 89000  | USD  | 94843  | HSBC Bank  | 1/12/23  | 482  |
| EUR  | 248000  | USD  | 264007  | JPMorgan Chase Bank, N.A.  | 1/12/23  | 1619  |
| EUR  | 98000  | USD  | 103258  | State Street Bank and Trust Co  | 1/12/23  | 1707  |
| EUR  | 90000  | USD  | 96066  | State Street Bank and Trust Co  | 1/12/23  | 331  |
| EUR  | 70000  | USD  | 75164  | State Street Bank and Trust Co  | 1/12/23  | (189)  |
| GBP  | 72000  | USD  | 86619  | Brown Brothers Harriman & Co  | 1/12/23  | 446  |
| GBP  | 248000  | USD  | 307948  | JPMorgan Chase Bank, N.A.  | 1/12/23  | (8059)  |
| GBP  | 57000  | USD  | 69254  | JPMorgan Chase Bank, N.A.  | 1/12/23  | (328)  |
| USD  | 52476  | AUD  | 77000  | Bank of America, N.A.  | 1/12/23  | 33  |
| USD  | 72267  | CAD  | 98000  | Bank of America, N.A.  | 1/12/23  | (114)  |
| USD  | 39533  | CAD  | 53000  | State Street Bank and Trust Co  | 1/12/23  | 388  |
| USD  | 1476284  | EUR  | 1396000  | BNP Paribas S.A.  | 1/12/23  | (18934)  |
| USD  | 44111369  | EUR  | 41533000  | Bank of America, N.A.  | 1/12/23  | (373503)  |
| USD  | 205268  | EUR  | 193000  | Brown Brothers Harriman & Co  | 1/12/23  | (1449)  |
| USD  | 234457  | EUR  | 220000  | Citibank, N. A.  | 1/12/23  | (1179)  |
| USD  | 146051  | GBP  | 119000  | Bank of America, N.A.  | 1/12/23  | 2152  |
| USD  | 108364  | GBP  | 89000  | Bank of America, N.A.  | 1/12/23  | 743  |
| USD  | 27286320  | GBP  | 22155000  | Brown Brothers Harriman & Co  | 1/12/23  | 495859  |
| USD  | 208812  | GBP  | 171000  | Brown Brothers Harriman & Co  | 1/12/23  | 2034  |
| **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**  |  | **106433**  |
| Unrealized Appreciation  | Unrealized Appreciation  | Unrealized Appreciation  |  |  |  | 510188  |
| Unrealized Depreciation  | Unrealized Depreciation  | Unrealized Depreciation  |  |  |  | (403755)  |

---

For the period, the average contract value for forward foreign currency contracts was $80,107,820. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  |
| Underlying Reference  | Maturity <br> Date  | Clearinghouse / <br> Counterparty  | Fixed <br> Payment <br> Received/ <br> (Paid)  | Payment <br> Frequency  | Notional <br> Amount <sup>(1)</sup>  | Notional <br> Amount <sup>(1)</sup>  | Value ($)  | Upfront <br> Premium <br> Received/ <br> (Paid) ($)  | Unrealized <br> Appreciation/ <br> (Depreciation) ($)  |
| Buy Protection  |  |  |  |  |  |  |  |  |  |
| Intesa Sanpaolo SpA  | Dec 2027  | JPMorgan Chase Bank, N.A.  | (1%)  | Quarterly  | EUR  | 1000000  | 5126  | (6103)  | (977)  |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD  | -  | Australian dollar  |
| CAD  | -  | Canadian dollar  |
| EUR  | -  | European Monetary Unit  |
| GBP  | -  | British pound sterling  |
| 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 $4,732,621 or 4.7% of net assets.

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

(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 $1,049,086.

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

(g) 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%  | 4833648  | 37026492  | 38491182  | 98677  | -  | -  | 3368958  | 0.0%  |
| Total  | 4833648  | 37026492  | 38491182  | 98677  | -  | -  | 3368958  |  |

---

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  | 57179280  | -  | 57179280  | -  |
|  U.S. Government and Government Agency Obligations  | 2107415  | -  | 2107415  | -  |
|  Foreign Government and Government Agency Obligations  | 11099421  | -  | 11099421  | -  |
|  Preferred Securities  | 25198206  | -  | 25198206  | -  |
|  Money Market Funds  | 3368958  | 3368958  | -  | -  |
|  Purchased Swaptions  | 45975  | -  | 45975  | -  |
| **Total Investments in Securities:**  | 98999255  | 3368958  | 95630297  | -  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 210561  | 210561  | -  | -  |
| Forward Foreign Currency Contracts  | 510188  | -  | 510188  | -  |
| Swaps  | 5126  | -  | 5126  | -  |
| Total Assets  | 725875  | 210561  | 515314  | -  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (460286)  | (460286)  | -  | -  |
| Forward Foreign Currency Contracts  | (403755)  | -  | (403755)  | -  |
| Total Liabilities  | (864041)  | (460286)  | (403755)  | -  |
| **Total Derivative Instruments:**  | (138166)  | (249725)  | (111559)  | -  |

---

**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 ($)**  | **Liability ($)**  |
| **Credit Risk**  |  |  |
| Purchased Swaptions (a)  | 45975  | 0  |
| Swaps (d)  | 5126  | 0  |
| **Total Credit Risk**  | 51101  | 0  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts (b)  | 510188  | (403755)  |
| **Total Foreign Exchange Risk**  | 510188  | (403755)  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts (c)  | 210561  | (460286)  |
| **Total Interest Rate Risk**  | 210561  | (460286)  |
| **Total Value of Derivatives**  | 771850  | (864041)  |

---

(a)Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.

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

(c)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).

(d)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

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> **($)**  |
| Brown Brothers Harriman & Co  | 502259  | (1449)  | -  | -  | 500810  |
| Goldman Sachs Bank Usa  | 45975  | -  | -  | -  | 45975  |
| JPMorgan Chase Bank, N.A.  | 6745  | (8387)  | -  | -  | (1642)  |
| Bank of America, N.A.  | 3347  | (373617)  | -  | -  | (370270)  |
| State Street Bank and Trust Co  | 2481  | (189)  | -  | -  | 2292  |
| HSBC Bank  | 482  | -  | -  | -  | 482  |
| BNP Paribas S.A.  | -  | (18934)  | -  | -  | (18934)  |
| Citibank, N. A.  | -  | (1179)  | -  | -  | (1179)  |
| Exchange Traded Futures  | 210561  | (460286)  | -  | 249725  | -  |
| Total  | $771850  | $(864041)  |  |  |  |

---

*(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 $120,021,730)  | 95630297  |  |
|  Fidelity Central Funds (cost $3,368,958)  | 3368958  |  |
|  Total Investment in Securities (cost $123,390,688)  |  | $98999255  |
|  Foreign currency held at value (cost $655,106)  |  | 655244  |
|  Unrealized appreciation on forward foreign currency contracts  |  | 510188  |
|  Dividends receivable  |  | 635  |
|  Interest receivable  |  | 1070873  |
|  Distributions receivable from Fidelity Central Funds  |  | 16400  |
|  Bi-lateral OTC swaps, at value  |  | 5126  |
|  Receivable from investment adviser for expense reductions  |  | 387  |
| **Total assets**  |  | 101258108  |
| **Liabilities**  |  |  |
|  Unrealized depreciation on forward foreign currency contracts  | $403755  |  |
|  Payable for daily variation margin on futures contracts  | 63095  |  |
|  Other payables and accrued expenses  | 1848  |  |
| **Total Liabilities**  |  | 468698  |
| **Net Assets**  |  | $100789410  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $128382331  |
|  Total accumulated earnings (loss)  |  | (27592921)  |
|  **Net Assets**  |  | $100789410  |
|  **Net Asset Value** , offering price and redemption price per share ($100,789,410 ÷ 13,098,572 shares)  |  | $7.69  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Year ended** <br> **December 31, 2022**  |
|  **Investment Income**  |  |  |
| Dividends  |  | $1419107  |
| Interest  |  | 1935353  |
| Income from Fidelity Central Funds  |  | 98677  |
| Income before foreign taxes withheld  |  | 3453137  |
| Less foreign taxes withheld  |  | (36)  |
| **Total Income**  |  | 3453101  |
|  **Expenses**  |  |  |
| Custodian fees and expenses  | 4192  |  |
| Independent trustees' fees and expenses  | 351  |  |
| Total expenses before reductions  | 4543  |  |
| Expense reductions  | (1379)  |  |
| Total expenses after reductions  |  | 3164  |
| **Net Investment income (loss)**  |  | 3449937  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (2330278)  |  |
| Forward foreign currency contracts  | 8302258  |  |
| Foreign currency transactions  | (349280)  |  |
| Futures contracts  | (5879476)  |  |
| Swaps  | 77469  |  |
| Total net realized gain (loss)  |  | (179307)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (22773544)  |  |
| Forward foreign currency contracts  | (1311859)  |  |
| Assets and liabilities in foreign currencies  | 37583  |  |
| Futures contracts  | (438822)  |  |
| Swaps  | 20213  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (24466429)  |
| **Net gain (loss)**  |  | (24645736)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(21195799)  |

---

---

| | | |
|:---|:---|:---|
| **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)  | $3449937  | $3085510  |
| &nbsp;&nbsp; Net realized gain (loss)  | (179307) <br>| 4419537 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (24466429)  | (7603984) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (21195799) <br>| (98937) <br>|
| Distributions to shareholders  | (6502377) <br>| (3647839) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 1114765  | -  |
| Reinvestment of distributions  | 6502377 <br>| 3647839 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (1114764)  | -  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 6502378 <br>| 3647839 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (21195798) <br>| (98937) <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 121985208  | 122084145 <br>|
| &nbsp;&nbsp; End of period  | $100789410  | $121985208  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 139903  | -  |
| Issued in reinvestment of distributions  | 799064 <br>| 364389 <br>|
| &nbsp;&nbsp; Redeemed  | (139903)  | -  |
| &nbsp;&nbsp; Net increase (decrease)  | 799064  | 364389  |

---

**Financial Highlights** 

 **Fidelity® Series International Credit Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.92  | $10.23  | $10.08  | $9.50  | $10.00  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .276  | .255  | .307  | .271  | .269  |
| Net realized and unrealized gain (loss)  | (1.988)  | (.263)  | .516  | 1.027  | (.373)  |
| Total from investment operations  | (1.712)  | (.008)  | .823  | 1.298  | (.104)  |
| Distributions from net investment income  | (.455)  | (.197) <sup>C</sup>  | (.423)  | (.299) <sup>C</sup>  | (.257)  |
| Distributions from net realized gain  | (.063)  | (.105) <sup>C</sup>  | (.250)  | (.378) <sup>C</sup>  | (.139)  |
| Tax return of capital  | -  | -  | -  | (.041)  | -  |
| Total distributions  | (.518)  | (.302)  | (.673)  | (.718)  | (.396)  |
| Net asset value, end of period  | $7.69  | $9.92  | $10.23  | $10.08  | $9.50  |
| **Total Return** <sup>D</sup>  | (17.44)%  | (.07)%  | 8.33%  | 13.85%  | (1.04)%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |
| Expenses before reductions  | -% <sup>G</sup>  | .01%  | .01%  | .01%  | .01%  |
| Expenses net of fee waivers, if any  | -% <sup>G</sup>  | -% <sup>G</sup>  | .01%  | .01%  | .01%  |
| Expenses net of all reductions  | -% <sup>G</sup>  | -% <sup>G</sup>  | .01%  | .01%  | .01%  |
| Net investment income (loss)  | 3.20%  | 2.53%  | 3.00%  | 2.69%  | 2.74%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $100789  | $121985  | $122084  | $112608  | $98904  |
| Portfolio turnover rate <sup>H</sup>  | 21%  | 65%  | 52%  | 88%  | 94%  |

---

<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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

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

<sup>E</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>F</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>G</sup> *Amount represents less than .005%.*

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

**Notes to Financial Statements**

For the period ended December 31, 2022

**1. Organization.**

Fidelity Series International Credit Fund (the Fund) is a fund of Fidelity School Street Trust (the Trust) and 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. 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 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. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps 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 and swaps 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. Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 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. Dividend income is recorded on the ex-dividend date. 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. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in foreign taxes withheld. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.

**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.

Distributions 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 futures contracts, foreign currency transactions, swap agreements, market discount, capital loss carryforwards and losses deferred due to 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**  | $907885  |
| **Gross unrealized depreciation**  | <u>(21279656)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(20371771)</u>  |
| **Tax Cost**  | <u>$123296670</u>  |

---

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

---

| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$(6922164)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(20344797)</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  | $(2388472)  |
| Long-term  | <u>(4533692)</u>  |
| **Total capital loss carryforward**  | <u>$(6922164)</u>  |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **December 31, 2022**  | **December 31, 2021**  |
| **Ordinary Income**  | $5727508  | $2873281  |
| **Long-term Capital Gains**  | <u>774869</u>  | <u>774558</u>  |
| **Total**  | <u>$6502377</u>  | <u>$3647839</u>  |

---

The Fund intends to elect to defer to its next fiscal year $325,961 of ordinary losses recognized during the period November 1, 2022 to December 31, 2022.

**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, forward foreign currency contracts, options and swaps. 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 gain exposure to certain types of assets, 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):

---

| | |
|:---|:---|
| Credit Risk  | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. <br>|
| 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, options and bi-lateral swaps, 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. A summary of derivatives inclusive of potential netting arrangements is presented at the end of the Schedule of Investments.

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 Series International Credit Fund**  |  |  |
| **Credit Risk**  |  |  |
| Purchased Options  | $(221780)  | $963  |
| Swaps  | <u>77469</u>  | <u>20213</u>  |
| **Total Credit Risk**  | <u>(144311)</u>  | <u>21176</u>  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts  | <u>8302258</u>  | <u>(1311859)</u>  |
| **Total Foreign Exchange Risk**  | <u>8302258</u>  | <u>(1311859)</u>  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts  | <u>(5879476)</u>  | <u>(438822)</u>  |
| **Total Interest Rate Risk**  | <u>(5879476)</u>  | <u>(438822)</u>  |
| Totals  | <u>$2278471</u>  | <u>$(1729505)</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.

**Options.** Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to potential credit events.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period unless an average notional amount is presented.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

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

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Fidelity Series International Credit Fund**  | 22755375  | 20505386  |

---

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

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**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.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .003% of average net assets. This reimbursement will remain in place through April 30, 2026. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $957.

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 $422.

**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, 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 Fund.

**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 School Street Trust and Shareholders of Fidelity Series International Credit Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Series International Credit Fund (one of the funds constituting Fidelity School 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 brokers. 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. Each of the Trustees oversees 295 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>

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® Series International Credit Fund**  | -%- <sup>D</sup>  |  |  |  |
| **Actual**  |  | $1000  | $976.40  | $- <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 total of 0.64% 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 $1,830,976 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 Series International Credit 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 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 the 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 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. 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 Fidelity's resources devoted to non-U.S. offices and Fidelity's global investment organization. The Board also noted 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 the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies, and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies, and 529 plans. The Board noted there was a portfolio management change for the fund in October 2021.

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 that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the 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 the 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 the 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 the fund does not pay a management fee and 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 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 the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.

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

![](img88176_2.jpg) <br>

1.9882621.105 SUN-ANN-0323

**Fidelity® Global Credit Fund**

**Annual Report**

**December 31, 2022**

Includes Fidelity and Fidelity Advisor share classes

![](img88190_1.jpg)

![](img88190_2.jpg)

**Contents**

---

| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Management's Discussion of Fund Performance](#Sec_Mgt Discussion of FundPerformance)** |
| **[Investment Summary](#Sec_InvestmentSummary2423)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments2423)** |
| **[Financial Statements](#Sec_FinancialStatements2423)** |
| **[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 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one 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>

---

| | | | |
|:---|:---|:---|:---|
| **Periods ended December 30, 2022** <br>| **Past 1** <br> **year**  | **Past 5** <br> **years**  | **Past 10** <br> **years**  |
| Class A (incl.4.00% sales charge)  | &nbsp;&nbsp; -23.14%  | &nbsp;&nbsp; -1.79%  | &nbsp;&nbsp; -0.75%  |
| Class M (incl.4.00% sales charge)  | &nbsp;&nbsp; -23.15%  | &nbsp;&nbsp; -1.80%  | &nbsp;&nbsp; -0.76%  |
| Class C <br> (incl. contingent deferred sales charge) <br>| &nbsp;&nbsp; -21.22%  | &nbsp;&nbsp; -1.71%  | &nbsp;&nbsp; -0.94%  |
| Fidelity® Global Credit Fund  | &nbsp;&nbsp; -19.73%  | &nbsp;&nbsp; -0.75%  | &nbsp;&nbsp; -0.10%  |
| Class I  | &nbsp;&nbsp; -19.73%  | &nbsp;&nbsp; -0.75%  | &nbsp;&nbsp; -0.10%  |
| Class Z  | &nbsp;&nbsp; -19.67%  | &nbsp;&nbsp; -0.68%  | &nbsp;&nbsp; -0.07%  |

---

*Class C shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively.*

*The initial offering of Class Z shares took place on October 2, 2018. Returns prior to October 2, 2018, are those of Class I.*

*Prior to June 1, 2017, the fund was named Fidelity® Global Bond Fund, and the fund operated under certain different investment policies and compared its performance to a different index. The fund's historical performance may not represent its current investment policies.*

---

| |
|:---|
| **$10,000 Over 10 Years**  |
| Let's say hypothetically that $10,000 was invested in Fidelity® Global Credit Fund, a class of the fund, on December 31, 2012. <br>The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Global Aggregate Credit Index (Hedged USD) performed over the same period.  |
| ![](img88190_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 Michael Foggin, Andrew Lewis and Lisa Easterbrook:**

For the year, the fund's share classes (excluding sales charges, if applicable) returned roughly -20%, notably lagging, net of fees, the -14.22% result of the benchmark, the Bloomberg Global Aggregate Credit Index (Hedged USD). At year-end, about 88% of the portfolio was in investment-grade corporate bond holdings and only about 5% in investment-grade government bonds. The fund's positioning in corporate debt, including an overweight in yield-advantaged but lower-rated BBB and BB bonds, detracted from performance versus the benchmark. Our security selection within corporates was the largest relative detractor. Specifically, an overweight in European property securities hurt most, with our debt holdings in three German property companies - Aroundtown, Grand City Properties and Adler Group - among the fund's largest individual relative detractors. Yield-curve positioning also hurt, as our preference for the belly of the duration curve hampered our result. Conversely, the fund's beta, a measurement of the portfolio's volatility relative to the overall market, was the primary contributor to performance versus the benchmark, as the fund added risk as spreads widened then reduced risk during the fourth-quarter rally. Top fund holdings at the end of the year were Credit Suisse, Volkswagen, AIB Group and QBE Insurance Group.

*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)**  |
| ![](img88190_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.  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88190_7.jpg)  |
| *Foreign investments - 76.3%*  |
| *Futures and Swaps - 31.2%*  |
| *Currency Contracts - (56.8)%*  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Geographic Diversification (% of Fund's net assets)**  |
| ![](img88190_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 - 69.6%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 69.6%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 69.6%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 69.6%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Australia - 2.7%  |  |  |  |
|  AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (b)  | EUR  | 150000  | 130863  |
|  Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S)  | EUR  | 700000  | 560298  |
|  QBE Insurance Group Ltd.:  |  |  |  |
|  2.5% 9/13/38 (Reg. S) (b)  | GBP  | 700000  | 640399  |
|  6.75% 12/2/44 (Reg. S) (b)  |  | 975000  | 945750  |
|  TOTAL AUSTRALIA  |  |  | 2277310  |
| Bailiwick of Guernsey - 0.3%  |  |  |  |
|  Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S)  | EUR  | 300000  | 249653  |
| Bailiwick of Jersey - 1.6%  |  |  |  |
|  Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S)  | GBP  | 1400000  | 1357446  |
| Canada - 0.1%  |  |  |  |
|  Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (c)  |  | 78000  | 66102  |
| Cayman Islands - 0.6%  |  |  |  |
|  Avolon Holdings Funding Ltd.:  |  |  |  |
|  4.25% 4/15/26 (c)  |  | 545000  | 494070  |
|  4.375% 5/1/26 (c)  |  | 37000  | 33712  |
|  TOTAL CAYMAN ISLANDS  |  |  | 527782  |
| Czech Republic - 0.2%  |  |  |  |
|  CEZ A/S 2.375% 4/6/27 (Reg. S)  | EUR  | 150000  | 144837  |
| Denmark - 0.6%  |  |  |  |
|  Danske Bank A/S 2.25% 1/14/28 (Reg. S) (b)  | GBP  | 490000  | 505628  |
| France - 4.1%  |  |  |  |
|  BNP Paribas SA:  |  |  |  |
|  2.159% 9/15/29 (b)(c)  |  | 243000  | 198099  |
|  2.5% 3/31/32 (Reg. S) (b)  | EUR  | 1000000  | 946856  |
|  BPCE SA 1.5% 1/13/42 (Reg. S) (b)  | EUR  | 800000  | 717261  |
|  Credit Agricole Assurances SA 4.75% 9/27/48 (b)  | EUR  | 400000  | 412388  |
|  Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S)  | EUR  | 300000  | 250026  |
|  Lagardere S.C.A. 2.125% 10/16/26 (Reg. S)  | EUR  | 300000  | 301806  |
|  Societe Generale 4.75% 11/24/25 (c)  |  | 400000  | 383938  |
|  Valeo SA 1% 8/3/28 (Reg. S)  | EUR  | 400000  | 329057  |
|  TOTAL FRANCE  |  |  | 3539431  |
| Germany - 4.1%  |  |  |  |
|  ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S)  | EUR  | 550000  | 280927  |
|  Bayer AG 3.75% 7/1/74 (Reg. S) (b)  | EUR  | 550000  | 563966  |
|  Commerzbank AG 8.625% 2/28/33 (Reg. S) (b)  | GBP  | 100000  | 121237  |
|  Deutsche Bank AG:  |  |  |  |
|  3.25% 5/24/28 (Reg. S) (b)  | EUR  | 200000  | 197571  |
|  4% 6/24/32 (Reg. S) (b)  | EUR  | 900000  | 852368  |
|  EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (b)  | EUR  | 500000  | 395390  |
|  RWE AG 2.75% 5/24/30 (Reg. S)  | EUR  | 850000  | 828537  |
|  ZF Finance GmbH 2% 5/6/27 (Reg. S)  | EUR  | 300000  | 261789  |
|  TOTAL GERMANY  |  |  | 3501785  |
| Greece - 0.3%  |  |  |  |
|  Alpha Bank SA 4.25% 2/13/30 (Reg. S) (b)  | EUR  | 300000  | 260184  |
| Hong Kong - 0.3%  |  |  |  |
|  AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (b)  | EUR  | 300000  | 248635  |
| Ireland - 7.4%  |  |  |  |
|  AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.3% 1/30/32  |  | 150000  | 117264  |
|  AIB Group PLC:  |  |  |  |
|  1.875% 11/19/29 (Reg. S) (b)  | EUR  | 800000  | 781000  |
|  2.25% 4/4/28 (Reg. S) (b)  | EUR  | 1300000  | 1241558  |
|  2.875% 5/30/31 (Reg. S) (b)  | EUR  | 250000  | 240102  |
|  Bank of Ireland Group PLC:  |  |  |  |
|  1.375% 8/11/31 (Reg. S) (b)  | EUR  | 800000  | 720860  |
|  2.029% 9/30/27 (b)(c)  |  | 1000000  | 843808  |
|  2.375% 10/14/29 (Reg. S) (b)  | EUR  | 500000  | 496560  |
|  Cloverie PLC 4.5% 9/11/44 (Reg. S) (b)  |  | 1445000  | 1365525  |
|  Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (b)  |  | 650000  | 498875  |
|  TOTAL IRELAND  |  |  | 6305552  |
| Italy - 2.7%  |  |  |  |
|  Aeroporti di Roma SPA:  |  |  |  |
|  1.625% 2/2/29 (Reg. S)  | EUR  | 200000  | 174289  |
|  1.75% 7/30/31 (Reg. S)  | EUR  | 200000  | 159074  |
|  Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S)  | EUR  | 200000  | 162679  |
|  Enel SpA 3.375% (Reg. S) (b)(d)  | EUR  | 690000  | 665679  |
|  UniCredit SpA:  |  |  |  |
|  2.731% 1/15/32 (Reg. S) (b)  | EUR  | 700000  | 629456  |
|  5.861% 6/19/32 (b)(c)  |  | 600000  | 526725  |
|  TOTAL ITALY  |  |  | 2317902  |
| Luxembourg - 2.9%  |  |  |  |
|  ADLER Group SA:  |  |  |  |
|  1.875% 1/14/26 (Reg. S)  | EUR  | 2200000  | 941996  |
|  2.25% 4/27/27 (Reg. S)  | EUR  | 200000  | 73861  |
|  Blackstone Property Partners Europe LP:  |  |  |  |
|  1% 5/4/28 (Reg. S)  | EUR  | 700000  | 546176  |
|  1.75% 3/12/29 (Reg. S)  | EUR  | 400000  | 312173  |
|  2.625% 10/20/28 (Reg. S)  | GBP  | 250000  | 225939  |
|  GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S)  | EUR  | 550000  | 430080  |
|  TOTAL LUXEMBOURG  |  |  | 2530225  |
| Mexico - 2.2%  |  |  |  |
|  Petroleos Mexicanos 6.5% 3/13/27  |  | 2075000  | 1885656  |
| Netherlands - 3.5%  |  |  |  |
|  Demeter Investments BV:  |  |  |  |
|  5.625% 8/15/52 (Reg. S) (b)  |  | 649000  | 593835  |
|  5.75% 8/15/50 (Reg. S) (b)  |  | 1250000  | 1190625  |
|  Deutsche Annington Finance BV 5% 10/2/23 (c)  |  | 314000  | 309693  |
|  Technip Energies NV 1.125% 5/28/28  | EUR  | 600000  | 519740  |
|  VIA Outlets 1.75% 11/15/28 (Reg. S)  | EUR  | 200000  | 161281  |
|  ZF Europe Finance BV 2% 2/23/26 (Reg. S)  | EUR  | 200000  | 184096  |
|  TOTAL NETHERLANDS  |  |  | 2959270  |
| Portugal - 0.3%  |  |  |  |
|  Banco Espirito Santo SA 4% 12/31/49 (Reg. S) (e)(f)  | EUR  | 200000  | 25691  |
|  Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (b)  | EUR  | 300000  | 259198  |
|  TOTAL PORTUGAL  |  |  | 284889  |
| Spain - 0.9%  |  |  |  |
|  Cellnex Finance Co. SA 1% 9/15/27 (Reg. S)  | EUR  | 900000  | 801430  |
| Sweden - 1.1%  |  |  |  |
|  Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (b)  | EUR  | 251000  | 257591  |
|  Heimstaden AB 4.375% 3/6/27 (Reg. S)  | EUR  | 500000  | 351692  |
|  Samhallsbyggnadsbolaget I Norden AB:  |  |  |  |
|  1% 8/12/27 (Reg. S)  | EUR  | 250000  | 184653  |
|  1.75% 1/14/25 (Reg. S)  | EUR  | 200000  | 182409  |
|  TOTAL SWEDEN  |  |  | 976345  |
| Switzerland - 1.9%  |  |  |  |
|  Credit Suisse Group AG:  |  |  |  |
|  2.125% 11/15/29 (Reg. S) (b)  | GBP  | 500000  | 428144  |
|  4.194% 4/1/31 (b)(c)  |  | 250000  | 194074  |
|  4.282% 1/9/28 (c)  |  | 323000  | 267719  |
|  6.537% 8/12/33 (b)(c)  |  | 250000  | 219348  |
|  7.375% 9/7/33 (Reg. S) (b)  | GBP  | 100000  | 109748  |
|  7.75% 3/1/29 (Reg. S) (b)  | EUR  | 200000  | 212583  |
|  UBS Group AG 4.988% 8/5/33 (Reg. S) (b)  |  | 200000  | 185136  |
|  TOTAL SWITZERLAND  |  |  | 1616752  |
| United Kingdom - 13.3%  |  |  |  |
|  Anglian Water (Osprey) Financing PLC 2% 7/31/28 (Reg. S)  | GBP  | 175000  | 161751  |
|  Barclays PLC:  |  |  |  |
|  5.262% 1/29/34 (Reg. S) (b)  | EUR  | 110000  | 116260  |
|  8.407% 11/14/32 (Reg. S) (b)  | GBP  | 150000  | 187037  |
|  BAT International Finance PLC 2.25% 6/26/28 (Reg. S)  | GBP  | 230000  | 224085  |
|  HSBC Holdings PLC:  |  |  |  |
|  5.402% 8/11/33 (b)  |  | 200000  | 185205  |
|  8.201% 11/16/34 (Reg. S) (b)  | GBP  | 200000  | 250202  |
|  InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S)  | GBP  | 230000  | 240030  |
|  John Lewis PLC 6.125% 1/21/25  | GBP  | 986000  | 1141266  |
|  Lloyds Banking Group PLC:  |  |  |  |
|  1.985% 12/15/31 (b)  | GBP  | 400000  | 404751  |
|  4.976% 8/11/33 (b)  |  | 200000  | 183638  |
|  M&G PLC 6.5% 10/20/48 (Reg. S) (b)  |  | 300000  | 293250  |
|  Marks & Spencer PLC:  |  |  |  |
|  3.75% 5/19/26 (Reg. S)  | GBP  | 500000  | 525920  |
|  4.5% 7/10/27 (Reg. S)  | GBP  | 250000  | 258851  |
|  NatWest Group PLC:  |  |  |  |
|  2.105% 11/28/31 (Reg. S) (b)  | GBP  | 700000  | 700896  |
|  3.619% 3/29/29 (Reg. S) (b)  | GBP  | 600000  | 632817  |
|  3.622% 8/14/30 (Reg. S) (b)  | GBP  | 200000  | 222298  |
|  7.416% 6/6/33 (Reg. S) (b)  | GBP  | 150000  | 182625  |
|  NGG Finance PLC 2.125% 9/5/82 (Reg. S) (b)  | EUR  | 1050000  | 929862  |
|  Prudential PLC 2.95% 11/3/33 (Reg. S) (b)  |  | 1500000  | 1227114  |
|  Rentokil Initial PLC 5% 6/27/32 (Reg. S)  | GBP  | 150000  | 170560  |
|  Rolls-Royce PLC 3.375% 6/18/26  | GBP  | 590000  | 611510  |
|  Severn Trent Utilities Finance PLC 4.625% 11/30/34 (Reg. S)  | GBP  | 100000  | 113236  |
|  The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)  | GBP  | 450000  | 361928  |
|  Travis Perkins PLC 3.75% 2/17/26 (Reg. S)  | GBP  | 300000  | 320704  |
|  Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S)  | EUR  | 210000  | 182393  |
|  Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (b)  | GBP  | 400000  | 447340  |
|  Vodafone Group PLC:  |  |  |  |
|  4.875% 10/3/78 (Reg. S) (b)  | GBP  | 200000  | 226018  |
|  6.25% 10/3/78 (Reg. S) (b)  |  | 650000  | 619320  |
|  Whitbread PLC 2.375% 5/31/27 (Reg. S)  | GBP  | 250000  | 253886  |
|  TOTAL UNITED KINGDOM  |  |  | 11374753  |
| United States of America - 18.5%  |  |  |  |
|  Air Lease Corp. 3.125% 12/1/30  |  | 275000  | 227892  |
|  American Airlines, Inc. 3.75% 4/15/27  |  | 125569  | 111993  |
|  Ares Capital Corp.:  |  |  |  |
|  2.15% 7/15/26  |  | 300000  | 254002  |
|  3.25% 7/15/25  |  | 375000  | 345064  |
|  4.25% 3/1/25  |  | 650000  | 616077  |
|  Blackstone Private Credit Fund 4.875% 4/14/26  | GBP  | 800000  | 866326  |
|  Broadcom, Inc. 2.45% 2/15/31 (c)  |  | 274000  | 215808  |
|  Centene Corp.:  |  |  |  |
|  4.25% 12/15/27  |  | 570000  | 534582  |
|  4.625% 12/15/29  |  | 405000  | 370104  |
|  Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.2% 3/15/28  |  | 500000  | 459557  |
|  Cleco Corporate Holdings LLC 3.375% 9/15/29  |  | 1000000  | 850604  |
|  DCP Midstream Operating LP 5.375% 7/15/25  |  | 900000  | 891630  |
|  Discover Financial Services 6.7% 11/29/32  |  | 21000  | 21346  |
|  Duke Energy Corp. 3.85% 6/15/34  | EUR  | 550000  | 543962  |
|  Elanco Animal Health, Inc. 6.4% 8/28/28 (b)  |  | 350000  | 333029  |
|  Hudson Pacific Properties LP 3.95% 11/1/27  |  | 700000  | 595608  |
|  Level 3 Financing, Inc. 3.4% 3/1/27 (c)  |  | 500000  | 422493  |
|  MPT Operating Partnership LP/MPT Finance Corp.:  |  |  |  |
|  2.5% 3/24/26  | GBP  | 250000  | 239810  |
|  3.5% 3/15/31  |  | 385000  | 263911  |
|  NextEra Energy Partners LP 4.25% 9/15/24 (c)  |  | 50000  | 46485  |
|  Omega Healthcare Investors, Inc. 4.75% 1/15/28  |  | 900000  | 829289  |
|  Puget Energy, Inc. 4.1% 6/15/30  |  | 750000  | 669721  |
|  Sabra Health Care LP 3.2% 12/1/31  |  | 135000  | 100449  |
|  SITE Centers Corp. 4.7% 6/1/27  |  | 550000  | 515985  |
|  Southern Co. 1.875% 9/15/81 (b)  | EUR  | 1100000  | 915785  |
|  The AES Corp. 2.45% 1/15/31  |  | 715000  | 568798  |
|  The Boeing Co. 5.15% 5/1/30  |  | 450000  | 439038  |
|  Time Warner Cable LLC 5.875% 11/15/40  |  | 400000  | 348491  |
|  Toll Brothers Finance Corp. 4.875% 3/15/27  |  | 650000  | 620642  |
|  Universal Health Services, Inc. 2.65% 10/15/30  |  | 1000000  | 795873  |
|  Vontier Corp. 2.4% 4/1/28  |  | 1000000  | 799036  |
|  Vornado Realty LP 3.4% 6/1/31  |  | 114000  | 84762  |
|  Western Gas Partners LP 4.3% 2/1/30  |  | 376000  | 328218  |
|  Zions Bancorp NA 3.25% 10/29/29  |  | 750000  | 612900  |
|  TOTAL UNITED STATES OF AMERICA  |  |  | 15839270  |
| <br> **TOTAL NONCONVERTIBLE BONDS** <br> (Cost $76,069,299)  |  |  | <br> **59570837**  |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Preferred Securities - 25.2%**  | &nbsp;&nbsp; **Preferred Securities - 25.2%**  | &nbsp;&nbsp; **Preferred Securities - 25.2%**  | &nbsp;&nbsp; **Preferred Securities - 25.2%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Australia - 1.2%  |  |  |  |
|  QBE Insurance Group Ltd.:  |  |  |  |
|  5.25% (Reg. S) (b)(d)  |  | 600000  | 538030  |
|  5.875% (b)(c)(d)  |  | 505000  | 480150  |
|  TOTAL AUSTRALIA  |  |  | 1018180  |
| Canada - 0.8%  |  |  |  |
|  Bank of Nova Scotia:  |  |  |  |
|  3 month U.S. LIBOR + 2.640% 6.5671% (b)(d)(g)  |  | 450000  | 424933  |
|  4.9% (b)(d)  |  | 250000  | 240606  |
|  TOTAL CANADA  |  |  | 665539  |
| Finland - 0.3%  |  |  |  |
|  Citycon Oyj 4.496% (Reg. S) (b)(d)  | EUR  | 350000  | 233713  |
| France - 4.4%  |  |  |  |
|  BNP Paribas SA 6.625% (Reg. S) (b)(d)  |  | 450000  | 442906  |
|  Electricite de France SA:  |  |  |  |
|  5.25% (Reg. S) (b)(d)  |  | 1950000  | 1993391  |
|  5.625% (Reg. S) (b)(d)  |  | 320000  | 311173  |
|  Societe Generale 7.875% (Reg. S) (b)(d)  |  | 200000  | 198569  |
|  Veolia Environnement SA 2% (Reg. S) (b)(d)  | EUR  | 900000  | 803272  |
|  TOTAL FRANCE  |  |  | 3749311  |
| Germany - 1.3%  |  |  |  |
|  Bayer AG 2.375% 11/12/79 (Reg. S) (b)  | EUR  | 1200000  | 1169247  |
| Ireland - 0.5%  |  |  |  |
|  AIB Group PLC 6.25% (Reg. S) (b)(d)  | EUR  | 450000  | 450630  |
| Italy - 0.4%  |  |  |  |
|  Enel SpA 2.5% (Reg. S) (b)(d)  | EUR  | 300000  | 313608  |
| Luxembourg - 2.2%  |  |  |  |
|  Aroundtown SA 3.375% (Reg. S) (b)(d)  | EUR  | 1600000  | 793781  |
|  CPI Property Group SA 3.75% (Reg. S) (b)(d)  | EUR  | 850000  | 479265  |
|  Grand City Properties SA 1.5% (Reg. S) (b)(d)  | EUR  | 1400000  | 632071  |
|  TOTAL LUXEMBOURG  |  |  | 1905117  |
| Netherlands - 4.9%  |  |  |  |
|  AerCap Holdings NV 5.875% 10/10/79 (b)  |  | 650000  | 600500  |
|  AT Securities BV 5.25% (Reg. S) (b)(d)  |  | 500000  | 241835  |
|  Stichting AK Rabobank Certificaten 6.5% (Reg. S) (b)(d)(g)  | EUR  | 341400  | 350524  |
|  Volkswagen International Finance NV:  |  |  |  |
|  3.375% (Reg. S) (b)(d)  | EUR  | 200000  | 206838  |
|  3.748% (Reg. S) (b)(d)  | EUR  | 300000  | 272535  |
|  3.875% (Reg. S) (b)(d)  | EUR  | 800000  | 726646  |
|  4.625% (Reg. S) (b)(d)  | EUR  | 1750000  | 1842115  |
|  TOTAL NETHERLANDS  |  |  | 4240993  |
| Spain - 0.5%  |  |  |  |
|  Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (b)(d)  | EUR  | 400000  | 411251  |
| Sweden - 1.2%  |  |  |  |
|  Heimstaden Bostad AB:  |  |  |  |
|  3.248% (Reg. S) (b)(d)  | EUR  | 900000  | 722331  |
|  3.625% (Reg. S) (b)(d)  | EUR  | 150000  | 89124  |
|  Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (b)(d)  | EUR  | 450000  | 187953  |
|  TOTAL SWEDEN  |  |  | 999408  |
| Switzerland - 2.3%  |  |  |  |
|  Credit Suisse Group AG 7.5% (Reg. S) (b)(d)  |  | 2000000  | 1748242  |
|  UBS Group AG 7% (Reg. S) (b)(d)  |  | 200000  | 209620  |
|  TOTAL SWITZERLAND  |  |  | 1957862  |
| United Kingdom - 5.2%  |  |  |  |
|  Barclays PLC:  |  |  |  |
|  5.875% (Reg. S) (b)(d)  | GBP  | 250000  | 277093  |
|  7.125% (b)(d)  | GBP  | 200000  | 228991  |
|  8.875% (b)(d)  | GBP  | 200000  | 238882  |
|  British American Tobacco PLC 3% (Reg. S) (b)(d)  | EUR  | 2100000  | 1741526  |
|  HSBC Holdings PLC 6.375% (b)(d)  |  | 700000  | 689819  |
|  National Express Group PLC 4.25% (Reg. S) (b)(d)  | GBP  | 200000  | 207301  |
|  SSE PLC:  |  |  |  |
|  3.74% (Reg. S) (b)(d)  | GBP  | 400000  | 451831  |
|  4% (Reg. S) (b)(d)  | EUR  | 600000  | 602298  |
|  TOTAL UNITED KINGDOM  |  |  | 4437741  |
| <br> **TOTAL PREFERRED SECURITIES** <br> (Cost $29,177,738)  |  |  | <br> **21552600**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 2.1%**  | &nbsp;&nbsp; **Money Market Funds - 2.1%**  | &nbsp;&nbsp; **Money Market Funds - 2.1%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.37% (h) <br>(Cost $1,823,614) <br>| 1823249  | **1823614**  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Purchased Swaptions - 0.0%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.0%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.0%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.0%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.0%**  |
|  | Expiration <br> Date  | Notional <br> Amount (a)(i)  | Notional <br> Amount (a)(i)  | Value ($)  |
| Put Options - 0.0%  |  |  |  |  |
|  Option with an exercise rate of 4.875% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly.  | 1/18/23  | EUR  | 3350000  | 27123  |
|  Option with an exercise rate of 5.25% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly.  | 1/18/23  | EUR  | 3400000  | 12743  |
| **TOTAL PURCHASED SWAPTIONS** <br> (Cost $101,421)  |  |  |  | <br> **39866**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 96.9%** <br> (Cost $107,172,072) <br>| <br>**82986917**  |
| **NET OTHER ASSETS (LIABILITIES) - 3.1%**  | **2627128**  |
| **NET ASSETS - 100.0%**  | **85614045**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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  |  |  |  |  |  |
| ASX 10 Year Treasury Bond Index Contracts (Australia)  | 4  | Mar 2023  | 315047  | (18968)  | (18968)  |
| Eurex Euro-Bund Contracts (Germany)  | 19  | Mar 2023  | 2703603  | (164315)  | (164315)  |
| Eurex Euro-Buxl 30 Year Bond Contracts (Germany)  | 7  | Mar 2023  | 1013374  | (181550)  | (181550)  |
| TME 10 Year Canadian Note Contracts (Canada)  | 18  | Mar 2023  | 1629173  | (31077)  | (31077)  |
| **TOTAL BOND INDEX CONTRACTS**  |  |  |  |  | (395910)  |
| Treasury Contracts  |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States)  | 45  | Mar 2023  | 9228516  | 10810  | 10810  |
| CBOT 5-Year U.S. Treasury Note Contracts (United States)  | 41  | Mar 2023  | 4425117  | 559  | 559  |
| CBOT Long Term U.S. Treasury Bond Contracts (United States)  | 88  | Mar 2023  | 11030250  | (26184)  | (26184)  |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)  | 44  | Mar 2023  | 5909750  | 11934  | 11934  |
| **TOTAL TREASURY CONTRACTS**  |  |  |  |  | (2881)  |
| TOTAL PURCHASED  |  |  |  |  | (398791)  |
| Sold  |  |  |  |  |  |
| Bond Index Contracts  |  |  |  |  |  |
| Eurex Euro-Bobl Contracts (Germany)  | 51  | Mar 2023  | 6319134  | 198819  | 198819  |
| ICE Long Gilt Contracts (United Kingdom)  | 19  | Mar 2023  | 2294708  | 139828  | 139828  |
| TOTAL SOLD  |  |  |  |  | 338647  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **(60144)**  |
| The notional amount of futures purchased as a percentage of Net Assets is 42.3%  | The notional amount of futures purchased as a percentage of Net Assets is 42.3%  | The notional amount of futures purchased as a percentage of Net Assets is 42.3%  | The notional amount of futures purchased as a percentage of Net Assets is 42.3%  | The notional amount of futures purchased as a percentage of Net Assets is 42.3%  | The notional amount of futures purchased as a percentage of Net Assets is 42.3%  |
| The notional amount of futures sold as a percentage of Net Assets is 10.1%  | The notional amount of futures sold as a percentage of Net Assets is 10.1%  | The notional amount of futures sold as a percentage of Net Assets is 10.1%  | The notional amount of futures sold as a percentage of Net Assets is 10.1%  | The notional amount of futures sold as a percentage of Net Assets is 10.1%  | The notional amount of futures sold as a percentage of Net Assets is 10.1%  |

---

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $51,626,649.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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  | 408000  | USD  | 435654  | Brown Brothers Harriman & Co  | 1/12/23  | 1344  |
| EUR  | 49000  | USD  | 51772  | Brown Brothers Harriman & Co  | 1/12/23  | 710  |
| EUR  | 79000  | USD  | 84316  | Brown Brothers Harriman & Co  | 1/12/23  | 299  |
| EUR  | 72000  | USD  | 76691  | Brown Brothers Harriman & Co  | 1/12/23  | 426  |
| EUR  | 85000  | USD  | 90581  | HSBC Bank  | 1/12/23  | 460  |
| EUR  | 43000  | USD  | 45676  | JPMorgan Chase Bank, N.A.  | 1/12/23  | 380  |
| EUR  | 126000  | USD  | 134133  | JPMorgan Chase Bank, N.A.  | 1/12/23  | 822  |
| EUR  | 100000  | USD  | 105365  | State Street Bank and Trust Co  | 1/12/23  | 1742  |
| GBP  | 41000  | USD  | 49324  | Brown Brothers Harriman & Co  | 1/12/23  | 254  |
| GBP  | 146000  | USD  | 181292  | JPMorgan Chase Bank, N.A.  | 1/12/23  | (4744)  |
| USD  | 26579  | AUD  | 39000  | Bank of America, N.A.  | 1/12/23  | 16  |
| USD  | 26547  | CAD  | 36000  | Bank of America, N.A.  | 1/12/23  | (42)  |
| USD  | 35057  | CAD  | 47000  | State Street Bank and Trust Co  | 1/12/23  | 344  |
| USD  | 34673726  | EUR  | 32647000  | Bank of America, N.A.  | 1/12/23  | (293592)  |
| USD  | 96784  | EUR  | 91000  | Brown Brothers Harriman & Co  | 1/12/23  | (683)  |
| USD  | 138543  | EUR  | 130000  | Citibank, N. A.  | 1/12/23  | (697)  |
| USD  | 48703  | GBP  | 40000  | Bank of America, N.A.  | 1/12/23  | 334  |
| USD  | 14578568  | GBP  | 11837000  | Brown Brothers Harriman & Co  | 1/12/23  | 264928  |
| **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**  |  | **(27699)**  |
| Unrealized Appreciation  | Unrealized Appreciation  | Unrealized Appreciation  |  |  |  | 272059  |
| Unrealized Depreciation  | Unrealized Depreciation  | Unrealized Depreciation  |  |  |  | (299758)  |

---

For the period, the average contract value for forward foreign currency contracts was $66,122,849. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  |
| Underlying Reference  | Maturity <br> Date  | Clearinghouse / <br> Counterparty  | Fixed <br> Payment <br> Received/ <br> (Paid)  | Payment <br> Frequency  | Notional <br> Amount <sup>(1)</sup>  | Notional <br> Amount <sup>(1)</sup>  | Value ($)  | Upfront <br> Premium <br> Received/ <br> (Paid) ($)  | Unrealized <br> Appreciation/ <br> (Depreciation) ($)  |
| Buy Protection  |  |  |  |  |  |  |  |  |  |
| Intesa Sanpaolo SpA  | Dec 2027  | JPMorgan Chase Bank, N.A.  | (1%)  | Quarterly  | EUR  | 900000  | 4613  | (5492)  | (879)  |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD  | -  | Australian dollar  |
| CAD  | -  | Canadian dollar  |
| EUR  | -  | European Monetary Unit  |
| GBP  | -  | British pound sterling  |
| 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 $4,702,224 or 5.5% of net assets.

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

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

(f) Level 3 security

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

(h) 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.

(i) For the period, the average monthly notional amount for purchased swaptions was $9,233,835.

**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%  | 6830253  | 44561428  | 49568067  | 28190  | -  | -  | 1823614  | 0.0%  |
|  Fidelity Securities Lending Cash Central Fund 4.37%  | -  | 1518828  | 1518828  | 1719  | -  | -  | -  | 0.0%  |
| Total  | 6830253  | 46080256  | 51086895  | 29909  | -  | -  | 1823614  |  |

---

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>**  |  |  |  |  |
|  Corporate Bonds  | 59570837  | -  | 59545146  | 25691  |
|  Preferred Securities  | 21552600  | -  | 21552600  | -  |
|  Money Market Funds  | 1823614  | 1823614  | -  | -  |
|  Purchased Swaptions  | 39866  | -  | 39866  | -  |
| **Total Investments in Securities:**  | 82986917  | 1823614  | 81137612  | 25691  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 361950  | 361950  | -  | -  |
| Swaps  | 4613  | -  | 4613  | -  |
| Forward Foreign Currency Contracts  | 272059  | -  | 272059  | -  |
| Total Assets  | 638622  | 361950  | 276672  | -  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (422094)  | (422094)  | -  | -  |
| Forward Foreign Currency Contracts  | (299758)  | -  | (299758)  | -  |
| Total Liabilities  | (721852)  | (422094)  | (299758)  | -  |
| **Total Derivative Instruments:**  | (83230)  | (60144)  | (23086)  | -  |

---

**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 ($)**  | **Liability ($)**  |
| **Credit Risk**  |  |  |
| Purchased Swaptions (a)  | 39866  | 0  |
| Swaps (b)  | 4613  | 0  |
| **Total Credit Risk**  | 44479  | 0  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts (c)  | 272059  | (299758)  |
| **Total Foreign Exchange Risk**  | 272059  | (299758)  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts (d)  | 361950  | (422094)  |
| **Total Interest Rate Risk**  | 361950  | (422094)  |
| **Total Value of Derivatives**  | 678488  | (721852)  |

---

(a)Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.

(b)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

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

(d)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> **($)**  |
| Brown Brothers Harriman & Co  | 267961  | (683)  | -  | -  | 267278  |
| Goldman Sachs Bank U.S.A.  | 39866  | -  | -  | -  | 39866  |
| JPMorgan Chase Bank, N.A.  | 5815  | (4744)  | -  | -  | 1071  |
| State Street Bank and Trust Co  | 2086  | -  | -  | -  | 2086  |
| HSBC Bank  | 460  | -  | -  | -  | 460  |
| Bank of America, N.A.  | 350  | (293634)  | -  | -  | (293284)  |
| Citibank, N. A.  | -  | (697)  | -  | -  | (697)  |
| Exchange Traded Futures  | 361950  | (422094)  | -  | 60144  | -  |
| Total  | $678488  | $(721852)  |  |  |  |

---

*(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 $105,348,458)  | 81163303  |  |
|  Fidelity Central Funds (cost $1,823,614)  | 1823614  |  |
|  Total Investment in Securities (cost $107,172,072)  |  | $82986917  |
|  Segregated cash with brokers for derivative instruments  |  | 1063090  |
|  Foreign currency held at value (cost $765,048)  |  | 767414  |
|  Unrealized appreciation on forward foreign currency contracts  |  | 272059  |
|  Receivable for fund shares sold  |  | 72551  |
|  Interest receivable  |  | 952879  |
|  Distributions receivable from Fidelity Central Funds  |  | 9876  |
|  Bi-lateral OTC swaps, at value  |  | 4613  |
|  Prepaid expenses  |  | 103  |
|  Receivable from investment adviser for expense reductions  |  | 22307  |
| **Total assets**  |  | 86151809  |
| **Liabilities**  |  |  |
|  Unrealized depreciation on forward foreign currency contracts  | $299758  |  |
|  Payable for fund shares redeemed  | 15430  |  |
|  Accrued management fee  | 40065  |  |
|  Distribution and service plan fees payable  | 2470  |  |
|  Payable for daily variation margin on futures contracts  | 70081  |  |
|  Other affiliated payables  | 13070  |  |
|  Audit fee payable  | 94658  |  |
|  Other payables and accrued expenses  | 2232  |  |
| **Total Liabilities**  |  | 537764  |
| **Net Assets**  |  | $85614045  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $116419526  |
|  Total accumulated earnings (loss)  |  | (30805481)  |
|  **Net Assets**  |  | $85614045  |
|  **Net Asset Value and Maximum Offering Price**  |  |  |
| **Class A :**  |  |  |
|  **Net Asset Value** and redemption price per share ($4,778,139 ÷ 651,053 shares) <sup>(a)</sup>  |  | $7.34  |
|  Maximum offering price per share (100/96.00 of $7.34)  |  | $7.65  |
| **Class M :**  |  |  |
|  **Net Asset Value** and redemption price per share ($1,366,350 ÷ 186,138 shares) <sup>(a)</sup>  |  | $7.34  |
|  Maximum offering price per share (100/96.00 of $7.34)  |  | $7.65  |
| **Class C :**  |  |  |
|  **Net Asset Value** and offering price per share ($1,298,066 ÷ 176,689 shares) <sup>(a)</sup>  |  | $7.35  |
| **Global Credit :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($40,426,147 ÷ 5,504,956 shares)  |  | $7.34  |
| **Class I :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($4,699,543 ÷ 640,191 shares)  |  | $7.34  |
| **Class Z :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($33,045,800 ÷ 4,484,311 shares)  |  | $7.37  |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Year ended** <br> **December 31, 2022**  |
|  **Investment Income**  |  |  |
| Dividends  |  | $1227047  |
| Interest  |  | 2278535  |
| Income from Fidelity Central Funds (including $1,719 from security lending)  |  | 29909  |
| Income before foreign taxes withheld  |  | 3535491  |
| Less foreign taxes withheld  |  | (71)  |
| **Total Income**  |  | 3535420  |
|  **Expenses**  |  |  |
| Management fee  | $581300  |  |
| Transfer agent fees  | 129227  |  |
| Distribution and service plan fees  | 33849  |  |
| Accounting fees  | 53850  |  |
| Custodian fees and expenses  | 3600  |  |
| Independent trustees' fees and expenses  | 352  |  |
| Registration fees  | 87147  |  |
| Audit  | 106234  |  |
| Legal  | 1360  |  |
| Miscellaneous  | 528  |  |
| Total expenses before reductions  | 997447  |  |
| Expense reductions  | (258992)  |  |
| Total expenses after reductions  |  | 738455  |
| **Net Investment income (loss)**  |  | 2796965  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (4628259)  |  |
| Forward foreign currency contracts  | 7918580  |  |
| Foreign currency transactions  | (203818)  |  |
| Futures contracts  | (7197535)  |  |
| Swaps  | 90213  |  |
| Total net realized gain (loss)  |  | (4020819)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (22297469)  |  |
| Forward foreign currency contracts  | (1267639)  |  |
| Assets and liabilities in foreign currencies  | 33591  |  |
| Futures contracts  | (335204)  |  |
| Swaps  | 12153  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (23854568)  |
| **Net gain (loss)**  |  | (27875387)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(25078422)  |

---

---

| | | |
|:---|:---|:---|
| **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)  | $2796965  | $2379097  |
| &nbsp;&nbsp; Net realized gain (loss)  | (4020819) <br>| 3430735 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (23854568)  | (6669910) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (25078422) <br>| (860078) <br>|
| Distributions to shareholders  | (5718208) <br>| (3187421) <br>|
| Share transactions - net increase (decrease)  | (16078546) <br>| 17880387 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (46875176) <br>| 13832888 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 132489221  | 118656333 <br>|
| &nbsp;&nbsp; End of period  | $85614045  | $132489221  |

---

**Financial Highlights** 

 **Fidelity Advisor® Global Credit Fund Class A** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.72  | $10.02  | $9.61  | $8.70  | $9.19  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .197  | .159  | .210  | .214  | .214  |
| Net realized and unrealized gain (loss)  | (2.118)  | (.236)  | .547  | 1.031  | (.493)  |
| Total from investment operations  | (1.921)  | (.077)  | .757  | 1.245  | (.279)  |
| Distributions from net investment income  | (.408)  | (.133) <sup>C</sup>  | (.255) <sup>C</sup>  | (.224) <sup>C</sup>  | (.178)  |
| Distributions from net realized gain  | (.051)  | (.090) <sup>C</sup>  | (.092) <sup>C</sup>  | (.102) <sup>C</sup>  | -  |
| Tax return of capital  | -  | -  | -  | (.009)  | (.033)  |
| Total distributions  | (.459)  | (.223)  | (.347)  | (.335)  | (.211)  |
| Net asset value, end of period  | $7.34  | $9.72  | $10.02  | $9.61  | $8.70  |
| **Total Return** <sup>D,E</sup>  | (19.93)%  | (.76)%  | 8.00%  | 14.37%  | (3.05)%  |
| **Ratios to Average Net Assets** <sup>B,F,G</sup>  |  |  |  |  |  |
| Expenses before reductions  | 1.24%  | 1.20%  | 1.27%  | 1.49%  | 1.50%  |
| Expenses net of fee waivers, if any  | .95%  | .99%  | 1.00%  | 1.00%  | 1.00%  |
| Expenses net of all reductions  | .95%  | .99%  | 1.00%  | 1.00%  | 1.00%  |
| Net investment income (loss)  | 2.38%  | 1.61%  | 2.14%  | 2.28%  | 2.40%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $4778  | $5643  | $4643  | $4739  | $3830  |
| Portfolio turnover rate <sup>H</sup>  | 19%  | 57%  | 59%  | 85%  | 83%  |

---

<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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

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

<sup>E</sup> *Total returns do not include the effect of the sales charges.*

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

 **Fidelity Advisor® Global Credit Fund Class M** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.72  | $10.02  | $9.60  | $8.70  | $9.19  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .199  | .159  | .210  | .214  | .214  |
| Net realized and unrealized gain (loss)  | (2.121)  | (.237)  | .556  | 1.021  | (.494)  |
| Total from investment operations  | (1.922)  | (.078)  | .766  | 1.235  | (.280)  |
| Distributions from net investment income  | (.407)  | (.132) <sup>C</sup>  | (.254) <sup>C</sup>  | (.224) <sup>C</sup>  | (.177)  |
| Distributions from net realized gain  | (.051)  | (.090) <sup>C</sup>  | (.092) <sup>C</sup>  | (.102) <sup>C</sup>  | -  |
| Tax return of capital  | -  | -  | -  | (.009)  | (.033)  |
| Total distributions  | (.458)  | (.222)  | (.346)  | (.335)  | (.210)  |
| Net asset value, end of period  | $7.34  | $9.72  | $10.02  | $9.60  | $8.70  |
| **Total Return** <sup>D,E</sup>  | (19.94)%  | (.77)%  | 8.10%  | 14.25%  | (3.06)%  |
| **Ratios to Average Net Assets** <sup>B,F,G</sup>  |  |  |  |  |  |
| Expenses before reductions  | 1.29%  | 1.27%  | 1.35%  | 1.57%  | 1.58%  |
| Expenses net of fee waivers, if any  | .95%  | .99%  | 1.00%  | 1.00%  | 1.00%  |
| Expenses net of all reductions  | .95%  | .99%  | 1.00%  | 1.00%  | 1.00%  |
| Net investment income (loss)  | 2.38%  | 1.61%  | 2.14%  | 2.28%  | 2.40%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $1366  | $1983  | $2062  | $1939  | $1757  |
| Portfolio turnover rate <sup>H</sup>  | 19%  | 57%  | 59%  | 85%  | 83%  |

---

<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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

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

<sup>E</sup> *Total returns do not include the effect of the sales charges.*

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

 **Fidelity Advisor® Global Credit Fund Class C** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.72  | $10.03  | $9.61  | $8.70  | $9.17  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .137  | .085  | .136  | .143  | .147  |
| Net realized and unrealized gain (loss)  | (2.112)  | (.246)  | .561  | 1.027  | (.489)  |
| Total from investment operations  | (1.975)  | (.161)  | .697  | 1.170  | (.342)  |
| Distributions from net investment income  | (.344)  | (.075) <sup>C</sup>  | (.185) <sup>C</sup>  | (.150) <sup>C</sup>  | (.108)  |
| Distributions from net realized gain  | (.051)  | (.074) <sup>C</sup>  | (.092) <sup>C</sup>  | (.102) <sup>C</sup>  | -  |
| Tax return of capital  | -  | -  | -  | (.007)  | (.020)  |
| Total distributions  | (.395)  | (.149)  | (.277)  | (.260) <sup>D</sup>  | (.128)  |
| Net asset value, end of period  | $7.35  | $9.72  | $10.03  | $9.61  | $8.70  |
| **Total Return** <sup>E,F</sup>  | (20.47)%  | (1.60)%  | 7.33%  | 13.47%  | (3.74)%  |
| **Ratios to Average Net Assets** <sup>B,G,H</sup>  |  |  |  |  |  |
| Expenses before reductions  | 2.04%  | 2.02%  | 2.10%  | 2.33%  | 2.31%  |
| Expenses net of fee waivers, if any  | 1.70%  | 1.74%  | 1.75%  | 1.75%  | 1.75%  |
| Expenses net of all reductions  | 1.70%  | 1.74%  | 1.75%  | 1.75%  | 1.75%  |
| Net investment income (loss)  | 1.64%  | .86%  | 1.39%  | 1.53%  | 1.65%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $1298  | $2126  | $2398  | $2090  | $2290  |
| Portfolio turnover rate <sup>I</sup>  | 19%  | 57%  | 59%  | 85%  | 83%  |

---

<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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

<sup>D</sup> *Total distributions per share do not sum due to rounding.*

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

<sup>F</sup> *Total returns do not include the effect of the contingent deferred sales charge.*

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

 **Fidelity® Global Credit Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.72  | $10.03  | $9.61  | $8.70  | $9.19  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .221  | .183  | .234  | .238  | .237  |
| Net realized and unrealized gain (loss)  | (2.122)  | (.247)  | .556  | 1.030  | (.495)  |
| Total from investment operations  | (1.901)  | (.064)  | .790  | 1.268  | (.258)  |
| Distributions from net investment income  | (.428)  | (.156) <sup>C</sup>  | (.278) <sup>C</sup>  | (.246) <sup>C</sup>  | (.196)  |
| Distributions from net realized gain  | (.051)  | (.090) <sup>C</sup>  | (.092) <sup>C</sup>  | (.102) <sup>C</sup>  | -  |
| Tax return of capital  | -  | -  | -  | (.010)  | (.036)  |
| Total distributions  | (.479)  | (.246)  | (.370)  | (.358)  | (.232)  |
| Net asset value, end of period  | $7.34  | $9.72  | $10.03  | $9.61  | $8.70  |
| **Total Return** <sup>D</sup>  | (19.73)%  | (.63)%  | 8.36%  | 14.64%  | (2.82)%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |
| Expenses before reductions  | .94%  | .90%  | .95%  | 1.10%  | 1.18%  |
| Expenses net of fee waivers, if any  | .70%  | .74%  | .75%  | .75%  | .75%  |
| Expenses net of all reductions  | .70%  | .74%  | .75%  | .75%  | .75%  |
| Net investment income (loss)  | 2.64%  | 1.86%  | 2.39%  | 2.53%  | 2.65%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $40426  | $65990  | $96584  | $61759  | $30263  |
| Portfolio turnover rate <sup>G</sup>  | 19%  | 57%  | 59%  | 85%  | 83%  |

---

<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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

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

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

 **Fidelity Advisor® Global Credit Fund Class I** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.72  | $10.02  | $9.61  | $8.70  | $9.19  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .220  | .184  | .234  | .239  | .237  |
| Net realized and unrealized gain (loss)  | (2.121)  | (.238)  | .546  | 1.029  | (.495)  |
| Total from investment operations  | (1.901)  | (.054)  | .780  | 1.268  | (.258)  |
| Distributions from net investment income  | (.428)  | (.156) <sup>C</sup>  | (.278) <sup>C</sup>  | (.246) <sup>C</sup>  | (.196)  |
| Distributions from net realized gain  | (.051)  | (.090) <sup>C</sup>  | (.092) <sup>C</sup>  | (.102) <sup>C</sup>  | -  |
| Tax return of capital  | -  | -  | -  | (.010)  | (.036)  |
| Total distributions  | (.479)  | (.246)  | (.370)  | (.358)  | (.232)  |
| Net asset value, end of period  | $7.34  | $9.72  | $10.02  | $9.61  | $8.70  |
| **Total Return** <sup>D</sup>  | (19.73)%  | (.53)%  | 8.25%  | 14.64%  | (2.82)%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |
| Expenses before reductions  | .93%  | .91%  | .97%  | 1.03%  | 1.14%  |
| Expenses net of fee waivers, if any  | .70%  | .74%  | .75%  | .75%  | .75%  |
| Expenses net of all reductions  | .70%  | .74%  | .75%  | .75%  | .75%  |
| Net investment income (loss)  | 2.64%  | 1.86%  | 2.39%  | 2.53%  | 2.65%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $4700  | $8005  | $9952  | $4309  | $1265  |
| Portfolio turnover rate <sup>G</sup>  | 19%  | 57%  | 59%  | 85%  | 83%  |

---

<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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

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

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

 **Fidelity Advisor® Global Credit Fund Class Z** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.75  | $10.04  | $9.61  | $8.70  | $8.92  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .228  | .191  | .244  | .247  | .065  |
| Net realized and unrealized gain (loss)  | (2.129)  | (.235)  | .556  | 1.021  | (.164)  |
| Total from investment operations  | (1.901)  | (.044)  | .800  | 1.268  | (.099)  |
| Distributions from net investment income  | (.428)  | (.156) <sup>D</sup>  | (.278) <sup>D</sup>  | (.246) <sup>D</sup>  | (.102)  |
| Distributions from net realized gain  | (.051)  | (.090) <sup>D</sup>  | (.092) <sup>D</sup>  | (.102) <sup>D</sup>  | -  |
| Tax return of capital  | -  | -  | -  | (.010)  | (.019)  |
| Total distributions  | (.479)  | (.246)  | (.370)  | (.358)  | (.121)  |
| Net asset value, end of period  | $7.37  | $9.75  | $10.04  | $9.61  | $8.70  |
| **Total Return** <sup>E,F</sup>  | (19.67)%  | (.42)%  | 8.46%  | 14.64%  | (1.11)%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |  |  |  |  |
| Expenses before reductions  | .84%  | .78%  | .91%  | 1.05%  | .95% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | .61%  | .64%  | .66%  | .66%  | .66% <sup>I</sup>  |
| Expenses net of all reductions  | .61%  | .64%  | .66%  | .66%  | .66% <sup>I</sup>  |
| Net investment income (loss)  | 2.73%  | 1.96%  | 2.48%  | 2.61%  | 2.97% <sup>I</sup>  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $33046  | $48742  | $3017  | $3004  | $100  |
| Portfolio turnover rate <sup>J</sup>  | 19%  | 57%  | 59%  | 85%  | 83%  |

---

<sup>A</sup> *For the period October 2, 2018 (commencement of sale of shares) 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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

<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> *Annualized.*

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

**Notes to Financial Statements**

For the period ended December 31, 2022

**1. Organization.**

Fidelity Global Credit Fund (the Fund) is a fund of Fidelity School Street Trust (the Trust) and is authorized to issue an unlimited number of shares. 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. The Fund offers Class A, Class M, Class C, Global Credit, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

**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 and preferred 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. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps 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 and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

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. Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 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 and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. 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.

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. 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 futures contracts, swaps, foreign currency transactions, market discount, 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**  | $66351  |
| **Gross unrealized depreciation**  | <u>(20381529)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(20315178)</u>  |
| **Tax Cost**  | <u>$107113981</u>  |

---

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

---

| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$(10129581)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(20291806)</u>  |

---

The Fund intends to elect to defer to its next fiscal year $384,093 of ordinary losses recognized during the period November 1, 2022 to December 31, 2022.

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  | $(3748594)  |
| Long-term  | <u>(6380987)</u>  |
| **Total capital loss carryforward**  | <u>$(10129581)</u>  |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **December 31, 2022**  | **December 31, 2021**  |
| **Ordinary Income**  | $5027639  | $2308322  |
| **Long-term Capital Gains**  | <u>690569</u>  | <u>879099</u>  |
| **Total**  | <u>$5718208</u>  | <u>$3187421</u>  |

---

**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, forward foreign currency contracts, options and swaps. 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 gain exposure to certain types of assets, 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):

---

| | |
|:---|:---|
| Credit Risk  | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. <br>|
| 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, options and bi-lateral swaps, 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. A summary of derivatives inclusive of potential netting arrangements is presented at the end of the Schedule of Investments.

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 Global Credit Fund**  |  |  |
| **Credit Risk**  |  |  |
| Purchased Options  | $(199575)  | $17420  |
| Swaps  | <u>90213</u>  | <u>12153</u>  |
| **Total Credit Risk**  | <u>(109362)</u>  | <u>29573</u>  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts  | <u>7918580</u>  | <u>(1267639)</u>  |
| **Total Foreign Exchange Risk**  | <u>7918580</u>  | <u>(1267639)</u>  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts  | (7197535)  | (335204)  |
| **Total Interest Rate Risk**  | <u>(7197535)</u>  | <u>(335204)</u>  |
| Totals  | <u>$611683</u>  | <u>$(1573270)</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.

**Options.** Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to potential credit events.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period unless an average notional amount is presented.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**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 Global Credit Fund**  | 16796898  | 31844147  |

---

**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 the sum of an individual fund fee rate that is based on an annual rate of .45% 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 .55% of the Fund's average net assets.

During November 2022, the Board approved changes to the management fee effective January 1, 2023. The Fund will pay a monthly management fee that is based on an annual rate of .40% of the Fund's average net assets. Under the management contract, the investment adviser will pay all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as proxy and shareholder meeting expenses.

**Distribution and Service Plan Fees.** In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee**  | **Service Fee**  | **Total Fees**  | **Retained by FDC**  |
| **Class A**  | - %  | .25%  | $13703  | $-  |
| **Class M**  | - %  | .25%  | 3941  | 1462  |
| **Class C**  | .75%  | .25%  | <u>16205</u>  | <u>5631</u>  |
|  |  |  | <u>$33849</u>  | <u>$7093</u>  |

---

**Sales Load.** FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.

For the period, sales charge amounts retained by FDC were as follows:

---

| | |
|:---|:---|
|  | **Retained by FDC**  |
| **Class A**  | $861  |
| **Class M**  | 103  |
| **Class C** <sup>A</sup>  | <u>21</u>  |
|  | <u>$985</u>  |

---

<sup>A</sup> *When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.*

**Transfer Agent Fees.** Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

For the period, transfer agent fees for each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Amount**  | **% of Class-Level Average Net Assets**  |
| **Class A**  | $10921  | .20  |
| **Class M**  | 3975  | .25  |
| **Class C**  | 4082  | .25  |
| **Global Credit**  | 81114  | .16  |
| **Class I**  | 9327  | .15  |
| **Class Z**  | <u>19808</u>  | .05  |
|  | <u>$129227</u>  |  |

---

During November 2022, the Board approved changes to the transfer agent fees for Global Credit class effective January 1, 2023. Global Credit class will pay an asset-based fee only that is based on an annual rate of .10% of Global Credit's average net assets.

**Accounting Fees.** Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annual rates:

---

| | |
|:---|:---|
|  | **% of Average Net Assets**  |
| **Fidelity Global Credit Fund**  | .05  |

---

Effective January 1, 2023, accounting fees, which are a fund-level expense, will be paid by the investment adviser and not by the Fund.

**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.

**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 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 Global Credit Fund**  | $199  |

---

Effective January 1, 2023, commitment fees, which are a fund-level expense, will be paid by the investment adviser and not by the Fund.

**8. 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 Global Credit Fund**  | $182  | $-  | $-  |

---

**9. Expense Reductions.** 

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. 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.

The following classes were in reimbursement during the period:

---

| | | |
|:---|:---|:---|
|  | **Expense Limitations**  | **Reimbursement**  |
| **Class A**  | .95%  | $15617  |
| **Class M**  | .95%  | 5332  |
| **Class C**  | 1.70%  | 5502  |
| **Global Credit**  | .70%  | 125930  |
| **Class I**  | .70%  | 14852  |
| **Class Z**  | .61%  | <u>89621</u>  |
|  |  | <u>$256854</u>  |

---

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested U.S. dollar cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $135.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $2,003.

Effective January 1, 2023, the investment adviser contractually agreed to reimburse expenses to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. 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.

---

| | |
|:---|:---|
|  | **Expense Limitations**  |
| Class A  | .75%  |
| Class M  | .75%  |
| Class C  | 1.50%  |
| Global Credit  | .50%  |
| Class I  | .50%  |
| Class Z  | .41%  |

---

**10. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Year ended** <br> **December 31, 2022**  | **Year ended** <br> **December 31, 2021**  |
| **Fidelity Global Credit Fund**  |  |  |
| **Distributions to shareholders**  |  |  |
| Class A  | $300116  | $112052  |
| Class M  | 84332  | 45256  |
| Class C  | 72796  | 34054  |
| Global Credit  | 2764360  | 2003204  |
| Class I  | 326732  | 228891  |
| Class Z  | <u>2169872</u>  | <u>763964</u>  |
| Total  | <u>$5718208</u>  | <u>$3187421</u>  |

---

**11. Share Transactions.**

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares**  | **Shares**  | **Dollars**  | **Dollars**  |
|  | **Year ended December 31, 2022**  | **Year ended December 31, 2021**  | **Year ended December 31, 2022**  | **Year ended December 31, 2021**  |
| **Fidelity Global Credit Fund**  |  |  |  |  |
| **Class A**  |  |  |  |  |
| Shares sold  | 207668  | 216574  | $1808338  | $2128054  |
| Reinvestment of distributions  | 38368  | 11297  | 297448  | 110222  |
| Shares redeemed  | <u>(175667)</u>  | <u>(110423)</u>  | <u>(1418729)</u>  | <u>(1084884)</u>  |
| Net increase (decrease)  | <u>70369</u>  | <u>117448</u>  | <u>$687057</u>  | <u>$1153392</u>  |
| **Class M**  |  |  |  |  |
| Shares sold  | 12702  | 24167  | $107139  | $238385  |
| Reinvestment of distributions  | 10842  | 4584  | 84273  | 44733  |
| Shares redeemed  | <u>(41418)</u>  | <u>(30514)</u>  | <u>(354190)</u>  | <u>(299479)</u>  |
| Net increase (decrease)  | <u>(17874)</u>  | <u>(1763)</u>  | <u>$(162778)</u>  | <u>$(16361)</u>  |
| **Class C**  |  |  |  |  |
| Shares sold  | 13017  | 41414  | $106505  | $408890  |
| Reinvestment of distributions  | 9244  | 3450  | 71882  | 33673  |
| Shares redeemed  | <u>(64213)</u>  | <u>(65351)</u>  | <u>(534214)</u>  | <u>(639291)</u>  |
| Net increase (decrease)  | <u>(41952)</u>  | <u>(20487)</u>  | <u>$(355827)</u>  | <u>$(196728)</u>  |
| **Global Credit**  |  |  |  |  |
| Shares sold  | 978612  | 3724331  | $8605341  | $36783520  |
| Reinvestment of distributions  | 330283  | 195835  | 2580207  | 1913077  |
| Shares redeemed  | <u>(2590700)</u>  | <u>(6765365)</u>  | <u>(21749063)</u>  | <u>(66998508)</u>  |
| Net increase (decrease)  | <u>(1281805)</u>  | <u>(2845199)</u>  | <u>$(10563515)</u>  | <u>$(28301911)</u>  |
| **Class I**  |  |  |  |  |
| Shares sold  | 503339  | 595832  | $4497585  | $5862686  |
| Reinvestment of distributions  | 40874  | 23137  | 319356  | 225915  |
| Shares redeemed  | <u>(727568)</u>  | <u>(788231)</u>  | <u>(6282582)</u>  | <u>(7719869)</u>  |
| Net increase (decrease)  | <u>(183355)</u>  | <u>(169262)</u>  | <u>$(1465641)</u>  | <u>$(1631268)</u>  |
| **Class Z**  |  |  |  |  |
| Shares sold  | 337091  | 4927645  | $2832318  | $49117843  |
| Reinvestment of distributions  | 245267  | 68675  | 1916374  | 672208  |
| Shares redeemed  | <u>(1098975)</u>  | <u>(295771)</u>  | <u>(8966534)</u>  | <u>(2916788)</u>  |
| Net increase (decrease)  | <u>(516617)</u>  | <u>4700549</u>  | <u>$(4217842)</u>  | <u>$46873263</u>  |

---

**11. 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.

---

| | |
|:---|:---|
|  | **Strategic Advisers Fidelity Core Income Fund**  |
| **Fidelity Global Credit Fund**  | 29%  |

---

**12. 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.

**13. 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 School Street Trust and Shareholders of Fidelity Global Credit Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Global Credit Fund (one of the funds constituting Fidelity School 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 periods indicated therein (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 periods indicated therein 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 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 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. Each of the Trustees oversees 295 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 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one.

<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>

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® Global Credit Fund**  |  |  |  |  |
| **Class A *\*\****  | .95%  |  |  |  |
| **Actual**  |  | $1000  | $969.20  | $4.72  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1020.42  | $4.84  |
| **Class M *\*\****  | .95%  |  |  |  |
| **Actual**  |  | $1000  | $969.10  | $4.72  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1020.42  | $4.84  |
| **Class C *\*\****  | 1.70%  |  |  |  |
| **Actual**  |  | $1000  | $966.90  | $8.43  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1016.64  | $8.64  |
| **Fidelity® Global Credit Fund *\*\****  | .70%  |  |  |  |
| **Actual**  |  | $1000  | $969.90  | $3.48  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.68  | $3.57  |
| **Class I *\*\****  | .70%  |  |  |  |
| **Actual**  |  | $1000  | $971.10  | $3.48  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.68  | $3.57  |
| **Class Z *\*\****  | .61%  |  |  |  |
| **Actual**  |  | $1000  | $971.20  | $3.03  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1022.13  | $3.11  |

---

*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.*

\*\* If fees and changes to the expense contract and/or expense cap, effective January 1, 2023, had been in effect during the current period, the restated annualized expense ratio and the expenses paid in the actual and hypothetical examples above would have been as shown in table below:

---

| | | |
|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Expenses Paid**  |
| **Fidelity® Global Credit Fund**  |  |  |
| **Class A**  | .75%  |  |
| **Actual**  |  | $3.72  |
| **Hypothetical** - <sup>B</sup> <br>|  | $3.82  |
| **Class M**  | .75%  |  |
| **Actual**  |  | $3.72  |
| **Hypothetical** - <sup>B</sup> <br>|  | $3.82  |
| **Class C**  | 1.50%  |  |
| **Actual**  |  | $7.44  |
| **Hypothetical** - <sup>B</sup> <br>|  | $7.63  |
| **Fidelity® Global Credit Fund**  | .50%  |  |
| **Actual**  |  | $2.48  |
| **Hypothetical** - <sup>B</sup> <br>|  | $2.55  |
| **Class I**  | .50%  |  |
| **Actual**  |  | $2.49  |
| **Hypothetical** - <sup>B</sup> <br>|  | $2.55  |
| **Class Z**  | .41%  |  |
| **Actual**  |  | $2.04  |
| **Hypothetical** - <sup>B</sup> <br>|  | $2.09  |
| *A Annualized expense ratio reflects expenses net of applicable fee waivers.*  |  |  |
| *B 5% return per year before expenses*  |  |  |

---

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

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

A total of 0.14% 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 $636,906 of distributions paid in the calendar year 2021 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $1,414,787 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 Global Credit 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 of a representative class (the retail class); (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, managing, training, 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 noted that there was a portfolio management change for the fund in October 2021.

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 representative class (the retail class) and an appropriate 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.

![](img88190_9.jpg)

The Board noted that the fund's management fee rate ranked above the median of its Total Mapped Group and above the median of its ASPG for 2021. The Board noted that, as discussed below, total expenses for the representative class (retail class) were below median and that Fidelity believes the management fee for this fund is reasonable.

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 total expense ratio of the representative class (the retail class) of the fund, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 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's representative class 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 representative class 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 total net expense ratio of the retail class ranked below the similar sales load structure group competitive median and equal to the ASPG competitive median for 2021.

The Board further considered that FMR has contractually agreed to reimburse Class A, Class M, Class C, Class I, Class Z, and the retail class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed 0.95%, 0.95%, 1.70%, 0.70%, 0.61%, and 0.70% through April 30, 2023.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund 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.

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

**Fidelity Global Credit Fund** 

At its November 2022 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated management contract with Fidelity Management & Research Company LLC (FMR) for the fund (the Amended Contract) that will charge a flat management fee of 40 basis points, effective January 1, 2023. As a result, the Amended Contract will decrease the management fee paid by the fund by approximately 15 basis points, based on the average group assets for September 2022. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

**Nature, Extent, and Quality of Services Provided.** The Board previously received and considered materials relating to the nature, extent and quality of services provided by FMR to the fund, including the resources dedicated to investment management and support services, shareholder and administrative services, the benefits to shareholders of investment in a large fund family and the investment performance of the fund in connection with the annual renewal of the fund's current management contract (Current Management Contract). At its September 2022 meeting, the Board concluded that the nature, extent and quality of the services provided to the fund under the Current Management Contract should benefit the fund's shareholders. In connection with its approval of the Amended Contract at its November 2022 meeting, the Board noted that such approval would not change the fund's portfolio managers, the investment processes, the level or nature of services provided, the resources and personnel allocated or trading and compliance operations. The Board concluded that the nature, extent, and quality of services to be provided to the fund under the Amended Contract will continue to benefit the fund's shareholders.

**Competitiveness of Management Fee and Total Expense Ratio.** The Board considered that it received and reviewed information regarding the fund's management fee rate and total expense ratio compared to "mapped groups" of competitive funds and classes at the current management fee and expense levels in connection with the annual renewal of the Current Management Contract. Based on its review, the Board concluded at its September 2022 meeting that the fund's current management fee and the total expense ratio of each class of the fund are fair and reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

In reviewing the Amended Contract, the Board considered the fund's proposed management fee rate out of which FMR will pay all "fund-level" expenses, with certain limited exceptions, and the projected total net expense ratio of each class of the fund. The Board considered that the Amended Contract will decrease the management fee paid by the fund by approximately 15 basis points, based on the average group assets for September 2022. The Board noted that the fund's proposed management fee rate is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total net expense ratio of each class of the fund is below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure.

The Board also noted that FMR has contractually agreed to reimburse each class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets exceed a certain limit through April 30, 2024.

Based on its review, the Board concluded that the management fee and the projected total expense ratio of each class of the fund continue to be fair and reasonable in light of the services that the fund receives and the other factors considered.

**Costs of the Services and Profitability.** The Board considered that it previously reviewed information regarding the revenues earned, the expenses incurred by Fidelity in providing services to the fund and the level of Fidelity's profitability. At its September 2022 meeting, the Board concluded that it was satisfied that the profitability of Fidelity in connection with the operation of the fund was not excessive. Because the Board was approving an arrangement under which the management fees were being reduced, the Board did not consider Fidelity's costs of services, revenues, or profitability to be significant factors in its decision to approve the Amended Contract.

**Economies of Scale.** The Board considered that it previously received and reviewed information regarding whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale and that it concluded, at its September 2022 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. In connection with the approval of the fund's Amended Contract, the Board did not consider economies of scale because the proposed fee arrangement lowers the fund's management fee and FMR will continue to contractually limit expenses. The Board will continue to review economies of scale in connection with its consideration of future renewals of the Amended Contract.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structure is fair and reasonable, and that the fund's Amended Contract should be approved.

![](img88190_2.jpg) <br>

1.939061.110 GLB-ANN-0323

**Fidelity® Intermediate Municipal Income Fund**

**Annual Report**

**December 31, 2022**

Includes Fidelity and Fidelity Advisor share classes

![](img88188_1.jpg)

![](img88188_2.jpg)

**Contents**

---

| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Management's Discussion of Fund Performance](#Sec_Mgt Discussion of FundPerformance)** |
| **[Investment Summary](#Sec_InvestmentSummary36)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments36)** |
| **[Financial Statements](#Sec_FinancialStatements36)** |
| **[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 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one 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>

---

| | | | |
|:---|:---|:---|:---|
| **Periods ended December 30, 2022** <br>| **Past 1** <br> **year**  | **Past 5** <br> **years**  | **Past 10** <br> **years**  |
| Class A (incl.4.00% sales charge)  | &nbsp;&nbsp; -10.38%  | &nbsp;&nbsp; 0.17%  | &nbsp;&nbsp; 1.09%  |
| Class M (incl.4.00% sales charge)  | &nbsp;&nbsp; -10.25%  | &nbsp;&nbsp; 0.23%  | &nbsp;&nbsp; 1.13%  |
| Class C <br> (incl. contingent deferred sales charge) <br>| &nbsp;&nbsp; -8.13%  | &nbsp;&nbsp; 0.28%  | &nbsp;&nbsp; 0.91%  |
| Fidelity® Intermediate Municipal Income Fund  | &nbsp;&nbsp; -6.27%  | &nbsp;&nbsp; 1.33%  | &nbsp;&nbsp; 1.83%  |
| Class I  | &nbsp;&nbsp; -6.41%  | &nbsp;&nbsp; 1.24%  | &nbsp;&nbsp; 1.75%  |
| Class Z  | &nbsp;&nbsp; -6.20%  | &nbsp;&nbsp; 1.37%  | &nbsp;&nbsp; 1.82%  |

---

*Class C shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively.*

*The initial offering of Class Z shares took place on October 2, 2018. Returns prior to October 2, 2018, are those of Class I.*

---

| |
|:---|
| **$10,000 Over 10 Years**  |
| Let's say hypothetically that $10,000 was invested in Fidelity® Intermediate Municipal Income Fund, a class of the fund, on December 31, 2012. <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.  |
| ![](img88188_5.jpg)  |

---

**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 Elizah McLaughlin, Cormac Cullen and Michael Maka:**

For the fiscal year ending December 31, 2022, the fund's share classes (excluding sales charges, if any) returned roughly -7% to -6%, lagging the -5.95% result of the benchmark Bloomberg 1-17 Year 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 index, the fund's overweight in lower-rated investment-grade bonds was a key detractor, given that they underperformed as credit spreads widened. Larger-than-index exposure to the health care, transportation and housing segments detracted as well, given their lagging results. Differences in the way fund holdings and index components were priced further hindered relative performance. The fund's overweight in bonds backed by the State of Illinois and the Chicago Board of Education also hurt the relative result. In contrast, duration (interest rate) positioning contributed to performance, relative to the benchmark. The fund had less sensitivity to interest rates, as measured by its shorter duration, than the index and therefore was hurt less as interest rates roses. A higher-than-average yield on the fund's underlying holdings provided another boost to the relative result.

*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)**  |
| Texas  | 12.3  |
| Illinois  | 10.3  |
| Florida  | 7.7  |
| New York  | 6.5  |
| California  | 6.1  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  | &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  |
| General Obligations  | 33.3%  |
| Transportation  | 14.5%  |
| Health Care  | 12.3%  |
| Special Tax  | 6.6%  |
| Electric Utilities  | 5.1%  |
| Others\* (Individually Less Than 5%)  | 28.2%  |
|  | 100.0%  |
| *\*Includes net other assets*  |  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Quality Diversification (% of Fund's net assets)**  |
| ![](img88188_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 - 92.5%**  | &nbsp;&nbsp; **Municipal Bonds - 92.5%**  | &nbsp;&nbsp; **Municipal Bonds - 92.5%**  |
|  | Principal <br> Amount (a) <br> (000s) <br>| Value ($) <br> (000s) <br>|
| Alabama - 1.5%  |  |  |
|  Black Belt Energy Gas District:  |  |  |
|  Bonds:  |  |  |
|  Series 2022 D1, 4%, tender 6/1/27 (b) <br>| 9420  | 9354  |
|  Series 2022 F, 5.5%, tender 12/1/28 (b) <br>| 6460  | 6779  |
|  Series 2022 E:  |  |  |
|  5% 6/1/27 <br>| 4175  | 4387  |
|  5% 6/1/28 <br>| 5980  | 6311  |
|  Lower Alabama Gas District Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (b)  | 43790  | 43444  |
|  Mobile County Board of School Commissioners Series 2016 B:  |  |  |
|  5% 3/1/29  | 5875  | 6260  |
|  5% 3/1/30  | 6125  | 6515  |
|  5% 3/1/31  | 6135  | 6524  |
|  5% 3/1/32  | 4930  | 5236  |
|  5% 3/1/33  | 7165  | 7601  |
|  Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds (Alabama Pwr. Co. Barry Plant Proj.) Series 2008, 2.9%, tender 12/12/23 (b)  | 750  | 746  |
|  Montgomery Med. Clinic Facilities Series 2015:  |  |  |
|  5% 3/1/26  | 1940  | 1948  |
|  5% 3/1/27  | 3915  | 3912  |
|  5% 3/1/28  | 4225  | 4211  |
|  5% 3/1/29  | 3465  | 3442  |
|  5% 3/1/30  | 4180  | 4134  |
|  Southeast Energy Auth. Rev. Bonds Bonds Series 2022 B1, 5%, tender 8/1/28 (b)  | 20780  | 21331  |
|  Sumter County Indl. Dev. Auth. Bonds Series 2022, 6%, tender 7/15/32 (b)(c)  | 13000  | 11804  |
|  TOTAL ALABAMA  |  | 153939  |
| Alaska - 0.2%  |  |  |
|  Alaska Gen. Oblig. Series 2016 A, 5% 8/1/33  | 7235  | 7609  |
|  Alaska Hsg. Fin. Corp. Mtg. Rev.:  |  |  |
|  Series 2022 A, 3% 6/1/51  | 3510  | 3386  |
|  Series 2022 B1, 2% 12/1/32  | 4750  | 3978  |
|  Alaska Int'l. Arpts. Revs. Series 2016 B, 5% 10/1/33  | 7575  | 7951  |
|  TOTAL ALASKA  |  | 22924  |
| Arizona - 3.0%  |  |  |
|  Arizona Ctfs. of Prtn. Series 2019 A, 5% 10/1/23 (Escrowed to Maturity)  | 4320  | 4387  |
|  Arizona Indl. Dev. Auth. Hosp. Rev. Series 2021 A:  |  |  |
|  5% 2/1/33  | 1800  | 2076  |
|  5% 2/1/35  | 1580  | 1792  |
|  5% 2/1/36  | 1600  | 1787  |
|  5% 2/1/37  | 1700  | 1874  |
|  Arizona State Lottery Rev. Series 2019, 5% 7/1/24 (Escrowed to Maturity)  | 4000  | 4128  |
|  Chandler Indl. Dev. Auth. Indl. Dev. Rev.:  |  |  |
|  (Intel Corp. Proj.) Series 2022 2, 5%, tender 9/1/27 (b)(c)  | 31940  | 33332  |
|  Bonds (Intel Corp. Proj.) Series 2019, 5%, tender 6/3/24 (b)(c)  | 63345  | 64355  |
|  Coconino County Poll. Cont. Corp. Rev. Bonds Series 2017 A, 1.875%, tender 3/31/23 (b)(c)  | 4925  | 4903  |
|  Gilbert Wtr. Resources Municpal Property Series 2022:  |  |  |
|  5% 7/15/32  | 3630  | 4314  |
|  5% 7/15/33  | 5080  | 5997  |
|  5% 7/15/34  | 4715  | 5528  |
|  Glendale Gen. Oblig. Series 2017:  |  |  |
|  5% 7/1/23  | 3570  | 3606  |
|  5% 7/1/32  | 2915  | 3160  |
|  Glendale Indl. dev auth Sr Living Facilities Rev. (Royal Oaks Inspirata Pointe Proj.) Series 2020 A:  |  |  |
|  4% 5/15/31  | 560  | 508  |
|  5% 5/15/41  | 1000  | 919  |
|  5% 5/15/56  | 2625  | 2238  |
|  Glendale Sr. Excise Tax Rev. Series 2015 A:  |  |  |
|  5% 7/1/27  | 7770  | 8202  |
|  5% 7/1/28  | 7255  | 7655  |
|  5% 7/1/29  | 7905  | 8339  |
|  Glendale Trans. Excise Tax Rev. Series 2015:  |  |  |
|  5% 7/1/24 (Assured Guaranty Muni. Corp. Insured)  | 1765  | 1823  |
|  5% 7/1/25 (Assured Guaranty Muni. Corp. Insured)  | 2065  | 2179  |
|  5% 7/1/26 (Assured Guaranty Muni. Corp. Insured)  | 3565  | 3761  |
|  Maricopa County Indl. Dev. Auth.:  |  |  |
|  (Creighton Univ. Proj.) Series 2020, 5% 7/1/47  | 3560  | 3728  |
|  Bonds Series 2019 B, 5%, tender 9/1/24 (b)  | 10690  | 10986  |
|  Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016:  |  |  |
|  5.75% 1/1/36 (d)  | 5170  | 4007  |
|  6% 1/1/48 (d)  | 7730  | 5433  |
|  Maricopa County Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2019 D, 5%, tender 5/15/26 (b) <br>| 12610  | 13389  |
|  Series C, 5%, tender 10/18/24 (b) <br>| 9710  | 9981  |
|  Series 2016 A:  |  |  |
|  4% 1/1/24 <br>| 6310  | 6372  |
|  5% 1/1/23 <br>| 4855  | 4855  |
|  5% 1/1/24 <br>| 1990  | 2029  |
|  5% 1/1/25 <br>| 7560  | 7859  |
|  Maricopa County Spl. Health Care District Gen. Oblig. Series 2021 D:  |  |  |
|  4% 7/1/35  | 2195  | 2270  |
|  5% 7/1/33  | 7320  | 8361  |
|  5% 7/1/34  | 12000  | 13529  |
|  Mesa Util. Sys. Rev. Series 2021, 4% 7/1/35  | 2000  | 2061  |
|  Phoenix Civic Impt. Board Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/27 (c) <br>| 2185  | 2319  |
|  5% 7/1/28 (c) <br>| 3085  | 3262  |
|  5% 7/1/36 (c) <br>| 1000  | 1038  |
|  5% 7/1/42 (c) <br>| 2210  | 2254  |
|  Series 2019 A, 5% 7/1/49  | 1500  | 1545  |
|  Series 2019 B, 5% 7/1/34 (c)  | 2000  | 2124  |
|  Phoenix Civic Impt. Corp. Series 2019 A:  |  |  |
|  5% 7/1/29  | 965  | 1068  |
|  5% 7/1/30  | 3680  | 4082  |
|  5% 7/1/31  | 1255  | 1387  |
|  5% 7/1/32  | 3675  | 4042  |
|  5% 7/1/36  | 1000  | 1073  |
|  5% 7/1/39  | 1090  | 1155  |
|  Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2017 A, 5% 1/1/33  | 4955  | 5470  |
|  Western Maricopa Ed. Ctr. District Series 2019 B:  |  |  |
|  5% 7/1/23  | 4650  | 4698  |
|  5% 7/1/24  | 1410  | 1454  |
|  5% 7/1/25  | 2285  | 2409  |
|  5% 7/1/27  | 3000  | 3289  |
|  TOTAL ARIZONA  |  | 314392  |
| California - 5.6%  |  |  |
|  Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds Series B, 2.85%, tender 4/1/25 (b)  | 6910  | 6847  |
|  California Gen. Oblig.:  |  |  |
|  Series 2004:  |  |  |
|  5.25% 12/1/33 <br>| 110  | 110  |
|  5.25% 4/1/34 <br>| 30  | 30  |
|  5.5% 4/1/30 <br>| 5  | 5  |
|  Series 2014, 5% 5/1/24  | 5910  | 6083  |
|  Series 2016:  |  |  |
|  5% 8/1/26 <br>| 14065  | 15253  |
|  5% 8/1/29 <br>| 6970  | 7545  |
|  5% 9/1/29 <br>| 2755  | 2982  |
|  Series 2017, 5% 8/1/30  | 14245  | 15751  |
|  Series 2020:  |  |  |
|  4% 3/1/23 <br>| 3535  | 3541  |
|  4% 3/1/24 <br>| 6790  | 6885  |
|  4% 3/1/26 <br>| 3300  | 3438  |
|  4% 11/1/34 <br>| 5000  | 5278  |
|  4% 11/1/35 <br>| 1000  | 1041  |
|  4% 3/1/36 <br>| 2615  | 2693  |
|  4% 11/1/36 <br>| 9885  | 10175  |
|  5% 11/1/31 <br>| 21985  | 25627  |
|  5% 11/1/31 <br>| 3500  | 4080  |
|  5% 11/1/32 <br>| 6245  | 7261  |
|  5% 11/1/32 <br>| 10000  | 11627  |
|  Series 2021:  |  |  |
|  4% 10/1/24 <br>| 13025  | 13293  |
|  4% 10/1/26 <br>| 7965  | 8356  |
|  5% 12/1/23 <br>| 9020  | 9190  |
|  5% 10/1/24 <br>| 5210  | 5416  |
|  Series 2022:  |  |  |
|  5% 9/1/34 <br>| 3820  | 4485  |
|  5% 4/1/35 <br>| 6645  | 7672  |
|  5% 4/1/35 <br>| 2520  | 2786  |
|  5% 9/1/35 <br>| 6180  | 7147  |
|  5% 9/1/35 <br>| 3635  | 4204  |
|  California Health Facilities Fing. Auth. Rev.:  |  |  |
|  (St. Joseph Health Sys. Proj.) Series 2013 A, 5% 7/1/25  | 3885  | 3915  |
|  Series 2020 A:  |  |  |
|  4% 4/1/35 <br>| 1170  | 1167  |
|  4% 4/1/36 <br>| 5000  | 4920  |
|  California Hsg. Fin. Agcy. Series 2021 1, 3.5% 11/20/35  | 10187  | 9214  |
|  California Infrastructure and Econ. Dev. Bank Rev. Bonds (Los Angeles County Museum of Art Proj.) Series 2021 A, 1.2%, tender 6/1/28 (b)  | 11000  | 9602  |
|  California Muni. Fin. Auth. Ctfs. of Prtn. Series 2022 A:  |  |  |
|  5% 11/1/31 (Assured Guaranty Muni. Corp. Insured)  | 400  | 438  |
|  5% 11/1/32 (Assured Guaranty Muni. Corp. Insured)  | 210  | 231  |
|  5% 11/1/33 (Assured Guaranty Muni. Corp. Insured)  | 435  | 477  |
|  5.25% 11/1/34 (Assured Guaranty Muni. Corp. Insured)  | 1000  | 1113  |
|  California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds:  |  |  |
|  (Republic Svcs., Inc. Proj.) Series 2021 A, 3.875%, tender 4/3/23 (b)(c)  | 30000  | 29994  |
|  (Waste Mgmt., Inc. Proj.):  |  |  |
|  Series 2017 A, 0.7%, tender 12/1/23 (b)(c) <br>| 10845  | 10512  |
|  Series 2020, 3.5%, tender 3/1/23 (b)(c) <br>| 2100  | 2098  |
|  California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.):  |  |  |
|  Series 2010 A, 4.1%, tender 2/1/23 (b)(c)(d)  | 17900  | 17901  |
|  Series 2017 A2, 3.875%, tender 1/17/23 (b)(c)(d)  | 27600  | 27599  |
|  California Pub. Fin. Auth. Univ. Hsg. Rev.:  |  |  |
|  (Claremont Colleges Proj.) Series 2017 A, 5% 7/1/27 (d)  | 400  | 388  |
|  (NCCD - Claremont Properties LLC - Claremont Colleges Proj.) Series 2017 A, 5% 7/1/47 (d)  | 495  | 478  |
|  California Pub. Works Board Lease Rev. (Various Cap. Projs.) Series 2022 C:  |  |  |
|  5% 8/1/29  | 995  | 1143  |
|  5% 8/1/30  | 1265  | 1477  |
|  5% 8/1/31  | 555  | 655  |
|  5% 8/1/32  | 2095  | 2465  |
|  5% 8/1/33  | 2085  | 2445  |
|  5% 8/1/34  | 1035  | 1202  |
|  California Statewide Cmntys. Dev. Auth. Rev.:  |  |  |
|  Bonds Series 2009 C, 5%, tender 11/1/29 (b)  | 15715  | 17825  |
|  Series 2015, 5% 2/1/45  | 4090  | 3016  |
|  Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:  |  |  |
|  Series 2013 A, 5% 6/1/29 (Pre-Refunded to 6/1/23 @ 100)  | 4855  | 4897  |
|  Series 2017 A1, 5% 6/1/26 (Escrowed to Maturity)  | 970  | 1053  |
|  Series A, 0% 6/1/24 (Escrowed to Maturity)  | 5840  | 5612  |
|  Los Angeles Dept. Arpt. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 5/15/24 (c) <br>| 2170  | 2221  |
|  5% 5/15/24 (Escrowed to Maturity) (c) <br>| 295  | 303  |
|  Series 2018 A, 5% 5/15/34 (c)  | 1000  | 1053  |
|  Series 2018 C, 5% 5/15/36 (c)  | 2960  | 3075  |
|  Series 2019 A, 5% 5/15/35 (c)  | 2085  | 2200  |
|  Series 2019 D, 5% 5/15/38 (c)  | 3045  | 3159  |
|  Series 2020 C, 5% 5/15/45 (c)  | 5820  | 6004  |
|  Series 2021 D:  |  |  |
|  4% 5/15/38 (c) <br>| 4605  | 4382  |
|  4% 5/15/38 (Pre-Refunded to 11/15/31 @ 100) (c) <br>| 260  | 284  |
|  5% 5/15/35 (c) <br>| 1840  | 1980  |
|  5% 5/15/35 (Pre-Refunded to 11/15/31 @ 100) (c) <br>| 105  | 123  |
|  5% 5/15/36 (c) <br>| 6885  | 7359  |
|  5% 5/15/36 (Pre-Refunded to 11/15/31 @ 100) (c) <br>| 385  | 451  |
|  Series 2022 A:  |  |  |
|  4% 5/15/37 (c) <br>| 13805  | 13362  |
|  5% 5/15/36 (c) <br>| 755  | 807  |
|  Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2015 A, 5% 7/1/29  | 9710  | 10187  |
|  Los Angeles Unified School District Series 2020 C:  |  |  |
|  4% 7/1/36  | 3810  | 3892  |
|  5% 7/1/27  | 7615  | 8416  |
|  Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds Series 2017 D, SIFMA Municipal Swap Index + 0.140% 3.8%, tender 5/21/24 (b)(e)  | 7470  | 7420  |
|  Mount Diablo Unified School District Series 2022 B:  |  |  |
|  4% 8/1/25  | 3110  | 3214  |
|  4% 8/1/26  | 460  | 482  |
|  4% 8/1/28  | 3340  | 3576  |
|  4% 8/1/30  | 530  | 575  |
|  4% 8/1/31  | 340  | 370  |
|  4% 8/1/33  | 3490  | 3754  |
|  4% 8/1/34  | 2430  | 2582  |
|  Oakland Unified School District Alameda County Series 2015 A:  |  |  |
|  5% 8/1/26 (Assured Guaranty Muni. Corp. Insured)  | 3400  | 3603  |
|  5% 8/1/28  | 970  | 1025  |
|  Ontario Int'l. Arpt. Auth. Series 2021 B:  |  |  |
|  4% 5/15/35 (Assured Guaranty Muni. Corp. Insured) (c)  | 1100  | 1072  |
|  4% 5/15/38 (Assured Guaranty Muni. Corp. Insured) (c)  | 1000  | 957  |
|  Orange County Trans. Auth. (I-405 Impt. Proj.) Series 2021, 5% 10/15/24 (Liquidity Facility Orange County Local Trans. Auth. Sales Tax Rev.) (Escrowed to Maturity)  | 18615  | 19346  |
|  Port of Oakland Rev. Series H, 5% 5/1/26 (c)  | 1250  | 1308  |
|  Poway Unified School District Pub. Fing. Series 2015 A:  |  |  |
|  5% 9/1/25  | 1115  | 1162  |
|  5% 9/1/28  | 1550  | 1616  |
|  5% 9/1/32  | 1630  | 1681  |
|  Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 3025  | 2665  |
|  Sacramento City Unified School District:  |  |  |
|  Series 2022 A:  |  |  |
|  5% 8/1/33 <br>| 1000  | 1136  |
|  5% 8/1/34 <br>| 1000  | 1132  |
|  5% 8/1/37 <br>| 1000  | 1109  |
|  5% 8/1/38 <br>| 1000  | 1105  |
|  Series 2022, 5% 7/1/31 (Build America Mutual Assurance Insured)  | 495  | 574  |
|  Sacramento County Arpt. Sys. Rev. Series 2018 C, 5% 7/1/39 (c)  | 3280  | 3384  |
|  San Diego County Reg'l. Arpt. Auth. Arpt. Rev.:  |  |  |
|  Series 2020 C, 5% 7/1/30 (c)  | 795  | 863  |
|  Series 2021 B:  |  |  |
|  5% 7/1/37 (c) <br>| 16945  | 17891  |
|  5% 7/1/38 (c) <br>| 17150  | 18035  |
|  San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:  |  |  |
|  Series 2019 A:  |  |  |
|  5% 5/1/37 (c) <br>| 3290  | 3433  |
|  5% 5/1/49 (c) <br>| 15380  | 15573  |
|  Series 2022 A:  |  |  |
|  5% 5/1/26 (c) <br>| 13120  | 13773  |
|  5% 5/1/27 (c) <br>| 13295  | 14084  |
|  Series A, 5% 5/1/44 (c)  | 3170  | 3170  |
|  Santa Clara County Fing. Auth. Lease Rev. (Multiple Facilities Proj.) Series Q, 3% 5/15/37  | 1000  | 858  |
|  Univ. of California Revs. Series 2023 BM:  |  |  |
|  5% 5/15/33 (f)  | 2850  | 3442  |
|  5% 5/15/35 (f)  | 2500  | 2945  |
|  5% 5/15/36 (f)  | 515  | 599  |
|  Washington Township Health Care District Gen. Oblig. Series 2013 A, 5.5% 8/1/40  | 3400  | 3505  |
|  TOTAL CALIFORNIA  |  | 592915  |
| Colorado - 2.7%  |  |  |
|  Colorado Ctfs. of Prtn. Series 2021 A:  |  |  |
|  4% 12/15/38  | 3000  | 2970  |
|  5% 12/15/34  | 6940  | 7979  |
|  Colorado Health Facilities Auth. Rev. Bonds:  |  |  |
|  (Parkview Med. Ctr., Inc. Proj.) Series 2016, 5% 9/1/46  | 6310  | 6368  |
|  Bonds:  |  |  |
|  Series 2019 B: <br>|  |  |
|  5%, tender 8/1/26 (b) <br>| 5205  | 5435  |
|  5%, tender 11/19/26 (b) <br>| 930  | 1003  |
|  5%, tender 11/19/26 (b) <br>| 9160  | 9703  |
|  Series 2022 B, 5%, tender 8/17/26 (b) <br>| 8705  | 9334  |
|  Series 2022 C, 5%, tender 8/15/28 (b) <br>| 11655  | 12892  |
|  Series 2019 A1:  |  |  |
|  4% 8/1/39 <br>| 3940  | 3584  |
|  5% 8/1/36 <br>| 4000  | 4170  |
|  Series 2019 A2, 5% 8/1/44  | 16590  | 16619  |
|  Series 2022 A:  |  |  |
|  5% 5/15/31 <br>| 2500  | 2891  |
|  5% 5/15/32 <br>| 2000  | 2331  |
|  Colorado Hsg. & Fin. Auth. Series 2019 H, 4.25% 11/1/49  | 1530  | 1544  |
|  Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.) Series 2020:  |  |  |
|  4% 7/15/33  | 580  | 566  |
|  4% 7/15/35  | 1900  | 1808  |
|  4% 7/15/38  | 700  | 641  |
|  4% 7/15/39  | 1800  | 1630  |
|  5% 1/15/30  | 500  | 528  |
|  5% 7/15/30  | 350  | 371  |
|  5% 1/15/31  | 500  | 531  |
|  5% 7/15/31  | 500  | 531  |
|  5% 1/15/32  | 700  | 743  |
|  Colorado Reg'l. Trans. District Ctfs. of Prtn. Series 2020:  |  |  |
|  5% 6/1/30  | 3000  | 3361  |
|  5% 6/1/31  | 1580  | 1764  |
|  Colorado Springs Utils. Rev. Series 2020:  |  |  |
|  4% 11/15/36  | 525  | 541  |
|  4% 11/15/37  | 670  | 682  |
|  5% 11/15/33  | 400  | 459  |
|  5% 11/15/33  | 700  | 802  |
|  5% 11/15/34  | 685  | 780  |
|  5% 11/15/35  | 460  | 520  |
|  5% 11/15/36  | 440  | 495  |
|  5% 11/15/37  | 635  | 708  |
|  5% 11/15/38  | 885  | 983  |
|  Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2019 C, 5%, tender 11/15/24 (b)  | 36390  | 37297  |
|  Denver City & County Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 11/15/24 (c) <br>| 2230  | 2298  |
|  5% 11/15/27 (c) <br>| 1025  | 1093  |
|  5% 11/15/28 (c) <br>| 5890  | 6253  |
|  5% 11/15/29 (c) <br>| 4855  | 5144  |
|  5% 11/15/30 (c) <br>| 3885  | 4115  |
|  Series 2018 A:  |  |  |
|  5% 12/1/30 (c) <br>| 7475  | 8120  |
|  5% 12/1/31 (c) <br>| 15915  | 16947  |
|  5% 12/1/35 (c) <br>| 3350  | 3512  |
|  Series 2022 A:  |  |  |
|  5% 11/15/26 (c) <br>| 15500  | 16387  |
|  5% 11/15/37 (c) <br>| 7000  | 7465  |
|  Series 2022 D:  |  |  |
|  5.5% 11/15/31 (c) <br>| 15970  | 18289  |
|  5.5% 11/15/32 (c) <br>| 4390  | 5072  |
|  5.5% 11/15/33 (c) <br>| 4935  | 5618  |
|  5.75% 11/15/34 (c) <br>| 2540  | 2905  |
|  5.75% 11/15/35 (c) <br>| 2360  | 2676  |
|  Denver City & County Gen. Oblig. Series 2022 A, 5% 8/1/37  | 5285  | 6078  |
|  E-470 Pub. Hwy. Auth. Rev.:  |  |  |
|  Series 2010 A:  |  |  |
|  0% 9/1/35 <br>| 1940  | 1168  |
|  0% 9/1/37 <br>| 2915  | 1567  |
|  0% 9/1/38 <br>| 3650  | 1855  |
|  Series 2020 A:  |  |  |
|  5% 9/1/28 <br>| 2000  | 2222  |
|  5% 9/1/34 <br>| 1135  | 1278  |
|  Univ. of Colorado Enterprise Sys. Rev. Bonds Series 2019 C, 2%, tender 10/15/24 (b)  | 23355  | 22827  |
|  TOTAL COLORADO  |  | 285453  |
| Connecticut - 1.8%  |  |  |
|  Connecticut Gen. Oblig.:  |  |  |
|  Series 2016 A, 5% 3/15/26  | 2940  | 3150  |
|  Series 2016 E:  |  |  |
|  5% 10/15/26 <br>| 3445  | 3734  |
|  5% 10/15/29 <br>| 4975  | 5376  |
|  Series 2018 E:  |  |  |
|  5% 9/15/27 <br>| 4050  | 4454  |
|  5% 9/15/29 <br>| 4000  | 4467  |
|  5% 9/15/30 <br>| 4000  | 4459  |
|  5% 9/15/32 <br>| 1300  | 1440  |
|  Series 2018 F, 5% 9/15/27  | 1000  | 1100  |
|  Series 2019 A:  |  |  |
|  5% 4/15/30 <br>| 2345  | 2634  |
|  5% 4/15/34 <br>| 2635  | 2904  |
|  5% 4/15/35 <br>| 915  | 1000  |
|  Series 2020 B, 5% 1/15/26  | 975  | 1041  |
|  Series 2020 C:  |  |  |
|  4% 6/1/35 <br>| 1000  | 1028  |
|  4% 6/1/37 <br>| 950  | 955  |
|  Series 2021 A, 3% 1/15/39  | 3665  | 3112  |
|  Series 2021 B, 4% 1/15/39  | 6745  | 6608  |
|  Series 2021 D, 5% 7/15/23  | 3425  | 3462  |
|  Series 2022 B, 4% 1/15/36  | 6860  | 6997  |
|  Series 2022 C:  |  |  |
|  5% 6/15/33 <br>| 300  | 347  |
|  5% 6/15/36 <br>| 300  | 336  |
|  Series 2022 D, 5% 9/15/31  | 600  | 694  |
|  Series A:  |  |  |
|  3% 1/15/23 <br>| 2030  | 2030  |
|  3% 1/15/24 <br>| 1300  | 1302  |
|  4% 1/15/24 <br>| 880  | 890  |
|  Series B, 5% 1/15/25  | 2000  | 2091  |
|  Connecticut Health & Edl. Facilities Auth. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2014 A, 1.1%, tender 2/7/23 (b) <br>| 5250  | 5236  |
|  Series 2014 B, 1.8%, tender 7/1/24 (b) <br>| 7890  | 7636  |
|  Series 2017 B, 0.55%, tender 7/3/23 (b) <br>| 750  | 737  |
|  Series 2020 B, 5%, tender 1/1/27 (b) <br>| 2555  | 2713  |
|  Series 2018 S:  |  |  |
|  5% 7/1/26 <br>| 2200  | 2349  |
|  5% 7/1/29 <br>| 970  | 1058  |
|  Series 2019 A, 5% 7/1/34 (d)  | 6000  | 5640  |
|  Series 2019 Q-1:  |  |  |
|  5% 11/1/24 <br>| 1760  | 1828  |
|  5% 11/1/25 <br>| 1205  | 1278  |
|  5% 11/1/27 <br>| 3115  | 3425  |
|  5% 11/1/28 <br>| 1780  | 1990  |
|  Series 2020 A:  |  |  |
|  4% 7/1/36 <br>| 1750  | 1713  |
|  4% 7/1/38 <br>| 1580  | 1517  |
|  5% 7/1/29 <br>| 1000  | 1082  |
|  5% 7/1/30 <br>| 1830  | 1996  |
|  5% 7/1/31 <br>| 2975  | 3240  |
|  5% 7/1/33 <br>| 4925  | 5321  |
|  5% 7/1/34 <br>| 2050  | 2197  |
|  5% 7/1/35 <br>| 3200  | 3397  |
|  Series 2020 K, 4% 7/1/45  | 350  | 320  |
|  Series 2022 L:  |  |  |
|  5% 7/1/33 <br>| 615  | 687  |
|  5% 7/1/34 <br>| 830  | 921  |
|  5% 7/1/35 <br>| 910  | 999  |
|  5% 7/1/36 <br>| 935  | 1019  |
|  5% 7/1/37 <br>| 1010  | 1091  |
|  Series 2022 M:  |  |  |
|  5% 7/1/29 <br>| 820  | 885  |
|  5% 7/1/32 <br>| 3915  | 4323  |
|  5% 7/1/33 <br>| 3270  | 3544  |
|  Series N:  |  |  |
|  4% 7/1/39 <br>| 4400  | 3679  |
|  4% 7/1/49 <br>| 3025  | 2264  |
|  Connecticut Hsg. Fin. Auth. Series 2021 D1, 3% 5/15/51  | 24680  | 23900  |
|  Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:  |  |  |
|  Series 2021 A, 5% 5/1/35  | 2200  | 2502  |
|  Series 2022 A:  |  |  |
|  5% 7/1/32 <br>| 1500  | 1753  |
|  5% 7/1/33 <br>| 2065  | 2436  |
|  5% 7/1/34 <br>| 1500  | 1749  |
|  5% 7/1/35 <br>| 3205  | 3691  |
|  Series 2022 B:  |  |  |
|  5% 7/1/32 <br>| 2000  | 2338  |
|  5% 7/1/33 <br>| 1000  | 1179  |
|  Series A, 5% 5/1/29  | 3675  | 4143  |
|  New Britain Gen. Oblig. Series 2009, 5% 4/1/24 (Escrowed to Maturity)  | 1018  | 1033  |
|  Stratford Gen. Oblig. Series 2019, 5% 1/1/29  | 2490  | 2675  |
|  Univ. of Connecticut Gen. Oblig. Series 2019 A:  |  |  |
|  5% 11/1/27  | 1720  | 1897  |
|  5% 11/1/27  | 2050  | 2261  |
|  5% 11/1/28  | 1260  | 1410  |
|  TOTAL CONNECTICUT  |  | 192663  |
| Delaware - 0.1%  |  |  |
|  Delaware Econ. Dev. Auth. Rev. Bonds (Delmarva Pwr. & Lt. Co. Proj.) Series A, 1.05%, tender 7/1/25 (b)  | 4110  | 3891  |
|  Delaware River & Bay Auth. Rev. Series 2021:  |  |  |
|  4% 1/1/39  | 1350  | 1327  |
|  4% 1/1/40  | 1200  | 1180  |
|  4% 1/1/41  | 700  | 686  |
|  4% 1/1/42  | 365  | 357  |
|  5% 1/1/27  | 730  | 794  |
|  5% 1/1/31  | 150  | 174  |
|  5% 1/1/36  | 510  | 579  |
|  Delaware Trans. Auth. Trans. Sys. Rev. Series 2020, 5% 7/1/32  | 2150  | 2481  |
|  TOTAL DELAWARE  |  | 11469  |
| Delaware, New Jersey - 0.0%  |  |  |
|  Delaware River & Bay Auth. Rev. Series 2014 C:  |  |  |
|  5% 1/1/24  | 1235  | 1259  |
|  5% 1/1/25  | 2670  | 2722  |
|  TOTAL DELAWARE, NEW JERSEY  |  | 3981  |
| District Of Columbia - 1.6%  |  |  |
|  District of Columbia Gen. Oblig.:  |  |  |
|  Series 2021 D:  |  |  |
|  4% 2/1/36 <br>| 2500  | 2551  |
|  4% 2/1/37 <br>| 2500  | 2541  |
|  Series 2021 E, 4% 2/1/37  | 3240  | 3293  |
|  District of Columbia Income Tax Rev.:  |  |  |
|  Series 2020 A, 5% 3/1/24  | 1570  | 1610  |
|  Series 2020 B, 5% 10/1/23  | 10000  | 10157  |
|  Series 2022 A, 5% 7/1/34  | 4000  | 4635  |
|  Series 2022 C, 5% 12/1/34  | 8665  | 10054  |
|  District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev. Bonds Series 2022 E, 3%, tender 10/1/27 (b)  | 9535  | 9326  |
|  Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. (Dulles Metrorail And Cap. Impt. Proj.) Series 2019 B:  |  |  |
|  4% 10/1/35  | 1185  | 1151  |
|  4% 10/1/36  | 1760  | 1692  |
|  4% 10/1/37  | 1770  | 1684  |
|  4% 10/1/38  | 735  | 693  |
|  5% 10/1/33  | 1250  | 1327  |
|  Metropolitan Washington DC Arpts. Auth. Sys. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 10/1/31 (c) <br>| 2335  | 2465  |
|  5% 10/1/34 (c) <br>| 1940  | 2032  |
|  5% 10/1/36 (c) <br>| 1820  | 1890  |
|  Series 2018 A:  |  |  |
|  5% 10/1/28 (c) <br>| 3885  | 4164  |
|  5% 10/1/29 (c) <br>| 4030  | 4309  |
|  5% 10/1/30 (c) <br>| 3165  | 3383  |
|  5% 10/1/31 (c) <br>| 4540  | 4840  |
|  Series 2019 A:  |  |  |
|  5% 10/1/23 (c) <br>| 1160  | 1172  |
|  5% 10/1/24 (c) <br>| 2395  | 2459  |
|  5% 10/1/25 (c) <br>| 1530  | 1597  |
|  Series 2021 A:  |  |  |
|  4% 10/1/37 (c) <br>| 1680  | 1609  |
|  4% 10/1/38 (c) <br>| 1865  | 1771  |
|  5% 10/1/30 (c) <br>| 7470  | 8140  |
|  5% 10/1/31 (c) <br>| 12695  | 13908  |
|  5% 10/1/32 (c) <br>| 18670  | 20398  |
|  5% 10/1/33 (c) <br>| 19170  | 20871  |
|  5% 10/1/34 (c) <br>| 4480  | 4842  |
|  5% 10/1/35 (c) <br>| 3985  | 4273  |
|  5% 10/1/36 (c) <br>| 3175  | 3384  |
|  Series 2022 A, 5% 10/1/32 (c)  | 1250  | 1377  |
|  Series 2022, 5% 10/1/31 (c)  | 2680  | 2936  |
|  Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 B, 5% 7/1/34  | 7990  | 8570  |
|  TOTAL DISTRICT OF COLUMBIA  |  | 171104  |
| Florida - 7.6%  |  |  |
|  Alachua County School Board Ctfs. Series 2020:  |  |  |
|  5% 7/1/23  | 2530  | 2552  |
|  5% 7/1/27  | 4285  | 4630  |
|  5% 7/1/28  | 7045  | 7722  |
|  Brevard County Health Facilities Auth. Rev. Series 2023 A:  |  |  |
|  5% 4/1/30 (f)  | 2690  | 2907  |
|  5% 4/1/32 (f)  | 620  | 674  |
|  5% 4/1/37 (f)  | 985  | 1033  |
|  5% 4/1/39 (f)  | 1670  | 1738  |
|  Brevard County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2014:  |  |  |
|  5% 7/1/27 <br>| 3205  | 3294  |
|  5% 7/1/30 <br>| 7240  | 7416  |
|  Series 2015 C, 5% 7/1/24  | 2915  | 3001  |
|  Broward County Arpt. Sys. Rev.:  |  |  |
|  Series 2012 Q1, 5% 10/1/23  | 3010  | 3014  |
|  Series 2015 A, 5% 10/1/34 (c)  | 2000  | 2055  |
|  Series 2017:  |  |  |
|  5% 10/1/23 (c) <br>| 1000  | 1011  |
|  5% 10/1/30 (c) <br>| 2050  | 2162  |
|  5% 10/1/31 (c) <br>| 3100  | 3265  |
|  5% 10/1/35 (c) <br>| 1000  | 1041  |
|  Series 2019 B:  |  |  |
|  5% 10/1/28 (c) <br>| 6000  | 6430  |
|  5% 10/1/29 (c) <br>| 5000  | 5381  |
|  Series A:  |  |  |
|  5% 10/1/29 (c) <br>| 4090  | 4225  |
|  5% 10/1/31 (c) <br>| 2915  | 3008  |
|  5% 10/1/32 (c) <br>| 3885  | 4005  |
|  Broward County Port Facilities Rev.:  |  |  |
|  Series 2019 A:  |  |  |
|  5% 9/1/30 <br>| 1230  | 1379  |
|  5% 9/1/32 <br>| 1055  | 1162  |
|  Series 2019 B:  |  |  |
|  4% 9/1/37 (c) <br>| 1970  | 1941  |
|  5% 9/1/28 (c) <br>| 710  | 772  |
|  Broward County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 7/1/26 <br>| 11170  | 11747  |
|  5% 7/1/27 <br>| 8900  | 9343  |
|  5% 7/1/28 <br>| 3885  | 4060  |
|  Series 2015 B:  |  |  |
|  5% 7/1/25 <br>| 2100  | 2211  |
|  5% 7/1/26 <br>| 11335  | 11921  |
|  5% 7/1/27 <br>| 7670  | 8051  |
|  5% 7/1/28 <br>| 13120  | 13711  |
|  Series 2016, 5% 7/1/32  | 2430  | 2577  |
|  Series 2020 A, 5% 7/1/31  | 3000  | 3428  |
|  Cap. Projs. Fin. Auth. Student Hsg. Rev. (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A:  |  |  |
|  5% 10/1/31  | 2000  | 2022  |
|  5% 10/1/34  | 1250  | 1243  |
|  5% 10/1/35  | 500  | 495  |
|  Central Florida Expressway Auth. Sr. Lien Rev.:  |  |  |
|  Series 2019 B, 5% 7/1/35  | 5000  | 5504  |
|  Series 2021:  |  |  |
|  4% 7/1/38 (Assured Guaranty Muni. Corp. Insured) <br>| 4000  | 4043  |
|  5% 7/1/23 (Assured Guaranty Muni. Corp. Insured) <br>| 1050  | 1061  |
|  5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) <br>| 885  | 913  |
|  5% 7/1/26 (Assured Guaranty Muni. Corp. Insured) <br>| 4140  | 4453  |
|  Clay County Sales Surtax Rev. Series 2020:  |  |  |
|  5% 10/1/23  | 810  | 822  |
|  5% 10/1/24  | 740  | 767  |
|  5% 10/1/25  | 1115  | 1180  |
|  5% 10/1/31  | 2445  | 2737  |
|  5% 10/1/34  | 5390  | 5974  |
|  5% 10/1/36  | 3000  | 3296  |
|  5% 10/1/37  | 6135  | 6717  |
|  Duval County School Board Ctfs. of Prtn. Series 2015 B:  |  |  |
|  5% 7/1/27  | 4260  | 4475  |
|  5% 7/1/28  | 970  | 1018  |
|  5% 7/1/30  | 6440  | 6754  |
|  Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A, 4% 8/15/45  | 4570  | 3976  |
|  Florida Dept. of Mgmt. Svcs. Ctfs. of Prtn. Series 2018 A, 5% 11/1/29  | 6245  | 7075  |
|  Florida Dept. of Trans. Tpk. Rev. Series 2021 C, 3% 7/1/35  | 4020  | 3689  |
|  Florida Higher Edl. Facilities Fing. Auth.:  |  |  |
|  (St. Leo Univ. Proj.) Series 2019:  |  |  |
|  5% 3/1/29 <br>| 1635  | 1624  |
|  5% 3/1/30 <br>| 1715  | 1695  |
|  5% 3/1/31 <br>| 1805  | 1773  |
|  5% 3/1/32 <br>| 1890  | 1837  |
|  Series 2019:  |  |  |
|  5% 10/1/28 <br>| 1060  | 1114  |
|  5% 10/1/30 <br>| 1500  | 1582  |
|  5% 10/1/31 <br>| 1750  | 1839  |
|  5% 10/1/32 <br>| 1305  | 1366  |
|  Florida Mid-Bay Bridge Auth. Rev. Series 2015 A:  |  |  |
|  5% 10/1/27  | 3495  | 3573  |
|  5% 10/1/28  | 5000  | 5108  |
|  5% 10/1/29  | 2645  | 2700  |
|  5% 10/1/30  | 2405  | 2454  |
|  Florida Muni. Pwr. Agcy. Rev.:  |  |  |
|  (Requirements Pwr. Supply Proj.) Series 2016 A:  |  |  |
|  5% 10/1/30 <br>| 1775  | 1898  |
|  5% 10/1/31 <br>| 1940  | 2068  |
|  Series 2015 B:  |  |  |
|  5% 10/1/24 <br>| 970  | 1005  |
|  5% 10/1/27 <br>| 1455  | 1536  |
|  Greater Orlando Aviation Auth. Arpt. Facilities Rev.:  |  |  |
|  Series 2017 A, 5% 10/1/28 (Pre-Refunded to 10/1/27 @ 100) (c)  | 3380  | 3669  |
|  Series 2019 A:  |  |  |
|  5% 10/1/31 (c) <br>| 4225  | 4547  |
|  5% 10/1/44 (c) <br>| 14200  | 14535  |
|  Halifax Hosp. Med. Ctr. Rev. Series 2015:  |  |  |
|  5% 6/1/28 (Pre-Refunded to 6/1/25 @ 100)  | 1245  | 1312  |
|  5% 6/1/35 (Pre-Refunded to 6/1/25 @ 100)  | 2430  | 2560  |
|  Hillsborough Co. Sldwst and Resource Receivables Series 2016 A:  |  |  |
|  5% 9/1/23 (c)  | 1940  | 1958  |
|  5% 9/1/24 (c)  | 2135  | 2189  |
|  5% 9/1/25 (c)  | 2150  | 2238  |
|  5% 9/1/26 (c)  | 2200  | 2322  |
|  Hillsborough County Port District Series 2018 B, 5% 6/1/38 (c)  | 3285  | 3406  |
|  Hillsborough County School Board Ctfs. of Prtn. Series 2020 A, 5% 7/1/29  | 6955  | 7796  |
|  Indian River County School Board Ctfs. of Prtn. Series 2014:  |  |  |
|  5% 7/1/24  | 2595  | 2667  |
|  5% 7/1/25  | 1940  | 2040  |
|  Jacksonville Elec. Auth. Elec. Sys. Rev.:  |  |  |
|  Series 2017 B, 5% 10/1/26  | 6680  | 7200  |
|  Series A:  |  |  |
|  4% 10/1/35 <br>| 5000  | 5026  |
|  5% 10/1/30 <br>| 5055  | 5688  |
|  5% 10/1/31 <br>| 2625  | 2945  |
|  5% 10/1/32 <br>| 4385  | 4892  |
|  JEA Wtr. & Swr. Sys. Rev. Series 2020 A, 3% 10/1/36  | 5000  | 4536  |
|  Lake County School Board Ctfs. of Prtn. Series 2014 A:  |  |  |
|  5% 6/1/25 (Pre-Refunded to 6/1/24 @ 100)  | 970  | 999  |
|  5% 6/1/26 (Pre-Refunded to 6/1/24 @ 100)  | 1750  | 1803  |
|  5% 6/1/28 (Pre-Refunded to 6/1/24 @ 100)  | 485  | 500  |
|  Lee County Arpt. Rev. Series 2021 A, 5% 10/1/23 (c)  | 1330  | 1341  |
|  Lee Memorial Health Sys. Hosp. Rev.:  |  |  |
|  Bonds Series 2019 A2, 5%, tender 4/1/26 (b)  | 11585  | 11844  |
|  Series 2019 A1:  |  |  |
|  5% 4/1/33 <br>| 1650  | 1770  |
|  5% 4/1/34 <br>| 3250  | 3474  |
|  5% 4/1/35 <br>| 6325  | 6719  |
|  5% 4/1/37 <br>| 2190  | 2297  |
|  5% 4/1/39 <br>| 1500  | 1561  |
|  Manatee County School District Series 2017, 5% 10/1/25 (Assured Guaranty Muni. Corp. Insured)  | 1940  | 2053  |
|  Miami-Dade County Series 2021 B2, 4% 10/1/38  | 3000  | 2941  |
|  Miami-Dade County Aviation Rev.:  |  |  |
|  Series 2012 A:  |  |  |
|  5% 10/1/23 (c) <br>| 250  | 252  |
|  5% 10/1/24 (c) <br>| 9710  | 9764  |
|  5% 10/1/24 <br>| 2100  | 2103  |
|  Series 2014 A:  |  |  |
|  5% 10/1/27 (c) <br>| 1770  | 1814  |
|  5% 10/1/29 (c) <br>| 2725  | 2783  |
|  5% 10/1/33 (c) <br>| 5440  | 5517  |
|  5% 10/1/37 <br>| 7185  | 7328  |
|  Series 2015 A:  |  |  |
|  5% 10/1/35 (c) <br>| 2430  | 2445  |
|  5% 10/1/38 (c) <br>| 1335  | 1355  |
|  Series 2016 A:  |  |  |
|  5% 10/1/30 <br>| 2430  | 2603  |
|  5% 10/1/31 <br>| 970  | 1036  |
|  Series 2017 B, 5% 10/1/40 (c)  | 3190  | 3241  |
|  Series 2020 A:  |  |  |
|  4% 10/1/36 <br>| 2000  | 1980  |
|  4% 10/1/38 <br>| 2250  | 2191  |
|  5% 10/1/32 <br>| 2150  | 2383  |
|  5% 10/1/33 <br>| 3325  | 3661  |
|  Miami-Dade County Cap. Asset Acquisition:  |  |  |
|  Series 2016:  |  |  |
|  5% 10/1/28 <br>| 5385  | 5758  |
|  5% 10/1/29 <br>| 3985  | 4238  |
|  5% 10/1/30 <br>| 7215  | 7631  |
|  Series 2021 A:  |  |  |
|  4% 4/1/44 <br>| 8990  | 8541  |
|  4% 4/1/46 <br>| 9860  | 9328  |
|  Miami-Dade County Expressway Auth.:  |  |  |
|  Series 2010 A, 5% 7/1/40  | 7965  | 7814  |
|  Series 2014 A, 5% 7/1/44  | 2815  | 2838  |
|  Series 2016 A:  |  |  |
|  5% 7/1/32 <br>| 3865  | 4041  |
|  5% 7/1/33 <br>| 3205  | 3346  |
|  Series A:  |  |  |
|  5% 7/1/31 <br>| 1455  | 1524  |
|  5% 7/1/34 <br>| 970  | 1010  |
|  Miami-Dade County Gen. Oblig.:  |  |  |
|  (Parks Prog.) Series 2015 A, 5% 11/1/23  | 3955  | 4023  |
|  Series 2016 A:  |  |  |
|  5% 7/1/29 <br>| 10905  | 12410  |
|  5% 7/1/31 <br>| 11690  | 13333  |
|  Miami-Dade County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds:  |  |  |
|  (Waste Mgmt., Inc. of Florida Proj.) Series 2018, 0.4%, tender 8/1/23 (b)(c)  | 1950  | 1903  |
|  (Waste Mgmt., Inc. Proj.) Series 2018 A, 4.035%, tender 7/1/24 (b)(c)  | 9620  | 9328  |
|  Series 2018 B, 4.035%, tender 7/1/24 (b)(c)  | 12500  | 12121  |
|  Miami-Dade County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2014 D:  |  |  |
|  5% 11/1/24 <br>| 11340  | 11780  |
|  5% 11/1/25 <br>| 11880  | 12285  |
|  5% 11/1/26 <br>| 7720  | 7986  |
|  Series 2015 A, 5% 5/1/27 (Assured Guaranty Muni. Corp. Insured)  | 4100  | 4298  |
|  Series 2015 B, 5% 5/1/28  | 13295  | 13821  |
|  Series 2015 D:  |  |  |
|  5% 2/1/29 <br>| 3935  | 4134  |
|  5% 2/1/30 <br>| 6310  | 6627  |
|  Series 2016 A:  |  |  |
|  5% 8/1/27 <br>| 7340  | 7825  |
|  5% 5/1/31 <br>| 19200  | 20212  |
|  Orange County Health Facilities Auth. Series 2016 A, 5% 10/1/39  | 4180  | 4296  |
|  Orange County School Board Ctfs. of Prtn. Series 2015 C, 5% 8/1/29 (Pre-Refunded to 8/1/25 @ 100)  | 6800  | 7200  |
|  Orlando Utils. Commission Util. Sys. Rev. Series 2012 A:  |  |  |
|  5% 10/1/23  | 1650  | 1675  |
|  5% 10/1/25  | 875  | 929  |
|  Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014:  |  |  |
|  5% 12/1/23 (Escrowed to Maturity)  | 330  | 336  |
|  5% 12/1/24 (Escrowed to Maturity)  | 660  | 684  |
|  Palm Beach County Health Facilities Auth. Rev. Series 2015 C:  |  |  |
|  5% 5/15/25  | 1805  | 1801  |
|  5% 5/15/30  | 1670  | 1614  |
|  Palm Beach County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2014 B, 5% 8/1/25  | 3110  | 3277  |
|  Series 2015 B:  |  |  |
|  5% 8/1/25 <br>| 1580  | 1665  |
|  5% 8/1/26 <br>| 10160  | 10688  |
|  5% 8/1/27 <br>| 8045  | 8463  |
|  5% 8/1/28 <br>| 5325  | 5598  |
|  Series 2015 D:  |  |  |
|  5% 8/1/26 <br>| 23370  | 24584  |
|  5% 8/1/27 <br>| 10595  | 11146  |
|  5% 8/1/28 <br>| 3620  | 3805  |
|  Series 2017 A, 5% 8/1/26  | 21905  | 23538  |
|  Series 2018 A:  |  |  |
|  5% 8/1/23 <br>| 1115  | 1128  |
|  5% 8/1/24 <br>| 1270  | 1311  |
|  5% 8/1/25 <br>| 4550  | 4795  |
|  5% 8/1/26 <br>| 1880  | 2020  |
|  Series 2021 A:  |  |  |
|  5% 8/1/38 <br>| 3720  | 4107  |
|  5% 8/1/39 <br>| 7440  | 8170  |
|  Pasco County Gen. Oblig. (Jail Projs.) Series 2021 B:  |  |  |
|  5% 10/1/32  | 2175  | 2515  |
|  5% 10/1/34  | 2400  | 2731  |
|  5% 10/1/38  | 2905  | 3210  |
|  5% 10/1/39  | 3060  | 3375  |
|  5% 10/1/40  | 3215  | 3513  |
|  Pasco County School Board Ctfs. of Prtn. Series 2020 C:  |  |  |
|  5% 8/1/33 (Assured Guaranty Muni. Corp. Insured)  | 3000  | 3398  |
|  5% 8/1/34 (Assured Guaranty Muni. Corp. Insured)  | 2250  | 2534  |
|  Pinellas County Idr (Drs. Kiran & Pallavi Patel 2017 Foundation for Global Understanding, Inc. Proj.) Series 2019:  |  |  |
|  5% 7/1/29  | 500  | 505  |
|  5% 7/1/39  | 1000  | 957  |
|  Saint Lucie County School Board Ctfs. of Prtn. Series 2013 A:  |  |  |
|  5% 7/1/25  | 1940  | 1957  |
|  5% 7/1/27  | 4130  | 4166  |
|  Seminole County School Board Ctfs. of Prtn. Series 2016 C:  |  |  |
|  5% 7/1/23  | 1940  | 1959  |
|  5% 7/1/24  | 1700  | 1754  |
|  South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015, 5% 10/1/30  | 3885  | 4156  |
|  South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017:  |  |  |
|  5% 8/15/24  | 2460  | 2539  |
|  5% 8/15/25  | 3980  | 4162  |
|  Tallahassee Health Facilities Rev. Series 2015 A, 5% 12/1/40  | 1750  | 1764  |
|  Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2001 A, 6% 10/1/29  | 2430  | 2922  |
|  Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A:  |  |  |
|  4% 10/15/35  | 400  | 399  |
|  4% 10/15/36  | 375  | 371  |
|  4% 10/15/38  | 750  | 730  |
|  4% 10/15/39  | 1000  | 968  |
|  5% 10/15/44  | 1365  | 1422  |
|  5% 10/15/49  | 2560  | 2648  |
|  Volusia County School Board Ctfs. of Prtn.:  |  |  |
|  (Florida Master Lease Prog.) Series 2016 A, 5% 8/1/32 (Build America Mutual Assurance Insured)  | 4855  | 5135  |
|  Series 2019:  |  |  |
|  5% 8/1/23 <br>| 3450  | 3486  |
|  5% 8/1/24 <br>| 1800  | 1857  |
|  TOTAL FLORIDA  |  | 809655  |
| Georgia - 3.2%  |  |  |
|  Atlanta Arpt. Rev.:  |  |  |
|  Series 2020 A:  |  |  |
|  5% 7/1/26 <br>| 4290  | 4624  |
|  5% 7/1/27 <br>| 9365  | 10275  |
|  Series 2021 C:  |  |  |
|  4% 7/1/38 (c) <br>| 745  | 708  |
|  5% 7/1/23 (c) <br>| 690  | 695  |
|  5% 7/1/25 (c) <br>| 710  | 738  |
|  5% 7/1/32 (c) <br>| 1750  | 1909  |
|  5% 7/1/33 (c) <br>| 1050  | 1142  |
|  5% 7/1/34 (c) <br>| 750  | 811  |
|  5% 7/1/35 (c) <br>| 1000  | 1073  |
|  5% 7/1/36 (c) <br>| 1050  | 1119  |
|  5% 7/1/37 (c) <br>| 1115  | 1180  |
|  Atlanta Gen. Oblig. Series 2022 A1, 5% 12/1/34  | 2250  | 2631  |
|  Atlanta Wtr. & Wastewtr. Rev. Series 2015:  |  |  |
|  5% 11/1/27  | 970  | 1021  |
|  5% 11/1/29  | 2430  | 2550  |
|  Bartow County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Bowen Proj.) Series 2013, 2.875%, tender 8/19/25 (b)  | 11435  | 11179  |
|  Brookhaven Dev. Auth. Rev. Series 2019 A:  |  |  |
|  5% 7/1/24  | 1750  | 1802  |
|  5% 7/1/27  | 1500  | 1644  |
|  5% 7/1/38  | 2000  | 2162  |
|  5% 7/1/39  | 1250  | 1343  |
|  Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Vogtle Proj.):  |  |  |
|  Series 1994, 2.25%, tender 5/25/23 (b)  | 2000  | 1989  |
|  Series 2008, 2.925%, tender 3/12/24 (b)  | 5000  | 4943  |
|  Series 2012:  |  |  |
|  1.7%, tender 8/22/24 (b) <br>| 9660  | 9334  |
|  2.875%, tender 8/19/25 (b) <br>| 3575  | 3528  |
|  Series 2013 1st, 2.925%, tender 3/12/24 (b)  | 7770  | 7682  |
|  Columbus Med. Ctr. Hosp. Auth. Bonds (Piedmont Healthcare, Inc. Proj.):  |  |  |
|  Series 2019 A, 5%, tender 7/1/26 (b)  | 12665  | 13310  |
|  Series 2019 B, 5%, tender 7/1/29 (b)  | 10100  | 11017  |
|  DeKalb County Wtr. & Swr. Rev. Series 2011 A, 5.25% 10/1/25  | 1435  | 1436  |
|  DeKalb Private Hosp. Auth. Rev. Series 2019 B:  |  |  |
|  5% 7/1/24  | 1000  | 1030  |
|  5% 7/1/26  | 1000  | 1077  |
|  5% 7/1/28  | 2000  | 2230  |
|  Fulton County Dev. Auth. Rev.:  |  |  |
|  Series 2019 C:  |  |  |
|  5% 7/1/27 <br>| 3035  | 3326  |
|  5% 7/1/36 <br>| 1300  | 1424  |
|  5% 7/1/37 <br>| 1600  | 1739  |
|  5% 7/1/39 <br>| 1250  | 1343  |
|  Series 2019, 5% 6/15/44  | 2365  | 2551  |
|  Gainesville & Hall County Hosp. Auth. Rev. Series 2020 A, 4% 2/15/37  | 1080  | 1068  |
|  Georgia Gen. Oblig. Series 2020 A:  |  |  |
|  4% 8/1/34  | 8545  | 9037  |
|  4% 8/1/35  | 15000  | 15706  |
|  Georgia Muni. Elec. Auth. Pwr. Rev.:  |  |  |
|  Series 2019 A:  |  |  |
|  5% 1/1/27 <br>| 990  | 1052  |
|  5% 1/1/28 <br>| 520  | 559  |
|  5% 1/1/29 <br>| 1140  | 1240  |
|  5% 1/1/31 <br>| 700  | 761  |
|  5% 1/1/32 <br>| 515  | 556  |
|  5% 1/1/33 <br>| 1200  | 1286  |
|  Series 2020 A:  |  |  |
|  4% 1/1/34 <br>| 1870  | 1870  |
|  5% 11/1/27 <br>| 600  | 648  |
|  5% 11/1/28 <br>| 820  | 895  |
|  5% 11/1/29 <br>| 935  | 1033  |
|  5% 1/1/31 <br>| 1000  | 1109  |
|  5% 1/1/31 <br>| 1250  | 1386  |
|  5% 1/1/32 <br>| 1150  | 1268  |
|  5% 1/1/32 <br>| 1000  | 1102  |
|  5% 1/1/33 <br>| 1000  | 1096  |
|  5% 1/1/35 <br>| 1000  | 1080  |
|  Series 2021 A:  |  |  |
|  4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) <br>| 1710  | 1571  |
|  4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) <br>| 1100  | 1011  |
|  4% 1/1/51 <br>| 630  | 528  |
|  5% 1/1/56 <br>| 1635  | 1608  |
|  5% 1/1/56 <br>| 560  | 542  |
|  5% 1/1/56 <br>| 820  | 813  |
|  5% 1/1/62 (Assured Guaranty Muni. Corp. Insured) <br>| 3345  | 3405  |
|  5% 1/1/62 (Assured Guaranty Muni. Corp. Insured) <br>| 2000  | 2036  |
|  5% 1/1/63 <br>| 1485  | 1427  |
|  Series 2022 A, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured)  | 2845  | 3056  |
|  Series GG:  |  |  |
|  5% 1/1/24 <br>| 3520  | 3524  |
|  5% 1/1/25 <br>| 1215  | 1216  |
|  5% 1/1/26 <br>| 4855  | 4860  |
|  Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.) Series 2014 U, 5% 10/1/24  | 1360  | 1412  |
|  Glynn-Brunswick Memorial Hosp. Auth. Rev. (Southeast Georgia Health Sys. Proj.) Series 2020, 4% 8/1/38  | 2000  | 1834  |
|  Main Street Natural Gas, Inc.:  |  |  |
|  Bonds:  |  |  |
|  Series 2018 C, 4%, tender 12/1/23 (b) <br>| 28250  | 28229  |
|  Series 2019 B, 4%, tender 12/2/24 (b) <br>| 26260  | 26261  |
|  Series 2021 A, 4%, tender 9/1/27 (b) <br>| 37145  | 36841  |
|  Series 2022 B, 5%, tender 6/1/29 (b) <br>| 14495  | 14964  |
|  Series 2022 E, 4%, tender 12/1/29 (b) <br>| 28790  | 28002  |
|  Series 2018 A, 4% 3/1/23  | 1700  | 1700  |
|  Series 2022 A, 4% 12/1/29  | 3515  | 3441  |
|  Private Colleges & Univs. Auth. Rev.:  |  |  |
|  (The Savannah College of Art & Design Projs.) Series 2021:  |  |  |
|  4% 4/1/39 <br>| 955  | 926  |
|  4% 4/1/41 <br>| 1500  | 1413  |
|  5% 4/1/32 <br>| 800  | 890  |
|  5% 4/1/34 <br>| 2420  | 2671  |
|  Series 2020 B, 5% 9/1/34  | 3500  | 3984  |
|  TOTAL GEORGIA  |  | 337482  |
| Hawaii - 0.7%  |  |  |
|  Hawaii Arpts. Sys. Rev. Series 2020 A:  |  |  |
|  4% 7/1/36 (c)  | 925  | 885  |
|  4% 7/1/37 (c)  | 1385  | 1302  |
|  4% 7/1/38 (c)  | 1400  | 1311  |
|  4% 7/1/39 (c)  | 1500  | 1401  |
|  4% 7/1/40 (c)  | 535  | 495  |
|  5% 7/1/33 (c)  | 6795  | 7311  |
|  Hawaii Gen. Oblig.:  |  |  |
|  Series 2019 FW:  |  |  |
|  5% 1/1/31 <br>| 1250  | 1406  |
|  5% 1/1/35 <br>| 5000  | 5537  |
|  Series 2019, 5% 1/1/30  | 5140  | 5798  |
|  Series 2020 A:  |  |  |
|  4% 7/1/33 (c) <br>| 1000  | 1024  |
|  4% 7/1/35 (c) <br>| 280  | 283  |
|  Honolulu City & County Gen. Oblig.:  |  |  |
|  Series 2017 D, 5% 9/1/26  | 3110  | 3371  |
|  Series 2019 A:  |  |  |
|  5% 9/1/27 <br>| 2000  | 2208  |
|  5% 9/1/30 <br>| 6500  | 7288  |
|  Series 2019 D, 5% 8/1/26  | 4500  | 4869  |
|  Series 2020 F:  |  |  |
|  5% 7/1/33 <br>| 1955  | 2239  |
|  5% 7/1/34 <br>| 860  | 980  |
|  Series 2022 A:  |  |  |
|  5% 11/1/23 <br>| 2220  | 2259  |
|  5% 11/1/25 <br>| 2620  | 2791  |
|  5% 11/1/26 <br>| 700  | 761  |
|  5% 11/1/27 <br>| 2630  | 2913  |
|  5% 11/1/28 <br>| 4210  | 4737  |
|  Series C:  |  |  |
|  4% 7/1/34 <br>| 850  | 894  |
|  4% 7/1/37 <br>| 750  | 764  |
|  4% 7/1/39 <br>| 1200  | 1196  |
|  4% 7/1/40 <br>| 1250  | 1232  |
|  Univ. Hawaii Rev.:  |  |  |
|  Series 2020 B:  |  |  |
|  5% 10/1/29 <br>| 4695  | 5350  |
|  5% 10/1/30 <br>| 4280  | 4954  |
|  Series 2020 D, 5% 10/1/29  | 1025  | 1168  |
|  TOTAL HAWAII  |  | 76727  |
| Idaho - 0.1%  |  |  |
|  Idaho Hsg. & Fin. Assoc. Single Family Mtg.:  |  |  |
|  (Idaho St Garvee Proj.) Series 2017 A:  |  |  |
|  5% 7/15/23 <br>| 1575  | 1592  |
|  5% 7/15/24 <br>| 1260  | 1301  |
|  5% 7/15/25 <br>| 1260  | 1329  |
|  5% 7/15/27 <br>| 3140  | 3426  |
|  Series 2019 A, 4% 1/1/50  | 785  | 786  |
|  Series 2021 A:  |  |  |
|  4% 7/15/36 <br>| 2250  | 2269  |
|  4% 7/15/37 <br>| 750  | 752  |
|  4% 7/15/38 <br>| 1750  | 1745  |
|  4% 7/15/39 <br>| 1500  | 1484  |
|  TOTAL IDAHO  |  | 14684  |
| Illinois - 9.8%  |  |  |
|  Champaign County Cmnty. Unit Series 2020 A:  |  |  |
|  0% 1/1/26  | 800  | 723  |
|  0% 1/1/28  | 575  | 483  |
|  Chicago Board of Ed.:  |  |  |
|  Series 2012 A, 5% 12/1/42  | 1880  | 1800  |
|  Series 2015 C, 5.25% 12/1/39  | 1455  | 1448  |
|  Series 2016 B, 6.5% 12/1/46  | 700  | 738  |
|  Series 2017 A, 7% 12/1/46 (d)  | 2400  | 2600  |
|  Series 2017 C, 5% 12/1/26  | 905  | 927  |
|  Series 2017 D, 5% 12/1/27  | 2500  | 2554  |
|  Series 2017 H:  |  |  |
|  5% 12/1/36 <br>| 5215  | 5233  |
|  5% 12/1/46 <br>| 3275  | 3113  |
|  Series 2018 A:  |  |  |
|  5% 12/1/24 <br>| 560  | 570  |
|  5% 12/1/27 <br>| 6280  | 6416  |
|  5% 12/1/33 <br>| 700  | 711  |
|  5% 12/1/34 <br>| 1400  | 1413  |
|  Series 2018 C:  |  |  |
|  5% 12/1/24 <br>| 725  | 738  |
|  5% 12/1/26 <br>| 4625  | 4736  |
|  5% 12/1/46 <br>| 11410  | 10836  |
|  Series 2019 A:  |  |  |
|  5% 12/1/24 <br>| 2300  | 2342  |
|  5% 12/1/28 <br>| 6520  | 6679  |
|  5% 12/1/28 <br>| 510  | 522  |
|  5% 12/1/29 <br>| 930  | 954  |
|  5% 12/1/30 <br>| 1335  | 1368  |
|  5% 12/1/30 <br>| 900  | 922  |
|  5% 12/1/32 <br>| 1250  | 1276  |
|  Series 2021 B, 5% 12/1/31  | 3250  | 3330  |
|  Series 2022 A, 5% 12/1/47  | 11070  | 10643  |
|  Chicago Gen. Oblig.:  |  |  |
|  Series 2019 A, 5.5% 1/1/35  | 2000  | 2098  |
|  Series 2020 A, 5% 1/1/31  | 1600  | 1686  |
|  Series 2021 A:  |  |  |
|  5% 1/1/31 <br>| 7690  | 8152  |
|  5% 1/1/34 <br>| 4995  | 5260  |
|  Series 2023 A:  |  |  |
|  4% 1/1/35 (f) <br>| 8000  | 7548  |
|  5% 1/1/34 (f) <br>| 7000  | 7330  |
|  5% 1/1/35 (f) <br>| 2460  | 2552  |
|  5.25% 1/1/36 (f) <br>| 1500  | 1564  |
|  Chicago Midway Arpt. Rev.:  |  |  |
|  Series 2014 A:  |  |  |
|  5% 1/1/30 (c) <br>| 2980  | 3005  |
|  5% 1/1/32 (c) <br>| 6310  | 6348  |
|  Series 2014 B, 5% 1/1/24  | 3235  | 3293  |
|  Series 2016 A:  |  |  |
|  5% 1/1/29 (c) <br>| 2155  | 2227  |
|  5% 1/1/30 (c) <br>| 3290  | 3395  |
|  5% 1/1/31 (c) <br>| 3850  | 3971  |
|  Series 2016 B, 5% 1/1/41  | 3390  | 3429  |
|  Chicago O'Hare Int'l. Arpt. Rev.:  |  |  |
|  Series 2015 A, 5% 1/1/24 (c)  | 1045  | 1059  |
|  Series 2015 B, 5% 1/1/32  | 5235  | 5424  |
|  Series 2015 C, 5% 1/1/24 (c)  | 1245  | 1262  |
|  Series 2016 C:  |  |  |
|  5% 1/1/23 <br>| 2595  | 2595  |
|  5% 1/1/24 <br>| 1455  | 1484  |
|  5% 1/1/25 <br>| 2285  | 2382  |
|  5% 1/1/26 <br>| 1940  | 2067  |
|  5% 1/1/33 <br>| 2305  | 2422  |
|  5% 1/1/34 <br>| 2670  | 2797  |
|  Series 2016 D, 5% 1/1/52  | 6740  | 6824  |
|  Series 2017 D:  |  |  |
|  5% 1/1/27 (c) <br>| 2415  | 2540  |
|  5% 1/1/28 (c) <br>| 460  | 482  |
|  5% 1/1/31 (c) <br>| 2850  | 2978  |
|  5% 1/1/33 (c) <br>| 1455  | 1516  |
|  Series 2018 A:  |  |  |
|  5% 1/1/48 (c) <br>| 3585  | 3633  |
|  5% 1/1/53 (c) <br>| 6110  | 6156  |
|  Series 2018 B, 5% 1/1/53  | 2155  | 2194  |
|  Series 2020 A, 4% 1/1/36 (Assured Guaranty Muni. Corp. Insured)  | 5000  | 5016  |
|  Chicago O'Hare Int'l. Arpt. Spl. Facilities Rev. Series 2018, 5% 7/1/38 (c)  | 2470  | 2482  |
|  Chicago Transit Auth. Cap. Grant Receipts Rev.:  |  |  |
|  Series 2017, 5% 6/1/23  | 1520  | 1530  |
|  Series 2021:  |  |  |
|  5% 6/1/27 <br>| 2250  | 2389  |
|  5% 6/1/28 <br>| 2500  | 2688  |
|  Chicago Wastewtr. Transmission Rev. Series 2012, 5% 1/1/23  | 1260  | 1260  |
|  Chicago Wtr. Rev. Series 2017, 5.25% 11/1/33 (Assured Guaranty Muni. Corp. Insured)  | 990  | 998  |
|  Cook County Gen. Oblig.:  |  |  |
|  Series 2021 A:  |  |  |
|  5% 11/15/23 <br>| 1050  | 1064  |
|  5% 11/15/24 <br>| 1150  | 1187  |
|  5% 11/15/25 <br>| 1150  | 1212  |
|  5% 11/15/26 <br>| 2300  | 2457  |
|  Series 2021 B:  |  |  |
|  4% 11/15/26 <br>| 1575  | 1622  |
|  4% 11/15/27 <br>| 1585  | 1639  |
|  4% 11/15/28 <br>| 795  | 824  |
|  Series 2022 A:  |  |  |
|  5% 11/15/29 <br>| 4365  | 4845  |
|  5% 11/15/33 <br>| 1425  | 1584  |
|  Cook County Sales Tax Rev.:  |  |  |
|  Series 2022 B, 5% 11/15/32  | 405  | 461  |
|  Series 2022 B, 5% 11/15/34  | 300  | 334  |
|  Series 2022 B:  |  |  |
|  5% 11/15/35 <br>| 850  | 939  |
|  5% 11/15/36 <br>| 1725  | 1893  |
|  Cook, Kane Lake & McHenry Countys Cmnty. College District #512 Series 2017 B, 5% 12/1/24  | 5140  | 5353  |
|  Grundy & Will Counties Cmnty. School Gen. Oblig. Series 2018, 5% 2/1/29  | 1190  | 1292  |
|  Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. Series 1991 A, 0% 7/15/23 (Escrowed to Maturity)  | 28065  | 27594  |
|  Illinois Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2019, 4.4%, tender 11/1/23 (b)(c)  | 38200  | 38306  |
|  Illinois Fin. Auth.:  |  |  |
|  Series 2020 A:  |  |  |
|  5% 8/15/30 <br>| 2170  | 2465  |
|  5% 8/15/31 <br>| 1060  | 1200  |
|  5% 8/15/32 <br>| 1500  | 1694  |
|  5% 8/15/33 <br>| 1250  | 1407  |
|  Series 2021 A, 4% 7/15/39  | 1500  | 1497  |
|  Series 2022 A:  |  |  |
|  5% 8/15/38 <br>| 2700  | 2952  |
|  5% 8/15/39 <br>| 3300  | 3590  |
|  Illinois Fin. Auth. Rev.:  |  |  |
|  (Bradley Univ. Proj.) Series 2017 C, 5% 8/1/24  | 1480  | 1503  |
|  (Centegra Health Sys. Proj.) Series 2014 A, 5% 9/1/34 (Pre-Refunded to 9/1/24 @ 100)  | 585  | 606  |
|  (Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A:  |  |  |
|  5% 7/15/25 <br>| 1385  | 1456  |
|  5% 7/15/26 <br>| 1940  | 2076  |
|  5% 7/15/28 <br>| 2040  | 2243  |
|  (OSF Healthcare Sys.) Series 2018 A:  |  |  |
|  5% 5/15/29 <br>| 9870  | 10649  |
|  5% 5/15/30 <br>| 9845  | 10564  |
|  5% 5/15/31 <br>| 21400  | 22825  |
|  (Presence Health Proj.) Series 2016 C:  |  |  |
|  5% 2/15/26 <br>| 2590  | 2756  |
|  5% 2/15/28 <br>| 6800  | 7346  |
|  5% 2/15/29 <br>| 10570  | 11350  |
|  5% 2/15/36 <br>| 2200  | 2319  |
|  (Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C, 5% 8/1/49  | 845  | 820  |
|  (Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34  | 1980  | 2028  |
|  (Silver Cross Health Sys. Proj.) Series 2015 C, 5% 8/15/27  | 875  | 909  |
|  Series 2013:  |  |  |
|  5% 11/15/26 <br>| 2600  | 2602  |
|  5% 11/15/29 <br>| 780  | 780  |
|  Series 2015 A:  |  |  |
|  5% 5/15/25 <br>| 760  | 758  |
|  5% 11/15/27 <br>| 1015  | 1062  |
|  5% 11/15/28 <br>| 1215  | 1268  |
|  5% 11/15/29 <br>| 1830  | 1904  |
|  5% 11/15/32 <br>| 3375  | 3495  |
|  5% 11/15/35 <br>| 1500  | 1533  |
|  Series 2015 B, 5% 11/15/26  | 2940  | 3071  |
|  Series 2015 C:  |  |  |
|  5% 8/15/35 <br>| 5925  | 6041  |
|  5% 8/15/44 <br>| 28260  | 27184  |
|  Series 2016 A:  |  |  |
|  5% 2/15/24 <br>| 1455  | 1486  |
|  5% 2/15/25 <br>| 995  | 1035  |
|  5% 2/15/26 <br>| 1455  | 1542  |
|  5% 7/1/30 (Pre-Refunded to 7/1/26 @ 100) <br>| 2545  | 2744  |
|  5% 8/15/33 (Pre-Refunded to 8/15/26 @ 100) <br>| 3205  | 3452  |
|  5% 7/1/34 (Pre-Refunded to 7/1/26 @ 100) <br>| 1650  | 1779  |
|  5% 7/1/36 (Pre-Refunded to 7/1/26 @ 100) <br>| 5715  | 6161  |
|  5% 2/15/45 <br>| 1600  | 1645  |
|  Series 2016 C:  |  |  |
|  3.75% 2/15/34 <br>| 1250  | 1255  |
|  4% 2/15/36 <br>| 5330  | 5360  |
|  5% 2/15/24 <br>| 565  | 576  |
|  5% 2/15/31 <br>| 1650  | 1767  |
|  5% 2/15/32 <br>| 12195  | 13023  |
|  5% 2/15/33 <br>| 4855  | 5171  |
|  5% 2/15/41 <br>| 6865  | 7057  |
|  Series 2016:  |  |  |
|  4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) <br>| 35  | 37  |
|  5% 5/15/28 <br>| 2380  | 2500  |
|  5% 5/15/29 <br>| 1330  | 1393  |
|  5% 12/1/29 <br>| 1755  | 1835  |
|  5% 12/1/33 <br>| 1900  | 1967  |
|  5% 12/1/40 <br>| 4765  | 4712  |
|  5% 12/1/46 <br>| 3250  | 3131  |
|  Series 2017 A, 5% 8/1/47  | 750  | 732  |
|  Series 2017:  |  |  |
|  5% 7/1/29 <br>| 5030  | 5463  |
|  5% 1/1/30 <br>| 4855  | 5268  |
|  5% 7/1/31 <br>| 8630  | 9329  |
|  Series 2019:  |  |  |
|  5% 9/1/29 <br>| 650  | 674  |
|  5% 9/1/31 <br>| 500  | 516  |
|  5% 9/1/32 <br>| 1000  | 1027  |
|  5% 9/1/34 <br>| 1100  | 1119  |
|  Illinois Gen. Oblig.:  |  |  |
|  Series 2006, 5.5% 1/1/28  | 1410  | 1489  |
|  Series 2012 A, 4% 1/1/23  | 2130  | 2130  |
|  Series 2012, 5% 8/1/23  | 3310  | 3335  |
|  Series 2013, 5.5% 7/1/38  | 3885  | 3894  |
|  Series 2014:  |  |  |
|  5% 4/1/23 <br>| 7400  | 7424  |
|  5% 2/1/26 <br>| 2195  | 2216  |
|  5% 2/1/27 <br>| 2590  | 2613  |
|  5% 4/1/28 <br>| 2070  | 2088  |
|  5% 5/1/28 <br>| 910  | 918  |
|  5% 5/1/32 <br>| 2430  | 2439  |
|  5% 5/1/33 <br>| 6410  | 6430  |
|  5.25% 2/1/31 <br>| 10195  | 10270  |
|  Series 2016:  |  |  |
|  4% 2/1/30 (Assured Guaranty Muni. Corp. Insured) <br>| 12435  | 12537  |
|  5% 2/1/23 <br>| 1530  | 1532  |
|  5% 6/1/25 <br>| 7620  | 7793  |
|  5% 6/1/26 <br>| 1035  | 1065  |
|  5% 2/1/27 <br>| 8355  | 8622  |
|  5% 2/1/28 <br>| 5965  | 6131  |
|  5% 2/1/29 <br>| 5605  | 5735  |
|  5% 1/1/33 <br>| 1085  | 1093  |
|  5% 1/1/35 <br>| 3600  | 3617  |
|  5% 1/1/41 <br>| 2100  | 2068  |
|  5% 11/1/41 <br>| 3900  | 3830  |
|  Series 2017 A, 5% 12/1/38  | 1250  | 1243  |
|  Series 2017 D, 5% 11/1/25  | 12765  | 13085  |
|  Series 2019 B:  |  |  |
|  5% 9/1/23 <br>| 5580  | 5627  |
|  5% 9/1/24 <br>| 5580  | 5680  |
|  Series 2020 B:  |  |  |
|  4% 10/1/32 <br>| 3610  | 3409  |
|  5% 10/1/30 <br>| 11425  | 11783  |
|  Series 2020 C, 4.125% 10/1/36  | 1500  | 1382  |
|  Series 2021 A, 5% 3/1/30  | 2000  | 2064  |
|  Series 2021 C, 4% 3/1/23  | 7040  | 7044  |
|  Series 2022 A:  |  |  |
|  5% 3/1/30 <br>| 10690  | 11033  |
|  5% 3/1/35 <br>| 8775  | 8884  |
|  5.25% 3/1/37 <br>| 4590  | 4690  |
|  Series 2022 B:  |  |  |
|  5% 3/1/29 <br>| 3650  | 3773  |
|  5% 3/1/30 <br>| 15000  | 15482  |
|  5% 3/1/31 <br>| 23510  | 24239  |
|  5% 3/1/32 <br>| 6160  | 6310  |
|  5% 3/1/33 <br>| 14300  | 14567  |
|  5% 3/1/34 <br>| 30000  | 30461  |
|  5% 3/1/36 <br>| 18040  | 18191  |
|  Illinois Hsg. Dev. Auth. Series 2022 A, 3.5% 4/1/52  | 14260  | 14004  |
|  Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Series 2019, 2.9% 7/1/35  | 8652  | 7682  |
|  Illinois Hsg. Dev. Auth. Rev.:  |  |  |
|  Series 2019 C, 5% 4/1/28  | 1200  | 1306  |
|  Series D, 3.75% 4/1/50  | 1710  | 1703  |
|  Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A:  |  |  |
|  5% 2/1/28  | 9710  | 10180  |
|  5% 2/1/31  | 3465  | 3606  |
|  Illinois Sales Tax Rev.:  |  |  |
|  Series 2013, 5% 6/15/24  | 8000  | 8045  |
|  Series 2021 C:  |  |  |
|  5% 6/15/23 <br>| 1480  | 1490  |
|  5% 6/15/24 <br>| 1710  | 1743  |
|  5% 6/15/25 <br>| 985  | 1014  |
|  5% 6/15/26 <br>| 1500  | 1562  |
|  5% 6/15/27 <br>| 3000  | 3153  |
|  Illinois Toll Hwy. Auth. Toll Hwy. Rev.:  |  |  |
|  Series 2014 D, 5% 1/1/24  | 5890  | 6011  |
|  Series 2016 A, 5% 12/1/31  | 1735  | 1834  |
|  Series 2019 A, 5% 1/1/44  | 3730  | 3890  |
|  Series 2019 C, 5% 1/1/31  | 4350  | 4919  |
|  Series A:  |  |  |
|  5% 1/1/39 <br>| 2100  | 2237  |
|  5% 1/1/41 <br>| 4580  | 4836  |
|  Series C:  |  |  |
|  5% 1/1/25 <br>| 3900  | 4070  |
|  5% 1/1/26 <br>| 4650  | 4960  |
|  Kane, McHenry, Cook & DeKalb Counties Unit School District #300:  |  |  |
|  Series 2015, 5% 1/1/26  | 8660  | 8944  |
|  Series 2017, 5% 1/1/29  | 1790  | 1936  |
|  Lake County Forest Preservation District Series 2021, 2% 12/15/33  | 1000  | 821  |
|  McHenry & Kane Counties Cmnty. Consolidated School District #158 Series 2004, 0% 1/1/24 (Assured Guaranty Muni. Corp. Insured)  | 7810  | 7562  |
|  McHenry County Cmnty. School District #200 Series 2006 B:  |  |  |
|  0% 1/15/24  | 3880  | 3740  |
|  0% 1/15/24 (Escrowed to Maturity)  | 3325  | 3223  |
|  0% 1/15/25  | 7510  | 6996  |
|  0% 1/15/26  | 5645  | 5089  |
|  McHenry County Conservation District Gen. Oblig. Series 2014:  |  |  |
|  5% 2/1/24  | 2235  | 2284  |
|  5% 2/1/27  | 5825  | 6077  |
|  Metropolitan Pier & Exposition:  |  |  |
|  (McCormick Place Expansion Proj.):  |  |  |
|  Series 1996 A, 0% 6/15/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 3595  | 3536  |
|  Series 2010 B1: <br>|  |  |
|  0% 6/15/46 (Assured Guaranty Muni. Corp. Insured) <br>| 2160  | 679  |
|  0% 6/15/47 (Assured Guaranty Muni. Corp. Insured) <br>| 3985  | 1185  |
|  Series 2002 A, 0% 6/15/31  | 1755  | 1255  |
|  Series 2002:  |  |  |
|  0% 12/15/23 <br>| 4015  | 3878  |
|  0% 12/15/23 (Escrowed to Maturity) <br>| 100  | 97  |
|  Series 2020 A, 5% 6/15/50  | 38595  | 37596  |
|  Series 2022 A:  |  |  |
|  0% 6/15/36 <br>| 1350  | 708  |
|  0% 6/15/37 <br>| 1395  | 688  |
|  0% 12/15/37 <br>| 1380  | 664  |
|  0% 6/15/38 <br>| 1500  | 699  |
|  0% 12/15/38 <br>| 1500  | 681  |
|  0% 6/15/39 <br>| 1750  | 775  |
|  Railsplitter Tobacco Settlement Auth. Rev. Series 2017:  |  |  |
|  5% 6/1/23  | 10460  | 10537  |
|  5% 6/1/24  | 13685  | 14042  |
|  Univ. of Illinois Rev. Series 2013:  |  |  |
|  6% 10/1/42  | 3785  | 3858  |
|  6.25% 10/1/38  | 3785  | 3868  |
|  Will County Cmnty. Unit School District #365-U Series 2007 B, 0% 11/1/26 (Assured Guaranty Muni. Corp. Insured)  | 5600  | 4918  |
|  TOTAL ILLINOIS  |  | 1042223  |
| Indiana - 1.4%  |  |  |
|  Indiana Dev. Fin. Auth. Envir. Rev. Bonds:  |  |  |
|  (Fulcrum Centerpoint, LLC Proj.) Series 2022, 4.5%, tender 11/15/23 (c)  | 15000  | 14991  |
|  Series 2009 A2, 3.75%, tender 6/1/27 (b)(c)  | 3650  | 3692  |
|  Series 2022 A1, 4.5%, tender 6/1/32 (b)(c)  | 3200  | 3236  |
|  Indiana Fin. Auth. Envir. Facilities Rev. Bonds (Indianapolis Pwr. & Lt. Co. Proj.):  |  |  |
|  Series 2020 A, 0.75%, tender 4/1/26 (b)  | 1550  | 1345  |
|  Series 2020 B, 0.95%, tender 4/1/26 (b)(c)  | 2750  | 2410  |
|  Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (b)  | 5045  | 4922  |
|  Indiana Fin. Auth. Hosp. Rev.:  |  |  |
|  Bonds Series 2011 L, 0.7%, tender 1/1/26 (b)  | 24895  | 23166  |
|  Series 2013, 5% 8/15/25 (Pre-Refunded to 8/15/23 @ 100)  | 3020  | 3055  |
|  Indiana Fin. Auth. Rev.:  |  |  |
|  (Cmnty. Foundation of Northwest Indiana Obligated Group) Series 2016, 5% 9/1/25  | 970  | 1023  |
|  Series 2015, 5% 3/1/36  | 8060  | 8272  |
|  Series 2016:  |  |  |
|  5% 9/1/26 <br>| 970  | 1041  |
|  5% 9/1/29 <br>| 485  | 515  |
|  5% 9/1/36 <br>| 2090  | 2179  |
|  Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.) Series 2015 A:  |  |  |
|  5% 10/1/26  | 2405  | 2484  |
|  5% 10/1/28  | 1145  | 1181  |
|  Indiana Health Facility Fing. Auth. Rev. Bonds Series 2001 A2:  |  |  |
|  2%, tender 2/1/23 (b)  | 8885  | 8877  |
|  2%, tender 2/1/23 (b)  | 45  | 45  |
|  Indiana Hsg. & Cmnty. Dev. Auth.:  |  |  |
|  (Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (d)  | 3640  | 2955  |
|  Series 2021 B, 3% 7/1/50  | 2500  | 2428  |
|  Series A, 3% 7/1/51  | 1745  | 1698  |
|  Indianapolis Local Pub. Impt.:  |  |  |
|  (Indianapolis Arpt. Auth. Proj.) Series 2019 D, 5% 1/1/25 (c)  | 4710  | 4850  |
|  Series 2021 A, 5% 6/1/24  | 1800  | 1845  |
|  Series 2022 G2:  |  |  |
|  5% 1/1/32 (c) <br>| 550  | 601  |
|  5% 1/1/33 (c) <br>| 875  | 955  |
|  5% 1/1/34 (c) <br>| 750  | 815  |
|  5% 1/1/35 (c) <br>| 850  | 916  |
|  5.25% 1/1/36 (c) <br>| 1000  | 1085  |
|  5.25% 1/1/37 (c) <br>| 850  | 914  |
|  5.25% 1/1/38 (c) <br>| 1000  | 1070  |
|  5.25% 1/1/39 (c) <br>| 2075  | 2210  |
|  Indianapolis Thermal Energy Sys. Series 2016 A:  |  |  |
|  5% 10/1/24  | 10585  | 10981  |
|  5% 10/1/25  | 11400  | 12092  |
|  Lake Central Multi-District School Bldg. Corp. Series 2012 B:  |  |  |
|  5% 7/15/23  | 1295  | 1296  |
|  5% 7/15/24 (Pre-Refunded to 1/15/23 @ 100)  | 4065  | 4067  |
|  Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.) Series 2020:  |  |  |
|  5% 4/1/29  | 1185  | 1293  |
|  5% 4/1/30  | 2220  | 2418  |
|  5% 4/1/33  | 1445  | 1565  |
|  Whiting Envir. Facilities Rev. Bonds (BP Products North America, Inc. Proj.):  |  |  |
|  Series 2017, 5%, tender 11/1/24 (b)(c)  | 2500  | 2535  |
|  Series 2019 A, 5%, tender 6/5/26 (b)(c)  | 12305  | 12595  |
|  TOTAL INDIANA  |  | 153618  |
| Iowa - 0.2%  |  |  |
|  Iowa Fin. Auth. Rev.:  |  |  |
|  Series 2021 A, 4% 5/15/28  | 2355  | 2186  |
|  Series A:  |  |  |
|  5% 5/15/43 <br>| 1410  | 1216  |
|  5% 5/15/48 <br>| 2910  | 2411  |
|  Iowa Fin. Auth. Solid Waste Facilities Bonds (Gevo NW Iowa RNG, LLC Renewable Natural Gas Proj.) Series 2021, 1.5%, tender 4/1/24, LOC Citibank NA (b)(c)  | 4130  | 4035  |
|  Iowa Student Ln. Liquidity Corp. Student Ln. Rev. Series 2022 B:  |  |  |
|  5% 12/1/30 (c)  | 2000  | 2197  |
|  5% 12/1/31 (c)  | 2000  | 2201  |
|  5% 12/1/32 (c)  | 2000  | 2205  |
|  TOTAL IOWA  |  | 16451  |
| Kansas - 0.0%  |  |  |
|  Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A:  |  |  |
|  5% 9/1/30  | 970  | 1018  |
|  5% 9/1/32  | 1115  | 1163  |
|  TOTAL KANSAS  |  | 2181  |
| Kentucky - 2.1%  |  |  |
|  Ashland Med. Ctr. Rev. Series 2019:  |  |  |
|  4% 2/1/33  | 1160  | 1147  |
|  5% 2/1/28  | 880  | 935  |
|  5% 2/1/29  | 530  | 567  |
|  5% 2/1/31  | 460  | 488  |
|  Carroll County Envir. Facilities Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2004 A, 1.75%, tender 9/1/26 (b)(c)  | 7955  | 7163  |
|  Kenton County Arpt. Board Arpt. Rev. Series 2016:  |  |  |
|  5% 1/1/25  | 800  | 834  |
|  5% 1/1/26  | 585  | 623  |
|  5% 1/1/29  | 1555  | 1649  |
|  5% 1/1/30  | 1625  | 1721  |
|  Kentucky Bond Dev. Corp. (Lexington Ctr. Corp. Proj.) Series 2018 A:  |  |  |
|  5% 9/1/26  | 1745  | 1872  |
|  5% 9/1/28  | 1880  | 2088  |
|  5% 9/1/30  | 520  | 575  |
|  Kentucky Bond Dev. Corp. Edl. Facilities Series 2021:  |  |  |
|  4% 6/1/32  | 460  | 472  |
|  4% 6/1/33  | 375  | 381  |
|  4% 6/1/35  | 235  | 231  |
|  4% 6/1/38  | 570  | 531  |
|  Kentucky Econ. Dev. Fin. Auth. Series 2019 A1, 5% 8/1/32  | 1105  | 1174  |
|  Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Series 2015 A:  |  |  |
|  5% 6/1/25  | 1725  | 1787  |
|  5% 6/1/26  | 1815  | 1878  |
|  5% 6/1/27  | 1910  | 1972  |
|  5% 6/1/28  | 2005  | 2065  |
|  5% 6/1/29  | 2105  | 2165  |
|  5% 6/1/30  | 2215  | 2278  |
|  Kentucky State Property & Buildings Commission Rev.:  |  |  |
|  (#106 Proj.) Series 2013 A, 5% 10/1/27 (Pre-Refunded to 10/1/23 @ 100)  | 3755  | 3813  |
|  (Kentucky St Proj.):  |  |  |
|  Series D, 5% 5/1/26 <br>| 1180  | 1256  |
|  Series D: <br>|  |  |
|  5% 5/1/27 <br>| 970  | 1049  |
|  5% 5/1/28 <br>| 970  | 1050  |
|  (Proj. No. 112) Series 2016 B, 5% 11/1/27  | 16420  | 17601  |
|  (Proj. No. 119) Series 2018:  |  |  |
|  5% 5/1/28 <br>| 4855  | 5336  |
|  5% 5/1/29 <br>| 565  | 621  |
|  5% 5/1/31 <br>| 1425  | 1569  |
|  Series 2015, 5% 8/1/28  | 1035  | 1086  |
|  Series 2016 A:  |  |  |
|  5% 2/1/29 <br>| 5555  | 5877  |
|  5% 2/1/30 <br>| 5670  | 5994  |
|  5% 2/1/32 <br>| 2230  | 2350  |
|  5% 2/1/33 <br>| 2770  | 2915  |
|  Series 2016 B, 5% 11/1/26  | 4825  | 5177  |
|  Series 2017, 5% 4/1/27  | 4625  | 4997  |
|  Series A:  |  |  |
|  5% 11/1/31 <br>| 2000  | 2203  |
|  5% 11/1/32 <br>| 3000  | 3301  |
|  5% 11/1/33 <br>| 1500  | 1645  |
|  Kentucky Tpk. Auth. Econ. Dev. Road Rev. Series 2022 B:  |  |  |
|  5% 7/1/32  | 400  | 461  |
|  5% 7/1/34  | 400  | 454  |
|  Kentucky, Inc. Pub. Energy Bonds:  |  |  |
|  Series A, 4%, tender 6/1/26 (b)  | 41220  | 40804  |
|  Series C1, 4%, tender 6/1/25 (b)  | 28000  | 27742  |
|  Louisville & Jefferson County:  |  |  |
|  Bonds:  |  |  |
|  Series 2020 B, 5%, tender 10/1/23 (b) <br>| 7565  | 7618  |
|  Series 2020 C, 5%, tender 10/1/26 (b) <br>| 2595  | 2724  |
|  Series 2020 D, 5%, tender 10/1/29 (b) <br>| 3700  | 4014  |
|  Series 2013 A:  |  |  |
|  5.5% 10/1/33 <br>| 2430  | 2460  |
|  5.75% 10/1/38 <br>| 6245  | 6324  |
|  Series 2016 A:  |  |  |
|  5% 10/1/29 <br>| 17585  | 18456  |
|  5% 10/1/32 <br>| 3230  | 3368  |
|  Series 2020 A, 5% 10/1/37  | 4300  | 4461  |
|  Louisville & Jefferson County Metropolitan Govt. Board Wtr. Works Sys. Rev. Series 2022, 5% 11/15/35  | 2980  | 3432  |
|  TOTAL KENTUCKY  |  | 224754  |
| Louisiana - 0.5%  |  |  |
|  Jefferson Parish Consolidated Sewerage District # 1 Rev. Series 2022:  |  |  |
|  4% 2/1/35  | 3465  | 3606  |
|  4% 2/1/36  | 1960  | 2009  |
|  4% 2/1/38  | 1445  | 1431  |
|  4% 2/1/39  | 2890  | 2843  |
|  Louisiana Pub. Facilities Auth. Rev.:  |  |  |
|  (Tulane Univ. of Louisiana Proj.) Series 2016 A, 5% 12/15/23  | 2915  | 2965  |
|  Series 2018 E:  |  |  |
|  5% 7/1/35 <br>| 1655  | 1758  |
|  5% 7/1/36 <br>| 1795  | 1898  |
|  New Orleans Aviation Board Rev.:  |  |  |
|  (North Term. Proj.):  |  |  |
|  Series 2015 B: <br>|  |  |
|  5% 1/1/24 (c) <br>| 2430  | 2464  |
|  5% 1/1/25 (c) <br>| 2915  | 2997  |
|  5% 1/1/27 (c) <br>| 2185  | 2246  |
|  Series 2017 B: <br>|  |  |
|  5% 1/1/29 (c) <br>| 390  | 408  |
|  5% 1/1/31 (c) <br>| 730  | 764  |
|  5% 1/1/36 (c) <br>| 630  | 648  |
|  5% 1/1/37 (c) <br>| 485  | 496  |
|  Series 2017 D2:  |  |  |
|  5% 1/1/26 (c) <br>| 730  | 760  |
|  5% 1/1/29 (c) <br>| 485  | 508  |
|  5% 1/1/30 (c) <br>| 665  | 696  |
|  5% 1/1/32 (c) <br>| 1495  | 1563  |
|  5% 1/1/35 (c) <br>| 1115  | 1151  |
|  5% 1/1/38 (c) <br>| 570  | 582  |
|  St. John Baptist Parish Rev.:  |  |  |
|  (Marathon Oil Corp.) Series 2017, 2.2% 6/1/37 (b)  | 9665  | 8895  |
|  Bonds (Marathon Oil Corp.) Series 2017:  |  |  |
|  2%, tender 4/1/23 (b) <br>| 9120  | 9064  |
|  2.1%, tender 7/1/24 (b) <br>| 4670  | 4524  |
|  TOTAL LOUISIANA  |  | 54276  |
| Maine - 0.1%  |  |  |
|  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)  | 4215  | 4252  |
|  Series 2016 A:  |  |  |
|  4% 7/1/41 <br>| 2030  | 1812  |
|  4% 7/1/46 <br>| 2765  | 2385  |
|  5% 7/1/41 <br>| 860  | 863  |
|  5% 7/1/46 <br>| 865  | 858  |
|  Maine Tpk. Auth. Tpk. Rev. Series 2015:  |  |  |
|  5% 7/1/25  | 2230  | 2356  |
|  5% 7/1/27  | 1940  | 2047  |
|  TOTAL MAINE  |  | 14573  |
| Maryland - 1.7%  |  |  |
|  Baltimore County Gen. Oblig.:  |  |  |
|  Series 2020, 4% 3/1/36  | 7310  | 7539  |
|  Series 2021:  |  |  |
|  5% 3/1/23 <br>| 1245  | 1249  |
|  5% 3/1/25 <br>| 1520  | 1596  |
|  Baltimore Gen. Oblig. Series 2022 A:  |  |  |
|  5% 10/15/35  | 1475  | 1715  |
|  5% 10/15/37  | 865  | 989  |
|  Baltimore Proj. Rev.:  |  |  |
|  Series 2017 C:  |  |  |
|  5% 7/1/28 <br>| 3465  | 3763  |
|  5% 7/1/31 <br>| 6580  | 7123  |
|  5% 7/1/33 <br>| 6635  | 7145  |
|  Series 2017 D, 5% 7/1/33  | 5630  | 6063  |
|  Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.:  |  |  |
|  Series 2019 B, 4% 9/1/49  | 2875  | 2880  |
|  Series 2019 C, 3.5% 3/1/50  | 3340  | 3304  |
|  Maryland Dept. of Trans.:  |  |  |
|  Series 2021 B:  |  |  |
|  5% 8/1/32 (c) <br>| 1250  | 1360  |
|  5% 8/1/33 (c) <br>| 1000  | 1085  |
|  5% 8/1/35 (c) <br>| 1850  | 1979  |
|  5% 8/1/36 (c) <br>| 1000  | 1063  |
|  Series 2022 A:  |  |  |
|  5% 12/1/23 <br>| 2055  | 2095  |
|  5% 12/1/25 <br>| 1400  | 1496  |
|  5% 12/1/28 <br>| 1265  | 1430  |
|  Series 2022 B:  |  |  |
|  5% 12/1/24 <br>| 2370  | 2474  |
|  5% 12/1/25 <br>| 3500  | 3739  |
|  Series 2022, 5% 12/1/26  | 1205  | 1314  |
|  Maryland Econ. Dev. Auth. Rev. (Ports America Chesapeake LLC. Proj.) Series 2017 A:  |  |  |
|  5% 6/1/23  | 1435  | 1444  |
|  5% 6/1/24  | 1455  | 1490  |
|  5% 6/1/25  | 1455  | 1497  |
|  5% 6/1/26  | 1940  | 2020  |
|  5% 6/1/27  | 1310  | 1377  |
|  5% 6/1/31  | 970  | 1026  |
|  5% 6/1/32  | 970  | 1023  |
|  Maryland Econ. Dev. Corp.:  |  |  |
|  (Port Covington Proj.) Series 2020:  |  |  |
|  3.25% 9/1/30 <br>| 500  | 449  |
|  4% 9/1/40 <br>| 2095  | 1776  |
|  4% 9/1/50 <br>| 2625  | 2047  |
|  (Purple Line Lt. Rail Proj.) Series 2022 B:  |  |  |
|  5% 12/31/36 (c) <br>| 3185  | 3240  |
|  5% 12/31/37 (c) <br>| 2500  | 2532  |
|  5% 12/31/38 (c) <br>| 2200  | 2218  |
|  5% 6/30/39 (c) <br>| 3700  | 3712  |
|  5% 12/31/39 (c) <br>| 1700  | 1706  |
|  Maryland Gen. Oblig.:  |  |  |
|  Series 2021 2A, 5% 8/1/29  | 26455  | 30320  |
|  Series 2021 A:  |  |  |
|  4% 8/1/35 <br>| 2575  | 2700  |
|  5% 8/1/33 <br>| 1810  | 2125  |
|  Series 2022 2C:  |  |  |
|  4% 3/1/28 <br>| 7595  | 8104  |
|  5% 3/1/26 <br>| 11000  | 11812  |
|  Series 2022 A:  |  |  |
|  5% 6/1/34 <br>| 1995  | 2354  |
|  5% 6/1/35 <br>| 3765  | 4390  |
|  Maryland Health & Higher Edl. Series 2021 A:  |  |  |
|  4% 6/1/35  | 500  | 481  |
|  4% 6/1/46  | 750  | 651  |
|  4% 6/1/51  | 1000  | 843  |
|  4% 6/1/55  | 1000  | 823  |
|  Maryland Health & Higher Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 7/1/27 <br>| 1000  | 1028  |
|  5% 7/1/28 <br>| 1300  | 1336  |
|  5% 7/1/29 <br>| 2200  | 2261  |
|  5% 7/1/31 <br>| 1000  | 1027  |
|  Series 2016 A:  |  |  |
|  4% 7/1/42 <br>| 1410  | 1238  |
|  5% 7/1/33 <br>| 2185  | 2255  |
|  5% 7/1/34 <br>| 1600  | 1649  |
|  5% 7/1/35 <br>| 605  | 621  |
|  5% 7/1/36 <br>| 1700  | 1741  |
|  Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2020, 5% 7/1/34  | 5650  | 6436  |
|  Washington Metropolitan Area Transit Auth. Series 2021 A:  |  |  |
|  5% 7/15/24  | 3400  | 3514  |
|  5% 7/15/37  | 6750  | 7496  |
|  TOTAL MARYLAND  |  | 184163  |
| Massachusetts - 1.9%  |  |  |
|  Massachusetts Bay Trans. Auth. Sales Tax Rev.:  |  |  |
|  Series 2007 A1, 5.25% 7/1/33  | 1905  | 2330  |
|  Series 2015 A, 5% 7/1/45  | 1535  | 1583  |
|  Series 2016 A, 0% 7/1/32  | 2000  | 1388  |
|  Massachusetts Commonwealth Trans. Fund Rev. (Rail Enhancement Prog.) Series 2021 B:  |  |  |
|  5% 6/1/38  | 10170  | 10978  |
|  5% 6/1/39  | 10765  | 11584  |
|  Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev.:  |  |  |
|  Bonds Series 2019 A, 5%, tender 1/1/23 (b)  | 16960  | 16960  |
|  Series A, 5% 1/1/31  | 7500  | 8370  |
|  Massachusetts Dev. Fin. Agcy. Rev.:  |  |  |
|  (Partners Healthcare Sys., Inc. Proj.):  |  |  |
|  Series 2017 S: <br>|  |  |
|  5% 7/1/24 <br>| 3885  | 4003  |
|  5% 7/1/30 <br>| 3565  | 3916  |
|  Series 2017, 5% 7/1/23 <br>| 1550  | 1565  |
|  Bonds:  |  |  |
|  (Partners Healthcare Sys., Inc. Proj.) Series 2017 S-4, 5%, tender 1/25/24 (b) <br>| 11290  | 11482  |
|  Series A1, 5%, tender 1/31/30 (b) <br>| 10135  | 11292  |
|  Series 2013 A, 6.25% 11/15/28 (Pre-Refunded to 11/15/23 @ 100) (d)  | 3209  | 3292  |
|  Series 2015 O1, 4% 7/1/45  | 3395  | 3175  |
|  Series 2016, 5% 10/1/41  | 3800  | 3521  |
|  Series 2017 A, 5% 1/1/40  | 2980  | 3011  |
|  Series 2019 S1:  |  |  |
|  5% 10/1/23 <br>| 2400  | 2435  |
|  5% 10/1/24 <br>| 1190  | 1233  |
|  5% 10/1/25 <br>| 2670  | 2828  |
|  Series 2019:  |  |  |
|  5% 7/1/30 <br>| 1435  | 1533  |
|  5% 7/1/32 <br>| 1040  | 1103  |
|  Series 2022:  |  |  |
|  5% 10/1/34 <br>| 1750  | 2044  |
|  5% 10/1/35 <br>| 1750  | 2023  |
|  5% 10/1/36 <br>| 1500  | 1722  |
|  Massachusetts Edl. Fing. Auth. Rev. Series 2022 B:  |  |  |
|  5% 7/1/26 (c)  | 2600  | 2731  |
|  5% 7/1/27 (c)  | 2350  | 2493  |
|  5% 7/1/28 (c)  | 1775  | 1892  |
|  5% 7/1/29 (c)  | 1925  | 2060  |
|  5% 7/1/30 (c)  | 1000  | 1079  |
|  5% 7/1/31 (c)  | 800  | 880  |
|  Massachusetts Gen. Oblig.:  |  |  |
|  Series 2019 A, 5% 1/1/36  | 2560  | 2816  |
|  Series 2019 B, 5% 7/1/36  | 1700  | 1866  |
|  Series 2021 A:  |  |  |
|  5% 9/1/23 <br>| 7285  | 7386  |
|  5% 9/1/25 <br>| 13755  | 14607  |
|  Series 2022 C:  |  |  |
|  5% 10/1/33 <br>| 4785  | 5701  |
|  5% 10/1/34 <br>| 6000  | 7035  |
|  Series A, 5% 7/1/28  | 1100  | 1187  |
|  Massachusetts Port Auth. Rev.:  |  |  |
|  Series 2019 A, 5% 7/1/31 (c)  | 5000  | 5405  |
|  Series 2019 C, 5% 7/1/44 (c)  | 3000  | 3084  |
|  Series 2021 E:  |  |  |
|  5% 7/1/23 (c) <br>| 550  | 555  |
|  5% 7/1/35 (c) <br>| 2400  | 2583  |
|  Series 2022 A:  |  |  |
|  5% 7/1/32 (c) <br>| 1500  | 1661  |
|  5% 7/1/33 (c) <br>| 1025  | 1131  |
|  5% 7/1/34 (c) <br>| 1350  | 1476  |
|  Massachusetts Port Auth. Spl. Facilities Rev. (Bosfuel Proj.) Series 2019 A, 5% 7/1/49 (c)  | 9190  | 9288  |
|  Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2007 B, 5.25% 8/1/33  | 5435  | 6608  |
|  Univ. of Massachusetts Bldg. Auth. Facilities Rev. Series 2022 1, 5% 11/1/39  | 2135  | 2360  |
|  TOTAL MASSACHUSETTS  |  | 199255  |
| Michigan - 3.2%  |  |  |
|  Detroit Downtown Dev. Auth. Tax:  |  |  |
|  Series 2018 A, 5% 7/1/36 (Assured Guaranty Muni. Corp. Insured)  | 1000  | 1016  |
|  Series A, 5% 7/1/35 (Assured Guaranty Muni. Corp. Insured)  | 1200  | 1221  |
|  Detroit Gen. Oblig. Series 2021 A:  |  |  |
|  4% 4/1/41  | 1575  | 1319  |
|  4% 4/1/42  | 600  | 498  |
|  5% 4/1/31  | 900  | 936  |
|  5% 4/1/33  | 1075  | 1105  |
|  Detroit School District School Bldg. and Site Impt. Series 2005 A, 5.25% 5/1/30 (Assured Guaranty Muni. Corp. Insured)  | 16655  | 19297  |
|  Grand Rapids Pub. Schools:  |  |  |
|  Series 2016:  |  |  |
|  5% 5/1/30 (Assured Guaranty Muni. Corp. Insured) <br>| 3400  | 3606  |
|  5% 5/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 4855  | 5139  |
|  5% 5/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 730  | 771  |
|  5% 5/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 3030  | 3201  |
|  Series 2017:  |  |  |
|  5% 5/1/27 (Assured Guaranty Muni. Corp. Insured) <br>| 1310  | 1432  |
|  5% 5/1/29 (Assured Guaranty Muni. Corp. Insured) <br>| 1890  | 2066  |
|  Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2022 A:  |  |  |
|  5% 7/1/33  | 330  | 377  |
|  5% 7/1/35  | 745  | 836  |
|  Great Lakes Wtr. Auth. Wtr. Supply Sys. Rev. Series 2022 A:  |  |  |
|  5% 7/1/33  | 270  | 308  |
|  5% 7/1/35  | 3000  | 3375  |
|  Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016:  |  |  |
|  5% 5/15/27  | 3255  | 3431  |
|  5% 5/15/27 (Pre-Refunded to 5/15/26 @ 100)  | 20  | 21  |
|  5% 5/15/28  | 2460  | 2585  |
|  5% 5/15/28 (Pre-Refunded to 5/15/26 @ 100)  | 15  | 16  |
|  Lake Orion Cmnty. School District Series 2019, 5% 5/1/29  | 1685  | 1901  |
|  Lansing Board of Wtr. & Lt. Util. Rev. Bonds Series 2021 B, 2%, tender 7/1/26 (b)  | 5760  | 5457  |
|  Michigan Bldg. Auth. Rev. (Facilities Prog.) Series 2016 I:  |  |  |
|  5% 10/15/34  | 16710  | 17782  |
|  5% 4/15/35  | 2720  | 2879  |
|  Michigan Fin. Auth. Rev.:  |  |  |
|  (Trinity Health Proj.) Series 2017:  |  |  |
|  5% 12/1/23 <br>| 1655  | 1685  |
|  5% 12/1/24 <br>| 1700  | 1768  |
|  5% 12/1/25 <br>| 2915  | 3093  |
|  5% 12/1/26 <br>| 1270  | 1371  |
|  5% 12/1/27 <br>| 1215  | 1333  |
|  5% 12/1/28 <br>| 1940  | 2133  |
|  Bonds:  |  |  |
|  Series 2015 D2, 1.2%, tender 4/13/28 (b) <br>| 1775  | 1576  |
|  Series 2019 B, 5%, tender 11/16/26 (b) <br>| 5450  | 5789  |
|  Series 2019 MI2, 5%, tender 2/1/25 (b) <br>| 10655  | 11090  |
|  Series 2013:  |  |  |
|  5% 8/15/28 (Pre-Refunded to 8/15/23 @ 100) <br>| 5425  | 5492  |
|  5% 8/15/29 (Pre-Refunded to 8/15/23 @ 100) <br>| 1940  | 1964  |
|  Series 2015 D1:  |  |  |
|  5% 7/1/27 <br>| 415  | 432  |
|  5% 7/1/29 <br>| 970  | 1009  |
|  5% 7/1/31 <br>| 1165  | 1209  |
|  5% 7/1/32 <br>| 970  | 1004  |
|  5% 7/1/33 <br>| 825  | 851  |
|  Series 2016:  |  |  |
|  5% 11/15/30 <br>| 4480  | 4716  |
|  5% 11/15/32 <br>| 1210  | 1266  |
|  Series 2020 A:  |  |  |
|  5% 6/1/30 <br>| 775  | 818  |
|  5% 6/1/31 <br>| 1005  | 1059  |
|  5% 6/1/32 <br>| 970  | 1018  |
|  5% 6/1/33 <br>| 1745  | 1822  |
|  Series 2020, 5% 6/1/40  | 2340  | 2367  |
|  Series 2022:  |  |  |
|  5% 4/15/32 <br>| 8285  | 9582  |
|  5% 4/15/33 <br>| 5065  | 5843  |
|  5% 4/15/34 <br>| 2530  | 2892  |
|  5% 4/15/35 <br>| 1445  | 1637  |
|  Michigan Gen. Oblig. Series 2016, 5% 3/15/27  | 3230  | 3518  |
|  Michigan Hosp. Fin. Auth. Rev.:  |  |  |
|  (Trinity Health Proj.) Series 2008 C:  |  |  |
|  5% 12/1/24 <br>| 1455  | 1513  |
|  5% 12/1/25 <br>| 1260  | 1337  |
|  5% 12/1/26 <br>| 1940  | 2095  |
|  5% 12/1/27 <br>| 1295  | 1421  |
|  5% 12/1/28 <br>| 2040  | 2243  |
|  Bonds:  |  |  |
|  (Ascension Health Cr. Group Proj.) Series F5, 2.4%, tender 3/15/23 (b) <br>| 6020  | 6010  |
|  Series 2010 F3, 4%, tender 7/1/24 (b) <br>| 23785  | 23910  |
|  Michigan Hsg. Dev. Auth. Single Family Mtg. Rev.:  |  |  |
|  Series 2021 A, 3% 6/1/52  | 6105  | 5909  |
|  Series 2022 D, 5.5% 6/1/53  | 11300  | 12062  |
|  Series A, 3.5% 12/1/50  | 3215  | 3176  |
|  Michigan Strategic Fund Exempt Facilities Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (b)(c)  | 3350  | 3141  |
|  Michigan Strategic Fund Ltd. Oblig. Rev. Bonds (Consumer Energy Co. Proj.) Series 2019, 1.8%, tender 10/1/24 (b)(c)  | 8110  | 7837  |
|  Michigan Technological Univ. Series 2021:  |  |  |
|  4% 10/1/41  | 1450  | 1415  |
|  5% 10/1/30  | 1645  | 1867  |
|  5% 10/1/31  | 1250  | 1435  |
|  5% 10/1/32  | 1250  | 1428  |
|  5% 10/1/33  | 1325  | 1519  |
|  5% 10/1/34  | 1405  | 1591  |
|  Michigan Trunk Line Fund Rev. Series 2020 B, 5% 11/15/36  | 26785  | 30485  |
|  Oakland Univ. Rev.:  |  |  |
|  Series 2022 A:  |  |  |
|  5% 3/1/26 <br>| 480  | 511  |
|  5% 3/1/33 <br>| 1000  | 1132  |
|  5% 3/1/34 <br>| 1905  | 2133  |
|  5% 3/1/35 <br>| 2000  | 2219  |
|  5% 3/1/36 <br>| 2095  | 2306  |
|  5% 3/1/37 <br>| 2200  | 2393  |
|  5% 3/1/38 <br>| 2310  | 2502  |
|  5% 3/1/39 <br>| 2425  | 2614  |
|  Series 2022 B:  |  |  |
|  5% 3/1/33 <br>| 1000  | 1132  |
|  5% 3/1/34 <br>| 1250  | 1400  |
|  5% 3/1/38 <br>| 1330  | 1441  |
|  5% 3/1/39 <br>| 1375  | 1482  |
|  Portage Pub. Schools Series 2016:  |  |  |
|  5% 11/1/27  | 1215  | 1302  |
|  5% 11/1/29  | 3080  | 3289  |
|  Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D, 5% 9/1/24 (Pre-Refunded to 3/1/24 @ 100)  | 1940  | 1987  |
|  Saginaw Hosp. Fin. Auth. Hosp. Rev. Series 2020 J:  |  |  |
|  5% 7/1/28  | 565  | 610  |
|  5% 7/1/29  | 1000  | 1086  |
|  5% 7/1/30  | 425  | 464  |
|  5% 7/1/31  | 495  | 539  |
|  5% 7/1/32  | 545  | 591  |
|  5% 7/1/33  | 595  | 644  |
|  5% 7/1/34  | 385  | 414  |
|  5% 7/1/35  | 400  | 427  |
|  Univ. of Michigan Rev. Series 2022 D, 5% 4/1/33  | 1440  | 1694  |
|  Utica Cmnty. Schools Series 2019:  |  |  |
|  5% 5/1/30  | 1650  | 1872  |
|  5% 5/1/31  | 1400  | 1587  |
|  5% 5/1/32  | 2300  | 2601  |
|  5% 5/1/33  | 1875  | 2115  |
|  5% 5/1/34  | 2450  | 2760  |
|  Warren Consolidated School District Series 2016:  |  |  |
|  5% 5/1/30  | 4415  | 4701  |
|  5% 5/1/31  | 4660  | 4937  |
|  5% 5/1/32  | 4955  | 5242  |
|  Wayne County Arpt. Auth. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 12/1/29 <br>| 245  | 269  |
|  5% 12/1/30 <br>| 380  | 416  |
|  5% 12/1/31 <br>| 390  | 426  |
|  5% 12/1/36 <br>| 535  | 568  |
|  Series 2017 B:  |  |  |
|  5% 12/1/29 (c) <br>| 685  | 724  |
|  5% 12/1/30 (c) <br>| 485  | 512  |
|  5% 12/1/31 (c) <br>| 525  | 554  |
|  5% 12/1/33 (c) <br>| 375  | 394  |
|  5% 12/1/36 (c) <br>| 810  | 840  |
|  Series 2017 C:  |  |  |
|  5% 12/1/23 <br>| 2185  | 2221  |
|  5% 12/1/24 <br>| 2305  | 2392  |
|  5% 12/1/25 <br>| 2150  | 2284  |
|  5% 12/1/26 <br>| 1455  | 1575  |
|  5% 12/1/27 <br>| 1460  | 1605  |
|  TOTAL MICHIGAN  |  | 344213  |
| Minnesota - 0.6%  |  |  |
|  Maple Grove Health Care Sys. Rev. Series 2015, 5% 9/1/26  | 1940  | 2014  |
|  Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev. Series 2022 B:  |  |  |
|  5% 1/1/32 (c)  | 780  | 853  |
|  5% 1/1/33 (c)  | 1165  | 1270  |
|  5% 1/1/34 (c)  | 1135  | 1232  |
|  5% 1/1/35 (c)  | 705  | 759  |
|  5% 1/1/36 (c)  | 565  | 603  |
|  Minnesota Gen. Oblig.:  |  |  |
|  Series 2021 B, 4% 9/1/32  | 4475  | 4891  |
|  Series 2022 B, 4% 8/1/36  | 11000  | 11479  |
|  Minnesota Hsg. Fin. Agcy.:  |  |  |
|  Series 2021 D, 3% 1/1/52  | 7900  | 7660  |
|  Series 2021, 3% 7/1/51  | 2165  | 2103  |
|  Series 2022 A:  |  |  |
|  5% 8/1/33 <br>| 1875  | 2158  |
|  5% 8/1/34 <br>| 1500  | 1715  |
|  5% 8/1/35 <br>| 1210  | 1369  |
|  5% 8/1/36 <br>| 2320  | 2603  |
|  Series 2022 B, 5% 8/1/32  | 2120  | 2463  |
|  Series 2022 C:  |  |  |
|  5% 8/1/33 <br>| 1780  | 2049  |
|  5% 8/1/34 <br>| 2685  | 3069  |
|  5% 8/1/35 <br>| 2820  | 3190  |
|  Saint Paul Hsg. & Redev. Auth. Hosp. Rev. (HealthEast Care Sys. Proj.) Series 2015 A, 5% 11/15/40 (Pre-Refunded to 11/15/25 @ 100)  | 1410  | 1493  |
|  Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (b)(d)  | 6955  | 6834  |
|  Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A, 5% 1/1/24  | 1000  | 1020  |
|  TOTAL MINNESOTA  |  | 60827  |
| Mississippi - 0.4%  |  |  |
|  Mississippi Bus. finance Corp. Exempt Facilities Rev. Bonds (Enviva, Inc. Proj.) Series 2022, 7.75%, tender 7/15/32 (b)(c)  | 10750  | 10811  |
|  Mississippi Dev. Bank Spl. Oblig. (Magnolia Reg'l. Health Ctr. Proj.) Series 2021:  |  |  |
|  4% 10/1/36 (d)  | 850  | 749  |
|  4% 10/1/41 (d)  | 1360  | 1121  |
|  5% 10/1/29 (d)  | 2000  | 2083  |
|  5% 10/1/30 (d)  | 2800  | 2924  |
|  5% 10/1/32 (d)  | 3070  | 3192  |
|  Mississippi Gen. Oblig. Series 2017 A, 5% 10/1/30  | 5340  | 5888  |
|  Mississippi Hosp. Equip. & Facilities Auth.:  |  |  |
|  (Forrest County Gen. Hosp. Rfdg. Proj.):  |  |  |
|  Series 2019 A: <br>|  |  |
|  5% 1/1/30 <br>| 500  | 541  |
|  5% 1/1/31 <br>| 1500  | 1623  |
|  5% 1/1/32 <br>| 1750  | 1887  |
|  5% 1/1/34 <br>| 1065  | 1143  |
|  5% 1/1/35 <br>| 2000  | 2133  |
|  Series 2019 B: <br>|  |  |
|  5% 1/1/23 <br>| 445  | 445  |
|  5% 1/1/25 <br>| 500  | 517  |
|  5% 1/1/26 <br>| 700  | 734  |
|  5% 1/1/27 <br>| 1245  | 1318  |
|  5% 1/1/28 <br>| 500  | 535  |
|  5% 1/1/29 <br>| 510  | 550  |
|  5% 1/1/30 <br>| 595  | 644  |
|  Bonds Series II, 5%, tender 3/1/27 (b)  | 3025  | 3165  |
|  Series IV:  |  |  |
|  5% 10/1/34 <br>| 1435  | 1525  |
|  5% 10/1/38 <br>| 1675  | 1730  |
|  5% 10/1/39 <br>| 1000  | 1032  |
|  TOTAL MISSISSIPPI  |  | 46290  |
| Missouri - 0.6%  |  |  |
|  Cape Girardeau County Indl. Dev. Auth.:  |  |  |
|  (South Eastern Health Proj.) Series 2017 A, 5% 3/1/27  | 970  | 1014  |
|  (Southeast Hosp. Proj.) Series 2017 A, 5% 3/1/36  | 2375  | 2428  |
|  Kansas City Indl. Dev. Auth.:  |  |  |
|  (Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2020 A, 4% 3/1/40 (c)  | 9950  | 9196  |
|  Series 2020 A, 5% 3/1/33 (c)  | 1600  | 1707  |
|  Kansas City San. Swr. Sys. Rev. Series 2018 B:  |  |  |
|  5% 1/1/24  | 660  | 674  |
|  5% 1/1/29  | 550  | 609  |
|  5% 1/1/31  | 415  | 460  |
|  5% 1/1/34  | 380  | 419  |
|  Missouri Health & Edl. Facilities Rev.:  |  |  |
|  Series 2015 B:  |  |  |
|  4% 2/1/40 <br>| 680  | 657  |
|  5% 2/1/30 <br>| 2395  | 2476  |
|  5% 2/1/32 <br>| 2645  | 2729  |
|  5% 2/1/36 <br>| 2145  | 2198  |
|  5% 2/1/45 <br>| 3395  | 3443  |
|  Series 2016:  |  |  |
|  5% 5/15/29 <br>| 970  | 1016  |
|  5% 5/15/30 <br>| 970  | 1012  |
|  5% 5/15/31 <br>| 970  | 1012  |
|  5% 5/15/36 <br>| 2915  | 3001  |
|  Series 2022 A:  |  |  |
|  5% 6/1/32 <br>| 2150  | 2459  |
|  5% 6/1/33 <br>| 1850  | 2090  |
|  Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50  | 915  | 917  |
|  Saint Louis Arpt. Rev. Series 2019 C, 5% 7/1/30  | 3660  | 4071  |
|  Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev.:  |  |  |
|  Series 2017, 5% 9/1/48  | 4560  | 3810  |
|  Series 2018 A, 5.125% 9/1/48  | 2210  | 1882  |
|  St Charles County Francis Howell R-III School District Gen. Oblig. Series 2022:  |  |  |
|  5% 3/1/34  | 950  | 1084  |
|  5% 3/1/35  | 1250  | 1415  |
|  5% 3/1/36  | 1250  | 1405  |
|  5% 3/1/37  | 1350  | 1503  |
|  5% 3/1/38  | 2000  | 2216  |
|  5% 3/1/39  | 2740  | 3024  |
|  TOTAL MISSOURI  |  | 59927  |
| Montana - 0.2%  |  |  |
|  Gallatin County Indl. Dev. Rev. (Bozeman Fiber Proj.) Series 2021 A:  |  |  |
|  4% 10/15/32 (d)  | 1160  | 1059  |
|  4% 10/15/36 (d)  | 3065  | 2631  |
|  4% 10/15/41 (d)  | 4910  | 3944  |
|  4% 10/15/46 (d)  | 3195  | 2441  |
|  4% 10/15/51 (d)  | 2625  | 1922  |
|  Montana Board Hsg. Single Family:  |  |  |
|  Series 2017 A, 4% 12/1/47 (c)  | 555  | 552  |
|  Series 2019 B, 4% 6/1/50  | 510  | 512  |
|  Montana Facility Fin. Auth. Series 2018 B, 5% 7/1/31  | 1170  | 1218  |
|  Montana Facility Fin. Auth. Rev. Series 2016:  |  |  |
|  5% 2/15/23  | 1990  | 1993  |
|  5% 2/15/24  | 2080  | 2114  |
|  5% 2/15/25  | 1940  | 2001  |
|  5% 2/15/26  | 3105  | 3250  |
|  TOTAL MONTANA  |  | 23637  |
| Nebraska - 0.6%  |  |  |
|  Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (b)  | 15350  | 15310  |
|  Lincoln Arpt. Auth. Series 2021, 4% 7/1/36 (c)  | 1000  | 1010  |
|  Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.:  |  |  |
|  Series 2019 B, 4% 9/1/49 (c)  | 2375  | 2363  |
|  Series 2019 E, 3.75% 9/1/49 (c)  | 2820  | 2794  |
|  Series 2020 A, 3.5% 9/1/50  | 2570  | 2539  |
|  Series 2022 B:  |  |  |
|  5% 3/1/27 (c) <br>| 1165  | 1234  |
|  5% 9/1/27 (c) <br>| 1185  | 1263  |
|  5% 3/1/28 (c) <br>| 1205  | 1292  |
|  5% 9/1/28 (c) <br>| 650  | 697  |
|  5% 9/1/29 (c) <br>| 1270  | 1377  |
|  Series A, 3% 9/1/45  | 5650  | 5481  |
|  Nebraska Pub. Pwr. District Rev.:  |  |  |
|  Bonds Series 2020 A, 0.6%, tender 7/1/23 (b)  | 5145  | 5074  |
|  Series 2016 B:  |  |  |
|  5% 1/1/31 <br>| 3885  | 4093  |
|  5% 1/1/34 <br>| 4235  | 4437  |
|  5% 1/1/36 <br>| 5135  | 5364  |
|  Series 2021 C:  |  |  |
|  5% 1/1/24 <br>| 4045  | 4129  |
|  5% 1/1/26 <br>| 1000  | 1064  |
|  Series 2021 D:  |  |  |
|  5% 1/1/23 <br>| 1500  | 1500  |
|  5% 1/1/25 <br>| 600  | 627  |
|  Omaha Pub. Pwr. District Elec. Rev.:  |  |  |
|  Series 2022 A:  |  |  |
|  5% 2/1/35 <br>| 575  | 663  |
|  5% 2/1/36 <br>| 640  | 734  |
|  Series 2022 B:  |  |  |
|  5% 2/1/34 <br>| 1550  | 1803  |
|  5% 2/1/35 <br>| 450  | 519  |
|  TOTAL NEBRASKA  |  | 65367  |
| Nevada - 1.0%  |  |  |
|  Carson City Hosp. Rev. (Carson Tahoe Hosp. Proj.):  |  |  |
|  Series 2017 5% 9/1/32  | 725  | 763  |
|  Series 2017:  |  |  |
|  5% 9/1/24 <br>| 730  | 749  |
|  5% 9/1/28 <br>| 445  | 471  |
|  5% 9/1/30 <br>| 730  | 770  |
|  5% 9/1/34 <br>| 740  | 777  |
|  Clark County Arpt. Rev.:  |  |  |
|  Series 2014 A2, 5% 7/1/28  | 1440  | 1485  |
|  Series 2019 A:  |  |  |
|  5% 7/1/23 <br>| 8335  | 8417  |
|  5% 7/1/26 <br>| 2965  | 3196  |
|  Series 2019 D, 5% 7/1/24  | 4195  | 4329  |
|  Series 2021 B, 5% 7/1/23 (c)  | 1760  | 1772  |
|  Clark County School District:  |  |  |
|  Series 2016 A, 5% 6/15/23  | 2250  | 2269  |
|  Series 2017 A:  |  |  |
|  5% 6/15/25 <br>| 5770  | 6077  |
|  5% 6/15/26 <br>| 5000  | 5359  |
|  Series 2018 A, 5% 6/15/34  | 6330  | 6924  |
|  Series 2018 B:  |  |  |
|  5% 6/15/34 <br>| 4195  | 4613  |
|  5% 6/15/35 <br>| 8000  | 8725  |
|  Series 2020 A, 5% 6/15/33 (Assured Guaranty Muni. Corp. Insured)  | 1090  | 1230  |
|  Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig. Series 2016 A:  |  |  |
|  5% 6/1/32  | 2815  | 3008  |
|  5% 6/1/33  | 4855  | 5181  |
|  5% 6/1/34  | 5145  | 5477  |
|  Nevada Dept. of Bus. & Industry Bonds Series 2020 A, 0.85%, tender 1/26/23 (b)(c)(d)  | 28200  | 28146  |
|  Nevada Gen. Oblig. Series 2013 D1, 5% 3/1/25  | 2745  | 2753  |
|  Nevada Hsg. Division Single Family Mtg. Rev. Series 2019 B, 4% 10/1/49  | 1475  | 1478  |
|  Tahoe-Douglas Visitors Auth. Series 2020:  |  |  |
|  5% 7/1/28  | 1500  | 1557  |
|  5% 7/1/31  | 2395  | 2495  |
|  5% 7/1/35  | 1825  | 1866  |
|  5% 7/1/40  | 1000  | 996  |
|  TOTAL NEVADA  |  | 110883  |
| New Hampshire - 0.7%  |  |  |
|  Nat'l. Fin. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.):  |  |  |
|  Series 2012 B, 4% 8/15/37  | 900  | 886  |
|  Series 2021 B:  |  |  |
|  4% 8/15/36 <br>| 730  | 726  |
|  4% 8/15/38 <br>| 1000  | 963  |
|  4% 8/15/40 <br>| 1050  | 984  |
|  4% 8/15/41 <br>| 1000  | 930  |
|  5% 8/15/27 <br>| 505  | 548  |
|  5% 8/15/34 <br>| 905  | 978  |
|  5% 8/15/35 <br>| 680  | 726  |
|  Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.):  |  |  |
|  Series 2019 A1, 2.15%, tender 7/1/24 (b)(c)  | 2400  | 2312  |
|  Series 2019 A2, 2.15%, tender 7/1/24 (b)(c)  | 2955  | 2846  |
|  Series 2019 A3, 2.15%, tender 7/1/24 (b)(c)  | 7545  | 7268  |
|  Nat'l. Finnance Auth.:  |  |  |
|  Series 2020 1, 4.125% 1/20/34  | 9483  | 9195  |
|  Series 2022 1, 4.375% 9/20/36  | 7205  | 6957  |
|  New Hampshire Health & Ed. Facilities Auth.:  |  |  |
|  (Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A, 5% 8/1/30  | 1190  | 1285  |
|  (Partners Healthcare Sys., Inc. Proj.) Series 2017:  |  |  |
|  5% 7/1/24 <br>| 1335  | 1376  |
|  5% 7/1/30 <br>| 2360  | 2593  |
|  Series 2017:  |  |  |
|  5% 7/1/36 <br>| 2105  | 2143  |
|  5% 7/1/44 <br>| 1830  | 1770  |
|  New Hampshire Health & Ed. Facilities Auth. Rev.:  |  |  |
|  Series 2012, 5% 7/1/26  | 1245  | 1246  |
|  Series 2016:  |  |  |
|  4% 10/1/38 <br>| 800  | 748  |
|  5% 10/1/26 <br>| 4560  | 4813  |
|  5% 10/1/27 <br>| 4860  | 5129  |
|  5% 10/1/28 <br>| 1940  | 2038  |
|  5% 10/1/30 <br>| 7070  | 7389  |
|  New Hampshire Nat'l. Fin. Auth. Series 2022 2, 4% 10/20/36  | 10698  | 9960  |
|  TOTAL NEW HAMPSHIRE  |  | 75809  |
| New Jersey - 4.7%  |  |  |
|  Bayonne Gen. Oblig. Series 2016:  |  |  |
|  5% 7/1/31 (Pre-Refunded to 7/1/26 @ 100)  | 1430  | 1544  |
|  5% 7/1/32 (Pre-Refunded to 7/1/26 @ 100)  | 970  | 1047  |
|  5% 7/1/33 (Pre-Refunded to 7/1/26 @ 100)  | 970  | 1047  |
|  Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A:  |  |  |
|  5% 2/15/24  | 1940  | 1972  |
|  5% 2/15/25  | 970  | 982  |
|  5% 2/15/29  | 1350  | 1358  |
|  Cherry Hill Township School District Series 2022:  |  |  |
|  4% 8/1/37  | 4500  | 4544  |
|  4% 8/1/38  | 3500  | 3464  |
|  4% 8/1/39  | 13815  | 13656  |
|  4% 8/1/42  | 5500  | 5346  |
|  Clearview Reg'l. High School District Series 2022:  |  |  |
|  4% 8/1/37  | 3200  | 3227  |
|  4% 8/1/38  | 3015  | 3005  |
|  4% 8/1/39  | 3490  | 3450  |
|  Mercer County Gen. Oblig. Series 2021, 2% 2/15/32  | 2940  | 2503  |
|  New Jersey Econ. Dev. Auth.:  |  |  |
|  (White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (d)  | 1535  | 1143  |
|  Series 2022 A:  |  |  |
|  5% 11/1/31 <br>| 2200  | 2443  |
|  5% 11/1/32 <br>| 1390  | 1550  |
|  5% 11/1/34 <br>| 2040  | 2229  |
|  5% 11/1/35 <br>| 2085  | 2253  |
|  Series A:  |  |  |
|  5% 11/1/34 <br>| 5150  | 5500  |
|  5% 11/1/35 <br>| 8205  | 8690  |
|  5% 11/1/36 <br>| 5010  | 5282  |
|  New Jersey Econ. Dev. Auth. Rev.:  |  |  |
|  (Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (d)  | 1435  | 1074  |
|  (Provident Montclair Proj.) Series 2017:  |  |  |
|  5% 6/1/25 (Assured Guaranty Muni. Corp. Insured) <br>| 975  | 1019  |
|  5% 6/1/27 (Assured Guaranty Muni. Corp. Insured) <br>| 1360  | 1459  |
|  5% 6/1/28 (Assured Guaranty Muni. Corp. Insured) <br>| 1940  | 2073  |
|  5% 6/1/29 (Assured Guaranty Muni. Corp. Insured) <br>| 1455  | 1551  |
|  Series 2013 NN, 5% 3/1/26  | 5600  | 5615  |
|  Series 2013:  |  |  |
|  5% 3/1/23 <br>| 9030  | 9052  |
|  5% 3/1/24 <br>| 12430  | 12463  |
|  5% 3/1/25 <br>| 1360  | 1364  |
|  Series 2015 XX, 5% 6/15/26  | 19420  | 20240  |
|  Series 2018 EEE, 5% 6/15/30  | 2170  | 2351  |
|  Series 2019:  |  |  |
|  5.25% 9/1/25 (d) <br>| 3395  | 3570  |
|  5.25% 9/1/26 (d) <br>| 3200  | 3415  |
|  New Jersey Edl. Facility Series 2016 A, 5% 7/1/29  | 1820  | 1900  |
|  New Jersey Envir. Infrastructure Trust:  |  |  |
|  Series 2016 A R1, 5% 9/1/25  | 2065  | 2194  |
|  Series 2016 A R2, 5% 9/1/25  | 3010  | 3199  |
|  New Jersey Gen. Oblig. Series 2020 A:  |  |  |
|  4% 6/1/30  | 13105  | 13919  |
|  4% 6/1/31  | 2185  | 2320  |
|  4% 6/1/32  | 1470  | 1566  |
|  5% 6/1/25  | 8080  | 8508  |
|  5% 6/1/26  | 10480  | 11252  |
|  5% 6/1/29  | 6530  | 7380  |
|  New Jersey Health Care Facilities Fing. Auth. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2019 B1, 5%, tender 7/1/24 (b) <br>| 8215  | 8422  |
|  Series 2019 B2, 5%, tender 7/1/25 (b) <br>| 10070  | 10548  |
|  Series 2016 A:  |  |  |
|  5% 7/1/23 (Escrowed to Maturity) <br>| 2940  | 2967  |
|  5% 7/1/24 (Escrowed to Maturity) <br>| 790  | 814  |
|  5% 7/1/25 (Escrowed to Maturity) <br>| 855  | 899  |
|  5% 7/1/26 (Escrowed to Maturity) <br>| 285  | 306  |
|  5% 7/1/27 (Pre-Refunded to 7/1/26 @ 100) <br>| 425  | 456  |
|  5% 7/1/28 <br>| 440  | 472  |
|  5% 7/1/28 (Pre-Refunded to 7/1/26 @ 100) <br>| 1185  | 1273  |
|  5% 7/1/28 (Pre-Refunded to 7/1/26 @ 100) <br>| 1265  | 1357  |
|  5% 7/1/33 <br>| 1465  | 1558  |
|  Series 2016, 5% 7/1/41  | 3665  | 3681  |
|  New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.:  |  |  |
|  Series 2017 1A, 5% 12/1/24 (c)  | 3420  | 3518  |
|  Series 2019 A:  |  |  |
|  5% 12/1/23 <br>| 1810  | 1842  |
|  5% 12/1/24 <br>| 1045  | 1083  |
|  5% 12/1/25 <br>| 1925  | 2034  |
|  Series 2020:  |  |  |
|  5% 12/1/24 (c) <br>| 1925  | 1978  |
|  5% 12/1/24 (c) <br>| 1000  | 1028  |
|  5% 12/1/25 (c) <br>| 2675  | 2785  |
|  5% 12/1/25 (c) <br>| 3900  | 4056  |
|  5% 12/1/26 (c) <br>| 3100  | 3271  |
|  5% 12/1/28 (c) <br>| 1225  | 1321  |
|  Series 2022 A:  |  |  |
|  5% 12/1/27 (c) <br>| 1275  | 1357  |
|  5% 12/1/28 (c) <br>| 1400  | 1502  |
|  5% 12/1/29 (c) <br>| 1400  | 1512  |
|  5% 12/1/30 (c) <br>| 750  | 804  |
|  Series 2022 B:  |  |  |
|  5% 12/1/27 (c) <br>| 3735  | 3983  |
|  5% 12/1/28 (c) <br>| 6850  | 7369  |
|  5% 12/1/29 (c) <br>| 4475  | 4848  |
|  New Jersey Tpk. Auth. Tpk. Rev. Series D, 5% 1/1/28  | 4740  | 5095  |
|  New Jersey Trans. Trust Fund Auth.:  |  |  |
|  (Trans. Prog.) Series 2019 AA:  |  |  |
|  5% 6/15/30 <br>| 3500  | 3792  |
|  5% 6/15/31 <br>| 2250  | 2426  |
|  5% 6/15/32 <br>| 5660  | 6085  |
|  Series 2006 C:  |  |  |
|  0% 12/15/30 (FGIC Insured) <br>| 2800  | 2049  |
|  0% 12/15/31 (FGIC Insured) <br>| 5200  | 3621  |
|  Series 2010 A:  |  |  |
|  0% 12/15/27 <br>| 13270  | 11030  |
|  0% 12/15/28 <br>| 3025  | 2410  |
|  Series 2014 AA:  |  |  |
|  5% 6/15/25 <br>| 12140  | 12445  |
|  5% 6/15/26 <br>| 7285  | 7470  |
|  Series 2016 A, 5% 6/15/27  | 14620  | 15443  |
|  Series 2018 A:  |  |  |
|  5% 12/15/32 <br>| 1600  | 1718  |
|  5% 12/15/33 <br>| 6395  | 6829  |
|  5% 12/15/34 <br>| 8095  | 8575  |
|  Series 2019 BB, 4% 6/15/36  | 1000  | 973  |
|  Series 2021 A:  |  |  |
|  4% 6/15/34 <br>| 2510  | 2518  |
|  4% 6/15/36 <br>| 2500  | 2433  |
|  4% 6/15/38 <br>| 5000  | 4679  |
|  Series 2022 A, 4% 6/15/39  | 14370  | 13290  |
|  Series 2022 AA:  |  |  |
|  5% 6/15/30 <br>| 2770  | 3052  |
|  5% 6/15/31 <br>| 7210  | 7980  |
|  5% 6/15/32 <br>| 5145  | 5723  |
|  5% 6/15/33 <br>| 13115  | 14473  |
|  5% 6/15/35 <br>| 13670  | 14783  |
|  Series 2022 CC:  |  |  |
|  5% 6/15/33 <br>| 1555  | 1723  |
|  5% 6/15/35 <br>| 2000  | 2170  |
|  5% 6/15/37 <br>| 1030  | 1095  |
|  5.25% 6/15/32 <br>| 1450  | 1642  |
|  5.25% 6/15/36 <br>| 1450  | 1591  |
|  Series A:  |  |  |
|  5% 12/15/24 <br>| 4675  | 4840  |
|  5% 12/15/25 <br>| 4380  | 4603  |
|  5% 12/15/26 <br>| 6900  | 7358  |
|  5% 12/15/27 <br>| 12250  | 13192  |
|  5% 12/15/28 <br>| 4270  | 4641  |
|  5% 6/15/30 <br>| 1125  | 1184  |
|  5% 12/15/30 <br>| 885  | 970  |
|  5% 12/15/31 <br>| 4720  | 5142  |
|  5% 12/15/33 <br>| 1575  | 1698  |
|  Series AA:  |  |  |
|  4% 6/15/36 <br>| 1550  | 1509  |
|  4% 6/15/37 <br>| 2150  | 2041  |
|  4% 6/15/39 <br>| 1960  | 1813  |
|  5% 6/15/24 <br>| 9400  | 9474  |
|  5% 6/15/35 <br>| 2010  | 2152  |
|  5% 6/15/36 <br>| 2270  | 2415  |
|  5% 6/15/38 <br>| 1930  | 2019  |
|  TOTAL NEW JERSEY  |  | 502927  |
| New Mexico - 0.1%  |  |  |
|  New Mexico Hosp. Equip. Ln. Council Rev. Bonds Series 2019 B, 5%, tender 8/1/25 (b)  | 8245  | 8615  |
|  New Mexico Mtg. Fin. Auth. Series 2019 D, 3.75% 1/1/50  | 2080  | 2071  |
|  TOTAL NEW MEXICO  |  | 10686  |
| New York - 6.5%  |  |  |
|  Dorm. Auth. New York Univ. Rev. Series 2016 A:  |  |  |
|  5% 7/1/23  | 1090  | 1100  |
|  5% 7/1/25  | 2430  | 2524  |
|  Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A:  |  |  |
|  5% 2/15/32  | 3885  | 4232  |
|  5% 2/15/35  | 7285  | 7862  |
|  Long Island Pwr. Auth. Elec. Sys. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2019 B, 1.65%, tender 9/1/24 (b) <br>| 17685  | 17093  |
|  Series 2021 B, 1.5%, tender 9/1/26 (b) <br>| 9325  | 8664  |
|  Series 2016 B, 5% 9/1/23  | 1455  | 1475  |
|  Series 2021, 1% 9/1/25  | 28250  | 25718  |
|  Series 2022 A:  |  |  |
|  5% 9/1/35 <br>| 800  | 912  |
|  5% 9/1/36 <br>| 1000  | 1132  |
|  Monroe County Indl. Dev. Corp.:  |  |  |
|  (St. Ann's Cmnty. Proj.) Series 2019, 4% 1/1/30  | 1760  | 1570  |
|  (St. Anns Cmnty. Proj.) Series 2019:  |  |  |
|  5% 1/1/40 <br>| 2145  | 1843  |
|  5% 1/1/50 <br>| 1510  | 1201  |
|  MTA Hudson Rail Yards Trust Oblig. Series 2016 A:  |  |  |
|  5% 11/15/51  | 12380  | 12379  |
|  5% 11/15/56  | 11925  | 11820  |
|  New York City Edl. Construction Fund Series 2021 B, 5% 4/1/52  | 8430  | 8863  |
|  New York City Gen. Oblig.:  |  |  |
|  Series 2015 C, 5% 8/1/27  | 2965  | 3096  |
|  Series 2019 B1, 4% 10/1/35  | 2395  | 2427  |
|  Series 2021 A1, 5% 8/1/33  | 2000  | 2274  |
|  Series 2021 B1, 5% 11/1/32  | 5800  | 6655  |
|  Series 2021 F1:  |  |  |
|  5% 3/1/23 <br>| 1445  | 1450  |
|  5% 3/1/42 <br>| 5410  | 5763  |
|  5% 3/1/44 <br>| 15350  | 16269  |
|  5% 3/1/50 <br>| 1725  | 1817  |
|  Series 2022 A1, 5% 8/1/47  | 10180  | 10773  |
|  Series 2022 B, 5% 10/1/31  | 1500  | 1753  |
|  Series 2022 B1:  |  |  |
|  5% 8/1/33 <br>| 2350  | 2745  |
|  5% 8/1/34 <br>| 1750  | 2017  |
|  5% 8/1/35 <br>| 2250  | 2551  |
|  5% 8/1/36 <br>| 1570  | 1759  |
|  Series 2022 C, 5% 8/1/33  | 1800  | 2103  |
|  Series 2022 D1, 5% 5/1/35  | 1540  | 1745  |
|  Series 2023 B1, 5% 10/1/33  | 1000  | 1170  |
|  Series C:  |  |  |
|  5% 8/1/29 <br>| 6945  | 7879  |
|  5% 8/1/33 <br>| 2500  | 2842  |
|  5% 8/1/34 <br>| 3310  | 3729  |
|  Series F1, 5% 3/1/26  | 1010  | 1013  |
|  New York City Health & Hosp. Corp. Rev. Series A, 5% 2/15/25  | 3640  | 3807  |
|  New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds:  |  |  |
|  Series 2021 C2, 0.7%, tender 7/1/25 (b)  | 6175  | 5719  |
|  Series 2021, 0.6%, tender 7/1/25 (b)  | 8115  | 7495  |
|  New York City Transitional Fin. Auth. Bldg. Aid Rev.:  |  |  |
|  Series 2018 S3, 5% 7/15/37  | 2000  | 2136  |
|  Series 2021 1A, 5% 7/15/32  | 1000  | 1159  |
|  Series 2023 A, 5% 7/15/34  | 2840  | 3291  |
|  New York City Transitional Fin. Auth. Rev.:  |  |  |
|  Series 2018 C2, 5% 5/1/32  | 9175  | 10185  |
|  Series 2019 A, 5% 8/1/35  | 7520  | 8225  |
|  Series 2019 B1:  |  |  |
|  5% 8/1/34 <br>| 3300  | 3635  |
|  5% 8/1/35 <br>| 8400  | 9188  |
|  5% 8/1/36 <br>| 6555  | 7104  |
|  Series 2020 C1, 4% 5/1/36  | 1075  | 1078  |
|  Series 2021 F1:  |  |  |
|  5% 11/1/23 <br>| 6565  | 6680  |
|  5% 11/1/24 <br>| 12785  | 13316  |
|  5% 11/1/25 <br>| 16245  | 17308  |
|  Series 2022 D, 5% 11/1/31  | 5450  | 6423  |
|  Series 2022 D1, 5% 11/1/34  | 5910  | 6829  |
|  Series 2022 F1, 5% 2/1/36  | 1000  | 1128  |
|  Series C:  |  |  |
|  4% 5/1/35 <br>| 3000  | 3047  |
|  4% 5/1/36 <br>| 8615  | 8636  |
|  New York Convention Ctr. Dev. Corp. Rev. Series 2015:  |  |  |
|  5% 11/15/27  | 1330  | 1398  |
|  5% 11/15/40  | 3915  | 3903  |
|  New York Dorm. Auth. Personal Income Tax Rev. Series 2014 A, 5% 2/15/26 (Pre-Refunded to 2/15/24 @ 100)  | 1025  | 1050  |
|  New York Dorm. Auth. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2019 B2, 5%, tender 5/1/24 (b) <br>| 3675  | 3725  |
|  Series 2019 B3, 5%, tender 5/1/26 (b) <br>| 4055  | 4248  |
|  Series 2022 A, 5% 7/15/37  | 1840  | 1893  |
|  Series 2022:  |  |  |
|  5% 7/1/32 <br>| 1810  | 1914  |
|  5% 7/1/33 <br>| 900  | 946  |
|  5% 7/1/34 <br>| 255  | 266  |
|  New York Dorm. Auth. Sales Tax Rev. Series 2018 C, 5% 3/15/32  | 13810  | 15335  |
|  New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2022 A, 5% 11/15/34  | 735  | 836  |
|  New York Metropolitan Trans. Auth. Rev.:  |  |  |
|  Series 2015 C, 5% 11/15/30  | 1000  | 1020  |
|  Series 2015 D1, 5% 11/15/33  | 4015  | 4079  |
|  Series 2017 A1, 5% 11/15/31  | 2000  | 2055  |
|  Series 2017 C-2, 0% 11/15/33  | 9795  | 6141  |
|  Series 2017 C1:  |  |  |
|  4% 11/15/35 <br>| 1770  | 1628  |
|  5% 11/15/26 <br>| 5975  | 6244  |
|  5% 11/15/27 <br>| 4435  | 4657  |
|  5% 11/15/30 <br>| 4315  | 4467  |
|  5% 11/15/33 <br>| 6955  | 7126  |
|  Series 2017 D:  |  |  |
|  5% 11/15/30 <br>| 1900  | 1967  |
|  5% 11/15/33 <br>| 6725  | 6890  |
|  Series 2020 D, 5% 11/15/43  | 2500  | 2431  |
|  New York State Dorm. Auth.:  |  |  |
|  Series 2020 A, 4% 3/15/34  | 3055  | 3144  |
|  Series 2021 E, 5% 3/15/36  | 11725  | 13162  |
|  Series 2022 A:  |  |  |
|  5% 3/15/33 <br>| 3825  | 4480  |
|  5% 3/15/36 <br>| 9140  | 10260  |
|  New York State Envir. Facilities Corp. Rev. (Master Fing. Prog.) Series 2013 B, 5% 5/15/26  | 1000  | 1007  |
|  New York State Hsg. Fin. Agcy. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2021 D2, 0.65%, tender 11/1/25 (b) <br>| 2750  | 2516  |
|  Series 2021 E2, 0.65%, tender 11/1/25 (b) <br>| 5000  | 4549  |
|  Series 2021 J2, 1.1%, tender 5/1/27 (b) <br>| 18855  | 16801  |
|  Series 2021 K2, 1%, tender 11/1/26 (b) <br>| 5120  | 4630  |
|  Series 2022 B2, 2.5%, tender 5/1/27 (b) <br>| 25300  | 24186  |
|  Series 2021 A, 0.75% 11/1/25  | 3920  | 3551  |
|  Series 2021 B:  |  |  |
|  0.5% 5/1/24 <br>| 795  | 762  |
|  0.55% 11/1/24 <br>| 4735  | 4478  |
|  New York State Mtg. Agcy. Homeowner Mtg. Series 221, 3.5% 10/1/32 (c)  | 1085  | 1062  |
|  New York State Urban Dev. Corp. Series 2020 C:  |  |  |
|  4% 3/15/37  | 5500  | 5452  |
|  5% 3/15/36  | 7610  | 8421  |
|  New York Thruway Auth. Personal Income Tax Rev. Series 2022 A, 5% 3/15/34  | 7250  | 8406  |
|  New York Trans. Dev. Corp.:  |  |  |
|  (Delta Air Lines, Inc. - LaGuardia Arpt. Termindals C&D Redev. Proj.) Series 2020, 4% 10/1/30 (c)  | 8000  | 7725  |
|  (Delta Air Lines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.):  |  |  |
|  Series 2018, 5% 1/1/34 (c) <br>| 2500  | 2516  |
|  Series 2020, 5% 10/1/35 (c) <br>| 11390  | 11328  |
|  (Laguardia Arpt. Term. Redev. Proj.) Series 2016 A, 5% 7/1/41 (c)  | 8155  | 7933  |
|  (Term. 4 JFK Int'l. Arpt. Proj.):  |  |  |
|  Series 2020 A, 5% 12/1/28 (c) <br>| 1220  | 1288  |
|  Series 2020 C: <br>|  |  |
|  4% 12/1/39 <br>| 1350  | 1268  |
|  4% 12/1/40 <br>| 1500  | 1399  |
|  4% 12/1/41 <br>| 1450  | 1329  |
|  4% 12/1/42 <br>| 1400  | 1272  |
|  5% 12/1/28 <br>| 950  | 1016  |
|  5% 12/1/29 <br>| 950  | 1022  |
|  5% 12/1/30 <br>| 750  | 809  |
|  5% 12/1/31 <br>| 950  | 1022  |
|  5% 12/1/32 <br>| 1125  | 1209  |
|  5% 12/1/33 <br>| 1200  | 1283  |
|  5% 12/1/34 <br>| 1600  | 1699  |
|  5% 12/1/35 <br>| 1500  | 1581  |
|  5% 12/1/36 <br>| 1700  | 1782  |
|  5% 12/1/37 <br>| 1755  | 1830  |
|  5% 12/1/38 <br>| 1500  | 1559  |
|  (Term. 4 John F. Kennedy Int'l. Arpt. Proj.) Series 2022:  |  |  |
|  5% 12/1/32 (c) <br>| 6100  | 6526  |
|  5% 12/1/33 (c) <br>| 9440  | 10042  |
|  5% 12/1/34 (c) <br>| 10315  | 10834  |
|  5% 12/1/35 (c) <br>| 5155  | 5368  |
|  5% 12/1/36 (c) <br>| 3515  | 3635  |
|  5% 12/1/37 (c) <br>| 9375  | 9647  |
|  Series 2016 A, 5.25% 1/1/50 (c)  | 13305  | 12929  |
|  New York Urban Dev. Corp. Rev. Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32  | 2745  | 2969  |
|  Oneida County Local Dev. Corp. Rev. (Mohawk Valley Health Sys. Proj.) Series 2019 A:  |  |  |
|  4% 12/1/34 (Assured Guaranty Muni. Corp. Insured)  | 1000  | 992  |
|  4% 12/1/35 (Assured Guaranty Muni. Corp. Insured)  | 1500  | 1466  |
|  4% 12/1/36 (Assured Guaranty Muni. Corp. Insured)  | 1635  | 1563  |
|  Onondaga Civic Dev. Corp. (Syracuse Univ. Proj.) Series 2020 A:  |  |  |
|  5% 12/1/32  | 1250  | 1430  |
|  5% 12/1/34  | 2300  | 2592  |
|  Port Auth. of New York & New Jersey Series 2022 236:  |  |  |
|  5% 1/15/33 (c)  | 2000  | 2241  |
|  5% 1/15/34 (c)  | 2485  | 2741  |
|  5% 1/15/35 (c)  | 2000  | 2184  |
|  5% 1/15/36 (c)  | 1000  | 1078  |
|  5% 1/15/37 (c)  | 1000  | 1069  |
|  5% 1/15/39 (c)  | 1500  | 1584  |
|  5% 1/15/40 (c)  | 5000  | 5247  |
|  5% 1/15/41 (c)  | 6350  | 6629  |
|  5% 1/15/42 (c)  | 4100  | 4270  |
|  Suffolk County Econ. Dev. Corp. Rev. Series 2021:  |  |  |
|  5.125% 11/1/41 (d)  | 1360  | 1063  |
|  5.375% 11/1/54 (d)  | 2155  | 1626  |
|  Triborough Bridge & Tunnel Auth.:  |  |  |
|  Series 2021 A1, 5% 5/15/51  | 9300  | 9842  |
|  Series 2022 E2B, 5% 11/15/32  | 5825  | 6883  |
|  Triborough Bridge & Tunnel Auth. Revs. Series 2013 A:  |  |  |
|  5% 11/15/23  | 2915  | 2967  |
|  5% 11/15/24  | 3885  | 3959  |
|  TOTAL NEW YORK  |  | 691939  |
| New York And New Jersey - 0.3%  |  |  |
|  Port Auth. of New York & New Jersey:  |  |  |
|  Series 193, 5% 10/15/29 (c)  | 3650  | 3783  |
|  Series 2019 218, 5% 11/1/36 (c)  | 1080  | 1139  |
|  Series 2021 226, 5% 10/15/33 (c)  | 1350  | 1477  |
|  Series 2022 231:  |  |  |
|  5% 8/1/33 (c) <br>| 12500  | 13780  |
|  5% 8/1/34 (c) <br>| 7095  | 7761  |
|  Series 223, 4% 7/15/39 (c)  | 2175  | 2025  |
|  TOTAL NEW YORK AND NEW JERSEY  |  | 29965  |
| North Carolina - 0.6%  |  |  |
|  Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Bonds Series 2021 C, 5%, tender 12/1/28 (b)  | 4430  | 4895  |
|  New Hanover County Hosp. Rev. Series 2017:  |  |  |
|  5% 10/1/27 (Escrowed to Maturity)  | 395  | 434  |
|  5% 10/1/47 (Pre-Refunded to 10/1/27 @ 100)  | 3320  | 3650  |
|  North Carolina Cap. Facilities Fin. Agcy. Edl. Facilities Rev. Series 2021:  |  |  |
|  4% 5/1/32  | 1000  | 1024  |
|  4% 5/1/33  | 1000  | 1019  |
|  4% 5/1/34  | 900  | 911  |
|  5% 5/1/26  | 275  | 291  |
|  5% 5/1/27  | 400  | 429  |
|  5% 5/1/28  | 415  | 450  |
|  5% 5/1/29  | 525  | 577  |
|  5% 5/1/30  | 560  | 620  |
|  North Carolina Grant Anticipation Rev. Series 2017, 5% 3/1/23  | 9715  | 9744  |
|  North Carolina Hsg. Fin. Agcy. Home Ownership Rev. Series 2022 48, 3.75% 7/1/52  | 9400  | 9323  |
|  North Carolina Med. Care Commission Health Care Facilities Rev. Bonds Series 2019 C, 2.55%, tender 6/1/26 (b)  | 17085  | 16700  |
|  North Carolina Med. Care Commission Hosp. Rev.:  |  |  |
|  Bonds Series 2021 B, 5%, tender 2/1/26 (b)  | 3100  | 3279  |
|  Series 2021 A, 5% 2/1/25  | 185  | 193  |
|  North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2017, 5% 1/1/23  | 1000  | 1000  |
|  Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2020 A:  |  |  |
|  5% 5/1/26 (c)  | 3950  | 4147  |
|  5% 5/1/27 (c)  | 1500  | 1589  |
|  5% 5/1/28 (c)  | 1875  | 2001  |
|  5% 5/1/29 (c)  | 1500  | 1614  |
|  5% 5/1/30 (c)  | 1320  | 1433  |
|  5% 5/1/31 (c)  | 1350  | 1462  |
|  5% 5/1/32 (c)  | 1100  | 1189  |
|  TOTAL NORTH CAROLINA  |  | 67974  |
| North Dakota - 0.1%  |  |  |
|  North Dakota Hsg. Fin. Agcy.:  |  |  |
|  Series 2021 A, 3% 1/1/52  | 4320  | 4193  |
|  Series 2022 A, 4% 1/1/53  | 8250  | 8263  |
|  TOTAL NORTH DAKOTA  |  | 12456  |
| Ohio - 1.4%  |  |  |
|  Akron Bath Copley Hosp. District Rev. Series 2020:  |  |  |
|  4% 11/15/34  | 970  | 919  |
|  4% 11/15/35  | 1000  | 928  |
|  4% 11/15/36  | 1000  | 915  |
|  5% 11/15/32  | 700  | 751  |
|  Allen County Hosp. Facilities Rev. Series 2020 A:  |  |  |
|  5% 12/1/29  | 2290  | 2560  |
|  5% 12/1/30  | 2290  | 2586  |
|  American Muni. Pwr., Inc. Rev.:  |  |  |
|  Bonds Series 2021 A2, 1%, tender 8/15/24 (b)  | 6010  | 5761  |
|  Series 2017 A, 5% 2/15/36  | 5000  | 5337  |
|  Series 2021 A:  |  |  |
|  4% 2/15/36 <br>| 4045  | 4045  |
|  4% 2/15/37 <br>| 3000  | 2961  |
|  4% 2/15/38 <br>| 215  | 211  |
|  5% 2/15/33 <br>| 2750  | 3119  |
|  5% 2/15/34 <br>| 4000  | 4518  |
|  5% 2/15/35 <br>| 2715  | 3033  |
|  Cleveland Arpt. Sys. Rev. Series 2016 A:  |  |  |
|  5% 1/1/26 (Assured Guaranty Muni. Corp. Insured)  | 970  | 1007  |
|  5% 1/1/28 (Assured Guaranty Muni. Corp. Insured)  | 1480  | 1537  |
|  5% 1/1/29 (Assured Guaranty Muni. Corp. Insured)  | 2165  | 2252  |
|  5% 1/1/30 (Assured Guaranty Muni. Corp. Insured)  | 1940  | 2017  |
|  Columbus City School District Series 2016 A, 5% 12/1/32  | 1770  | 1890  |
|  Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013:  |  |  |
|  5% 6/15/25  | 2395  | 2404  |
|  5% 6/15/26  | 2515  | 2524  |
|  5% 6/15/27  | 2640  | 2649  |
|  5% 6/15/28  | 2770  | 2779  |
|  Franklin County Convention Facilities Auth. (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019, 5% 12/1/44  | 970  | 959  |
|  Franklin County Convention Facilities Authorities (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019:  |  |  |
|  5% 12/1/33  | 2000  | 2234  |
|  5% 12/1/35  | 1000  | 1106  |
|  5% 12/1/36  | 1180  | 1299  |
|  Franklin County Hosp. Facilities Rev. Series 2016 C:  |  |  |
|  5% 11/1/25  | 1940  | 2056  |
|  5% 11/1/26  | 2040  | 2195  |
|  Lake County Hosp. Facilities Rev. Series 2015, 5% 8/15/27 (Pre-Refunded to 8/15/25 @ 100)  | 2195  | 2312  |
|  Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (b)  | 20230  | 20573  |
|  Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019:  |  |  |
|  5% 8/1/31  | 1000  | 1080  |
|  5% 8/1/32  | 1000  | 1075  |
|  5% 8/1/33  | 1000  | 1070  |
|  Miami Univ. Series 2020 A:  |  |  |
|  5% 9/1/30  | 140  | 160  |
|  5% 9/1/31  | 950  | 1082  |
|  5% 9/1/33  | 1770  | 1997  |
|  5% 9/1/34  | 2500  | 2809  |
|  Montgomery County Hosp. Rev. (Kettering Health Network Obligated Group Proj.)) Series 2021, 5% 8/1/26  | 560  | 596  |
|  Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013, 5% 2/15/27  | 5715  | 5717  |
|  Ohio Air Quality Dev. Auth. Rev. Bonds Series 2022 B, 4.25%, tender 6/1/27 (b)(c)  | 2350  | 2343  |
|  Ohio Cap. Facilities Lease (Adult Correctional Bldg. Fund Projs.) Series 2021 A, 5% 10/1/24  | 1250  | 1297  |
|  Ohio Gen. Oblig. Series 2021 A, 5% 6/15/33  | 2300  | 2663  |
|  Ohio Hosp. Facilities Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 1/1/27 <br>| 2495  | 2704  |
|  5% 1/1/29 <br>| 4855  | 5355  |
|  Series 2021 B, 5% 1/1/23  | 1260  | 1260  |
|  Ohio Hosp. Rev. Series 2020 A, 4% 1/15/50  | 1580  | 1376  |
|  Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50  | 705  | 715  |
|  Ohio State Univ. Gen. Receipts (Multiyear Debt Issuance Prog.) Series 2020 A:  |  |  |
|  5% 12/1/29  | 10000  | 11445  |
|  5% 12/1/30  | 1000  | 1163  |
|  Ohio Tpk. Commission Tpk. Rev.:  |  |  |
|  (Infrastructure Projs.) Series 2022 A, 5% 2/15/39  | 2860  | 3224  |
|  Series A, 5% 2/15/51  | 1310  | 1392  |
|  Scioto County Hosp. Facilities Rev.:  |  |  |
|  Series 2016, 5% 2/15/29  | 2250  | 2333  |
|  Series 2019, 5% 2/15/29  | 4900  | 5112  |
|  TOTAL OHIO  |  | 147405  |
| Oklahoma - 0.2%  |  |  |
|  Canadian Cny Edl. Facilities Auth. (Mustang Pub. Schools Proj.) Series 2017, 5% 9/1/26  | 2015  | 2168  |
|  Grand River Dam Auth. Rev. Series 2014 A:  |  |  |
|  5% 6/1/27  | 1165  | 1199  |
|  5% 6/1/28  | 1455  | 1497  |
|  Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015:  |  |  |
|  5% 10/1/25  | 1020  | 1085  |
|  5% 10/1/26  | 1455  | 1539  |
|  5% 10/1/27  | 1155  | 1220  |
|  Oklahoma Dev. Fin. Auth. Rev. (Oklahoma City Univ. Proj.) Series 2019:  |  |  |
|  4% 8/1/33  | 2645  | 2446  |
|  4% 8/1/34  | 2755  | 2518  |
|  5% 8/1/24  | 590  | 595  |
|  5% 8/1/25  | 930  | 944  |
|  5% 8/1/26  | 540  | 551  |
|  5% 8/1/27  | 680  | 696  |
|  5% 8/1/28  | 725  | 744  |
|  5% 8/1/29  | 755  | 778  |
|  5% 8/1/30  | 1370  | 1409  |
|  Oklahoma Pwr. Auth. Pwr. Supply Sys. Rev. Series 2014 B, 5% 1/1/27  | 2085  | 2162  |
|  TOTAL OKLAHOMA  |  | 21551  |
| Oregon - 0.5%  |  |  |
|  Multnomah County School District #1J Portland Series 2020 B, 3% 6/15/33  | 1000  | 984  |
|  Oregon Facilities Auth. Rev. Series 2022 B, 5% 6/1/30  | 12940  | 14378  |
|  Oregon State Hsg. & Cmnty. Svcs. Dept. (Single-Family Mtg. Prog.) Series 2022 A, 4% 7/1/51  | 7045  | 7056  |
|  Port of Portland Arpt. Rev.:  |  |  |
|  Series 23, 5% 7/1/27  | 1475  | 1549  |
|  Series 24 B:  |  |  |
|  5% 7/1/31 (c) <br>| 1000  | 1048  |
|  5% 7/1/32 (c) <br>| 2795  | 2925  |
|  Series 26 A:  |  |  |
|  5% 7/1/29 <br>| 1155  | 1269  |
|  5% 7/1/33 <br>| 785  | 877  |
|  Series 26 B, 5% 7/1/29  | 1000  | 1103  |
|  Series 26 C:  |  |  |
|  5% 7/1/25 (c) <br>| 800  | 832  |
|  5% 7/1/26 (c) <br>| 1300  | 1368  |
|  5% 7/1/27 (c) <br>| 1090  | 1157  |
|  Series 27 A, 5% 7/1/36 (c)  | 8655  | 9110  |
|  Salem Hosp. Facility Auth. Rev. Series 2016 A, 4% 5/15/41  | 3915  | 3766  |
|  Washington, Multnomah & Yamhill County School District #1J Series 2017, 5% 6/15/30  | 2915  | 3192  |
|  TOTAL OREGON  |  | 50614  |
| Pennsylvania - 4.3%  |  |  |
|  Allegheny County Arpt. Auth. Rev. Series 2021 A:  |  |  |
|  5% 1/1/33 (c)  | 3635  | 3905  |
|  5% 1/1/51 (c)  | 31125  | 31436  |
|  5% 1/1/56 (c)  | 14945  | 15039  |
|  Allegheny County Higher Ed. Bldg. Auth. Univ. Rev. Series 2021 A:  |  |  |
|  4% 3/1/36  | 825  | 821  |
|  4% 3/1/37  | 1000  | 977  |
|  4% 3/1/38  | 1050  | 1018  |
|  4% 3/1/39  | 2000  | 1920  |
|  4% 3/1/40  | 2115  | 1990  |
|  4% 3/1/41  | 385  | 358  |
|  Allegheny County Hosp. Dev. Auth. Rev. Series 2019 A:  |  |  |
|  5% 7/15/23  | 765  | 772  |
|  5% 7/15/24  | 2300  | 2367  |
|  5% 7/15/25  | 3030  | 3174  |
|  Allegheny County Indl. Dev. Auth. Rev. Series 2021:  |  |  |
|  3.5% 12/1/31  | 2760  | 2277  |
|  4% 12/1/41  | 5005  | 3637  |
|  4.25% 12/1/50  | 5575  | 3823  |
|  Bucks County Indl. Dev. Auth. Hosp. Rev. Series 2021:  |  |  |
|  5% 7/1/34  | 280  | 280  |
|  5% 7/1/35  | 1100  | 1089  |
|  5% 7/1/36  | 525  | 515  |
|  5% 7/1/37  | 1180  | 1151  |
|  Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2018 B, 5% 1/1/23  | 1250  | 1250  |
|  Lancaster County Hosp. Auth. Health Ctr. Rev. Series 2021, 5% 11/1/51  | 7510  | 7580  |
|  Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A, 4% 7/1/38  | 1600  | 1520  |
|  Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26  | 3205  | 3394  |
|  Montgomery County Higher Ed. & Health Auth. Rev.:  |  |  |
|  Series 2014 A, 5% 10/1/23  | 330  | 333  |
|  Series 2016 A:  |  |  |
|  5% 10/1/28 <br>| 1385  | 1400  |
|  5% 10/1/29 <br>| 1495  | 1511  |
|  5% 10/1/32 <br>| 4670  | 4706  |
|  5% 10/1/36 <br>| 7560  | 7512  |
|  5% 10/1/40 <br>| 3490  | 3376  |
|  Series 2019:  |  |  |
|  5% 9/1/30 <br>| 1250  | 1366  |
|  5% 9/1/31 <br>| 2500  | 2728  |
|  5% 9/1/33 <br>| 1370  | 1487  |
|  Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds:  |  |  |
|  (Republic Svcs., Inc. Proj.):  |  |  |
|  Series 2019 A, 3.875%, tender 1/17/23 (b)(c) <br>| 8800  | 8800  |
|  Series 2019 B1, 3.875%, tender 1/17/23 (b)(c) <br>| 6900  | 6900  |
|  (Waste Mgmt., Inc. Proj.) Series 2013, 4%, tender 2/1/23 (b)(c)  | 35550  | 35548  |
|  (Waste Mgmt., Inc. Proj.):  |  |  |
|  Series 2017 A, 0.58%, tender 8/1/24 (b)(c) <br>| 3200  | 3001  |
|  Series 2021 A, SIFMA Municipal Swap Index + 0.400% 4.06%, tender 6/3/24 (b)(c)(e) <br>| 9105  | 8850  |
|  Series 2011, 2.15%, tender 7/1/24 (b)(c)  | 12165  | 11718  |
|  Pennsylvania Gen. Oblig.:  |  |  |
|  Series 2013, 5% 10/15/27  | 9710  | 9872  |
|  Series 2014, 5% 7/1/23  | 1500  | 1515  |
|  Series 2016:  |  |  |
|  4% 2/1/32 <br>| 6490  | 6670  |
|  5% 9/15/29 <br>| 27190  | 29272  |
|  Series 2017 1, 5% 1/1/24  | 23000  | 23489  |
|  Series 2017, 5% 1/1/27  | 8765  | 9504  |
|  Series 2022, 5% 10/1/36  | 8595  | 9754  |
|  Pennsylvania Higher Ed. Assistance Agcy. Rev. Series 2022 A:  |  |  |
|  5% 6/1/29 (c)  | 3800  | 4042  |
|  5% 6/1/30 (c)  | 8600  | 9217  |
|  5% 6/1/31 (c)  | 4900  | 5241  |
|  Pennsylvania Higher Edl. Facilities Auth. Rev. (Univ. of Penn Health Systems Proj.):  |  |  |
|  Series 2017 A:  |  |  |
|  5% 8/15/28 <br>| 1215  | 1335  |
|  5% 8/15/30 <br>| 2090  | 2295  |
|  Series 2017, 5% 8/15/27  | 1165  | 1280  |
|  Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of The City of Harrisburg Proj.) Series 2016 A:  |  |  |
|  5% 12/1/28  | 5265  | 5613  |
|  5% 12/1/28 (Pre-Refunded to 12/1/26 @ 100)  | 835  | 906  |
|  5% 12/1/33  | 3405  | 3563  |
|  5% 12/1/33 (Pre-Refunded to 12/1/26 @ 100)  | 895  | 971  |
|  Pennsylvania Tpk. Commission Tpk. Rev.:  |  |  |
|  Series 2013 A2:  |  |  |
|  5% 12/1/28 <br>| 1215  | 1305  |
|  5% 12/1/33 <br>| 1215  | 1311  |
|  Series 2017 A1:  |  |  |
|  5% 12/1/23 <br>| 535  | 544  |
|  5% 12/1/29 <br>| 1455  | 1601  |
|  5% 12/1/34 <br>| 970  | 1048  |
|  Series 2021 B:  |  |  |
|  5% 12/1/33 <br>| 2095  | 2324  |
|  5% 12/1/34 <br>| 1750  | 1926  |
|  5% 12/1/35 <br>| 1750  | 1891  |
|  Series 2021 C:  |  |  |
|  4% 12/1/38 <br>| 1040  | 1020  |
|  5% 12/1/37 <br>| 1300  | 1435  |
|  Philadelphia Arpt. Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 6/15/23 (c) <br>| 1510  | 1519  |
|  5% 6/15/24 (c) <br>| 1590  | 1624  |
|  Series 2017 B:  |  |  |
|  5% 7/1/26 (c) <br>| 2950  | 3092  |
|  5% 7/1/29 (c) <br>| 1200  | 1258  |
|  5% 7/1/30 (c) <br>| 1720  | 1800  |
|  5% 7/1/31 (c) <br>| 2430  | 2540  |
|  5% 7/1/35 (c) <br>| 800  | 827  |
|  5% 7/1/47 (c) <br>| 3065  | 3025  |
|  Series 2020 A:  |  |  |
|  4% 7/1/35 <br>| 2000  | 2015  |
|  4% 7/1/36 <br>| 3500  | 3487  |
|  Series 2021, 5% 7/1/36 (c)  | 2750  | 2901  |
|  Philadelphia Gas Works Rev. Series 15:  |  |  |
|  5% 8/1/23  | 970  | 979  |
|  5% 8/1/24  | 730  | 751  |
|  5% 8/1/25  | 775  | 812  |
|  Philadelphia Gen. Oblig.:  |  |  |
|  Series 2015 B:  |  |  |
|  5% 8/1/27 <br>| 2915  | 3073  |
|  5% 8/1/29 <br>| 10165  | 10675  |
|  5% 8/1/30 <br>| 10705  | 11231  |
|  5% 8/1/31 <br>| 11280  | 11818  |
|  Series 2019 A:  |  |  |
|  5% 8/1/23 <br>| 1910  | 1932  |
|  5% 8/1/24 <br>| 3425  | 3539  |
|  5% 8/1/26 <br>| 3225  | 3470  |
|  Series 2019 B:  |  |  |
|  5% 2/1/23 <br>| 2300  | 2303  |
|  5% 2/1/24 <br>| 100  | 102  |
|  5% 2/1/25 <br>| 1135  | 1185  |
|  5% 2/1/26 <br>| 1180  | 1258  |
|  5% 2/1/27 <br>| 1500  | 1619  |
|  5% 2/1/28 <br>| 2250  | 2461  |
|  5% 2/1/29 <br>| 2425  | 2683  |
|  Philadelphia School District:  |  |  |
|  Series 2019 A, 5% 9/1/34  | 3675  | 4024  |
|  Series 2019 B, 5% 9/1/29  | 3070  | 3393  |
|  Series 2019 C, 5% 9/1/33  | 11245  | 12356  |
|  Philadelphia Wtr. & Wastewtr. Rev. Series 2022 C:  |  |  |
|  5% 6/1/35  | 1110  | 1273  |
|  5% 6/1/36  | 1300  | 1463  |
|  5% 6/1/37  | 2000  | 2223  |
|  5% 6/1/38  | 1500  | 1650  |
|  5% 6/1/39  | 1850  | 2020  |
|  Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.:  |  |  |
|  Series 2019 A, 5% 9/1/38 (Assured Guaranty Muni. Corp. Insured)  | 570  | 616  |
|  Series 2019 B:  |  |  |
|  5% 9/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 1855  | 2146  |
|  5% 9/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 1250  | 1466  |
|  Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 A:  |  |  |
|  5% 6/1/38  | 2890  | 3064  |
|  5% 6/1/39  | 4690  | 4954  |
|  Southeastern Pennsylvania Trans. Auth. Rev. Series 2022:  |  |  |
|  5% 6/1/33  | 1000  | 1163  |
|  5% 6/1/34  | 1000  | 1156  |
|  5% 6/1/35  | 1750  | 2007  |
|  5% 6/1/36  | 2500  | 2848  |
|  State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.) Series 2015 A, 5% 6/1/26  | 1345  | 1397  |
|  TOTAL PENNSYLVANIA  |  | 461671  |
| Puerto Rico - 0.5%  |  |  |
|  Puerto Rico Commonwealth Pub. Impt. Gen. Oblig.:  |  |  |
|  Series 2021 A1:  |  |  |
|  0% 7/1/24 <br>| 4184  | 3878  |
|  4% 7/1/33 <br>| 27122  | 23517  |
|  4% 7/1/35 <br>| 9725  | 8184  |
|  5.25% 7/1/23 <br>| 12185  | 12185  |
|  5.625% 7/1/29 <br>| 4097  | 4193  |
|  Series 2022 A1, 5.375% 7/1/25  | 4735  | 4771  |
|  TOTAL PUERTO RICO  |  | 56728  |
| Rhode Island - 0.6%  |  |  |
|  Rhode Island & Providence Plantations Series 2019 A, 4% 5/1/35  | 2160  | 2199  |
|  Rhode Island Gen. Oblig. Series 2022 A, 5% 8/1/35  | 10110  | 11771  |
|  Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.:  |  |  |
|  Series 2016 B:  |  |  |
|  5% 9/1/31 <br>| 10630  | 10344  |
|  5% 9/1/36 <br>| 320  | 295  |
|  Series 2016, 5% 5/15/39  | 5475  | 5499  |
|  Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2015, 5% 5/15/25 (Assured Guaranty Muni. Corp. Insured)  | 7985  | 8396  |
|  Rhode Island Hsg. & Mtg. Fin. Corp. Series 2019 70, 4% 10/1/49  | 1515  | 1517  |
|  Rhode Island Student Ln. Auth. Student Ln. Rev.:  |  |  |
|  Series 2022 A:  |  |  |
|  5% 12/1/26 (c) <br>| 2100  | 2218  |
|  5% 12/1/27 (c) <br>| 1500  | 1600  |
|  5% 12/1/28 (c) <br>| 1750  | 1887  |
|  5% 12/1/29 (c) <br>| 1875  | 2055  |
|  5% 12/1/30 (c) <br>| 1125  | 1237  |
|  5% 12/1/31 (c) <br>| 1575  | 1722  |
|  Series A:  |  |  |
|  3.5% 12/1/34 (c) <br>| 1440  | 1399  |
|  4% 12/1/26 (c) <br>| 520  | 526  |
|  5% 12/1/29 (c) <br>| 1650  | 1802  |
|  Tobacco Settlement Fing. Corp. Series 2015 A:  |  |  |
|  5% 6/1/24  | 5085  | 5156  |
|  5% 6/1/27  | 1770  | 1809  |
|  5% 6/1/28  | 2330  | 2381  |
|  TOTAL RHODE ISLAND  |  | 63813  |
| South Carolina - 0.7%  |  |  |
|  Beaufort-Jasper Wtr. & Swr. Sys. Series 2016 B:  |  |  |
|  5% 3/1/24  | 970  | 994  |
|  5% 3/1/25  | 970  | 1018  |
|  Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (b)  | 6900  | 6894  |
|  Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015:  |  |  |
|  5% 12/1/27  | 3885  | 4066  |
|  5% 12/1/29  | 3155  | 3301  |
|  South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev.:  |  |  |
|  Series 2019 A, 4% 1/1/50  | 2565  | 2572  |
|  Series 2020 A, 4% 7/1/50  | 2595  | 2602  |
|  South Carolina Jobs-Econ. Dev. Auth.:  |  |  |
|  (Anmed Health Proj.) Series 2016:  |  |  |
|  5% 2/1/24 <br>| 970  | 988  |
|  5% 2/1/26 <br>| 1650  | 1739  |
|  (Anmed Heath Proj.) Series 2016, 5% 2/1/25  | 1700  | 1762  |
|  South Carolina Ports Auth. Ports Rev.:  |  |  |
|  Series 2015 (AMT), 5% 7/1/45 (Pre-Refunded to 7/1/25 @ 100) (c)  | 1000  | 1041  |
|  Series 2018:  |  |  |
|  5% 7/1/28 (c) <br>| 2235  | 2405  |
|  5% 7/1/30 (c) <br>| 4790  | 5115  |
|  5% 7/1/33 (c) <br>| 2150  | 2279  |
|  South Carolina Pub. Svc. Auth. Rev.:  |  |  |
|  Series 2014 C:  |  |  |
|  5% 12/1/25 <br>| 3885  | 4014  |
|  5% 12/1/26 <br>| 3885  | 4011  |
|  5% 12/1/27 <br>| 3010  | 3103  |
|  Series 2016 B:  |  |  |
|  5% 12/1/35 <br>| 6250  | 6456  |
|  5% 12/1/36 <br>| 9330  | 9577  |
|  Series A:  |  |  |
|  4% 12/1/33 <br>| 900  | 896  |
|  4% 12/1/34 <br>| 4000  | 3948  |
|  4% 12/1/35 <br>| 500  | 488  |
|  4% 12/1/37 <br>| 2000  | 1904  |
|  5% 12/1/31 <br>| 2800  | 3071  |
|  TOTAL SOUTH CAROLINA  |  | 74244  |
| South Dakota - 0.1%  |  |  |
|  South Dakota Health & Edl. Facilities Auth. Rev.:  |  |  |
|  (Avera Health Proj.) Series 2017, 5% 7/1/23  | 970  | 979  |
|  Series 2014 B:  |  |  |
|  5% 11/1/24 <br>| 1200  | 1239  |
|  5% 11/1/25 <br>| 1175  | 1216  |
|  5% 11/1/26 <br>| 195  | 202  |
|  Series 2017:  |  |  |
|  5% 7/1/24 <br>| 435  | 447  |
|  5% 7/1/27 <br>| 365  | 395  |
|  5% 7/1/33 <br>| 1700  | 1815  |
|  5% 7/1/35 <br>| 1360  | 1438  |
|  South Dakota Hsg. Dev. Auth. Series A, 3% 11/1/51  | 3515  | 3416  |
|  TOTAL SOUTH DAKOTA  |  | 11147  |
| Tennessee - 0.7%  |  |  |
|  Chattanooga Health Ed. & Hsg. Facility Board Rev. Series 2019 A1, 4% 8/1/37  | 3040  | 2832  |
|  Greeneville Health & Edl. Facilities Board Series 2018 A:  |  |  |
|  5% 7/1/29  | 970  | 1030  |
|  5% 7/1/30  | 1165  | 1230  |
|  Knox County Health Edl. & Hsg. Facilities Board Rev.:  |  |  |
|  Series 2016, 5% 9/1/24  | 995  | 1017  |
|  Series 2017:  |  |  |
|  5% 4/1/24 <br>| 970  | 989  |
|  5% 4/1/25 <br>| 1315  | 1353  |
|  Memphis-Shelby County Arpt. Auth. Arpt. Rev. Series 2020 B:  |  |  |
|  5% 7/1/23 (c)  | 2800  | 2819  |
|  5% 7/1/25 (c)  | 1000  | 1036  |
|  Metropolitan Nashville Arpt. Auth. Rev. Series 2019 B, 5% 7/1/44 (c)  | 1190  | 1217  |
|  Nashville and Davidson County Metropolitan Govt. Gen. Oblig.:  |  |  |
|  Series 2015 C, 5% 7/1/31 (Pre-Refunded to 7/1/25 @ 100)  | 3370  | 3562  |
|  Series 2018, 4% 7/1/34  | 6000  | 6219  |
|  Series 2021 C, 3% 1/1/35  | 1100  | 1008  |
|  Tennergy Corp. Gas Rev. Bonds Series 2019 A, 5%, tender 10/1/24 (b)  | 18440  | 18709  |
|  Tennessee Energy Acquisition Corp. Bonds:  |  |  |
|  (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (b)  | 11735  | 11754  |
|  Series 2018, 4%, tender 11/1/25 (b)  | 10670  | 10592  |
|  Tennessee Hsg. Dev. Agcy. Residential Series 2022 1, 3.75% 7/1/52  | 6260  | 6209  |
|  TOTAL TENNESSEE  |  | 71576  |
| Texas - 12.1%  |  |  |
|  Argyle Independent School District Series 2022, 5% 8/15/34  | 1005  | 1172  |
|  Austin Arpt. Sys. Rev.:  |  |  |
|  Series 2014:  |  |  |
|  5% 11/15/29 (c) <br>| 2690  | 2751  |
|  5% 11/15/34 (c) <br>| 1750  | 1783  |
|  Series 2019 B:  |  |  |
|  5% 11/15/27 (c) <br>| 1500  | 1599  |
|  5% 11/15/28 (c) <br>| 2250  | 2414  |
|  5% 11/15/29 (c) <br>| 1500  | 1616  |
|  Austin Elec. Util. Sys. Rev. Series 2012 A, 5% 11/15/23  | 1455  | 1457  |
|  Austin Gen. Oblig. Series 2022:  |  |  |
|  5% 9/1/34  | 1600  | 1862  |
|  5% 9/1/35  | 2500  | 2884  |
|  5% 9/1/36  | 3035  | 3478  |
|  Austin Independent School District Series 2021:  |  |  |
|  4% 8/1/32  | 8300  | 9021  |
|  4% 8/1/33  | 9255  | 10017  |
|  4% 8/1/34  | 10590  | 11369  |
|  4% 8/1/35  | 7215  | 7666  |
|  Austin Wtr. & Wastewtr. Sys. Rev. Series 2022:  |  |  |
|  5% 11/15/31  | 1000  | 1163  |
|  5% 11/15/33  | 650  | 761  |
|  5% 11/15/35  | 1000  | 1150  |
|  5% 11/15/36  | 1000  | 1143  |
|  Birdville Independent School District Series 2021, 5% 2/15/26  | 2225  | 2381  |
|  Brazosport Independent School District Series 2019, 2.125% 2/15/33  | 3495  | 3005  |
|  Cedar Park Series 2022, 5% 2/15/36  | 1245  | 1395  |
|  Central Reg'l. Mobility Auth.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 1/1/31 (Pre-Refunded to 7/1/25 @ 100) <br>| 1165  | 1231  |
|  5% 1/1/32 (Pre-Refunded to 7/1/25 @ 100) <br>| 970  | 1025  |
|  5% 1/1/34 (Pre-Refunded to 7/1/25 @ 100) <br>| 1940  | 2050  |
|  5% 1/1/40 (Pre-Refunded to 7/1/25 @ 100) <br>| 5340  | 5644  |
|  Series 2020 E:  |  |  |
|  4% 1/1/34 <br>| 950  | 956  |
|  4% 1/1/36 <br>| 750  | 740  |
|  5% 1/1/30 <br>| 850  | 932  |
|  5% 1/1/32 <br>| 800  | 872  |
|  5% 1/1/35 <br>| 915  | 982  |
|  Series 2020 G:  |  |  |
|  4% 1/1/34 <br>| 1000  | 1005  |
|  4% 1/1/35 <br>| 1000  | 997  |
|  4% 1/1/36 <br>| 1000  | 986  |
|  5% 1/1/28 <br>| 500  | 535  |
|  5% 1/1/29 <br>| 750  | 814  |
|  5% 1/1/30 <br>| 670  | 729  |
|  5% 1/1/31 <br>| 725  | 787  |
|  5% 1/1/32 <br>| 870  | 942  |
|  Series 2021 B, 5% 1/1/35  | 1000  | 1082  |
|  Cypress-Fairbanks Independent School District:  |  |  |
|  Series 2016:  |  |  |
|  5% 2/15/23 <br>| 4855  | 4866  |
|  5% 2/15/24 <br>| 24410  | 24987  |
|  5% 2/15/25 <br>| 20810  | 21798  |
|  5% 2/15/27 <br>| 3475  | 3717  |
|  Series 2019 A, 3% 2/15/33  | 5000  | 4697  |
|  Series 2020 A, 5% 2/15/25  | 3650  | 3823  |
|  Dallas Area Rapid Transit Sales Tax Rev.:  |  |  |
|  Series 2007, 5.25% 12/1/29  | 7135  | 8292  |
|  Series 2020 A:  |  |  |
|  5% 12/1/25 <br>| 750  | 799  |
|  5% 12/1/26 <br>| 1000  | 1087  |
|  Dallas County Util. and Reclamation District Series 2013, 5% 2/15/24  | 6130  | 6257  |
|  Dallas Fort Worth Int'l. Arpt. Rev.:  |  |  |
|  Series 2020 A:  |  |  |
|  5% 11/1/30 <br>| 3090  | 3565  |
|  5% 11/1/31 <br>| 1300  | 1494  |
|  5% 11/1/32 <br>| 2000  | 2290  |
|  5% 11/1/33 <br>| 2000  | 2283  |
|  Series 2020 B, 4% 11/1/35  | 7865  | 7992  |
|  Dallas Gen. Oblig.:  |  |  |
|  Series 2014, 5% 2/15/24  | 5770  | 5901  |
|  Series 2019 B:  |  |  |
|  5% 2/15/30 <br>| 4080  | 4573  |
|  5% 2/15/32 <br>| 7095  | 7931  |
|  5% 2/15/33 <br>| 7585  | 8443  |
|  Dallas Independent School District:  |  |  |
|  Series 2019:  |  |  |
|  5% 2/15/28 <br>| 1750  | 1938  |
|  5% 2/15/29 <br>| 2355  | 2610  |
|  5% 2/15/30 <br>| 5095  | 5645  |
|  Series 2021:  |  |  |
|  4% 2/15/25 <br>| 5075  | 5197  |
|  4% 2/15/26 <br>| 2455  | 2538  |
|  Denton Independent School District:  |  |  |
|  Bonds Series 2014 B:  |  |  |
|  2%, tender 8/1/24 (b) <br>| 670  | 663  |
|  2%, tender 8/1/24 (b) <br>| 8515  | 8301  |
|  Series 2016, 0% 8/15/25  | 2770  | 2573  |
|  Eagle Mountain & Saginaw Independent School District Series 2022:  |  |  |
|  5% 8/15/33  | 1190  | 1388  |
|  5% 8/15/34  | 1010  | 1170  |
|  5% 8/15/35  | 1300  | 1493  |
|  5% 8/15/36  | 1895  | 2161  |
|  El Paso Gen. Oblig. Series 2019 A:  |  |  |
|  5% 8/15/30  | 5100  | 5685  |
|  5% 8/15/31  | 3610  | 4019  |
|  5% 8/15/32  | 3620  | 4022  |
|  5% 8/15/33  | 5890  | 6513  |
|  5% 8/15/34  | 2945  | 3242  |
|  El Paso Wtr. & Swr. Rev. Series 2022, 5% 3/1/35  | 7140  | 8053  |
|  Elgin Independent School District Series 2022, 5% 8/1/30  | 1485  | 1711  |
|  Fort Bend Independent School District Bonds Series 2021 B, 0.72%, tender 8/1/26 (b)  | 8585  | 7633  |
|  Fort Worth Gen. Oblig.:  |  |  |
|  Series 2016, 5% 3/1/27  | 5755  | 6159  |
|  Series 2020, 5% 3/1/29  | 4200  | 4733  |
|  Fort Worth Independent School District Series 2016, 5% 2/15/26  | 3530  | 3781  |
|  Georgetown Util. Sys. Rev. Series 2022:  |  |  |
|  5% 8/15/31 (Assured Guaranty Muni. Corp. Insured)  | 1375  | 1573  |
|  5% 8/15/33 (Assured Guaranty Muni. Corp. Insured)  | 1500  | 1698  |
|  5% 8/15/35 (Assured Guaranty Muni. Corp. Insured)  | 1700  | 1891  |
|  5% 8/15/36 (Assured Guaranty Muni. Corp. Insured)  | 1585  | 1752  |
|  Grand Parkway Trans. Corp.:  |  |  |
|  Series 2013 C, 5.125% 10/1/43  | 2430  | 2439  |
|  Series 2018 A:  |  |  |
|  5% 10/1/31 <br>| 4965  | 5476  |
|  5% 10/1/32 <br>| 4210  | 4631  |
|  5% 10/1/33 <br>| 6420  | 7036  |
|  5% 10/1/34 <br>| 4855  | 5288  |
|  Harris County Cultural Ed. Facilities Fin. Corp. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2019 B, 5%, tender 12/1/24 (b) <br>| 5205  | 5377  |
|  Series 2020 A, 0.9%, tender 5/15/25 (b) <br>| 5000  | 4633  |
|  Series 2019 A:  |  |  |
|  4% 10/1/35 <br>| 1750  | 1785  |
|  4% 10/1/36 <br>| 3000  | 3045  |
|  Harris County Flood Cont. District Series 2021 A:  |  |  |
|  4% 10/1/32  | 5130  | 5464  |
|  4% 10/1/33  | 6045  | 6409  |
|  4% 10/1/34  | 4995  | 5250  |
|  4% 10/1/35  | 3400  | 3535  |
|  4% 10/1/36  | 3920  | 4051  |
|  Harris County Gen. Oblig. Series 2022 A:  |  |  |
|  5% 8/15/31  | 4640  | 5430  |
|  5% 8/15/32  | 2500  | 2960  |
|  Hays Consolidated Independent School District Series 2022:  |  |  |
|  4% 2/15/37  | 1000  | 1008  |
|  5% 2/15/34  | 1000  | 1143  |
|  5% 2/15/35  | 1650  | 1865  |
|  5% 2/15/36  | 2250  | 2521  |
|  Houston Arpt. Sys. Rev.:  |  |  |
|  Series 2018 A:  |  |  |
|  5% 7/1/26 (c) <br>| 1635  | 1720  |
|  5% 7/1/27 (c) <br>| 2180  | 2314  |
|  5% 7/1/28 (c) <br>| 970  | 1037  |
|  Series 2018 B:  |  |  |
|  5% 7/1/28 <br>| 3110  | 3454  |
|  5% 7/1/29 <br>| 12140  | 13445  |
|  5% 7/1/30 <br>| 6385  | 7056  |
|  Series 2020 A:  |  |  |
|  4% 7/1/35 (c) <br>| 1500  | 1452  |
|  4% 7/1/39 (c) <br>| 1895  | 1770  |
|  Series 2021 A:  |  |  |
|  4% 7/1/35 (c) <br>| 1100  | 1065  |
|  4% 7/1/36 (c) <br>| 2180  | 2087  |
|  4% 7/1/37 (c) <br>| 1200  | 1128  |
|  4% 7/1/38 (c) <br>| 1750  | 1638  |
|  4% 7/1/39 (c) <br>| 4500  | 4202  |
|  Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2019:  |  |  |
|  5% 9/1/29  | 1000  | 1091  |
|  5% 9/1/30  | 1250  | 1363  |
|  5% 9/1/31  | 1650  | 1797  |
|  5% 9/1/33  | 1535  | 1664  |
|  5% 9/1/34  | 1250  | 1352  |
|  5% 9/1/35  | 1700  | 1829  |
|  Houston Gen. Oblig. Series 2017 A:  |  |  |
|  5% 3/1/23  | 2095  | 2102  |
|  5% 3/1/24  | 9710  | 9956  |
|  5% 3/1/25  | 4080  | 4266  |
|  Houston Independent School District Bonds:  |  |  |
|  Series 2012, 4%, tender 6/1/23 (b)  | 8500  | 8520  |
|  Series 2014 A, 4%, tender 6/1/23 (b)  | 10315  | 10339  |
|  Houston Util. Sys. Rev.:  |  |  |
|  Series 2014 C, 5% 5/15/28  | 2525  | 2597  |
|  Series 2016 B, 5% 11/15/33  | 2330  | 2494  |
|  Series 2020 C:  |  |  |
|  4% 11/15/35 <br>| 1500  | 1536  |
|  5% 11/15/30 <br>| 2145  | 2470  |
|  5% 11/15/31 <br>| 2500  | 2874  |
|  5% 11/15/32 <br>| 2000  | 2288  |
|  Series 2021 A:  |  |  |
|  4% 11/15/35 <br>| 700  | 715  |
|  4% 11/15/36 <br>| 700  | 711  |
|  Irving Hosp. Auth. Hosp. Rev. Series 2017 A:  |  |  |
|  5% 10/15/24  | 485  | 501  |
|  5% 10/15/26  | 680  | 719  |
|  5% 10/15/27  | 485  | 512  |
|  5% 10/15/29  | 630  | 661  |
|  5% 10/15/31  | 990  | 1034  |
|  5% 10/15/35  | 1425  | 1473  |
|  5% 10/15/36  | 3115  | 3206  |
|  5% 10/15/39  | 1215  | 1241  |
|  5% 10/15/44  | 1440  | 1460  |
|  Love Field Arpt. Modernization Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 11/1/30 (c) <br>| 1360  | 1406  |
|  5% 11/1/31 (c) <br>| 5730  | 5918  |
|  5% 11/1/35 (c) <br>| 1700  | 1741  |
|  Series 2017:  |  |  |
|  5% 11/1/26 (c) <br>| 1000  | 1057  |
|  5% 11/1/33 (c) <br>| 1250  | 1301  |
|  5% 11/1/34 (c) <br>| 2925  | 3032  |
|  5% 11/1/35 (c) <br>| 4065  | 4195  |
|  5% 11/1/36 (c) <br>| 5170  | 5320  |
|  Series 2021:  |  |  |
|  4% 11/1/34 (Assured Guaranty Muni. Corp. Insured) (c) <br>| 6245  | 6096  |
|  4% 11/1/38 (Assured Guaranty Muni. Corp. Insured) (c) <br>| 1500  | 1409  |
|  5% 11/1/33 (Assured Guaranty Muni. Corp. Insured) (c) <br>| 16660  | 18092  |
|  Lower Colorado River Auth. Rev.:  |  |  |
|  (LCRA Transmission Svcs. Corp. Proj.):  |  |  |
|  Series 2018: <br>|  |  |
|  5% 5/15/32 <br>| 4565  | 4997  |
|  5% 5/15/34 <br>| 2430  | 2645  |
|  5% 5/15/36 <br>| 2430  | 2608  |
|  Series 2019: <br>|  |  |
|  5% 5/15/32 <br>| 1500  | 1666  |
|  5% 5/15/33 <br>| 2250  | 2493  |
|  5% 5/15/34 <br>| 2250  | 2482  |
|  5% 5/15/35 <br>| 5575  | 6095  |
|  5% 5/15/36 <br>| 1075  | 1167  |
|  Series 2021, 5% 5/15/25 <br>| 3620  | 3781  |
|  Series 2022 A: <br>|  |  |
|  5% 5/15/32 <br>| 395  | 456  |
|  5.25% 5/15/35 <br>| 1500  | 1720  |
|  Series 2015 B:  |  |  |
|  5% 5/15/25 <br>| 6615  | 6909  |
|  5% 5/15/27 <br>| 2915  | 3047  |
|  5% 5/15/28 <br>| 2845  | 2974  |
|  5% 5/15/29 <br>| 8255  | 8627  |
|  Series 2015 D:  |  |  |
|  5% 5/15/23 <br>| 680  | 684  |
|  5% 5/15/24 <br>| 1445  | 1483  |
|  5% 5/15/26 <br>| 1360  | 1422  |
|  Series 2020, 5% 5/15/26  | 3350  | 3564  |
|  McKinney Independent School District Series 2022, 5% 2/15/35  | 1295  | 1476  |
|  Midlothian Independent School District Bonds Series 2013 C, 2%, tender 8/1/24 (b)  | 4160  | 4061  |
|  Midway Independent School District Series 2020, 4% 8/15/32  | 1500  | 1587  |
|  Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds:  |  |  |
|  (Republic Svcs., Inc. Proj.) Series 2020 A, 4.1%, tender 2/1/23 (b)(c)  | 35800  | 35803  |
|  (Waste Mgmt., Inc. Proj.):  |  |  |
|  Series 2018, 4.035%, tender 7/1/24 (b)(c) <br>| 1145  | 1110  |
|  Series 2020 A, 3.5%, tender 3/1/23 (b)(c) <br>| 11600  | 11586  |
|  Series 2020 B, 3.5%, tender 3/1/23 (b)(c) <br>| 14800  | 14782  |
|  New Hope Cultural Ed. Facilities Fin. Corp. (Childrens Med. Ctr. of Dallas) Series 2017 A:  |  |  |
|  5% 8/15/24  | 1960  | 2023  |
|  5% 8/15/25  | 2430  | 2560  |
|  5% 8/15/26  | 1505  | 1614  |
|  5% 8/15/27  | 1565  | 1707  |
|  5% 8/15/30  | 2330  | 2526  |
|  Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A:  |  |  |
|  5% 4/1/27  | 2135  | 2246  |
|  5% 4/1/28  | 1395  | 1467  |
|  North East Texas Independent School District Bonds Series 2019, 2.2%, tender 8/1/24 (b)  | 4310  | 4235  |
|  North Harris County Reg'l. Wtr. Auth. Series 2013:  |  |  |
|  4% 12/15/23  | 995  | 996  |
|  4% 12/15/24  | 1770  | 1772  |
|  North Texas Tollway Auth. Rev.:  |  |  |
|  (Sr. Lien Proj.) Series 2017 A:  |  |  |
|  5% 1/1/30 <br>| 1240  | 1306  |
|  5% 1/1/33 <br>| 1280  | 1373  |
|  (Sub Lien Proj.) Series 2017 B:  |  |  |
|  5% 1/1/30 <br>| 470  | 494  |
|  5% 1/1/31 <br>| 660  | 693  |
|  5% 1/1/32 <br>| 2915  | 3100  |
|  Series 2014:  |  |  |
|  5% 1/1/23 <br>| 1045  | 1045  |
|  5% 1/1/23 (Escrowed to Maturity) <br>| 690  | 690  |
|  5% 1/1/24 <br>| 420  | 428  |
|  Series 2015 B:  |  |  |
|  5% 1/1/29 <br>| 9710  | 10097  |
|  5% 1/1/30 <br>| 4855  | 5048  |
|  Series 2016 A, 5% 1/1/39  | 6800  | 7049  |
|  Series 2019 A, 4% 1/1/36  | 1725  | 1747  |
|  Series 2019 B, 5% 1/1/25  | 3390  | 3519  |
|  Series 2020 A, 4% 1/1/37  | 3395  | 3411  |
|  Series 2021 B, 4% 1/1/39  | 8025  | 7843  |
|  Northside Independent School District Bonds:  |  |  |
|  Series 2018, 2.75%, tender 8/1/23 (b)  | 23270  | 23118  |
|  Series 2019, 1.6%, tender 8/1/24 (b)  | 19660  | 19039  |
|  Pasadena Independent School District Bonds Series 2015 B, 1.5%, tender 8/15/24 (b)  | 16765  | 16396  |
|  Pearland Gen. Oblig. Series 2020, 5% 3/1/24  | 1975  | 2023  |
|  Pflugerville Independent School District Bonds Series 2019 B, 2.5%, tender 8/15/23 (b)  | 4070  | 4034  |
|  Rockwall Independent School District Series 2015, 0% 2/15/25  | 1615  | 1514  |
|  San Antonio Arpt. Sys. Rev. Series 2019 A:  |  |  |
|  5% 7/1/27 (c)  | 2380  | 2511  |
|  5% 7/1/28 (c)  | 1085  | 1160  |
|  5% 7/1/29 (c)  | 1270  | 1364  |
|  5% 7/1/29 (c)  | 3200  | 3417  |
|  5% 7/1/30 (c)  | 1235  | 1325  |
|  5% 7/1/30 (c)  | 1510  | 1611  |
|  5% 7/1/31 (c)  | 2310  | 2475  |
|  5% 7/1/31 (c)  | 1250  | 1332  |
|  5% 7/1/32 (c)  | 950  | 1010  |
|  5% 7/1/32 (c)  | 1195  | 1278  |
|  San Antonio Elec. & Gas Sys. Rev.:  |  |  |
|  Series 2012, 5.25% 2/1/25  | 3110  | 3267  |
|  Series 2017:  |  |  |
|  5% 2/1/29 <br>| 1455  | 1594  |
|  5% 2/1/30 <br>| 970  | 1060  |
|  5% 2/1/31 <br>| 1455  | 1588  |
|  5% 2/1/33 <br>| 1165  | 1267  |
|  Series 2019, 5% 2/1/36  | 5980  | 6560  |
|  San Antonio Gen. Oblig. Series 2021, 4% 8/1/33  | 3145  | 3367  |
|  San Antonio Wtr. Sys. Rev.:  |  |  |
|  Series 2019 C, 5% 5/15/34  | 1550  | 1738  |
|  Series 2022 A:  |  |  |
|  5% 5/15/40 <br>| 2730  | 2998  |
|  5% 5/15/41 <br>| 2485  | 2707  |
|  Series 2022 B:  |  |  |
|  5% 5/15/32 <br>| 730  | 857  |
|  5% 5/15/33 <br>| 675  | 789  |
|  5% 5/15/35 <br>| 1460  | 1679  |
|  5% 5/15/36 <br>| 1590  | 1811  |
|  Spring Branch Independent School District Series 2019, 3% 2/1/32  | 5315  | 5264  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.:  |  |  |
|  (Scott & White Healthcare Proj.) Series 2013 A:  |  |  |
|  5% 8/15/25 (Pre-Refunded to 8/15/23 @ 100) <br>| 970  | 982  |
|  5% 8/15/26 (Pre-Refunded to 8/15/23 @ 100) <br>| 1485  | 1504  |
|  5% 8/15/28 (Pre-Refunded to 8/15/23 @ 100) <br>| 1575  | 1595  |
|  5% 8/15/33 (Pre-Refunded to 8/15/23 @ 100) <br>| 3690  | 3737  |
|  Bonds (Baylor Scott & White Health Proj.) Series 2022 F, 5%, tender 11/15/30 (b)  | 8030  | 8904  |
|  Series 2013, 5.5% 9/1/43 (Pre-Refunded to 9/1/23 @ 100)  | 5195  | 5278  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev. (Barton Creek Sr. Living Ctr., Inc. Querencia Proj.) Series 2015, 5% 11/15/30  | 6130  | 6110  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 2/15/25 <br>| 5585  | 5828  |
|  5% 2/15/34 <br>| 2040  | 2146  |
|  Series 2018 B, 5% 7/1/43  | 3100  | 3174  |
|  Texas A&M Univ. Rev.:  |  |  |
|  Series 2016 C, 5% 5/15/23  | 5475  | 5516  |
|  Series 2022:  |  |  |
|  5% 5/15/32 <br>| 1000  | 1175  |
|  5% 5/15/33 <br>| 1000  | 1167  |
|  5% 5/15/34 <br>| 1250  | 1451  |
|  5% 5/15/35 <br>| 1000  | 1150  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Series 2019, 2.95% 7/1/36  | 6311  | 5618  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev. Series 2019 A, 4% 3/1/50  | 5330  | 5347  |
|  Texas Gen. Oblig.:  |  |  |
|  Series 2013 B, 5% 8/1/25 (c)  | 11725  | 11839  |
|  Series 2014, 5% 8/1/26 (c)  | 5020  | 5164  |
|  Series 2016, 5.5% 8/1/26 (c)  | 3750  | 4064  |
|  Series 2020 A, 4% 8/1/32 (c)  | 1700  | 1769  |
|  Series 2020 B:  |  |  |
|  4% 8/1/28 (c) <br>| 4340  | 4522  |
|  4% 8/1/29 (c) <br>| 5605  | 5855  |
|  4% 8/1/30 (c) <br>| 5885  | 6180  |
|  4% 8/1/31 (c) <br>| 6180  | 6514  |
|  Series 2021 A:  |  |  |
|  5% 8/1/30 (c) <br>| 5720  | 6425  |
|  5% 8/1/31 (c) <br>| 6175  | 7011  |
|  5% 8/1/32 (c) <br>| 6480  | 7332  |
|  5% 8/1/33 (c) <br>| 4805  | 5419  |
|  Series 2021 B, 5% 8/1/32 (c)  | 4915  | 5626  |
|  Texas Private Activity Bond Surface Trans. Corp.:  |  |  |
|  (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A:  |  |  |
|  4% 6/30/33 <br>| 2750  | 2721  |
|  4% 12/31/33 <br>| 1710  | 1687  |
|  4% 6/30/34 <br>| 4000  | 3921  |
|  4% 12/31/34 <br>| 4000  | 3897  |
|  4% 6/30/35 <br>| 4000  | 3869  |
|  4% 6/30/36 <br>| 1290  | 1233  |
|  4% 12/31/36 <br>| 2965  | 2820  |
|  Series 2013, 7% 12/31/38 (c)  | 15540  | 15827  |
|  Texas Pub. Fin. Auth. Lease Rev. Series 2019:  |  |  |
|  5% 2/1/23  | 1500  | 1502  |
|  5% 2/1/24  | 1130  | 1156  |
|  5% 2/1/26  | 2600  | 2780  |
|  5% 2/1/27  | 2500  | 2723  |
|  5% 2/1/28  | 1315  | 1457  |
|  Texas State Univ. Sys. Fing. Rev. Series 2017 A, 5% 3/15/29  | 4530  | 4898  |
|  Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (b)  | 44145  | 40179  |
|  Texas Wtr. Dev. Board Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 4/15/25 <br>| 6055  | 6372  |
|  5% 4/15/26 <br>| 4195  | 4513  |
|  5% 4/15/29 <br>| 6310  | 6987  |
|  5% 4/15/30 <br>| 16995  | 18812  |
|  Series 2018 A, 4% 10/15/32  | 7000  | 7343  |
|  Series 2018 B:  |  |  |
|  4% 10/15/36 <br>| 9840  | 10035  |
|  5% 4/15/29 <br>| 2750  | 3096  |
|  5% 10/15/29 <br>| 2250  | 2533  |
|  5% 10/15/30 <br>| 3240  | 3642  |
|  5% 4/15/31 <br>| 5000  | 5617  |
|  Series 2019 A, 5% 4/15/32  | 3805  | 4331  |
|  Series 2019:  |  |  |
|  5% 8/1/30 <br>| 8650  | 9854  |
|  5% 8/1/31 <br>| 4500  | 5113  |
|  5% 8/1/32 <br>| 3000  | 3401  |
|  5% 8/1/33 <br>| 3450  | 3901  |
|  5% 8/1/34 <br>| 4500  | 5054  |
|  5% 8/1/35 <br>| 5500  | 6120  |
|  Series 2020:  |  |  |
|  5% 8/1/24 <br>| 1000  | 1035  |
|  5% 8/1/30 <br>| 3210  | 3718  |
|  Series 2021 4% 8/1/35  | 6945  | 7230  |
|  Series 2022:  |  |  |
|  5% 4/15/32 <br>| 1000  | 1183  |
|  5% 10/15/32 <br>| 1350  | 1606  |
|  5% 4/15/33 <br>| 850  | 1007  |
|  5% 10/15/33 <br>| 1300  | 1541  |
|  Travis County Gen. Oblig.:  |  |  |
|  Series 2016 A, 5% 3/1/24  | 2905  | 2978  |
|  Series 2019 A:  |  |  |
|  5% 3/1/34 <br>| 5645  | 6299  |
|  5% 3/1/35 <br>| 17080  | 18900  |
|  5% 3/1/36 <br>| 5000  | 5490  |
|  Univ. of Houston Univ. Revs.:  |  |  |
|  Series 2017 A, 5% 2/15/30  | 6325  | 6733  |
|  Series 2021 A, 2% 2/15/33  | 4105  | 3467  |
|  Univ. of North Texas Univ. Rev. Series 2022 A:  |  |  |
|  5% 4/15/32  | 540  | 623  |
|  5% 4/15/33  | 520  | 594  |
|  5% 4/15/34  | 720  | 818  |
|  5% 4/15/35  | 755  | 850  |
|  5% 4/15/36  | 720  | 805  |
|  5% 4/15/37  | 950  | 1053  |
|  5% 4/15/38  | 1095  | 1209  |
|  5% 4/15/39  | 1190  | 1310  |
|  Univ. of Texas Board of Regents Sys. Rev. Series 2019 A, 5% 8/15/29  | 3060  | 3505  |
|  Univ. of Texas Permanent Univ. Fund Rev. Series 2016 B, 5% 7/1/29  | 1740  | 1881  |
|  Wichita Falls Independent School District Series 2021, 4% 2/1/24  | 1000  | 1012  |
|  TOTAL TEXAS  |  | 1286395  |
| Utah - 0.2%  |  |  |
|  Intermountain Pwr. Agcy. Pwr. Supply Rev. Series 2022 A, 4% 7/1/36  | 4890  | 5043  |
|  Salt Lake City Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/26 (c) <br>| 1120  | 1176  |
|  5% 7/1/28 (c) <br>| 3885  | 4108  |
|  Series 2018 A:  |  |  |
|  5% 7/1/29 (c) <br>| 1500  | 1595  |
|  5% 7/1/30 (c) <br>| 1345  | 1429  |
|  Series 2021 A, 4% 7/1/38 (c)  | 5000  | 4681  |
|  Utah Gen. Oblig. Series 2020 B, 5% 7/1/23  | 2740  | 2769  |
|  TOTAL UTAH  |  | 20801  |
| Vermont - 0.0%  |  |  |
|  Vermont Student Assistant Corp. Ed. Ln. Rev. Series 2017 A, 5% 6/15/27 (c)  | 1590  | 1685  |
| Virginia - 1.6%  |  |  |
|  Arlington County IDA Hosp. Facilities Series 2020:  |  |  |
|  5% 7/1/27  | 120  | 129  |
|  5% 7/1/28  | 1175  | 1275  |
|  5% 7/1/30  | 1265  | 1406  |
|  5% 7/1/32  | 1005  | 1111  |
|  Chesapeake Gen. Oblig. Series 2020 A:  |  |  |
|  5% 8/1/31  | 1500  | 1735  |
|  5% 8/1/32  | 1500  | 1730  |
|  5% 8/1/33  | 1500  | 1725  |
|  Fredericksburg Econ. Dev. Auth. Rev. Series 2014:  |  |  |
|  5% 6/15/27  | 1260  | 1290  |
|  5% 6/15/29  | 1385  | 1414  |
|  5% 6/15/33  | 1475  | 1501  |
|  Hampton Roads Trans. Accountability Commission:  |  |  |
|  Series 2018 A, 5.5% 7/1/57 (Pre-Refunded to 1/1/28 @ 100)  | 3725  | 4236  |
|  Series 2021 A, 5% 7/1/26  | 28000  | 30158  |
|  Henrico County Series 2020 A, 2% 8/1/32  | 1095  | 962  |
|  Norfolk Econ. Dev. Auth. Hosp. Facilities Rev. Bonds Series 2018 A, 5%, tender 11/1/28 (b)  | 1455  | 1594  |
|  Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016:  |  |  |
|  4% 6/15/37  | 615  | 587  |
|  5% 6/15/32  | 1750  | 1816  |
|  5% 6/15/34  | 2235  | 2310  |
|  Virginia College Bldg. Auth. Edl. Facilities Rev.:  |  |  |
|  (21st Century College and Equip. Progs.):  |  |  |
|  Series 2017 C, 5% 2/1/26 <br>| 5540  | 5930  |
|  Series 2017 E, 5% 2/1/31 <br>| 10295  | 11394  |
|  Series 2020 A: <br>|  |  |
|  5% 2/1/34 <br>| 1050  | 1196  |
|  5% 2/1/35 <br>| 2500  | 2827  |
|  Series 2021 A, 3% 2/1/39 <br>| 2670  | 2307  |
|  (Virginia Gen. Oblig.) Series 2017 E, 5% 2/1/30  | 8875  | 9826  |
|  Series 2017 C, 4% 2/1/34  | 6890  | 7075  |
|  Series 2019 A, 3% 2/1/36  | 3445  | 3144  |
|  Virginia Commonwealth Trans. Board Rev.:  |  |  |
|  (Virginia Gen. Oblig. Proj.) Series 2017 A, 5% 5/15/29  | 6160  | 6820  |
|  Series 2022, 4% 5/15/33  | 6530  | 7067  |
|  Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2021 A1, 5% 8/1/23  | 4310  | 4363  |
|  Virginia Small Bus. Fing. Auth.:  |  |  |
|  (95 Express Lanes LLC Proj.) Series 2022:  |  |  |
|  4% 1/1/39 (c) <br>| 1850  | 1679  |
|  4% 7/1/39 (c) <br>| 2750  | 2488  |
|  4% 1/1/40 (c) <br>| 3200  | 2858  |
|  5% 7/1/36 (c) <br>| 2875  | 2971  |
|  5% 1/1/37 (c) <br>| 6265  | 6429  |
|  (Elizabeth River Crossings OpCo, LLC Proj.) Series 2022:  |  |  |
|  4% 7/1/33 (c) <br>| 1590  | 1564  |
|  4% 7/1/35 (c) <br>| 2540  | 2445  |
|  4% 1/1/36 (c) <br>| 3000  | 2866  |
|  4% 1/1/37 (c) <br>| 4500  | 4219  |
|  4% 1/1/38 (c) <br>| 4750  | 4405  |
|  4% 1/1/39 (c) <br>| 4000  | 3660  |
|  4% 1/1/40 (c) <br>| 3500  | 3171  |
|  Series 2020 A:  |  |  |
|  5% 1/1/28 <br>| 1100  | 1168  |
|  5% 1/1/29 <br>| 1400  | 1500  |
|  5% 1/1/30 <br>| 1600  | 1729  |
|  Winchester Econ. Dev. Auth. Series 2015:  |  |  |
|  5% 1/1/32  | 1940  | 2030  |
|  5% 1/1/33  | 2515  | 2622  |
|  York County Econ. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2009 A, 1.9%, tender 6/1/23 (b)  | 2200  | 2175  |
|  TOTAL VIRGINIA  |  | 166907  |
| Washington - 2.5%  |  |  |
|  Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series 1997 A, 0% 6/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 1990  | 1905  |
|  Energy Northwest Elec. Rev. Series 2022 A, 5% 7/1/33  | 5750  | 6728  |
|  Port of Seattle Rev.:  |  |  |
|  Series 2013, 5% 7/1/24 (c)  | 1075  | 1083  |
|  Series 2016 B:  |  |  |
|  5% 10/1/26 (c) <br>| 3625  | 3811  |
|  5% 10/1/29 (c) <br>| 4615  | 4834  |
|  Series 2016:  |  |  |
|  5% 2/1/27 <br>| 1205  | 1282  |
|  5% 2/1/29 <br>| 2430  | 2580  |
|  Series 2018 A:  |  |  |
|  5% 5/1/29 (c) <br>| 1515  | 1602  |
|  5% 5/1/37 (c) <br>| 2290  | 2363  |
|  Series 2019, 5% 4/1/28 (c)  | 2250  | 2403  |
|  Port of Seattle Spl. Facility Rev. Series 2013, 5% 6/1/23 (c)  | 860  | 865  |
|  Seattle Hsg. Auth. Rev. (Northgate Plaza Proj.) Series 2021, 1% 6/1/26  | 4345  | 3953  |
|  Tacoma Elec. Sys. Rev. Series 2017:  |  |  |
|  5% 1/1/29  | 1050  | 1137  |
|  5% 1/1/36  | 1140  | 1215  |
|  Tobacco Settlement Auth. Rev. Series 2018:  |  |  |
|  5% 6/1/23  | 2430  | 2450  |
|  5% 6/1/24  | 3430  | 3457  |
|  Washington Convention Ctr. Pub. Facilities Series 2021, 4% 7/1/31  | 40650  | 37180  |
|  Washington Gen. Oblig.:  |  |  |
|  Series 2018 A, 5% 8/1/32  | 14420  | 15696  |
|  Series 2018 C, 5% 8/1/30  | 6665  | 7269  |
|  Series 2018 D:  |  |  |
|  5% 8/1/32 <br>| 24300  | 26450  |
|  5% 8/1/33 <br>| 30735  | 33399  |
|  Series 2019 B, 5% 6/1/34  | 3300  | 3643  |
|  Series 2020 C, 5% 2/1/37  | 9530  | 10499  |
|  Series 2021 A, 5% 6/1/38  | 2250  | 2479  |
|  Series 2021 B, 5% 6/1/37  | 1390  | 1537  |
|  Series 2022 A, 5% 8/1/36  | 7250  | 8234  |
|  Series 2022 C, 4% 7/1/35  | 9630  | 10029  |
|  Series 2022 D, 4% 7/1/35  | 4120  | 4291  |
|  Series 2023 A, 5% 8/1/35  | 1435  | 1654  |
|  Series R-2017 A:  |  |  |
|  5% 8/1/28 <br>| 1735  | 1869  |
|  5% 8/1/30 <br>| 1735  | 1860  |
|  Washington Health Care Facilities Auth. Rev.:  |  |  |
|  (Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B:  |  |  |
|  5% 7/1/25 <br>| 240  | 250  |
|  5% 7/1/26 <br>| 1935  | 2046  |
|  5% 7/1/29 <br>| 3100  | 3301  |
|  5% 7/1/34 <br>| 610  | 637  |
|  5% 7/1/42 <br>| 5305  | 5342  |
|  (Providence Health Systems Proj.) Series 2018 B:  |  |  |
|  5% 10/1/27 <br>| 2430  | 2639  |
|  5% 10/1/28 <br>| 1940  | 2138  |
|  (Virginia Mason Med. Ctr. Proj.) Series 2017:  |  |  |
|  5% 8/15/25 <br>| 1300  | 1341  |
|  5% 8/15/26 <br>| 1175  | 1227  |
|  5% 8/15/28 <br>| 3825  | 4035  |
|  (Virginia Mason Med. Ctr. Proj.) Series 2017, 5% 8/15/31  | 5780  | 6062  |
|  Series 2015:  |  |  |
|  5% 1/1/23 (Escrowed to Maturity) <br>| 1100  | 1100  |
|  5% 1/1/29 (Pre-Refunded to 7/1/25 @ 100) <br>| 1260  | 1332  |
|  Series 2017, 5% 8/15/32  | 1520  | 1590  |
|  Series 2019 A1:  |  |  |
|  5% 8/1/31 <br>| 1000  | 1065  |
|  5% 8/1/35 <br>| 1500  | 1572  |
|  Series 2019 A2, 5% 8/1/44  | 5995  | 6006  |
|  Washington Higher Ed. Facilities Auth. Rev.:  |  |  |
|  (Whitworth Univ. Proj.):  |  |  |
|  Series 2016 A: <br>|  |  |
|  5% 10/1/29 <br>| 550  | 572  |
|  5% 10/1/31 <br>| 2635  | 2727  |
|  5% 10/1/33 <br>| 560  | 576  |
|  Series 2019, 4% 10/1/49 <br>| 5235  | 4276  |
|  Series 2016 A, 5% 10/1/30  | 2510  | 2604  |
|  TOTAL WASHINGTON  |  | 260195  |
| West Virginia - 0.0%  |  |  |
|  West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 A, 5% 1/1/36  | 3000  | 3091  |
| Wisconsin - 1.7%  |  |  |
|  Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A:  |  |  |
|  5% 1/1/31  | 1050  | 1135  |
|  5% 1/1/34  | 1000  | 1071  |
|  5% 1/1/38  | 1050  | 1087  |
|  Pub. Fin. Auth. Edl. Facilities Series 2022 A, 5.25% 3/1/42  | 4110  | 4133  |
|  Pub. Fin. Auth. Hosp. Rev. Series 2019 A, 5% 10/1/44  | 3600  | 3658  |
|  Pub. Fin. Auth. Sr. Living Rev. (Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A:  |  |  |
|  5% 5/15/30 (d)  | 1135  | 1073  |
|  5.25% 5/15/37 (d)  | 345  | 316  |
|  5.25% 5/15/42 (d)  | 420  | 371  |
|  5.25% 5/15/47 (d)  | 420  | 360  |
|  5.25% 5/15/52 (d)  | 790  | 664  |
|  Pub. Fin. Auth. Wisconsin Retirement Facility Rev. Series 2018:  |  |  |
|  5% 10/1/43 (d)  | 915  | 788  |
|  5% 10/1/48 (d)  | 1175  | 979  |
|  5% 10/1/53 (d)  | 3010  | 2457  |
|  Roseman Univ. of Health:  |  |  |
|  Series 2018 A, 5.35% 12/1/45  | 9015  | 9190  |
|  Series 2020, 5% 4/1/30 (d)  | 500  | 504  |
|  Wisconsin Ctr. District Tax Rev.:  |  |  |
|  Series 2020 C:  |  |  |
|  0% 12/15/29 (Assured Guaranty Muni. Corp. Insured) <br>| 1050  | 811  |
|  0% 12/15/31 (Assured Guaranty Muni. Corp. Insured) <br>| 1350  | 952  |
|  0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) <br>| 1400  | 941  |
|  0% 12/15/33 (Assured Guaranty Muni. Corp. Insured) <br>| 1350  | 864  |
|  0% 12/15/34 (Assured Guaranty Muni. Corp. Insured) <br>| 1250  | 755  |
|  Series 2020 D:  |  |  |
|  0% 12/15/28 (Assured Guaranty Muni. Corp. Insured) <br>| 255  | 208  |
|  0% 12/15/29 (Assured Guaranty Muni. Corp. Insured) <br>| 390  | 306  |
|  0% 12/15/31 (Assured Guaranty Muni. Corp. Insured) <br>| 1000  | 717  |
|  Wisconsin Gen. Oblig.:  |  |  |
|  Series 2014 4, 5% 5/1/25  | 1575  | 1640  |
|  Series 2021 2, 5% 5/1/25  | 5270  | 5554  |
|  Series 2021 A:  |  |  |
|  5% 5/1/32 <br>| 7920  | 8846  |
|  5% 5/1/34 <br>| 10820  | 12018  |
|  5% 5/1/35 <br>| 11365  | 12526  |
|  Series 2022 4:  |  |  |
|  5% 5/1/34 <br>| 3000  | 3525  |
|  5% 5/1/35 <br>| 3000  | 3494  |
|  Series A, 5% 5/1/30  | 2915  | 3139  |
|  Wisconsin Health & Edl. Facilities:  |  |  |
|  Bonds Series 2018 C1, 5%, tender 7/29/26 (b)  | 2515  | 2673  |
|  Series 2014 A:  |  |  |
|  5% 11/15/24 <br>| 8510  | 8811  |
|  5% 11/15/27 <br>| 6515  | 6714  |
|  Series 2014:  |  |  |
|  5% 5/1/26 <br>| 810  | 826  |
|  5% 5/1/28 <br>| 1750  | 1782  |
|  5% 5/1/29 <br>| 865  | 880  |
|  Series 2015, 5% 12/15/27  | 1175  | 1216  |
|  Series 2016, 4% 2/15/38 (Pre-Refunded to 8/15/25 @ 100)  | 1260  | 1299  |
|  Series 2017 A:  |  |  |
|  5% 9/1/34 (Pre-Refunded to 9/1/27 @ 100) <br>| 1800  | 1968  |
|  5% 9/1/36 (Pre-Refunded to 9/1/27 @ 100) <br>| 2100  | 2296  |
|  Series 2019 B1, 2.825% 11/1/28  | 2130  | 1883  |
|  Series 2019 B2, 2.55% 11/1/27  | 1320  | 1238  |
|  Series 2019:  |  |  |
|  5% 12/15/31 <br>| 1000  | 1102  |
|  5% 12/15/32 <br>| 1750  | 1918  |
|  5% 12/15/34 <br>| 1720  | 1850  |
|  Wisconsin Health & Edl. Facilities Auth. Rev.:  |  |  |
|  (Agnesian HealthCare, Inc. Proj.) Series 2013 B:  |  |  |
|  5% 7/1/25 (Pre-Refunded to 7/1/23 @ 100) <br>| 970  | 980  |
|  5% 7/1/36 (Pre-Refunded to 7/1/23 @ 100) <br>| 6945  | 7014  |
|  Series 2012:  |  |  |
|  5% 6/1/27 <br>| 1750  | 1751  |
|  5% 6/1/32 <br>| 995  | 995  |
|  5% 6/1/39 <br>| 2345  | 2345  |
|  Series 2021, 3% 10/15/37  | 7225  | 6087  |
|  Wisconsin Hsg. & Econ. Dev. Auth.:  |  |  |
|  Series 2021 A, 3% 3/1/52  | 4185  | 4053  |
|  Series A, 3.5% 9/1/50  | 7580  | 7485  |
|  Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C:  |  |  |
|  0.61%, tender 5/1/24 (b)  | 1140  | 1085  |
|  0.81%, tender 5/1/25 (b)  | 3800  | 3581  |
|  Wisconsin St Gen. Fund Annual Appropriation Series 2019 A:  |  |  |
|  5% 5/1/26  | 8580  | 9211  |
|  5% 5/1/27  | 12590  | 13738  |
|  TOTAL WISCONSIN  |  | 178863  |
| Wyoming - 0.0%  |  |  |
|  Laramie County Hosp. Rev. (Cheyenne Reg'l. Med. Ctr. Proj.) Series 2021, 4% 5/1/24  | 250  | 253  |
| <br> **TOTAL MUNICIPAL BONDS** <br> (Cost $10,300,463)  |  | <br> **9858721**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Notes - 2.8%**  | &nbsp;&nbsp; **Municipal Notes - 2.8%**  | &nbsp;&nbsp; **Municipal Notes - 2.8%**  |
|  | Principal <br> Amount (a) <br> (000s) <br>| Value ($) <br> (000s) <br>|
| Arizona - 0.2%  |  |  |
|  Arizona St Indl. Dev. Auth. Multi Participating VRDN Series XF 10 91, 3.21% 1/6/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(c)(g)(h)  | 7000  | 7000  |
|  Phoenix Civic Impt. Board Arpt. Rev. Participating VRDN Series 2018 XM 06 15, 3.85% 1/6/23 (Liquidity Facility Royal Bank of Canada) (b)(c)(g)(h)  | 1750  | 1750  |
|  Pima County Indl. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series XF 10 96, 3.5% 1/6/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(h)  | 5680  | 5680  |
|  TOTAL ARIZONA  |  | 14430  |
| California - 0.5%  |  |  |
|  Los Angeles Cmnty. Redev. Agcy. Multi-family Hsg. Rev. Participating VRDN Series 2022 MIZ 90 89, 3.91% 1/6/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(c)(g)(h)  | 18100  | 18100  |
|  San Francisco City & County Multi-family Hsg. Rev. Participating VRDN Series MIZ 90 95, 3.91% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)  | 31600  | 31600  |
|  TOTAL CALIFORNIA  |  | 49700  |
| Colorado - 0.0%  |  |  |
|  Colorado Hsg. & Fin. Auth. Multi-family Hsg. Rev. Participating VRDN Series Floater 2021 MIZ 90 68, 3.76% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 830  | 830  |
| Florida - 0.1%  |  |  |
|  Brevard County Hsg. Fin. Auth. Participating VRDN Series DBE 80 85, 4.06% 2/28/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(h)(i)  | 8395  | 8395  |
|  Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN Series MIZ 90 72, 3.91% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 2800  | 2800  |
|  TOTAL FLORIDA  |  | 11195  |
| Georgia - 0.0%  |  |  |
|  Griffin-Spalding County Hosp. Participating VRDN Series Floaters XL 00 76, 3.83% 1/6/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h)  | 2950  | 2950  |
| Illinois - 0.5%  |  |  |
|  Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN:  |  |  |
|  Series XF 13 79, 3.96% 1/6/23 (Liquidity Facility JPMorgan Chase Bank) (b)(c)(g)(h)  | 8000  | 8000  |
|  Series XL 03 15, 3.96% 1/6/23 (Liquidity Facility JPMorgan Chase Bank) (b)(c)(g)(h)  | 9600  | 9600  |
|  Series XM 10 41, 3.96% 1/6/23 (Liquidity Facility JPMorgan Chase Bank) (b)(c)(g)(h)  | 4500  | 4500  |
|  Series XM 10 42, 3.96% 1/6/23 (Liquidity Facility JPMorgan Chase Bank) (b)(c)(g)(h)  | 8000  | 8000  |
|  Series XM 10 43, 3.96% 1/6/23 (Liquidity Facility JPMorgan Chase Bank) (b)(c)(g)(h)  | 8000  | 8000  |
|  Series XM 10 44, 3.96% 1/6/23 (Liquidity Facility JPMorgan Chase Bank) (b)(c)(g)(h)  | 15200  | 15200  |
|  TOTAL ILLINOIS  |  | 53300  |
| Kentucky - 0.5%  |  |  |
|  Kentucky Hsg. Corp. Hsg. Rev. Participating VRDN Series XF 10 93, 3.5% 1/6/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(h)  | 3000  | 3000  |
|  Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.):  |  |  |
|  Series 2020 A1, 4.28% 1/3/23, VRDN (b)(c)  | 34000  | 34000  |
|  Series 2020 B1, 4.28% 1/3/23, VRDN (b)(c)  | 18600  | 18600  |
|  TOTAL KENTUCKY  |  | 55600  |
| Louisiana - 0.0%  |  |  |
|  Louisiana Hsg. Corp. Multifamily Hsg. Rev. Participating VRDN Series MIZ 90 53, 3.32% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 3700  | 3700  |
| Maryland - 0.2%  |  |  |
|  Integrace Obligated Group Participating VRDN Series 2022 024, 3.86% 2/10/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(h)  | 13590  | 13590  |
|  Riderwood Vlg, Inc. Participating VRDN Series 2022 029, 3.86% 2/10/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(h)  | 7095  | 7095  |
|  TOTAL MARYLAND  |  | 20685  |
| Missouri - 0.0%  |  |  |
|  Lees Summit Indl. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series MIZ 90 55, 3.5% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 1400  | 1400  |
| Montana - 0.1%  |  |  |
|  Montana Board of Hsg. Participating VRDN Series Floater MIZ 90 61, 3.76% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 6020  | 6020  |
| New Jersey - 0.1%  |  |  |
|  New Jersey Trans. Trust Fund Auth. Participating VRDN Series XM 09 29, 3.83% 1/6/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h)  | 5335  | 5335  |
| New York - 0.0%  |  |  |
|  New York Trans. Dev. Corp. Participating VRDN Series XL 01 68, 3.55% 1/6/23 (Liquidity Facility Barclays Bank PLC) (b)(c)(g)(h)  | 1315  | 1315  |
| North Carolina - 0.2%  |  |  |
|  Hertford County Indl. Facilities Poll. Cont. Fing. Auth. (Nucor Corp. Proj.) Series 2000 A, 4.05% 1/6/23, VRDN (b)(c)  | 19400  | 19400  |
| South Carolina - 0.0%  |  |  |
|  South Carolina Pub. Svc. Auth. Rev. Participating VRDN Series 2021 XF 12 43, 3.82% 1/6/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h)  | 1160  | 1160  |
| Tennessee - 0.0%  |  |  |
|  Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Participating VRDN Series XF 10 97, 3.56% 1/6/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(h)  | 3200  | 3200  |
| Texas - 0.2%  |  |  |
|  Austin Affordable Pfc, Inc. Multifamily Hsg. Rev. Participating VRDN Series XF 11 19, 3.75% 1/6/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(h)  | 5700  | 5700  |
|  North Central Texas Hsg. Fin. Corp. Mu Participating VRDN Series XF 10 99, 3.86% 1/6/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(h)  | 2985  | 2985  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Residential Mtg. Rev. Participating VRDN Series XF 10 98, 3.36% 1/6/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(h)  | 11300  | 11300  |
|  TOTAL TEXAS  |  | 19985  |
| Utah - 0.0%  |  |  |
|  Salt Lake City Arpt. Rev. Participating VRDN Series 17 XM 0493, 3.86% 1/6/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(c)(g)(h)  | 3400  | 3400  |
| Virginia - 0.1%  |  |  |
|  Nat'l. Sr. Campuses Participating VRDN Series 2022 028, 3.86% 2/10/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(h)  | 7715  | 7715  |
| West Virginia - 0.1%  |  |  |
|  West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 E, 4.18% 1/5/26, VRDN (b)  | 12640  | 12640  |
| Wisconsin - 0.0%  |  |  |
|  Wisconsin Ctr. District Tax Rev. Participating VRDN Series 2021 XF 12 22, 3.8% 1/6/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h)  | 1337  | 1337  |
| <br> **TOTAL MUNICIPAL NOTES** <br> (Cost $295,297)  |  | <br> **295297**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 3.6%**  | &nbsp;&nbsp; **Money Market Funds - 3.6%**  | &nbsp;&nbsp; **Money Market Funds - 3.6%**  |
|  | Shares  | Value ($) <br> (000s) <br>|
|  Fidelity Municipal Cash Central Fund 3.72% (j)(k) <br>(Cost $382,523) <br>| 382447467  | **382515**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 98.9%** <br> (Cost $10,978,283) <br>| <br>**10536533**  |
| **NET OTHER ASSETS (LIABILITIES) - 1.1%**  | **120515**  |
| **NET ASSETS - 100.0%**  | **10657048**  |

---

**Security Type Abbreviations**

VRDN - VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)

*Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.*

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

(d) 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 $146,742,000 or 1.4% of net assets.

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

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

(g) Provides evidence of ownership in one or more underlying municipal bonds.

(h) Coupon rates are determined by re-marketing agents based on current market conditions.

(i) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $23,145,000 or 0.2% of net assets.

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

(k) 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.

---

| | | |
|:---|:---|:---|
| Additional information on each restricted holding is as follows:  | Additional information on each restricted holding is as follows:  | Additional information on each restricted holding is as follows:  |
| Security  | Acquisition Date  | Acquisition Cost ($) <br> (000s)  |
| Brevard County Hsg. Fin. Auth. Participating VRDN Series DBE 80 85, 4.06% 2/28/23 (Liquidity Facility Deutsche Bank AG New York Branch)  | 4/14/22  | 8395  |
| Colorado Hsg. & Fin. Auth. Multi-family Hsg. Rev. Participating VRDN Series Floater 2021 MIZ 90 68, 3.76% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 4/14/21  | 828  |
| Lees Summit Indl. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series MIZ 90 55, 3.5% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 12/29/20  | 1400  |
| Louisiana Hsg. Corp. Multifamily Hsg. Rev. Participating VRDN Series MIZ 90 53, 3.32% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 12/17/20  | 3700  |
| Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN Series MIZ 90 72, 3.91% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 9/02/21  | 2800  |
| Montana Board of Hsg. Participating VRDN Series Floater MIZ 90 61, 3.76% 2/3/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 3/02/21 - 8/17/22  | 6020  |

---

**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 (Amounts in thousands)  | 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%  | 371995  | 2604816  | 2594291  | 5171  | 9  | (14)  | 382515  | 15.3%  |
| Total  | 371995  | 2604816  | 2594291  | 5171  | 9  | (14)  | 382515  |  |

---

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** <br> **(Amounts in thousands)**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  Municipal Securities  | 10154018  | -  | 10154018  | -  |
|  Money Market Funds  | 382515  | 382515  | -  | -  |
| **Total Investments in Securities:**  | 10536533  | 382515  | 10154018  | -  |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  **Amounts in thousands (except per-share amounts)**  |  | **December 31, 2022**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $10,595,760)  | $10154018  |  |
|  Fidelity Central Funds (cost $382,523)  | 382515  |  |
|  Total Investment in Securities (cost $10,978,283)  |  | $10536533  |
|  Cash  |  | 48170  |
| Receivable for investments sold  |  | 12  |
|  Receivable for fund shares sold  |  | 36675  |
|  Interest receivable  |  | 124851  |
|  Distributions receivable from Fidelity Central Funds  |  | 1139  |
|  Prepaid expenses  |  | 10  |
| Other receivables  |  | 23  |
| **Total assets**  |  | 10747413  |
| **Liabilities**  |  |  |
|  Payable for investments purchased on a delayed delivery basis  | $32659  |  |
|  Payable for fund shares redeemed  | 47141  |  |
|  Distributions payable  | 7086  |  |
|  Accrued management fee  | 2221  |  |
|  Distribution and service plan fees payable  | 35  |  |
|  Other affiliated payables  | 879  |  |
|  Other payables and accrued expenses  | 344  |  |
| **Total Liabilities**  |  | 90365  |
| **Net Assets**  |  | $10657048  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $11114715  |
|  Total accumulated earnings (loss)  |  | (457667)  |
|  **Net Assets**  |  | $10657048  |
|  **Net Asset Value and Maximum Offering Price**  |  |  |
| **Class A :**  |  |  |
|  **Net Asset Value** and redemption price per share ($111,807 ÷ 11,288 shares) <sup>(a)</sup>  |  | $9.90  |
|  Maximum offering price per share (100/96.00 of $9.90)  |  | $10.31  |
| **Class M :**  |  |  |
|  **Net Asset Value** and redemption price per share ($11,877 ÷ 1,200 shares) <sup>(a)</sup>  |  | $9.90  |
|  Maximum offering price per share (100/96.00 of $9.90)  |  | $10.31  |
| **Class C :**  |  |  |
|  **Net Asset Value** and offering price per share ($11,488 ÷ 1,160 shares) <sup>(a)(b)</sup>  |  | $9.91  |
| **Intermediate Municipal Income :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($4,757,973 ÷ 480,747 shares)  |  | $9.90  |
| **Class I :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($1,287,824 ÷ 129,918 shares)  |  | $9.91  |
| **Class Z :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($4,476,079 ÷ 451,401 shares)  |  | $9.92  |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  |
| *(b)Corresponding Net Asset Value does not calculate due to rounding of fractional net assets and/or shares.*  | *(b)Corresponding Net Asset Value does not calculate due to rounding of fractional net assets and/or shares.*  | *(b)Corresponding Net Asset Value does not calculate due to rounding of fractional net assets and/or shares.*  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
| **Amounts in thousands**  |  | **Year ended** <br> **December 31, 2022**  |
|  **Investment Income**  |  |  |
| Interest  |  | $237477  |
| Income from Fidelity Central Funds  |  | 5167  |
| **Total Income**  |  | 242644  |
|  **Expenses**  |  |  |
| Management fee  | $22430  |  |
| Transfer agent fees  | 9511  |  |
| Distribution and service plan fees  | 465  |  |
| Accounting fees and expenses  | 872  |  |
| Custodian fees and expenses  | 88  |  |
| Independent trustees' fees and expenses  | 33  |  |
| Registration fees  | 1200  |  |
| Audit  | 59  |  |
| Legal  | 8  |  |
| Miscellaneous  | 45  |  |
| Total expenses before reductions  | 34711  |  |
| Expense reductions  | (7)  |  |
| Total expenses after reductions  |  | 34704  |
| **Net Investment income (loss)**  |  | 207940  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (16468)  |  |
| Fidelity Central Funds  | 9  |  |
| Capital gain distributions from Fidelity Central Funds  | 4  |  |
| Total net realized gain (loss)  |  | (16455)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (850784)  |  |
| Fidelity Central Funds  | (14)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (850798)  |
| **Net gain (loss)**  |  | (867253)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(659313)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
| **Amount in thousands**  | **Year ended** <br> **December 31, 2022**  | **Year ended** <br> **December 31, 2021**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $207940  | $178050  |
| &nbsp;&nbsp; Net realized gain (loss)  | (16455) <br>| 22280 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (850798)  | (89932) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (659313) <br>| 110398 <br>|
| Distributions to shareholders  | (208771) <br>| (197374) <br>|
| Share transactions - net increase (decrease)  | 929890 <br>| 1568450 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 61806 <br>| 1481474 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 10595242  | 9113768 <br>|
| &nbsp;&nbsp; End of period  | $10657048  | $10595242  |

---

**Financial Highlights** 

 **Fidelity Advisor® Intermediate Municipal Income Fund Class A** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.79  | $10.87  | $10.64  | $10.25  | $10.40  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .173  | .157  | .191  | .220  | .230  |
| Net realized and unrealized gain (loss)  | (.890)  | (.059)  | .241  | .411  | (.142)  |
| Total from investment operations  | (.717)  | .098  | .432  | .631  | .088  |
| Distributions from net investment income  | (.172)  | (.158)  | (.191)  | (.220)  | (.229)  |
| Distributions from net realized gain  | (.001)  | (.020)  | (.011)  | (.021)  | (.009)  |
| Total distributions  | (.173)  | (.178)  | (.202)  | (.241)  | (.238)  |
| Net asset value, end of period  | $9.90  | $10.79  | $10.87  | $10.64  | $10.25  |
| **Total Return** <sup>C,D</sup>  | (6.65)%  | .91%  | 4.11%  | 6.20%  | .88%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |
| Expenses before reductions  | .67%  | .64%  | .66%  | .67%  | .68%  |
| Expenses net of fee waivers, if any  | .67%  | .64%  | .66%  | .67%  | .68%  |
| Expenses net of all reductions  | .67%  | .64%  | .66%  | .67%  | .68%  |
| Net investment income (loss)  | 1.71%  | 1.46%  | 1.79%  | 2.09%  | 2.25%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (in millions)  | $112  | $166  | $121  | $110  | $87  |
| Portfolio turnover rate <sup>G</sup>  | 20%  | 11%  | 18%  | 14%  | 19% <sup>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> *Total returns do not include the effect of the sales charges.*

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

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

 **Fidelity Advisor® Intermediate Municipal Income Fund Class M** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.78  | $10.87  | $10.63  | $10.24  | $10.39  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .178  | .162  | .195  | .223  | .233  |
| Net realized and unrealized gain (loss)  | (.880)  | (.070)  | .251  | .411  | (.141)  |
| Total from investment operations  | (.702)  | .092  | .446  | .634  | .092  |
| Distributions from net investment income  | (.177)  | (.162)  | (.195)  | (.223)  | (.233)  |
| Distributions from net realized gain  | (.001)  | (.020)  | (.011)  | (.021)  | (.009)  |
| Total distributions  | (.178)  | (.182)  | (.206)  | (.244)  | (.242)  |
| Net asset value, end of period  | $9.90  | $10.78  | $10.87  | $10.63  | $10.24  |
| **Total Return** <sup>C,D</sup>  | (6.51)%  | .85%  | 4.24%  | 6.24%  | .92%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |
| Expenses before reductions  | .61%  | .60%  | .63%  | .64%  | .65%  |
| Expenses net of fee waivers, if any  | .61%  | .60%  | .63%  | .64%  | .65%  |
| Expenses net of all reductions  | .61%  | .60%  | .63%  | .64%  | .64%  |
| Net investment income (loss)  | 1.77%  | 1.49%  | 1.82%  | 2.12%  | 2.28%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (in millions)  | $12  | $11  | $15  | $20  | $15  |
| Portfolio turnover rate <sup>G</sup>  | 20%  | 11%  | 18%  | 14%  | 19% <sup>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 do not include the effect of the sales charges.*

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

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

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

 **Fidelity Advisor® Intermediate Municipal Income Fund Class C** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.79  | $10.88  | $10.65  | $10.25  | $10.40  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .102  | .079  | .112  | .142  | .153  |
| Net realized and unrealized gain (loss)  | (.880)  | (.070)  | .241  | .420  | (.141)  |
| Total from investment operations  | (.778)  | .009  | .353  | .562  | .012  |
| Distributions from net investment income  | (.101)  | (.079)  | (.112)  | (.141)  | (.153)  |
| Distributions from net realized gain  | (.001)  | (.020)  | (.011)  | (.021)  | (.009)  |
| Total distributions  | (.102)  | (.099)  | (.123)  | (.162)  | (.162)  |
| Net asset value, end of period  | $9.91  | $10.79  | $10.88  | $10.65  | $10.25  |
| **Total Return** <sup>C,D</sup>  | (7.21)%  | .09%  | 3.34%  | 5.52%  | .13%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |
| Expenses before reductions  | 1.37%  | 1.37%  | 1.40%  | 1.42%  | 1.43%  |
| Expenses net of fee waivers, if any  | 1.37%  | 1.37%  | 1.40%  | 1.42%  | 1.43%  |
| Expenses net of all reductions  | 1.37%  | 1.37%  | 1.40%  | 1.42%  | 1.43%  |
| Net investment income (loss)  | 1.01%  | .72%  | 1.05%  | 1.34%  | 1.50%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (in millions)  | $11  | $16  | $27  | $34  | $45  |
| Portfolio turnover rate <sup>G</sup>  | 20%  | 11%  | 18%  | 14%  | 19% <sup>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> *Total returns do not include the effect of the contingent deferred sales charge.*

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

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

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.78  | $10.87  | $10.63  | $10.24  | $10.39  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .204  | .192  | .225  | .254  | .261  |
| Net realized and unrealized gain (loss)  | (.880)  | (.069)  | .251  | .411  | (.141)  |
| Total from investment operations  | (.676)  | .123  | .476  | .665  | .120  |
| Distributions from net investment income  | (.203)  | (.193)  | (.225)  | (.254)  | (.261)  |
| Distributions from net realized gain  | (.001)  | (.020)  | (.011)  | (.021)  | (.009)  |
| Total distributions  | (.204)  | (.213)  | (.236)  | (.275)  | (.270)  |
| Net asset value, end of period  | $9.90  | $10.78  | $10.87  | $10.63  | $10.24  |
| **Total Return** <sup>C</sup>  | (6.27)%  | 1.14%  | 4.54%  | 6.55%  | 1.19%  |
| **Ratios to Average Net Assets** <sup>B,D,E</sup>  |  |  |  |  |  |
| Expenses before reductions  | .35%  | .32%  | .34%  | .35%  | .37%  |
| Expenses net of fee waivers, if any  | .35%  | .32%  | .34%  | .35%  | .37%  |
| Expenses net of all reductions  | .35%  | .32%  | .34%  | .35%  | .37%  |
| Net investment income (loss)  | 2.03%  | 1.77%  | 2.11%  | 2.41%  | 2.56%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (in millions)  | $4758  | $5501  | $4666  | $4621  | $4867  |
| Portfolio turnover rate <sup>F</sup>  | 20%  | 11%  | 18%  | 14%  | 19% <sup>G</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.*

 **Fidelity Advisor® Intermediate Municipal Income Fund Class I** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.80  | $10.88  | $10.65  | $10.26  | $10.41  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .197  | .185  | .217  | .246  | .253  |
| Net realized and unrealized gain (loss)  | (.889)  | (.060)  | .242  | .411  | (.140)  |
| Total from investment operations  | (.692)  | .125  | .459  | .657  | .113  |
| Distributions from net investment income  | (.197)  | (.185)  | (.218)  | (.246)  | (.254)  |
| Distributions from net realized gain  | (.001)  | (.020)  | (.011)  | (.021)  | (.009)  |
| Total distributions  | (.198)  | (.205)  | (.229)  | (.267)  | (.263)  |
| Net asset value, end of period  | $9.91  | $10.80  | $10.88  | $10.65  | $10.26  |
| **Total Return** <sup>C</sup>  | (6.41)%  | 1.16%  | 4.36%  | 6.45%  | 1.13%  |
| **Ratios to Average Net Assets** <sup>B,D,E</sup>  |  |  |  |  |  |
| Expenses before reductions  | .42%  | .39%  | .41%  | .43%  | .44%  |
| Expenses net of fee waivers, if any  | .42%  | .39%  | .41%  | .43%  | .44%  |
| Expenses net of all reductions  | .42%  | .39%  | .41%  | .43%  | .44%  |
| Net investment income (loss)  | 1.96%  | 1.70%  | 2.03%  | 2.33%  | 2.49%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (in millions)  | $1288  | $1221  | $1363  | $1238  | $1013  |
| Portfolio turnover rate <sup>F</sup>  | 20%  | 11%  | 18%  | 14%  | 19% <sup>G</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.*

 **Fidelity Advisor® Intermediate Municipal Income Fund Class Z** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.80  | $10.89  | $10.65  | $10.26  | $10.17  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .209  | .198  | .230  | .258  | .070  |
| Net realized and unrealized gain (loss)  | (.879)  | (.069)  | .252  | .412  | .086  |
| Total from investment operations  | (.670)  | .129  | .482  | .670  | .156  |
| Distributions from net investment income  | (.209)  | (.199)  | (.231)  | (.259)  | (.065)  |
| Distributions from net realized gain  | (.001)  | (.020)  | (.011)  | (.021)  | (.001)  |
| Total distributions  | (.210)  | (.219)  | (.242)  | (.280)  | (.066)  |
| Net asset value, end of period  | $9.92  | $10.80  | $10.89  | $10.65  | $10.26  |
| **Total Return** <sup>D,E</sup>  | (6.20)%  | 1.19%  | 4.59%  | 6.59%  | 1.54%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |  |  |  |  |
| Expenses before reductions  | .29%  | .27%  | .29%  | .30%  | .31% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .29%  | .27%  | .29%  | .30%  | .31% <sup>H</sup>  |
| Expenses net of all reductions  | .29%  | .27%  | .29%  | .30%  | .31% <sup>H</sup>  |
| Net investment income (loss)  | 2.09%  | 1.83%  | 2.16%  | 2.46%  | 2.62% <sup>H</sup>  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (in millions)  | $4476  | $3680  | $2923  | $1756  | $321  |
| Portfolio turnover rate <sup>I</sup>  | 20%  | 11%  | 18%  | 14%  | 19% <sup>J</sup>  |

---

<sup>A</sup> *For the period October 2, 2018 (commencement of sale of shares) 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> *Annualized.*

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

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

**Notes to Financial Statements**

For the period ended December 31, 2022

*(Amounts in thousands except percentages)*

**1. Organization.**

Fidelity Intermediate Municipal Income Fund (the Fund) is a fund of Fidelity School Street Trust (the Trust) and is authorized to issue an unlimited number of shares. 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. The Fund offers Class A, Class M, Class C, Intermediate Municipal Income, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

**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. 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.

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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 Intermediate Municipal Income Fund**  | $21  |

---

**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 an excise 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 declared separately for each class. 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.

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**  | $38273  |
| **Gross unrealized depreciation**  | <u>(479490)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(441217)</u>  |
| **Tax Cost**  | <u>$10977750</u>  |

---

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

---

| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$(16330)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(441217)</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  | $(11890)  |
| Long-term  | <u>(4440)</u>  |
| **Total capital loss carryforward**  | <u>$(16330)</u>  |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **December 31, 2022**  | **December 31, 2021**  |
| **Tax-exempt Income**  | $207804  | $177803  |
| **Ordinary Income**  | 967  | -  |
| **Long-term Capital Gains**  | <u>-</u>  | <u>19571</u>  |
| **Total**  | <u>$208771</u>  | <u>$197374</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 Intermediate Municipal Income Fund**  | 2811722  | 1940254  |

---

**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 fee is based on an annual asset based fee of .10% of the Fund's average net assets plus an income based fee of 5% of the Fund's gross income throughout the month. For the reporting period, the total annual management fee rate was .22% of average net assets.

**Distribution and Service Plan Fees.** In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee**  | **Service Fee**  | **Total Fees**  | **Retained by FDC**  |
| **Class A**  | - %  | .25%  | $316  | $52  |
| **Class M**  | - %  | .25%  | 28  | -  |
| **Class C**  | .75%  | .25%  | <u>121</u>  | <u>13</u>  |
|  |  |  | <u>$465</u>  | <u>$65</u>  |

---

**Sales Load.** FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.

For the period, sales charge amounts retained by FDC were as follows:

---

| | |
|:---|:---|
|  | **Retained by FDC**  |
| **Class A**  | $7  |
| **Class M**  | - <sup>B</sup>  |
| **Class C** <sup>A</sup>  | <u>-</u> <sup>B</sup>  |
|  | <u>$7</u>  |

---

<sup>A</sup> *When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.*

<sup>B</sup> *In the amount of less than five hundred dollars*

**Transfer Agent Fees.** Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Amount**  | **% of Class-Level Average Net Assets**  |
| **Class A**  | $217  | .17  |
| **Class M**  | 13  | .12  |
| **Class C**  | 15  | .13  |
| **Intermediate Municipal Income**  | 5218  | .11  |
| **Class I**  | 2062  | .17  |
| **Class Z**  | <u>1986</u>  | .05  |
|  | <u>$9511</u>  |  |

---

**Accounting Fees.** Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annual rates:

---

| | |
|:---|:---|
|  | **% of Average Net Assets**  |
| **Fidelity Intermediate Municipal Income Fund**  | .01  |

---

**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. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  | **Realized Gain (Loss) ($)**  |
| **Fidelity Intermediate Municipal Income Fund**  | -  | 17165  | -  |

---

**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 Intermediate Municipal Income Fund**  | $17  |

---

**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. During the period, custodian credits reduced the Fund's expenses by $7.

**8. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Year ended** <br> **December 31, 2022**  | **Year ended** <br> **December 31, 2021**  |
| **Fidelity Intermediate Municipal Income Fund**  |  |  |
| **Distributions to shareholders**  |  |  |
| Class A  | $2122  | $2126  |
| Class M  | 199  | 229  |
| Class C  | 121  | 188  |
| Intermediate Municipal Income  | 99345  | 100137  |
| Class I  | 23307  | 28429  |
| Class Z  | <u>83677</u>  | <u>66265</u>  |
| Total  | <u>$208771</u>  | <u>$197374</u>  |

---

**9. Share Transactions.**

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares**  | **Shares**  | **Dollars**  | **Dollars**  |
|  | **Year ended December 31, 2022**  | **Year ended December 31, 2021**  | **Year ended December 31, 2022**  | **Year ended December 31, 2021**  |
| **Fidelity Intermediate Municipal Income Fund**  |  |  |  |  |
| **Class A**  |  |  |  |  |
| Shares sold  | 4281  | 6352  | $42635  | $68762  |
| Reinvestment of distributions  | 197  | 185  | 1978  | 2004  |
| Shares redeemed  | <u>(8599)</u>  | <u>(2216)</u>  | <u>(85494)</u>  | <u>(24028)</u>  |
| Net increase (decrease)  | <u>(4121)</u>  | <u>4321</u>  | <u>$(40881)</u>  | <u>$46738</u>  |
| **Class M**  |  |  |  |  |
| Shares sold  | 488  | 100  | $5040  | $1093  |
| Reinvestment of distributions  | 18  | 20  | 183  | 212  |
| Shares redeemed  | <u>(333)</u>  | <u>(430)</u>  | <u>(3277)</u>  | <u>(4632)</u>  |
| Net increase (decrease)  | <u>173</u>  | <u>(310)</u>  | <u>$1946</u>  | <u>$(3327)</u>  |
| **Class C**  |  |  |  |  |
| Shares sold  | 395  | 324  | $3929  | $3513  |
| Reinvestment of distributions  | 12  | 16  | 117  | 177  |
| Shares redeemed  | <u>(753)</u>  | <u>(1302)</u>  | <u>(7621)</u>  | <u>(14168)</u>  |
| Net increase (decrease)  | <u>(346)</u>  | <u>(962)</u>  | <u>$(3575)</u>  | <u>$(10478)</u>  |
| **Intermediate Municipal Income**  |  |  |  |  |
| Shares sold  | 521045  | 149588  | $5206656  | $1622390  |
| Reinvestment of distributions  | 6296  | 5794  | 62970  | 62762  |
| Shares redeemed  | <u>(556956)</u>  | <u>(74403)</u>  | <u>(5583276)</u>  | <u>(806233)</u>  |
| Net increase (decrease)  | <u>(29615)</u>  | <u>80979</u>  | <u>$(313650)</u>  | <u>$878919</u>  |
| **Class I**  |  |  |  |  |
| Shares sold  | 104240  | 48961  | $1039398  | $532178  |
| Reinvestment of distributions  | 2132  | 2389  | 21327  | 25924  |
| Shares redeemed  | <u>(89552)</u>  | <u>(63436)</u>  | <u>(892199)</u>  | <u>(686526)</u>  |
| Net increase (decrease)  | <u>16820</u>  | <u>(12086)</u>  | <u>$168526</u>  | <u>$(128424)</u>  |
| **Class Z**  |  |  |  |  |
| Shares sold  | 344261  | 123063  | $3441772  | $1338240  |
| Reinvestment of distributions  | 5591  | 4074  | 55919  | 44213  |
| Shares redeemed  | <u>(239165)</u>  | <u>(54905)</u>  | <u>(2380167)</u>  | <u>(597431)</u>  |
| Net increase (decrease)  | <u>110687</u>  | <u>72232</u>  | <u>$1117524</u>  | <u>$785022</u>  |

---

**10. 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.

**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 School Street Trust and Shareholders of Fidelity Intermediate 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 Intermediate Municipal Income Fund (one of the funds constituting Fidelity School 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 periods indicated therein (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 periods indicated therein 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. Each of the Trustees oversees 295 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 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one.

<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>

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® Intermediate Municipal Income Fund**  |  |  |  |  |
| **Class A**  | .66%  |  |  |  |
| **Actual**  |  | $1000  | $1004.50  | $3.33  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.88  | $3.36  |
| **Class M**  | .61%  |  |  |  |
| **Actual**  |  | $1000  | $1004.80  | $3.08  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1022.13  | $3.11  |
| **Class C**  | 1.36%  |  |  |  |
| **Actual**  |  | $1000  | $1001.00  | $6.86  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1018.35  | $6.92  |
| **Fidelity® Intermediate Municipal Income Fund**  | .35%  |  |  |  |
| **Actual**  |  | $1000  | $1006.10  | $1.77  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1023.44  | $1.79  |
| **Class I**  | .42%  |  |  |  |
| **Actual**  |  | $1000  | $1005.70  | $2.12  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1023.09  | $2.14  |
| **Class Z**  | .29%  |  |  |  |
| **Actual**  |  | $1000  | $1007.40  | $1.47  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1023.74  | $1.48  |

---

*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 16.39% 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 Intermediate 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 of a representative class (the retail class); (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 representative class (the retail class) and an appropriate benchmark index and peer group for the most recent one-, three-, and five-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 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. The Board also recognized that the income-based component of the fund's management fee, which few competitors have, varies depending on the level of the fund's monthly gross income, providing for higher fees at higher income levels, and for lower fees at lower income levels.

![](img88188_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 total expense ratio of the representative class (the retail class) of the fund, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 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's representative class 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 representative class 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 total net expense ratio of the retail class 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 Class A, Class M, Class C, Class I, Class Z, and the retail class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed 0.68%, 0.65%, 1.43%, 0.44%, 0.31%, and 0.37% through April 30, 2023.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund 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.

![](img88188_2.jpg) <br>

1.540000.125 LIM-ANN-0323

**Fidelity Advisor® Multi-Asset Income Fund**

**Annual Report**

**December 31, 2022**

Includes Fidelity and Fidelity Advisor share classes

![](img88199_1.jpg)

![](img88199_2.jpg)

**Contents**

---

| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Management's Discussion of Fund Performance](#Sec_Mgt Discussion of FundPerformance)** |
| **[Investment Summary](#Sec_InvestmentSummary2792)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments2792)** |
| **[Financial Statements](#Sec_FinancialStatements2792)** |
| **[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 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one 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>

---

| | | | |
|:---|:---|:---|:---|
| **Periods ended December 31, 2022** <br>| **Past 1** <br> **year**  | **Past 5** <br> **years**  | **Life of** <br> **Fund** <sup>A</sup>  |
| Class A (incl.4.00% sales charge)  | &nbsp;&nbsp; -16.56%  | &nbsp;&nbsp; 6.24%  | &nbsp;&nbsp; 6.55%  |
| Class M (incl.4.00% sales charge)  | &nbsp;&nbsp; -16.52%  | &nbsp;&nbsp; 6.28%  | &nbsp;&nbsp; 6.58%  |
| Class C <br> (incl. contingent deferred sales charge) <br>| &nbsp;&nbsp; -14.53%  | &nbsp;&nbsp; 6.31%  | &nbsp;&nbsp; 6.36%  |
| Fidelity Advisor® Multi-Asset Income Fund  | &nbsp;&nbsp; -12.83%  | &nbsp;&nbsp; 7.40%  | &nbsp;&nbsp; 7.43%  |
| Class I  | &nbsp;&nbsp; -12.87%  | &nbsp;&nbsp; 7.38%  | &nbsp;&nbsp; 7.42%  |
| Class Z  | &nbsp;&nbsp; -12.77%  | &nbsp;&nbsp; 7.48%  | &nbsp;&nbsp; 7.48%  |

---

<sup>A</sup> From September 09, 2015

*Class C shares' contingent deferred sales charges included in the past one year, past five years and life of fund total return figures are 1%, 0% and 0%, respectively.*

*The initial offering of Class Z shares took place on October 2, 2018. Returns prior to October 2, 2018, are those of Class I.*

*The initial offering of Fidelity® Multi-Asset Income Fund shares took place on March 28, 2018. Returns prior to March 28, 2018 are those of Class I.*

---

| |
|:---|
| **$10,000 Over Life of Fund**  |
| Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Multi-Asset Income Fund - Class A, a class of the fund, on September 09, 2015, and the current 4.00% sales charge was paid. <br>The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Aggregate Bond Index performed over the same period.  |
| ![](img88199_5.jpg)  |

---

**Management's Discussion of Fund Performance**

**Market Recap:** 

U.S. equities returned -18.11% in 2022, according to the S&P 500 <sup>®</sup> index, as a multitude of risk factors challenged the global economy. It was the index's lowest calendar-year return since 2008 and first retreat since 2018. High inflation prompted the Federal Reserve to aggressively tighten monetary policy, and market interest rates eclipsed their highest level in a decade, stoking recession fears and sending stocks into bear market territory. Since March, the Fed hiked its benchmark rate seven times, by 4.25 percentage points - the fastest-ever pace of monetary tightening - while also shrinking its massive portfolio. Against this backdrop, three of the index's worst monthly returns ever were recorded in 2022, as it shed 8% to 9% in April, June and September. Gains of similar proportion were made in July and October, amid optimism on inflation and policy easing. November (+6%) began with a rate hike of 0.75% and ended on a high note when the Fed signaled its intent to slow its pace of rate rises. For the year, value stocks handily outpaced growth. This headwind was pronounced in the growthier communication services (-40%) and consumer discretionary (-37%) sectors. In sharp contrast, energy (+66%) shined. In fixed income, the Bloomberg U.S. Aggregate Bond Index returned -13.01% in 2022, its worst annual return on record and the first time it ceded ground in back-to-back calendar years. All major market segments lost ground for the year, with higher-quality, shorter-term bonds holding up best.

**Comments from Lead Manager Adam Kramer:**

For the year, the fund's share classes (excluding sales charges, if applicable) returned roughly -13% to -14%, topping the -15.26% result of the Composite index, a 50/50 blend of the S&P 500 <sup>®</sup> index and Bloomberg Barclays U.S. Aggregate Bond Index. Security selection in the equities subportfolio notably contributed to the fund's performance versus the Composite index in 2022, with added boosts from non-Composite stakes in high-yield floating-rate debt and high-yield bonds. Within the equities subportfolio, a large overweight in the energy sector helped most, followed by underexposure to information technology stocks and security selection in the health care sector. The top individual relative contributors were the stocks of tanker companies Euronav (+94%), DHT Holdings (74%) and Scorpio Tankers (+70%). Each ships oil, gas or petroleum, and was a sizable holding at year-end. Scorpio was added to the portfolio in 2022. Conversely, security selection and a notable underweight in investment-grade bonds detracted from the fund's relative performance. Within the equities subportfolio, security selection in the industrials, consumer discretionary and energy sectors hurt, as did underexposure to consumer staples. Among the biggest individual detractors were non-Composite equity positions in online gaming company Super Group (-64%) and industrials company Babcock & Wilcox Enterprises (-38%), a top-10 position at year-end.

*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 Bond Issuers (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Bond Issuers (% of Fund's net assets)**  |
| (with maturities greater than one year)  | (with maturities greater than one year)  |
| U.S. Treasury Obligations  | 7.9  |
| Petroleos Mexicanos  | 2.9  |
| DHT Holdings, Inc.  | 2.9  |
| Babcock & Wilcox Enterprises Inc.  | 2.1  |
| Oracle Corp.  | 2.0  |
| Euronav NV  | 1.7  |
| JPMorgan Chase & Co.  | 1.7  |
| Spin Holdco, Inc.  | 1.7  |
| Bank of America Corp.  | 1.4  |
| Bass Pro Group LLC  | 1.3  |
|  | 25.6  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  | &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  |
| Information Technology  | 13.7  |
| Financials  | 12.7  |
| Energy  | 12.6  |
| Consumer Discretionary  | 12.2  |
| Health Care  | 8.9  |
| Industrials  | 8.7  |
| Communication Services  | 6.6  |
| Materials  | 5.7  |
| Real Estate  | 5.0  |
| Utilities  | 2.9  |
| Consumer Staples  | 1.9  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Quality Diversification (% of Fund's net assets)**  |
| ![](img88199_6.jpg) <br>|
| 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)**  |
| ![](img88199_7.jpg) <br>|
| *Foreign investments - 19.6%*  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Geographic Diversification (% of Fund's net assets)**  |
| ![](img88199_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; **Corporate Bonds - 30.7%**  | &nbsp;&nbsp; **Corporate Bonds - 30.7%**  | &nbsp;&nbsp; **Corporate Bonds - 30.7%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Convertible Bonds - 6.5%  |  |  |
| COMMUNICATION SERVICES - 0.6%  |  |  |
| Interactive Media & Services - 0.3%  |  |  |
|  Liberty TripAdvisor Holdings, Inc. 0.5% 6/30/51 (b)  | 860000  | 616620  |
|  Snap, Inc. 0.125% 3/1/28 (b)  | 6708000  | 4477590  |
|  |  | 5094210  |
| Media - 0.3%  |  |  |
|  DISH Network Corp. 3.375% 8/15/26  | 8560000  | 5362840  |
|  TOTAL COMMUNICATION SERVICES  |  | 10457050  |
| CONSUMER DISCRETIONARY - 0.6%  |  |  |
| Hotels, Restaurants & Leisure - 0.4%  |  |  |
|  DraftKings, Inc. 0% 3/15/28  | 11470000  | 7094195  |
| Internet & Direct Marketing Retail - 0.2%  |  |  |
|  Wayfair LLC 0.625% 10/1/25  | 4002000  | 2587293  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 9681488  |
| CONSUMER STAPLES - 0.4%  |  |  |
| Tobacco - 0.4%  |  |  |
|  Turning Point Brands, Inc. 2.5% 7/15/24  | 8378000  | 7424155  |
| ENERGY - 0.2%  |  |  |
| Oil, Gas & Consumable Fuels - 0.2%  |  |  |
|  Northern Oil & Gas, Inc. 3.625% 4/15/29 (b)  | 3767000  | 4049525  |
| FINANCIALS - 0.4%  |  |  |
| Consumer Finance - 0.4%  |  |  |
|  LendingTree, Inc. 0.5% 7/15/25  | 5642000  | 4105119  |
|  SoFi Technologies, Inc. 0% 10/15/26 (b)  | 3337000  | 2284177  |
|  |  | 6389296  |
| HEALTH CARE - 0.9%  |  |  |
| Biotechnology - 0.2%  |  |  |
|  Sarepta Therapeutics, Inc. 1.25% 9/15/27 (b)  | 3525000  | 4062563  |
| Health Care Providers & Services - 0.5%  |  |  |
|  Accolade, Inc. 0.5% 4/1/26  | 6226000  | 4292049  |
|  Oak Street Health, Inc. 0% 3/15/26  | 4981000  | 3770309  |
|  |  | 8062358  |
| Health Care Technology - 0.2%  |  |  |
|  U-Haul Holding Co. 0.875% 1/1/27  | 2525000  | 3596547  |
|  TOTAL HEALTH CARE  |  | 15721468  |
| INFORMATION TECHNOLOGY - 3.3%  |  |  |
| IT Services - 0.8%  |  |  |
|  BigCommerce Holdings, Inc. 0.25% 10/1/26  | 5805000  | 4121550  |
|  Okta, Inc. 0.375% 6/15/26  | 2500000  | 2100000  |
|  Shift4 Payments, Inc. 0.5% 8/1/27  | 3638000  | 3061377  |
|  Wix.com Ltd. 0% 8/15/25  | 4886000  | 4114012  |
|  |  | 13396939  |
| Semiconductors & Semiconductor Equipment - 0.1%  |  |  |
|  SolarEdge Technologies, Inc. 0% 9/15/25  | 1575000  | 1955363  |
| Software - 2.4%  |  |  |
|  Bentley Systems, Inc. 0.375% 7/1/27  | 4161000  | 3387054  |
|  BlackLine, Inc. 0.125% 8/1/24  | 1966000  | 2179721  |
|  Confluent, Inc. 0% 1/15/27  | 2800000  | 2114000  |
|  Coupa Software, Inc. 0.375% 6/15/26  | 18052000  | 17356998  |
|  Everbridge, Inc. 0% 3/15/26  | 3282000  | 2785762  |
|  LivePerson, Inc. 0% 12/15/26  | 11313000  | 8067300  |
|  RingCentral, Inc. 0% 3/15/26  | 3860000  | 3030100  |
|  Unity Software, Inc. 0% 11/15/26  | 4118000  | 3082323  |
|  |  | 42003258  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 57355560  |
| UTILITIES - 0.1%  |  |  |
| Electric Utilities - 0.1%  |  |  |
|  NRG Energy, Inc. 2.75% 6/1/48  | 2500000  | 2471250  |
| TOTAL CONVERTIBLE BONDS  |  | 113549792  |
| Nonconvertible Bonds - 24.2%  |  |  |
| COMMUNICATION SERVICES - 3.2%  |  |  |
| Diversified Telecommunication Services - 0.5%  |  |  |
|  Altice France SA 5.125% 7/15/29 (b)  | 8650000  | 6485279  |
|  Cogent Communications Group, Inc. 7% 6/15/27 (b)  | 1250000  | 1224910  |
|  Frontier Communications Holdings LLC 6% 1/15/30 (b)  | 1500000  | 1178359  |
|  |  | 8888548  |
| Entertainment - 0.3%  |  |  |
|  Roblox Corp. 3.875% 5/1/30 (b)  | 7567000  | 5964309  |
| Media - 1.9%  |  |  |
|  Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.7% 4/1/51  | 20400000  | 12404582  |
|  Gannett Holdings LLC 6% 11/1/26 (b)  | 20800000  | 16952000  |
|  Univision Communications, Inc. 4.5% 5/1/29 (b)  | 3700000  | 3094162  |
|  |  | 32450744  |
| Wireless Telecommunication Services - 0.5%  |  |  |
|  T-Mobile U.S.A., Inc. 2.875% 2/15/31  | 10550000  | 8713560  |
|  TOTAL COMMUNICATION SERVICES  |  | 56017161  |
| CONSUMER DISCRETIONARY - 2.8%  |  |  |
| Automobiles - 1.3%  |  |  |
|  Ford Motor Co.:  |  |  |
|  4.75% 1/15/43  | 3200000  | 2298354  |
|  5.291% 12/8/46  | 3895000  | 2968047  |
|  6.1% 8/19/32  | 1300000  | 1202661  |
|  General Motors Financial Co., Inc. 5% 4/9/27  | 2100000  | 2034204  |
|  Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.1636% 10/15/26 (b)(c)(d)  | 9410000  | 9080650  |
|  Winnebago Industries, Inc. 6.25% 7/15/28 (b)  | 4705000  | 4388349  |
|  |  | 21972265  |
| Diversified Consumer Services - 0.2%  |  |  |
|  WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b)  | 4380000  | 4128150  |
| Hotels, Restaurants & Leisure - 0.9%  |  |  |
|  Affinity Gaming LLC 6.875% 12/15/27 (b)  | 5125000  | 4345175  |
|  Aramark Services, Inc. 5% 2/1/28 (b)  | 2225000  | 2075780  |
|  Boyd Gaming Corp. 4.75% 6/15/31 (b)  | 5000000  | 4350000  |
|  Carnival Corp. 4% 8/1/28 (b)  | 2600000  | 2120066  |
|  Station Casinos LLC 4.625% 12/1/31 (b)  | 2515000  | 2017466  |
|  |  | 14908487  |
| Specialty Retail - 0.4%  |  |  |
|  Bath & Body Works, Inc. 7.6% 7/15/37  | 2515000  | 2125175  |
|  Ken Garff Automotive LLC 4.875% 9/15/28 (b)  | 2920000  | 2442662  |
|  Lowe's Companies, Inc. 4.45% 4/1/62  | 2700000  | 2098971  |
|  |  | 6666808  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 47675710  |
| CONSUMER STAPLES - 1.5%  |  |  |
| Food & Staples Retailing - 0.7%  |  |  |
|  Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 4.875% 2/15/30 (b)  | 9315000  | 8313265  |
|  New Albertsons LP:  |  |  |
|  7.45% 8/1/29  | 807000  | 817088  |
|  8% 5/1/31  | 1290000  | 1324108  |
|  8.7% 5/1/30  | 2165000  | 2323045  |
|  |  | 12777506  |
| Tobacco - 0.8%  |  |  |
|  BAT Capital Corp. 7.75% 10/19/32  | 4400000  | 4732530  |
|  Turning Point Brands, Inc. 5.625% 2/15/26 (b)  | 10464000  | 9025304  |
|  |  | 13757834  |
|  TOTAL CONSUMER STAPLES  |  | 26535340  |
| ENERGY - 4.5%  |  |  |
| Multi Industry Energy - 0.3%  |  |  |
|  Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (b)  | 4645000  | 4374847  |
| Oil, Gas & Consumable Fuels - 4.2%  |  |  |
|  Calumet Specialty Products Partners LP/Calumet Finance Corp. 11% 4/15/25 (b)  | 5040000  | 5253133  |
|  Northern Oil & Gas, Inc. 8.125% 3/1/28 (b)  | 3200000  | 3072621  |
|  Occidental Petroleum Corp. 7.2% 4/1/28  | 550000  | 570625  |
|  PBF Holding Co. LLC/PBF Finance Corp. 6% 2/15/28  | 6850000  | 6113625  |
|  Petroleos Mexicanos:  |  |  |
|  5.95% 1/28/31  | 18100000  | 13683600  |
|  6.5% 1/23/29  | 14340000  | 12244352  |
|  6.75% 9/21/47  | 18895000  | 12033848  |
|  7.69% 1/23/50  | 17665000  | 12210931  |
|  SFL Corp. Ltd. 7.25% 5/12/26 (b)  | 8600000  | 8191500  |
|  |  | 73374235  |
|  TOTAL ENERGY  |  | 77749082  |
| FINANCIALS - 1.7%  |  |  |
| Banks - 0.4%  |  |  |
|  Bank of America Corp.:  |  |  |
|  1.197% 10/24/26(c)  | 5450000  | 4845214  |
|  5.015% 7/22/33(c)  | 2800000  | 2658297  |
|  |  | 7503511  |
| Capital Markets - 0.5%  |  |  |
|  Ares Capital Corp. 2.15% 7/15/26  | 4650000  | 3937025  |
|  Coinbase Global, Inc. 3.625% 10/1/31 (b)  | 4050000  | 1950528  |
|  Goldman Sachs Group, Inc. 3.691% 6/5/28 (c)  | 2800000  | 2601567  |
|  |  | 8489120  |
| Consumer Finance - 0.4%  |  |  |
|  Ford Motor Credit Co. LLC 7.35% 11/4/27  | 2500000  | 2561750  |
|  PRA Group, Inc. 7.375% 9/1/25 (b)  | 3525000  | 3424538  |
|  |  | 5986288  |
| Insurance - 0.4%  |  |  |
|  Alliant Holdings Intermediate LLC 5.875% 11/1/29 (b)  | 1935000  | 1591344  |
|  Athene Holding Ltd. 6.65% 2/1/33  | 2300000  | 2274415  |
|  Jones DesLauriers Insurance Management, Inc. 10.5% 12/15/30 (b)  | 2000000  | 1969708  |
|  MetLife, Inc. 6.4% 12/15/66 (c)  | 1000000  | 967100  |
|  |  | 6802567  |
|  TOTAL FINANCIALS  |  | 28781486  |
| HEALTH CARE - 1.5%  |  |  |
| Biotechnology - 0.2%  |  |  |
|  AbbVie, Inc. 4.25% 11/14/28  | 3850000  | 3713603  |
| Health Care Providers & Services - 1.3%  |  |  |
|  Cano Health, Inc. 6.25% 10/1/28 (b)  | 3195000  | 1932975  |
|  Centene Corp. 3.375% 2/15/30  | 7200000  | 6086664  |
|  Community Health Systems, Inc. 5.25% 5/15/30 (b)  | 3500000  | 2639130  |
|  CVS Health Corp. 4.3% 3/25/28  | 5750000  | 5561645  |
|  HCA Holdings, Inc. 5.875% 2/15/26  | 4300000  | 4327134  |
|  Tenet Healthcare Corp. 4.375% 1/15/30 (b)  | 2950000  | 2553417  |
|  |  | 23100965  |
|  TOTAL HEALTH CARE  |  | 26814568  |
| INDUSTRIALS - 2.4%  |  |  |
| Aerospace & Defense - 0.9%  |  |  |
|  The Boeing Co. 2.196% 2/4/26  | 18250000  | 16581268  |
| Commercial Services & Supplies - 0.6%  |  |  |
|  Covanta Holding Corp.:  |  |  |
|  4.875% 12/1/29(b)  | 5285000  | 4329842  |
|  5% 9/1/30  | 4035000  | 3258416  |
|  Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b)  | 3250000  | 3063125  |
|  |  | 10651383  |
| Construction & Engineering - 0.3%  |  |  |
|  Pike Corp. 5.5% 9/1/28 (b)  | 3145000  | 2749485  |
|  Railworks Holdings LP 8.25% 11/15/28 (b)  | 3255000  | 3010875  |
|  |  | 5760360  |
| Machinery - 0.2%  |  |  |
|  Chart Industries, Inc. 7.5% 1/1/30 (b)  | 3025000  | 3041002  |
| Marine - 0.4%  |  |  |
|  Euronav Luxembourg SA 6.25% 9/14/26  | 6600000  | 6418500  |
|  TOTAL INDUSTRIALS  |  | 42452513  |
| INFORMATION TECHNOLOGY - 2.5%  |  |  |
| IT Services - 0.1%  |  |  |
|  Acuris Finance U.S. 5% 5/1/28 (b)  | 1500000  | 1196250  |
| Software - 2.4%  |  |  |
|  NCR Corp. 5.125% 4/15/29 (b)  | 5410000  | 4524509  |
|  Open Text Corp. 6.9% 12/1/27 (b)  | 1500000  | 1500000  |
|  Oracle Corp.:  |  |  |
|  2.5% 4/1/25  | 17300000  | 16311766  |
|  2.875% 3/25/31  | 10500000  | 8705834  |
|  3.6% 4/1/50  | 7900000  | 5318807  |
|  3.85% 4/1/60  | 8000000  | 5315476  |
|  |  | 41676392  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 42872642  |
| MATERIALS - 2.0%  |  |  |
| Chemicals - 0.4%  |  |  |
|  LSB Industries, Inc. 6.25% 10/15/28 (b)  | 3833000  | 3507003  |
|  Olympus Water U.S. Holding Corp.:  |  |  |
|  4.25% 10/1/28(b)  | 2000000  | 1623707  |
|  7.125% 10/1/27(b)  | 2800000  | 2667000  |
|  |  | 7797710  |
| Metals & Mining - 1.6%  |  |  |
|  ATI, Inc. 5.875% 12/1/27  | 7053000  | 6744680  |
|  Eldorado Gold Corp. 6.25% 9/1/29 (b)  | 2025000  | 1777570  |
|  ERO Copper Corp. 6.5% 2/15/30 (b)  | 8552000  | 6889705  |
|  HudBay Minerals, Inc. 6.125% 4/1/29 (b)  | 3745000  | 3391284  |
|  Mineral Resources Ltd. 8% 11/1/27 (b)  | 8370000  | 8558492  |
|  |  | 27361731  |
|  TOTAL MATERIALS  |  | 35159441  |
| REAL ESTATE - 1.6%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 1.6%  |  |  |
|  MPT Operating Partnership LP/MPT Finance Corp.:  |  |  |
|  4.625% 8/1/29  | 2725000  | 2078043  |
|  5% 10/15/27  | 10795000  | 9073521  |
|  Park Intermediate Holdings LLC 5.875% 10/1/28 (b)  | 5060000  | 4586717  |
|  Uniti Group LP / Uniti Group Finance, Inc. 6.5% 2/15/29 (b)  | 3040000  | 2014000  |
|  VICI Properties LP 5.125% 5/15/32  | 11325000  | 10486384  |
|  |  | 28238665  |
| UTILITIES - 0.5%  |  |  |
| Electric Utilities - 0.3%  |  |  |
|  Southern Co. 4% 1/15/51 (c)  | 3500000  | 3185000  |
|  Vistra Operations Co. LLC 5.625% 2/15/27 (b)  | 2125000  | 2015908  |
|  |  | 5200908  |
| Independent Power and Renewable Electricity Producers - 0.1%  |  |  |
|  Sunnova Energy Corp. 5.875% 9/1/26 (b)  | 2190000  | 1956524  |
| Multi-Utilities - 0.1%  |  |  |
|  Sempra Energy 4.125% 4/1/52 (c)  | 900000  | 696902  |
|  TOTAL UTILITIES  |  | 7854334  |
| TOTAL NONCONVERTIBLE BONDS  |  | 420150942  |
| <br> **TOTAL CORPORATE BONDS** <br> (Cost $557,316,222)  |  | <br> **533700734**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 7.9%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 7.9%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 7.9%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  U.S. Treasury Bonds:  |  |  |
|  1.875% 11/15/51  | 21000000  | 13300547  |
|  2.25% 2/15/52  | 18000000  | 12517031  |
|  2.875% 5/15/52  | 17500000  | 14084760  |
|  3% 8/15/52  | 16750000  | 13880765  |
|  3.375% 8/15/42  | 77325000  | 69109210  |
|  4% 11/15/52  | 14500000  | 14575133  |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS** <br> (Cost $135,020,167)  |  | **137467446**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Commercial Mortgage Securities - 0.0%**  | &nbsp;&nbsp; **Commercial Mortgage Securities - 0.0%**  | &nbsp;&nbsp; **Commercial Mortgage Securities - 0.0%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  BANK Series 2020-BN30 Class MCDG, 2.9182% 12/15/53 (c) <br>(Cost $177,280) <br>| 200000  | **114977**  |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 0.3%**  | &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 0.3%**  | &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 0.3%**  | &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 0.3%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  Brazilian Federative Republic 10% 1/1/27 <br>(Cost $4,364,053) <br>| BRL  | 25100000  | **4389141**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Common Stocks - 39.3%**  | &nbsp;&nbsp; **Common Stocks - 39.3%**  | &nbsp;&nbsp; **Common Stocks - 39.3%**  |
|  | Shares  | Value ($) <br>|
| COMMUNICATION SERVICES - 2.3%  |  |  |
| Diversified Telecommunication Services - 0.0%  |  |  |
|  AT&T, Inc.  | 3223  | 59335  |
|  Verizon Communications, Inc.  | 1776  | 69974  |
|  |  | 129309  |
| Entertainment - 0.7%  |  |  |
|  Activision Blizzard, Inc.  | 758  | 58025  |
|  Netflix, Inc. (e)  | 28900  | 8522032  |
|  Roblox Corp. (e)(f)  | 118900  | 3383894  |
|  The Walt Disney Co. (e)  | 799  | 69417  |
|  |  | 12033368  |
| Interactive Media & Services - 1.4%  |  |  |
|  Alphabet, Inc. Class A (e)  | 86614  | 7641953  |
|  Meta Platforms, Inc. Class A (e)  | 70200  | 8447868  |
|  Pinterest, Inc. Class A (e)  | 116100  | 2818908  |
|  Snap, Inc. Class A (e)  | 631500  | 5651925  |
|  |  | 24560654  |
| Media - 0.2%  |  |  |
|  Comcast Corp. Class A  | 2954  | 103301  |
|  Gannett Co., Inc. (e)(f)  | 1783346  | 3620192  |
|  Interpublic Group of Companies, Inc.  | 803  | 26748  |
|  Shaw Communications, Inc. Class B  | 1513  | 43591  |
|  |  | 3793832  |
| Wireless Telecommunication Services - 0.0%  |  |  |
|  Rogers Communications, Inc. Class B (non-vtg.)  | 509  | 23822  |
|  T-Mobile U.S., Inc. (e)  | 866  | 121240  |
|  |  | 145062  |
|  TOTAL COMMUNICATION SERVICES  |  | 40662225  |
| CONSUMER DISCRETIONARY - 3.5%  |  |  |
| Automobiles - 0.4%  |  |  |
|  Tesla, Inc. (e)  | 52200  | 6429996  |
| Diversified Consumer Services - 0.2%  |  |  |
|  H&R Block, Inc.  | 111486  | 4070354  |
| Hotels, Restaurants & Leisure - 1.6%  |  |  |
|  A&W Revenue Royalties Income Fund  | 164900  | 4336846  |
|  McDonald's Corp.  | 387  | 101986  |
|  Pizza Pizza Royalty Corp.  | 937400  | 9443232  |
|  Red Rock Resorts, Inc.  | 109473  | 4380015  |
|  Super Group SGHC Ltd. (e)  | 3338671  | 10016013  |
|  |  | 28278092  |
| Internet & Direct Marketing Retail - 0.6%  |  |  |
|  Amazon.com, Inc. (e)  | 119900  | 10071600  |
| Multiline Retail - 0.3%  |  |  |
|  Dollar Tree, Inc. (e)  | 157  | 22206  |
|  Target Corp.  | 27265  | 4063576  |
|  |  | 4085782  |
| Specialty Retail - 0.2%  |  |  |
|  Best Buy Co., Inc.  | 174  | 13957  |
|  Burlington Stores, Inc. (e)  | 89  | 18046  |
|  Dick's Sporting Goods, Inc.  | 28  | 3368  |
|  Lowe's Companies, Inc.  | 15  | 2989  |
|  TJX Companies, Inc.  | 686  | 54606  |
|  WH Smith PLC  | 220585  | 3958809  |
|  |  | 4051775  |
| Textiles, Apparel & Luxury Goods - 0.2%  |  |  |
|  Columbia Sportswear Co.  | 61  | 5342  |
|  Tapestry, Inc.  | 96906  | 3690180  |
|  |  | 3695522  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 60683121  |
| CONSUMER STAPLES - 0.0%  |  |  |
| Beverages - 0.0%  |  |  |
|  Diageo PLC  | 566  | 24775  |
|  Keurig Dr. Pepper, Inc.  | 2227  | 79415  |
|  The Coca-Cola Co.  | 1813  | 115325  |
|  |  | 219515  |
| Food & Staples Retailing - 0.0%  |  |  |
|  Albertsons Companies, Inc.  | 813  | 16862  |
|  Alimentation Couche-Tard, Inc. Class A (multi-vtg.)  | 253  | 11118  |
|  BJ's Wholesale Club Holdings, Inc. (e)  | 354  | 23421  |
|  Costco Wholesale Corp.  | 74  | 33781  |
|  Walmart, Inc.  | 1117  | 158379  |
|  |  | 243561  |
| Food Products - 0.0%  |  |  |
|  Bunge Ltd.  | 217  | 21650  |
|  Mondelez International, Inc.  | 942  | 62784  |
|  Nestle SA (Reg. S)  | 119  | 13746  |
|  |  | 98180  |
| Household Products - 0.0%  |  |  |
|  Procter & Gamble Co.  | 759  | 115034  |
| Personal Products - 0.0%  |  |  |
|  Unilever PLC  | 326  | 16459  |
| Tobacco - 0.0%  |  |  |
|  Philip Morris International, Inc.  | 637  | 64471  |
|  TOTAL CONSUMER STAPLES  |  | 757220  |
| ENERGY - 7.4%  |  |  |
| Energy Equipment & Services - 0.3%  |  |  |
|  Halliburton Co.  | 114200  | 4493770  |
| Oil, Gas & Consumable Fuels - 7.1%  |  |  |
|  Arch Resources, Inc.  | 18300  | 2613057  |
|  Calumet Specialty Products Partners LP (e)  | 168835  | 2849935  |
|  Canadian Natural Resources Ltd.  | 863  | 47924  |
|  ConocoPhillips Co.  | 856  | 101008  |
|  DHT Holdings, Inc.  | 5645605  | 50132972  |
|  Energy Transfer LP  | 363800  | 4318306  |
|  Enterprise Products Partners LP  | 1758  | 42403  |
|  Euronav NV (f)  | 1735168  | 29567263  |
|  Exxon Mobil Corp.  | 41125  | 4536088  |
|  Freehold Royalties Ltd. (f)  | 358600  | 4192495  |
|  Hess Corp.  | 389  | 55168  |
|  Imperial Oil Ltd.  | 984  | 47928  |
|  Magellan Midstream Partners LP  | 69300  | 3479553  |
|  MPLX LP  | 132000  | 4334880  |
|  Phillips 66 Co.  | 609  | 63385  |
|  Pioneer Natural Resources Co.  | 18400  | 4202376  |
|  Scorpio Tankers, Inc.  | 240385  | 12925501  |
|  Suncor Energy, Inc.  | 1396  | 44282  |
|  Valero Energy Corp.  | 564  | 71549  |
|  |  | 123626073  |
|  TOTAL ENERGY  |  | 128119843  |
| FINANCIALS - 0.4%  |  |  |
| Banks - 0.0%  |  |  |
|  Bank of America Corp.  | 5330  | 176530  |
|  Huntington Bancshares, Inc.  | 3461  | 48800  |
|  JPMorgan Chase & Co.  | 1789  | 239905  |
|  M&T Bank Corp.  | 467  | 67743  |
|  PNC Financial Services Group, Inc.  | 462  | 72968  |
|  Wells Fargo & Co.  | 3025  | 124902  |
|  |  | 730848  |
| Capital Markets - 0.3%  |  |  |
|  BlackRock, Inc. Class A  | 80  | 56690  |
|  Charles Schwab Corp.  | 60700  | 5053882  |
|  |  | 5110572  |
| Consumer Finance - 0.1%  |  |  |
|  Capital One Financial Corp.  | 707  | 65723  |
|  LendingTree, Inc. (e)  | 51412  | 1096618  |
|  |  | 1162341  |
| Insurance - 0.0%  |  |  |
|  American Financial Group, Inc.  | 333  | 45714  |
|  Chubb Ltd.  | 411  | 90667  |
|  Hartford Financial Services Group, Inc.  | 694  | 52626  |
|  Marsh & McLennan Companies, Inc.  | 135  | 22340  |
|  The Travelers Companies, Inc.  | 410  | 76871  |
|  |  | 288218  |
|  TOTAL FINANCIALS  |  | 7291979  |
| HEALTH CARE - 6.1%  |  |  |
| Biotechnology - 1.4%  |  |  |
|  AbbVie, Inc.  | 57582  | 9305827  |
|  Amgen, Inc.  | 26402  | 6934221  |
|  Gilead Sciences, Inc.  | 105300  | 9040005  |
|  |  | 25280053  |
| Health Care Providers & Services - 0.7%  |  |  |
|  Accolade, Inc. (e)  | 255333  | 1989044  |
|  Cigna Corp.  | 382  | 126572  |
|  Molina Healthcare, Inc. (e)  | 18800  | 6208136  |
|  UnitedHealth Group, Inc.  | 8418  | 4463055  |
|  |  | 12786807  |
| Life Sciences Tools & Services - 0.3%  |  |  |
|  Danaher Corp.  | 17697  | 4697138  |
| Pharmaceuticals - 3.7%  |  |  |
|  AstraZeneca PLC (United Kingdom)  | 68359  | 9250298  |
|  Bristol-Myers Squibb Co.  | 116188  | 8359727  |
|  Eli Lilly & Co.  | 25139  | 9196852  |
|  Johnson & Johnson  | 52271  | 9233672  |
|  Merck & Co., Inc.  | 83612  | 9276751  |
|  Roche Holding AG (participation certificate)  | 28305  | 8894494  |
|  Royalty Pharma PLC  | 983  | 38848  |
|  Sanofi SA  | 856  | 82541  |
|  Sanofi SA sponsored ADR  | 196900  | 9535867  |
|  |  | 63869050  |
|  TOTAL HEALTH CARE  |  | 106633048  |
| INDUSTRIALS - 4.4%  |  |  |
| Aerospace & Defense - 0.9%  |  |  |
|  Huntington Ingalls Industries, Inc.  | 134  | 30911  |
|  Lockheed Martin Corp.  | 13091  | 6368641  |
|  Northrop Grumman Corp.  | 8136  | 4439083  |
|  The Boeing Co. (e)  | 23389  | 4455371  |
|  |  | 15294006  |
| Air Freight & Logistics - 0.5%  |  |  |
|  FedEx Corp.  | 26000  | 4503200  |
|  United Parcel Service, Inc. Class B  | 25125  | 4367730  |
|  |  | 8870930  |
| Building Products - 0.0%  |  |  |
|  Johnson Controls International PLC  | 608  | 38912  |
| Electrical Equipment - 1.7%  |  |  |
|  AMETEK, Inc.  | 397  | 55469  |
|  Babcock & Wilcox Enterprises, Inc. (e)  | 3128410  | 18050926  |
|  Eaton Corp. PLC  | 27700  | 4347515  |
|  Regal Rexnord Corp.  | 57600  | 6910848  |
|  |  | 29364758  |
| Industrial Conglomerates - 0.4%  |  |  |
|  General Electric Co.  | 41073  | 3441507  |
|  Hitachi Ltd.  | 353  | 17762  |
|  Siemens AG  | 31857  | 4391530  |
|  |  | 7850799  |
| Machinery - 0.3%  |  |  |
|  Crane Holdings Co.  | 244  | 24510  |
|  Deere & Co.  | 10200  | 4373352  |
|  Fortive Corp.  | 469  | 30133  |
|  ITT, Inc.  | 482  | 39090  |
|  |  | 4467085  |
| Marine - 0.6%  |  |  |
|  Eagle Bulk Shipping, Inc. (f)  | 106305  | 5308872  |
|  Golden Ocean Group Ltd.  | 590800  | 5182647  |
|  |  | 10491519  |
| Professional Services - 0.0%  |  |  |
|  KBR, Inc.  | 302  | 15946  |
| Trading Companies & Distributors - 0.0%  |  |  |
|  Watsco, Inc.  | 85  | 21199  |
|  TOTAL INDUSTRIALS  |  | 76415154  |
| INFORMATION TECHNOLOGY - 7.7%  |  |  |
| Communications Equipment - 0.4%  |  |  |
|  Cisco Systems, Inc.  | 136751  | 6514818  |
| IT Services - 1.4%  |  |  |
|  Accenture PLC Class A  | 123  | 32821  |
|  Amdocs Ltd.  | 595  | 54086  |
|  BigCommerce Holdings, Inc. (e)  | 564900  | 4937226  |
|  Block, Inc. Class A (e)  | 49600  | 3116864  |
|  GTT Communications, Inc. rights (e)(g)  | 8340  | 8340  |
|  Okta, Inc. (e)  | 90900  | 6211197  |
|  Paychex, Inc.  | 59  | 6818  |
|  PayPal Holdings, Inc. (e)  | 58700  | 4180614  |
|  Shift4 Payments, Inc. (e)  | 74200  | 4150006  |
|  Visa, Inc. Class A  | 82  | 17036  |
|  Wix.com Ltd. (e)  | 32900  | 2527707  |
|  |  | 25242715  |
| Semiconductors & Semiconductor Equipment - 1.2%  |  |  |
|  NVIDIA Corp.  | 36902  | 5392858  |
|  NXP Semiconductors NV  | 38708  | 6117025  |
|  onsemi (e)  | 93300  | 5819121  |
|  Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR  | 43428  | 3234952  |
|  |  | 20563956  |
| Software - 4.3%  |  |  |
|  Bentley Systems, Inc. Class B  | 108900  | 4024944  |
|  BlackLine, Inc. (e)  | 85501  | 5751652  |
|  Confluent, Inc. (e)  | 90900  | 2021616  |
|  Everbridge, Inc. (e)  | 140700  | 4161906  |
|  Gen Digital, Inc.  | 848  | 18173  |
|  Guidewire Software, Inc. (e)  | 48700  | 3046672  |
|  LivePerson, Inc. (e)  | 347648  | 3525151  |
|  Microsoft Corp.  | 50545  | 12121702  |
|  Open Text Corp.  | 1338  | 39646  |
|  Rapid7, Inc. (e)  | 58500  | 1987830  |
|  Roper Technologies, Inc.  | 10785  | 4660091  |
|  Salesforce.com, Inc. (e)  | 33600  | 4455024  |
|  SentinelOne, Inc. (e)  | 303800  | 4432442  |
|  ServiceNow, Inc. (e)  | 12000  | 4659240  |
|  Splunk, Inc. (e)  | 39000  | 3357510  |
|  Workday, Inc. Class A (e)  | 23400  | 3915522  |
|  Workiva, Inc. (e)  | 71440  | 5998817  |
|  Zoom Video Communications, Inc. Class A (e)  | 92900  | 6293046  |
|  |  | 74470984  |
| Technology Hardware, Storage & Peripherals - 0.4%  |  |  |
|  Apple, Inc.  | 49253  | 6399442  |
|  Samsung Electronics Co. Ltd.  | 1425  | 62587  |
|  Seagate Technology Holdings PLC  | 120  | 6313  |
|  |  | 6468342  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 133260815  |
| MATERIALS - 3.7%  |  |  |
| Chemicals - 0.8%  |  |  |
|  Corteva, Inc.  | 62200  | 3656116  |
|  FMC Corp.  | 29900  | 3731520  |
|  Linde PLC  | 10633  | 3468272  |
|  Nutrien Ltd.  | 50325  | 3674022  |
|  |  | 14529930  |
| Containers & Packaging - 0.0%  |  |  |
|  Ball Corp.  | 619  | 31656  |
|  Crown Holdings, Inc.  | 754  | 61986  |
|  |  | 93642  |
| Metals & Mining - 2.9%  |  |  |
|  Agnico Eagle Mines Ltd. (United States) (f)  | 227000  | 11801730  |
|  Anglo American PLC (United Kingdom)  | 626  | 24514  |
|  ATI, Inc. (e)  | 156300  | 4667118  |
|  Freeport-McMoRan, Inc.  | 248732  | 9451816  |
|  Newmont Corp.  | 250400  | 11818880  |
|  Wheaton Precious Metals Corp.  | 298126  | 11647611  |
|  |  | 49411669  |
|  TOTAL MATERIALS  |  | 64035241  |
| REAL ESTATE - 3.4%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 3.4%  |  |  |
|  American Tower Corp.  | 230  | 48728  |
|  Crown Castle International Corp.  | 39800  | 5398472  |
|  Equinix, Inc.  | 5100  | 3340653  |
|  Gaming & Leisure Properties  | 199850  | 10410187  |
|  Lamar Advertising Co. Class A  | 477  | 45029  |
|  National Retail Properties, Inc.  | 207100  | 9476896  |
|  Postal Realty Trust, Inc.  | 205850  | 2991001  |
|  Prologis (REIT), Inc.  | 35500  | 4001915  |
|  Public Storage  | 145  | 40628  |
|  Ryman Hospitality Properties, Inc.  | 50900  | 4162602  |
|  Spirit Realty Capital, Inc.  | 229817  | 9176593  |
|  VICI Properties, Inc.  | 307200  | 9953280  |
|  |  | 59045984  |
| UTILITIES - 0.4%  |  |  |
| Electric Utilities - 0.0%  |  |  |
|  Constellation Energy Corp.  | 305  | 26294  |
|  Exelon Corp.  | 990  | 42798  |
|  FirstEnergy Corp.  | 626  | 26254  |
|  NextEra Energy, Inc.  | 1369  | 114448  |
|  PG&E Corp. (e)  | 1355  | 22032  |
|  Southern Co.  | 580  | 41418  |
|  |  | 273244  |
| Independent Power and Renewable Electricity Producers - 0.4%  |  |  |
|  Clearway Energy, Inc. Class C  | 93300  | 2973471  |
|  NextEra Energy Partners LP  | 45500  | 3189095  |
|  Vistra Corp.  | 1131  | 26239  |
|  |  | 6188805  |
| Multi-Utilities - 0.0%  |  |  |
|  Ameren Corp.  | 426  | 37880  |
|  CenterPoint Energy, Inc.  | 1324  | 39707  |
|  Dominion Energy, Inc.  | 808  | 49547  |
|  WEC Energy Group, Inc.  | 413  | 38723  |
|  |  | 165857  |
|  TOTAL UTILITIES  |  | 6627906  |
| <br> **TOTAL COMMON STOCKS** <br> (Cost $644,151,663)  |  | <br> **683532536**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Preferred Stocks - 4.8%**  | &nbsp;&nbsp; **Preferred Stocks - 4.8%**  | &nbsp;&nbsp; **Preferred Stocks - 4.8%**  |
|  | Shares  | Value ($) <br>|
| Convertible Preferred Stocks - 1.1%  |  |  |
| COMMUNICATION SERVICES - 0.2%  |  |  |
| Wireless Telecommunication Services - 0.2%  |  |  |
|  T-Mobile U.S., Inc. 5.25% (b)(e)  | 3300  | 3775266  |
| HEALTH CARE - 0.2%  |  |  |
| Health Care Equipment & Supplies - 0.2%  |  |  |
|  Boston Scientific Corp. Series A, 5.50%  | 29300  | 3365177  |
| INDUSTRIALS - 0.2%  |  |  |
| Machinery - 0.2%  |  |  |
|  Chart Industries, Inc. (e)  | 60800  | 3076480  |
| UTILITIES - 0.5%  |  |  |
| Electric Utilities - 0.5%  |  |  |
|  NextEra Energy, Inc. 6.296%  | 90300  | 4532157  |
|  PG&E Corp. (e)  | 21200  | 3060570  |
|  |  | 7592727  |
| TOTAL CONVERTIBLE PREFERRED STOCKS  |  | 17809650  |
| Nonconvertible Preferred Stocks - 3.7%  |  |  |
| COMMUNICATION SERVICES - 0.2%  |  |  |
| Diversified Telecommunication Services - 0.2%  |  |  |
|  BCE, Inc.:  |  |  |
|  2.954%(c)  | 119000  | 1233944  |
|  Series AM, Canadian Government Bond 5 Year Note Index + 2.090% 2.939%(c)(d)  | 75100  | 807575  |
|  Series R  | 91900  | 1041850  |
|  |  | 3083369  |
| ENERGY - 0.2%  |  |  |
| Oil, Gas & Consumable Fuels - 0.2%  |  |  |
|  DCP Midstream Partners LP Series B, 7.875% (c)  | 37020  | 906250  |
|  Enbridge, Inc. Series L, 5 year U.S. Treasury Index + 3.150% 4.959% (c)(d)  | 65300  | 1255066  |
|  Energy Transfer LP Series C, 7.375% (c)  | 41400  | 897966  |
|  Scorpio Tankers, Inc.  | 13738  | 338875  |
|  |  | 3398157  |
| FINANCIALS - 2.1%  |  |  |
| Banks - 1.1%  |  |  |
|  Bank of America Corp.:  |  |  |
|  4.25%  | 30000  | 508800  |
|  4.375%  | 50000  | 877500  |
|  5.00%  | 34300  | 663705  |
|  Series GG, 6.00%  | 21900  | 522534  |
|  Series KK, 5.375%  | 42100  | 879890  |
|  First Citizens Bancshares, Inc.  | 47400  | 925011  |
|  First Citizens Bancshares, Inc. Series C  | 50607  | 1025804  |
|  First Republic Bank:  |  |  |
|  4.125%  | 10806  | 173544  |
|  4.50%  | 5257  | 90946  |
|  5.125%  | 25513  | 504902  |
|  Series J, 4.70%  | 30000  | 556500  |
|  Series M, 4.00%  | 48609  | 762189  |
|  JPMorgan Chase & Co.:  |  |  |
|  4.55%  | 111300  | 2067954  |
|  4.625%  | 78800  | 1483016  |
|  Series DD, 5.75%  | 40000  | 932800  |
|  Series MM, 4.20%  | 70850  | 1235624  |
|  Truist Financial Corp. Series O, 5.25%  | 31000  | 670220  |
|  U.S. Bancorp 4.50%  | 73000  | 1341740  |
|  Wells Fargo & Co.:  |  |  |
|  4.25%  | 68100  | 1124331  |
|  5.85%(c)  | 34088  | 783342  |
|  6.625%(c)  | 35000  | 866950  |
|  Series Z, 4.75%  | 68200  | 1253516  |
|  |  | 19250818  |
| Capital Markets - 0.6%  |  |  |
| B. Riley Financial, Inc.:  |  |  |
|  5.00%  | 73100  | 1535100  |
|  5.25%  | 49000  | 894436  |
|  5.50%  | 27000  | 601560  |
|  6.375%  | 38285  | 861795  |
|  Canaccord Genuity Group, Inc.:  |  |  |
|  Canadian Government Bond 5 Year Note Index + 3.210% 3.885%(c)(d)  | 153630  | 1560127  |
|  Canadian Government Bond 5 Year Note Index + 4.030% 4.993%(c)(d)  | 78300  | 1185487  |
|  Morgan Stanley:  |  |  |
|  6.875%(c)  | 30000  | 750300  |
|  Series K, 5.85%(c)  | 36700  | 848504  |
|  Series O, 4.50%  | 53700  | 925251  |
|  State Street Corp. Series D, 5.90% (c)  | 37100  | 899304  |
|  Stifel Financial Corp. Series D, 4.50%  | 45000  | 726750  |
|  |  | 10788614  |
| Consumer Finance - 0.0%  |  |  |
|  Capital One Financial Corp. Series J, 5.00%  | 19300  | 336206  |
| Insurance - 0.4%  |  |  |
|  Allstate Corp. 5.10%  | 98000  | 1946280  |
|  Athene Holding Ltd.:  |  |  |
|  Series A, 6.35%(c)  | 30113  | 650441  |
|  Series B, 5.625%  | 32923  | 655168  |
|  Series C, 6.375%(c)  | 37000  | 888370  |
|  Series D, 4.875%  | 78000  | 1337700  |
|  MetLife, Inc. Series F 4.75%  | 61100  | 1191450  |
|  Power Financial Corp. BK CDA TREASURY BIL 3 MTH INDX + 1.600% 1.77% (c)(d)  | 46800  | 523994  |
|  |  | 7193403  |
|  TOTAL FINANCIALS  |  | 37569041  |
| INDUSTRIALS - 1.1%  |  |  |
| Electrical Equipment - 1.1%  |  |  |
|  Babcock & Wilcox Enterprises, Inc.:  |  |  |
|  6.50%  | 142500  | 2925525  |
|  8.125%  | 637540  | 15351899  |
|  Series A, 7.75%  | 55341  | 816280  |
|  |  | 19093704  |
| UTILITIES - 0.1%  |  |  |
| Electric Utilities - 0.0%  |  |  |
|  Southern Co. 4.20%  | 40000  | 694800  |
| Independent Power and Renewable Electricity Producers - 0.1%  |  |  |
|  TransAlta Corp. Series E, Canadian Government Bond 5 Year Note Index + 3.650% 5.19% (c)(d)  | 50400  | 826724  |
|  TOTAL UTILITIES  |  | 1521524  |
| TOTAL NONCONVERTIBLE PREFERRED STOCKS  |  | 64665795  |
| <br> **TOTAL PREFERRED STOCKS** <br> (Cost $91,044,887)  |  | <br> **82475445**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Bank Loan Obligations - 6.7%**  | &nbsp;&nbsp; **Bank Loan Obligations - 6.7%**  | &nbsp;&nbsp; **Bank Loan Obligations - 6.7%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| COMMUNICATION SERVICES - 0.1%  |  |  |
| Media - 0.1%  |  |  |
|  Dotdash Meredith, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.224% 12/1/28 (c)(d)(h)  | 2164534  | 1861499  |
| CONSUMER DISCRETIONARY - 5.3%  |  |  |
| Diversified Consumer Services - 1.7%  |  |  |
|  Spin Holdco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.765% 3/4/28 (c)(d)(h)  | 34194355  | 28714710  |
| Hotels, Restaurants & Leisure - 1.6%  |  |  |
|  Caesars Resort Collection LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.8836% 7/20/25 (c)(d)(h)  | 7141878  | 7117524  |
|  Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.323% 1/27/29 (c)(d)(h)  | 9407964  | 8927029  |
|  Four Seasons Hotels Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.673% 11/30/29 (c)(d)(h)  | 8935000  | 8931783  |
|  Pacific Bells LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 9.3418% 10/20/28 (c)(d)(h)  | 2792177  | 2615349  |
|  |  | 27591685  |
| Internet & Direct Marketing Retail - 1.8%  |  |  |
|  Bass Pro Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.1336% 3/5/28 (c)(d)(h)  | 23737889  | 22758701  |
|  Terrier Media Buyer, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.2299% 12/17/26 (c)(d)(h)  | 2219326  | 2073095  |
|  Uber Technologies, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.2349% 4/4/25 (c)(d)(h)  | 7092952  | 7084086  |
|  |  | 31915882  |
| Leisure Products - 0.2%  |  |  |
|  Peloton Interactive, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 6.500% 11.2574% 5/25/27 (c)(d)(h)  | 4108602  | 4029840  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 92252117  |
| FINANCIALS - 0.2%  |  |  |
| Capital Markets - 0.1%  |  |  |
|  Zebra Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.3302% 11/1/28 (c)(d)(h)  | 2350000  | 2317688  |
| Insurance - 0.1%  |  |  |
|  Asurion LLC 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 4.000% 8.6802% 8/17/28 (c)(d)(h)  | 1995000  | 1776049  |
|  TOTAL FINANCIALS  |  | 4093737  |
| HEALTH CARE - 0.2%  |  |  |
| Health Care Technology - 0.2%  |  |  |
|  Athenahealth Group, Inc.:  |  |  |
|  Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.8211% 2/15/29 (c)(d)(h)  | 3822663  | 3441773  |
|  Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 4.5803% 2/15/29 (c)(d)(h)(i)  | 651165  | 586283  |
|  |  | 4028056  |
| INDUSTRIALS - 0.4%  |  |  |
| Air Freight & Logistics - 0.3%  |  |  |
|  Echo Global Logistics, Inc. 1LN, term loan:  |  |  |
|  1 month U.S. LIBOR + 3.500% 7.8836% 11/23/28 (c)(d)(h)  | 2630125  | 2463559  |
|  3 month U.S. LIBOR + 4.750% 9.1336% 11/23/28 (c)(d)(g)(h)  | 1895250  | 1825505  |
|  |  | 4289064  |
| Electrical Equipment - 0.1%  |  |  |
|  Array Technologies, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.9419% 10/14/27 (c)(d)(h)  | 1500616  | 1432157  |
| Transportation Infrastructure - 0.0%  |  |  |
|  Einstein Merger Sub, Inc. 2LN, term loan 3 month U.S. LIBOR + 7.000% 11.6015% 11/23/29 (c)(d)(g)(h)  | 655000  | 651725  |
|  TOTAL INDUSTRIALS  |  | 6372946  |
| INFORMATION TECHNOLOGY - 0.2%  |  |  |
| IT Services - 0.0%  |  |  |
|  GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 10.75% 5/31/25 (c)(d)(h)  | 228261  | 102717  |
| Software - 0.2%  |  |  |
|  Ultimate Software Group, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.9983% 5/3/26 (c)(d)(h)  | 3592378  | 3412759  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 3515476  |
| UTILITIES - 0.3%  |  |  |
| Electric Utilities - 0.3%  |  |  |
|  Brookfield WEC Holdings, Inc.:  |  |  |
|  1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.073% 8/1/25 (c)(d)(h)  | 1097250  | 1091424  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 7.1336% 8/1/25 (c)(d)(h)  | 3767907  | 3709429  |
|  |  | 4800853  |
| <br> **TOTAL BANK LOAN OBLIGATIONS** <br> (Cost $124,761,068)  |  | <br> **116924684**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Preferred Securities - 8.6%**  | &nbsp;&nbsp; **Preferred Securities - 8.6%**  | &nbsp;&nbsp; **Preferred Securities - 8.6%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| ENERGY - 0.3%  |  |  |
| Oil, Gas & Consumable Fuels - 0.3%  |  |  |
|  Energy Transfer LP:  |  |  |
|  6.25% (c)(j)  | 2100000  | 1834575  |
|  6.5% (c)(j)  | 1600000  | 1389503  |
|  6.625% (c)(j)  | 1200000  | 921029  |
|  7.125% (c)(j)  | 2350000  | 1983989  |
|  |  | 6129096  |
| FINANCIALS - 7.1%  |  |  |
| Banks - 4.5%  |  |  |
|  Bank of America Corp.:  |  |  |
|  4.375% (c)(j)  | 3500000  | 2991721  |
|  5.125% (c)(j)  | 1350000  | 1251800  |
|  5.2% (c)(j)  | 3500000  | 3407005  |
|  5.875% (c)(j)  | 375000  | 336820  |
|  6.1% (c)(j)  | 750000  | 737146  |
|  6.125% (c)(j)  | 2500000  | 2480588  |
|  6.25% (c)(j)  | 2735000  | 2681835  |
|  Citigroup, Inc.:  |  |  |
|  4% (c)(j)  | 1075000  | 938843  |
|  4.15% (c)(j)  | 1900000  | 1561286  |
|  5% (c)(j)  | 1400000  | 1267482  |
|  5.35% (c)(j)  | 1200000  | 1177620  |
|  5.95% (c)(j)  | 2700000  | 2740826  |
|  Citizens Financial Group, Inc. 6% (c)(j)  | 800000  | 759446  |
|  Comerica, Inc. 5.625% 12/31/99 (c)(j)  | 925000  | 905537  |
|  Fifth Third Bancorp 5.1% (c)(j)  | 1400000  | 1330197  |
|  First Citizens Bancshares, Inc. Series B, 3 month U.S. LIBOR + 3.970% 8.741% (c)(d)(j)  | 1350000  | 1353952  |
|  JPMorgan Chase & Co.:  |  |  |
|  3 month U.S. LIBOR + 2.580% 7.0196% (c)(d)(j)  | 4600000  | 4593074  |
|  3.65% (c)(j)  | 2250000  | 1933634  |
|  4.6% (c)(j)  | 6240000  | 5618340  |
|  5% (c)(j)  | 2915000  | 2727620  |
|  5.15% (c)(j)  | 2735000  | 2693779  |
|  6% (c)(j)  | 5250000  | 5265990  |
|  M&T Bank Corp.:  |  |  |
|  3.5% (c)(j)  | 2150000  | 1691632  |
|  5.125% (c)(j)  | 1200000  | 1041671  |
|  6.45% 12/31/99 (c)(j)  | 900000  | 900504  |
|  PNC Financial Services Group, Inc.:  |  |  |
|  3.4% (c)(j)  | 2750000  | 2183790  |
|  4.85% (c)(j)  | 1670000  | 1580873  |
|  5% (c)(j)  | 2400000  | 2095012  |
|  6% (c)(j)  | 2220000  | 2102973  |
|  6.2% (c)(j)  | 2100000  | 2058373  |
|  Truist Financial Corp.:  |  |  |
|  3 month U.S. LIBOR + 3.100% 7.871% (c)(d)(j)  | 1405000  | 1395470  |
|  4.8% (c)(j)  | 4050000  | 3711538  |
|  4.95% (c)(j)  | 1000000  | 960316  |
|  5.1% (c)(j)  | 950000  | 895078  |
|  U.S. Bancorp 3.7% (c)(j)  | 2850000  | 2352226  |
|  Wells Fargo & Co.:  |  |  |
|  3.9% (c)(j)  | 2825000  | 2477826  |
|  5.9% (c)(j)  | 4700000  | 4222318  |
|  |  | 78424141  |
| Capital Markets - 1.9%  |  |  |
|  Bank of New York Mellon Corp.:  |  |  |
|  3.75% (c)(j)  | 850000  | 685701  |
|  4.5% (c)(j)  | 1000000  | 934002  |
|  4.625% (c)(j)  | 1000000  | 865900  |
|  Charles Schwab Corp.:  |  |  |
|  4% (c)(j)  | 4525000  | 3624047  |
|  4% (c)(j)  | 4105000  | 3575227  |
|  5% (c)(j)  | 3665000  | 3361919  |
|  5.375% (c)(j)  | 6400000  | 6288822  |
|  Goldman Sachs Group, Inc.:  |  |  |
|  3 month U.S. LIBOR + 2.870% 7.466% (c)(d)(j)  | 5070000  | 4985099  |
|  3.65% (c)(j)  | 2800000  | 2300991  |
|  3.8% (c)(j)  | 1675000  | 1373768  |
|  4.125% (c)(j)  | 1350000  | 1131744  |
|  State Street Corp. 5.625% (c)(j)  | 4020000  | 3742232  |
|  |  | 32869452  |
| Consumer Finance - 0.6%  |  |  |
|  Ally Financial, Inc.:  |  |  |
|  4.7% (c)(j)  | 3270000  | 2206441  |
|  4.7% (c)(j)  | 4800000  | 3034813  |
|  American Express Co. 3.55% (c)(j)  | 4575000  | 3766032  |
|  Capital One Financial Corp. 3.95% (c)(j)  | 750000  | 591587  |
|  |  | 9598873  |
| Diversified Financial Services - 0.1%  |  |  |
|  Equitable Holdings, Inc. 4.95% (c)(j)  | 1000000  | 945012  |
| Insurance - 0.0%  |  |  |
|  MetLife, Inc. 3.85% (c)(j)  | 800000  | 752189  |
|  TOTAL FINANCIALS  |  | 122589667  |
| INDUSTRIALS - 0.2%  |  |  |
| Industrial Conglomerates - 0.2%  |  |  |
|  General Electric Co. 3 month U.S. LIBOR + 3.330% 8.099% (c)(d)(j)  | 3875000  | 3821785  |
| UTILITIES - 1.0%  |  |  |
| Electric Utilities - 0.3%  |  |  |
|  Duke Energy Corp. 4.875% (c)(j)  | 3995000  | 3703004  |
|  Edison International 5% (c)(j)  | 2250000  | 1923564  |
|  |  | 5626568  |
| Independent Power and Renewable Electricity Producers - 0.4%  |  |  |
|  Vistra Corp.:  |  |  |
|  7% (b)(c)(j)  | 5995000  | 5474649  |
|  8% (b)(c)(j)  | 1700000  | 1652756  |
|  |  | 7127405  |
| Multi-Utilities - 0.3%  |  |  |
|  Dominion Energy, Inc. 4.65% (c)(j)  | 3175000  | 2785020  |
|  Sempra Energy 4.875% (c)(j)  | 2180000  | 2038576  |
|  |  | 4823596  |
|  TOTAL UTILITIES  |  | 17577569  |
| <br> **TOTAL PREFERRED SECURITIES** <br> (Cost $157,215,103)  |  | <br> **150118117**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Other - 0.8%**  | &nbsp;&nbsp; **Other - 0.8%**  | &nbsp;&nbsp; **Other - 0.8%**  |
|  | Shares  | Value ($) <br>|
| Other - 0.8%  |  |  |
|  Fidelity Direct Lending Fund, LP (k)(l) <br> (Cost $13,397,830)  |  | **13386113**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 2.8%**  | &nbsp;&nbsp; **Money Market Funds - 2.8%**  | &nbsp;&nbsp; **Money Market Funds - 2.8%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.37% (m)  | 18291486  | 18295144  |
|  Fidelity Securities Lending Cash Central Fund 4.37% (m)(n)  | 30631513  | 30634576  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $48,929,720)  |  | **48929720**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 101.9%** <br> (Cost $1,776,377,993) <br>| <br>**1771038913**  |
| **NET OTHER ASSETS (LIABILITIES) - (1.9)%**  | **(33234695)**  |
| **NET ASSETS - 100.0%**  | **1737804218**  |

---

**Currency Abbreviations**

BRL - Brazilian real

**Legend**

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

(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 $212,935,771 or 12.3% of net assets.

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

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

(e) Non-income producing

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

(g) Level 3 security

(h) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(i) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $488,374 and $439,712, respectively.

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

(k) Affiliated Fund

(l) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $13,386,113 or 0.8% of net assets.

(m) 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.

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

---

| | | |
|:---|:---|:---|
| Additional information on each restricted holding is as follows:  | Additional information on each restricted holding is as follows:  | Additional information on each restricted holding is as follows:  |
| Security  | Acquisition Date  | Acquisition Cost ($) <br>|
| Fidelity Direct Lending Fund, LP  | 3/22/22 - 12/30/22  | 13397830  |

---

**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%  | 79484676  | 1515130907  | 1576320439  | 278925  | -  | -  | 18295144  | 0.0%  |
|  Fidelity Securities Lending Cash Central Fund 4.37%  | 43783561  | 307531202  | 320680187  | 128238  | -  | -  | 30634576  | 0.1%  |
| Total  | 123268237  | 1822662109  | 1897000626  | 407163  | -  | -  | 48929720  |  |

---

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.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| 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 ($)  |
|  Fidelity Direct Lending Fund, LP  | -  | 16057402  | 2624997  | 402393  | (34575)  | (11717)  | 13386113  |
|  | -  | 16057402  | 2624997  | 402393  | (34575)  | (11717)  | 13386113  |

---

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.

Amounts in this Investment Valuation section exclude the value of Fidelity Direct Lending Fund, LP as presented in the Schedule of Investments. Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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>**  |  |  |  |  |
|  **Equities:**  |  |  |  |  |
| Communication Services  | 47520860  | 43745594  | 3775266  | -  |
| Consumer Discretionary  | 60683121  | 60683121  | -  | -  |
| Consumer Staples  | 757220  | 702240  | 54980  | -  |
| Energy  | 131518000  | 131518000  | -  | -  |
| Financials  | 44861020  | 44861020  | -  | -  |
| Health Care  | 109998225  | 88405715  | 21592510  | -  |
| Industrials  | 98585338  | 91099566  | 7485772  | -  |
| Information Technology  | 133260815  | 133252475  | -  | 8340  |
| Materials  | 64035241  | 64010727  | 24514  | -  |
| Real Estate  | 59045984  | 59045984  | -  | -  |
| Utilities  | 15742157  | 8149430  | 7592727  | -  |
|  Corporate Bonds  | 533700734  | -  | 533700734  | -  |
|  U.S. Government and Government Agency Obligations  | 137467446  | -  | 137467446  | -  |
|  Commercial Mortgage Securities  | 114977  | -  | 114977  | -  |
|  Foreign Government and Government Agency Obligations  | 4389141  | -  | 4389141  | -  |
|  Bank Loan Obligations  | 116924684  | -  | 114447454  | 2477230  |
|  Preferred Securities  | 150118117  | -  | 150118117  | -  |
|  Money Market Funds  | 48929720  | 48929720  | -  | -  |
| **Total Investments in Securities:**  | 1757652800  | 774403592  | 980763638  | 2485570  |

---

**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 $29,875,119) - See accompanying schedule:  | $— |  |
|  Unaffiliated issuers (cost $1,714,050,443)  | 1708723080  |  |
|  Fidelity Central Funds (cost $48,929,720)  | 48929720  |  |
|  Other affiliated issuers (cost $13,397,830)  | 13386113  |  |
|  Total Investment in Securities (cost $1,776,377,993)  |  | $1771038913  |
|  Cash  |  | 202433  |
|  Foreign currency held at value (cost $13,794)  |  | 13794  |
| Receivable for investments sold  |  | 20607251  |
|  Receivable for fund shares sold  |  | 2187083  |
|  Dividends receivable  |  | 2817370  |
|  Interest receivable  |  | 10839446  |
|  Distributions receivable from Fidelity Central Funds  |  | 69506  |
|  Prepaid expenses  |  | 1750  |
| Other receivables  |  | 1063  |
| **Total assets**  |  | 1807778609  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  | $30228738  |  |
|  Payable for fund shares redeemed  | 7179901  |  |
|  Distributions payable  | 636272  |  |
|  Accrued management fee  | 813668  |  |
|  Distribution and service plan fees payable  | 90370  |  |
|  Other affiliated payables  | 240662  |  |
|  Other payables and accrued expenses  | 150360  |  |
|  Collateral on securities loaned  | 30634420  |  |
| **Total Liabilities**  |  | 69974391  |
| **Net Assets**  |  | $1737804218  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $1940956878  |
|  Total accumulated earnings (loss)  |  | (203152660)  |
|  **Net Assets**  |  | $1737804218  |
|  **Net Asset Value and Maximum Offering Price**  |  |  |
| **Class A :**  |  |  |
|  **Net Asset Value** and redemption price per share ($151,548,716 ÷ 12,141,801 shares) <sup>(a)</sup>  |  | $12.48  |
|  Maximum offering price per share (100/96.00 of $12.48)  |  | $13.00  |
| **Class M :**  |  |  |
|  **Net Asset Value** and redemption price per share ($18,176,448 ÷ 1,454,688 shares) <sup>(a)</sup>  |  | $12.50  |
|  Maximum offering price per share (100/96.00 of $12.50)  |  | $13.02  |
| **Class C :**  |  |  |
|  **Net Asset Value** and offering price per share ($66,028,400 ÷ 5,299,752 shares) <sup>(a)</sup>  |  | $12.46  |
| **Fidelity Multi-Asset Income Fund :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($912,818,734 ÷ 73,100,476 shares)  |  | $12.49  |
| **Class I :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($429,436,309 ÷ 34,399,295 shares)  |  | $12.48  |
| **Class Z :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($159,795,611 ÷ 12,797,397 shares)  |  | $12.49  |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Year ended** <br> **December 31, 2022**  |
|  **Investment Income**  |  |  |
| Dividends (including $402,393 earned from affiliated issuers)  |  | $29925564  |
| Interest  |  | 48990012  |
| Income from Fidelity Central Funds (including $128,238 from security lending)  |  | 407163  |
| **Total Income**  |  | 79322739  |
|  **Expenses**  |  |  |
| Management fee  | $10001155  |  |
| Transfer agent fees  | 2267268  |  |
| Distribution and service plan fees  | 1029245  |  |
| Accounting fees  | 693298  |  |
| Custodian fees and expenses  | 62202  |  |
| Independent trustees' fees and expenses  | 5852  |  |
| Registration fees  | 318718  |  |
| Audit  | 81872  |  |
| Legal  | 3544  |  |
| Interest  | 6006  |  |
| Miscellaneous  | 6736  |  |
| Total expenses before reductions  | 14475896  |  |
| Expense reductions  | (35687)  |  |
| Total expenses after reductions  |  | 14440209  |
| **Net Investment income (loss)**  |  | 64882530  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (190238779)  |  |
| Affiliated issuers  | (34575)  |  |
| Foreign currency transactions  | (35488)  |  |
| Total net realized gain (loss)  |  | (190308842)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (142186621)  |  |
| Affiliated issuers  | (11717)  |  |
| Assets and liabilities in foreign currencies  | (9316)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (142207654)  |
| **Net gain (loss)**  |  | (332516496)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(267633966)  |

---

---

| | | |
|:---|:---|:---|
| **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)  | $64882530  | $29408378  |
| &nbsp;&nbsp; Net realized gain (loss)  | (190308842) <br>| 15021119 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (142207654)  | 96424115 <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (267633966) <br>| 140853612 <br>|
| Distributions to shareholders  | (79967145) <br>| (36448930) <br>|
| Share transactions - net increase (decrease)  | 192272417 <br>| 1446938224 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (155328694) <br>| 1551342906 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 1893132912  | 341790006 <br>|
| &nbsp;&nbsp; End of period  | $1737804218  | $1893132912  |

---

**Financial Highlights** 

 **Fidelity Advisor® Multi-Asset Income Fund Class A** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $14.97  | $13.15  | $11.72  | $9.81  | $10.41  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .440  | .339  | .384  | .293  | .223  |
| Net realized and unrealized gain (loss)  | (2.378)  | 1.923  | 1.464  | 1.922  | (.558)  |
| Total from investment operations  | (1.938)  | 2.262  | 1.848  | 2.215  | (.335)  |
| Distributions from net investment income  | (.448)  | (.407)  | (.401)  | (.298)  | (.207) <sup>C</sup>  |
| Distributions from net realized gain  | (.104)  | (.035)  | (.017)  | (.007)  | (.058) <sup>C</sup>  |
| Total distributions  | (.552)  | (.442)  | (.418)  | (.305)  | (.265)  |
| Net asset value, end of period  | $12.48  | $14.97  | $13.15  | $11.72  | $9.81  |
| **Total Return** <sup>D,E</sup>  | (13.08)%  | 17.40%  | 16.26%  | 22.84%  | (3.25)%  |
| **Ratios to Average Net Assets** <sup>B,F,G</sup>  |  |  |  |  |  |
| Expenses before reductions  | 1.00%  | 1.01%  | 1.13%  | 1.26%  | 1.38%  |
| Expenses net of fee waivers, if any  | 1.00%  | 1.01%  | 1.10%  | 1.10%  | 1.10%  |
| Expenses net of all reductions  | 1.00%  | 1.01%  | 1.08%  | 1.09%  | 1.08%  |
| Net investment income (loss)  | 3.34%  | 2.35%  | 3.27%  | 2.69%  | 2.19%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $151549  | $132537  | $30583  | $23438  | $9513  |
| Portfolio turnover rate <sup>H</sup>  | 256%  | 150%  | 308%  | 298%  | 367%  |

---

<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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

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

<sup>E</sup> *Total returns do not include the effect of the sales charges.*

<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. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP 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 does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

 **Fidelity Advisor® Multi-Asset Income Fund Class M** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $14.99  | $13.15  | $11.72  | $9.81  | $10.41  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .444  | .342  | .383  | .292  | .223  |
| Net realized and unrealized gain (loss)  | (2.379)  | 1.943  | 1.463  | 1.923  | (.558)  |
| Total from investment operations  | (1.935)  | 2.285  | 1.846  | 2.215  | (.335)  |
| Distributions from net investment income  | (.451)  | (.410)  | (.399)  | (.298)  | (.207) <sup>C</sup>  |
| Distributions from net realized gain  | (.104)  | (.035)  | (.017)  | (.007)  | (.058) <sup>C</sup>  |
| Total distributions  | (.555)  | (.445)  | (.416)  | (.305)  | (.265)  |
| Net asset value, end of period  | $12.50  | $14.99  | $13.15  | $11.72  | $9.81  |
| **Total Return** <sup>D,E</sup>  | (13.05)%  | 17.58%  | 16.24%  | 22.84%  | (3.25)%  |
| **Ratios to Average Net Assets** <sup>B,F,G</sup>  |  |  |  |  |  |
| Expenses before reductions  | .99%  | .99%  | 1.13%  | 1.30%  | 1.40%  |
| Expenses net of fee waivers, if any  | .99%  | .99%  | 1.10%  | 1.10%  | 1.10%  |
| Expenses net of all reductions  | .99%  | .99%  | 1.08%  | 1.09%  | 1.08%  |
| Net investment income (loss)  | 3.36%  | 2.37%  | 3.27%  | 2.69%  | 2.19%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $18176  | $18698  | $11048  | $9719  | $7441  |
| Portfolio turnover rate <sup>H</sup>  | 256%  | 150%  | 308%  | 298%  | 367%  |

---

<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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

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

<sup>E</sup> *Total returns do not include the effect of the sales charges.*

<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. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP 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 does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

 **Fidelity Advisor® Multi-Asset Income Fund Class C** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $14.94  | $13.13  | $11.70  | $9.80  | $10.41  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .341  | .231  | .298  | .210  | .147  |
| Net realized and unrealized gain (loss)  | (2.368)  | 1.917  | 1.463  | 1.915  | (.561)  |
| Total from investment operations  | (2.027)  | 2.148  | 1.761  | 2.125  | (.414)  |
| Distributions from net investment income  | (.349)  | (.303)  | (.314)  | (.218)  | (.138) <sup>C</sup>  |
| Distributions from net realized gain  | (.104)  | (.035)  | (.017)  | (.007)  | (.058) <sup>C</sup>  |
| Total distributions  | (.453)  | (.338)  | (.331)  | (.225)  | (.196)  |
| Net asset value, end of period  | $12.46  | $14.94  | $13.13  | $11.70  | $9.80  |
| **Total Return** <sup>D,E</sup>  | (13.69)%  | 16.50%  | 15.44%  | 21.87%  | (4.00)%  |
| **Ratios to Average Net Assets** <sup>B,F,G</sup>  |  |  |  |  |  |
| Expenses before reductions  | 1.76%  | 1.76%  | 1.84%  | 2.13%  | 2.14%  |
| Expenses net of fee waivers, if any  | 1.76%  | 1.76%  | 1.84%  | 1.85%  | 1.85%  |
| Expenses net of all reductions  | 1.75%  | 1.76%  | 1.82%  | 1.84%  | 1.83%  |
| Net investment income (loss)  | 2.59%  | 1.60%  | 2.53%  | 1.94%  | 1.44%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $66028  | $61356  | $13015  | $4634  | $8003  |
| Portfolio turnover rate <sup>H</sup>  | 256%  | 150%  | 308%  | 298%  | 367%  |

---

<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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

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

<sup>E</sup> *Total returns do not include the effect of the contingent deferred sales charge.*

<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. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP 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 does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

 **Fidelity® Multi-Asset 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  | $14.98  | $13.15  | $11.72  | $9.81  | $10.00  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .480  | .378  | .417  | .322  | .168  |
| Net realized and unrealized gain (loss)  | (2.381)  | 1.934  | 1.460  | 1.919  | (.135)  |
| Total from investment operations  | (1.901)  | 2.312  | 1.877  | 2.241  | .033  |
| Distributions from net investment income  | (.485)  | (.447)  | (.430)  | (.324)  | (.165) <sup>D</sup>  |
| Distributions from net realized gain  | (.104)  | (.035)  | (.017)  | (.007)  | (.058) <sup>D</sup>  |
| Total distributions  | (.589)  | (.482)  | (.447)  | (.331)  | (.223)  |
| Net asset value, end of period  | $12.49  | $14.98  | $13.15  | $11.72  | $9.81  |
| **Total Return** <sup>E,F</sup>  | (12.83)%  | 17.80%  | 16.55%  | 23.14%  | .30%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |  |  |  |  |
| Expenses before reductions  | .73%  | .74%  | .85%  | .94%  | 1.05% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | .73%  | .74%  | .85%  | .85%  | .85% <sup>I</sup>  |
| Expenses net of all reductions  | .73%  | .74%  | .83%  | .84%  | .84% <sup>I</sup>  |
| Net investment income (loss)  | 3.62%  | 2.63%  | 3.53%  | 2.94%  | 2.17% <sup>I</sup>  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $912819  | $1125873  | $211236  | $60534  | $5819  |
| Portfolio turnover rate <sup>J</sup>  | 256%  | 150%  | 308%  | 298%  | 367% <sup>I</sup>  |

---

<sup>A</sup> *For the period March 28, 2018 (commencement of sale of shares) 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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

<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. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP 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> *Annualized.*

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

 **Fidelity Advisor® Multi-Asset Income Fund Class I** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $14.97  | $13.15  | $11.72  | $9.81  | $10.41  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .474  | .375  | .417  | .319  | .249  |
| Net realized and unrealized gain (loss)  | (2.379)  | 1.924  | 1.461  | 1.922  | (.558)  |
| Total from investment operations  | (1.905)  | 2.299  | 1.878  | 2.241  | (.309)  |
| Distributions from net investment income  | (.481)  | (.444)  | (.431)  | (.324)  | (.233) <sup>C</sup>  |
| Distributions from net realized gain  | (.104)  | (.035)  | (.017)  | (.007)  | (.058) <sup>C</sup>  |
| Total distributions  | (.585)  | (.479)  | (.448)  | (.331)  | (.291)  |
| Net asset value, end of period  | $12.48  | $14.97  | $13.15  | $11.72  | $9.81  |
| **Total Return** <sup>D</sup>  | (12.87)%  | 17.70%  | 16.56%  | 23.14%  | (3.01)%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |
| Expenses before reductions  | .76%  | .76%  | .83%  | 1.00%  | 1.08%  |
| Expenses net of fee waivers, if any  | .76%  | .76%  | .83%  | .85%  | .85%  |
| Expenses net of all reductions  | .76%  | .76%  | .81%  | .84%  | .83%  |
| Net investment income (loss)  | 3.59%  | 2.60%  | 3.54%  | 2.94%  | 2.44%  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $429436  | $461353  | $55206  | $26507  | $21904  |
| Portfolio turnover rate <sup>G</sup>  | 256%  | 150%  | 308%  | 298%  | 367%  |

---

<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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

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

<sup>E</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. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

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

 **Fidelity Advisor® Multi-Asset Income Fund Class Z** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021**  | **2020**  | **2019**  | **2018** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $14.98  | $13.15  | $11.72  | $9.81  | $10.37  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .480  | .388  | .431  | .335  | .052  |
| Net realized and unrealized gain (loss)  | (2.372)  | 1.933  | 1.457  | 1.916  | (.515)  |
| Total from investment operations  | (1.892)  | 2.321  | 1.888  | 2.251  | (.463)  |
| Distributions from net investment income  | (.494)  | (.456)  | (.441)  | (.334)  | (.039) <sup>D</sup>  |
| Distributions from net realized gain  | (.104)  | (.035)  | (.017)  | (.007)  | (.058) <sup>D</sup>  |
| Total distributions  | (.598)  | (.491)  | (.458)  | (.341)  | (.097)  |
| Net asset value, end of period  | $12.49  | $14.98  | $13.15  | $11.72  | $9.81  |
| **Total Return** <sup>E,F</sup>  | (12.77)%  | 17.87%  | 16.65%  | 23.25%  | (4.46)%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |  |  |  |  |
| Expenses before reductions  | .66%  | .67%  | .77%  | .85%  | .89% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | .66%  | .67%  | .76%  | .76%  | .76% <sup>I</sup>  |
| Expenses net of all reductions  | .66%  | .67%  | .74%  | .75%  | .74% <sup>I</sup>  |
| Net investment income (loss)  | 3.69%  | 2.69%  | 3.61%  | 3.03%  | 2.04% <sup>I</sup>  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $159796  | $93316  | $20701  | $5123  | $148  |
| Portfolio turnover rate <sup>J</sup>  | 256%  | 150%  | 308%  | 298%  | 367% <sup>I</sup>  |

---

<sup>A</sup> *For the period October 2, 2018 (commencement of sale of shares) 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> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

<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. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP 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> *Annualized.*

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

**Notes to Financial Statements**

For the period ended December 31, 2022

**1. Organization.**

Fidelity Advisor Multi-Asset Income Fund (the Fund) is a fund of Fidelity School Street Trust (the Trust) and is authorized to issue an unlimited number of shares. 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. The Fund offers Class A, Class M, Class C, Fidelity Multi-Asset Income Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

**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. Investment in Fidelity Direct Lending Fund, LP.**

The Fund invests in Fidelity Direct Lending Fund, LP, which is a limited partnership available only to certain investment companies managed by the investment adviser and its affiliates. The Fund's limited partnership interest is not registered under the Securities Act of 1933, and is subject to substantial restrictions on transfer. The Fund has no redemption rights under the partnership agreement. There will be no trading market for the partnership interest, and the Fund most likely will hold its interest until Fidelity Direct Lending Fund, LP converts by operation of law to a Delaware corporation, trust, or other limited liability entity and (i) registers as a closed-end management investment company under the 1940 Act or (ii) elects to be treated as a business development company under the 1940 Act.

Based on its investment objective, Fidelity Direct Lending Fund, LP may invest or participate in various investments or strategies that are similar to those in which the Fund may invest or participate. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of Fidelity Direct Lending Fund, LP and thus a decline in the value of the Fund. The Fidelity Direct Lending Fund, LP intends to invest primarily in direct loans made to private U.S. companies, specifically small- and middle-market companies.

The Schedule of Investments lists Fidelity Direct Lending Fund, LP as an investment as of period end, but does not include the underlying holdings of Fidelity Direct Lending Fund, LP. Fidelity Direct Lending Fund, LP represented less than 5% of the Fund's net assets at period end. The Fund indirectly bears its proportionate share of the expenses of Fidelity Direct Lending Fund, LP, which commenced operations on December 9, 2021. The annualized expense ratio for Fidelity Direct Lending Fund, LP for the period ended April 30, 2022 was .07%.

**4. 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, bank loan obligations, foreign government and government agency obligations, preferred securities and 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. Commercial mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, 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.

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 foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, 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.

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.

Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient in accordance with the specialized accounting guidance for investment companies.

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.** Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

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.

**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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. 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. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividend receivable.

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

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 declared separately for each class. 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, passive foreign investment companies (PFIC), contingent interest, partnerships, equity-debt classifications, certain conversion ratio adjustments, 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**  | $93424402  |
| **Gross unrealized depreciation**  | <u>(107566043)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(14141641)</u>  |
| **Tax Cost**  | <u>$1785180554</u>  |

---

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

---

| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$(183915517)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(15767794)</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  | $(183915517)  |
| Long-term  | <u>-</u>  |
| **Total capital loss carryforward**  | <u>$(183915517)</u>  |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **December 31, 2022**  | **December 31, 2021**  |
| **Ordinary Income**  | $65902273  | $35210399  |
| **Long-term Capital Gains**  | <u>14064872</u>  | <u>1238531</u>  |
| **Total**  | <u>$79967145</u>  | <u>$36448930</u>  |

---

**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.

**Loans and Other Direct Debt Instruments.** Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.

**Commitments.** A commitment is an agreement to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. The amount of commitments outstanding at period end are presented in the table below. These commitments are not included in the net assets of the Fund at period end.

---

| | | |
|:---|:---|:---|
|  | **Investment to be Acquired**  | **Commitment Amount**  |
| **Fidelity Advisor Multi-Asset Income Fund**  | Fidelity Direct Lending Fund, LP  | $12004562  |

---

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

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Fidelity Advisor Multi-Asset Income Fund**  | 3002104288  | 2746132192  |

---

**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 the sum of an individual fund fee rate that is based on an annual rate of .45% 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 .55% of the Fund's average net assets.

**Distribution and Service Plan Fees.** In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee**  | **Service Fee**  | **Total Fees**  | **Retained by FDC**  |
| **Class A**  | - %  | .25%  | $347354  | $61618  |
| **Class M**  | - %  | .25%  | 45222  | 20  |
| **Class C**  | .75%  | .25%  | <u>636669</u>  | <u>329855</u>  |
|  |  |  | <u>$1029245</u>  | <u>$391493</u>  |

---

**Sales Load.** FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.

For the period, sales charge amounts retained by FDC were as follows:

---

| | |
|:---|:---|
|  | **Retained by FDC**  |
| **Class A**  | $66999  |
| **Class M**  | 6291  |
| **Class C** <sup>A</sup>  | <u>2996</u>  |
|  | <u>$76286</u>  |

---

<sup>A</sup> *When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.*

**Transfer Agent Fees.** Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

For the period, transfer agent fees for each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Amount**  | **% of Class-Level Average Net Assets**  |
| **Class A**  | $197256  | .14  |
| **Class M**  | 23076  | .13  |
| **Class C**  | 91765  | .14  |
| **Fidelity Multi-Asset Income Fund**  | 1202915  | .12  |
| **Class I**  | 684860  | .15  |
| **Class Z**  | <u>67396</u>  | .05  |
|  | <u>$2267268</u>  |  |

---

**Accounting Fees.** Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annual rates:

---

| | |
|:---|:---|
|  | **% of Average Net Assets**  |
| **Fidelity Advisor Multi-Asset Income Fund**  | .04  |

---

**Brokerage Commissions.** A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

---

| | |
|:---|:---|
|  | **Amount**  |
| **Fidelity Advisor Multi-Asset Income Fund**  | $36799  |

---

**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. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  | **Realized Gain (Loss) ($)**  |
| **Fidelity Advisor Multi-Asset Income Fund**  | 121907233  | 84685521  | (7641106)  |

---

**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. 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 Advisor Multi-Asset Income Fund**  | Borrower  | $4835636  | 4.07%  | $6006  |

---

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

---

| | |
|:---|:---|
|  | **Amount ($)**  |
| **Fidelity Advisor Multi-Asset Income Fund**  | 1141  |

---

**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 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 Advisor Multi-Asset Income Fund**  | $3065  |

---

**8. 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 Advisor Multi-Asset Income Fund**  | $13653  | $1531  | $-  |

---

**9. 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. During the period, custodian credits reduced the Fund's expenses by $4,059.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $31,628.

**10. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Year ended** <br> **December 31, 2022**  | **Year ended** <br> **December 31, 2021**  |
| **Fidelity Advisor Multi-Asset Income Fund**  |  |  |
| **Distributions to shareholders**  |  |  |
| Class A  | $5772546  | $2239823  |
| Class M  | 759383  | 418230  |
| Class C  | 2169681  | 739556  |
| Fidelity Multi-Asset Income Fund  | 44657109  | 23936698  |
| Class I  | 20536453  | 7342854  |
| Class Z  | <u>6071973</u>  | <u>1771769</u>  |
| Total  | <u>$79967145</u>  | <u>$36448930</u>  |

---

**11. Share Transactions.**

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares**  | **Shares**  | **Dollars**  | **Dollars**  |
|  | **Year ended December 31, 2022**  | **Year ended December 31, 2021**  | **Year ended December 31, 2022**  | **Year ended December 31, 2021**  |
| **Fidelity Advisor Multi-Asset Income Fund**  |  |  |  |  |
| **Class A**  |  |  |  |  |
| Shares sold  | 6336833  | 8319605  | $85415686  | $120945898  |
| Reinvestment of distributions  | 434015  | 147263  | 5697737  | 2140047  |
| Shares redeemed  | <u>(3481264)</u>  | <u>(1941125)</u>  | <u>(46490265)</u>  | <u>(28196038)</u>  |
| Net increase (decrease)  | <u>3289584</u>  | <u>6525743</u>  | <u>$44623158</u>  | <u>$94889907</u>  |
| **Class M**  |  |  |  |  |
| Shares sold  | 606872  | 885624  | $8184084  | $12817531  |
| Reinvestment of distributions  | 56339  | 28574  | 744403  | 411588  |
| Shares redeemed  | <u>(455853)</u>  | <u>(507130)</u>  | <u>(6077604)</u>  | <u>(7229394)</u>  |
| Net increase (decrease)  | <u>207358</u>  | <u>407068</u>  | <u>$2850883</u>  | <u>$5999725</u>  |
| **Class C**  |  |  |  |  |
| Shares sold  | 2507496  | 3387560  | $34008784  | $49170105  |
| Reinvestment of distributions  | 163306  | 50642  | 2146933  | 733677  |
| Shares redeemed  | <u>(1477001)</u>  | <u>(323752)</u>  | <u>(19604187)</u>  | <u>(4682581)</u>  |
| Net increase (decrease)  | <u>1193801</u>  | <u>3114450</u>  | <u>$16551530</u>  | <u>$45221201</u>  |
| **Fidelity Multi-Asset Income Fund**  |  |  |  |  |
| Shares sold  | 31508307  | 81314189  | $430437209  | $1168854665  |
| Reinvestment of distributions  | 2905716  | 1473203  | 38469681  | 21390817  |
| Shares redeemed  | <u>(36488320)</u>  | <u>(23673977)</u>  | <u>(485233528)</u>  | <u>(343702518)</u>  |
| Net increase (decrease)  | <u>(2074297)</u>  | <u>59113415</u>  | <u>$(16326638)</u>  | <u>$846542964</u>  |
| **Class I**  |  |  |  |  |
| Shares sold  | 28061399  | 29320052  | $381135730  | $426044323  |
| Reinvestment of distributions  | 1499206  | 473921  | 19757925  | 6909326  |
| Shares redeemed  | <u>(25971837)</u>  | <u>(3182168)</u>  | <u>(344201843)</u>  | <u>(46410279)</u>  |
| Net increase (decrease)  | <u>3588768</u>  | <u>26611805</u>  | <u>$56691812</u>  | <u>$386543370</u>  |
| **Class Z**  |  |  |  |  |
| Shares sold  | 12397128  | 5642008  | $166221659  | $82093496  |
| Reinvestment of distributions  | 402239  | 96384  | 5239020  | 1402004  |
| Shares redeemed  | <u>(6232578)</u>  | <u>(1081913)</u>  | <u>(83579007)</u>  | <u>(15754443)</u>  |
| Net increase (decrease)  | <u>6566789</u>  | <u>4656479</u>  | <u>$87881672</u>  | <u>$67741057</u>  |

---

**12. 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.

**13. 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 School Street Trust and Shareholders of Fidelity Advisor Multi-Asset Income Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Advisor Multi-Asset Income Fund (one of the funds constituting Fidelity School 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 periods indicated therein (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 periods indicated therein 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, agent banks 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 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 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. Each of the Trustees oversees 295 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 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one.

<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>

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 Advisor® Multi-Asset Income Fund**  |  |  |  |  |
| **Class A**  | .99%  |  |  |  |
| **Actual**  |  | $1000  | $1027.20  | $5.06  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1020.21  | $5.04  |
| **Class M**  | .97%  |  |  |  |
| **Actual**  |  | $1000  | $1028.10  | $4.96  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1020.32  | $4.94  |
| **Class C**  | 1.73%  |  |  |  |
| **Actual**  |  | $1000  | $1024.10  | $8.83  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1016.48  | $8.79  |
| **Fidelity Advisor® Multi-Asset Income Fund**  | .72%  |  |  |  |
| **Actual**  |  | $1000  | $1029.40  | $3.68  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.58  | $3.67  |
| **Class I**  | .75%  |  |  |  |
| **Actual**  |  | $1000  | $1028.40  | $3.83  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.42  | $3.82  |
| **Class Z**  | .65%  |  |  |  |
| **Actual**  |  | $1000  | $1029.70  | $3.33  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.93  | $3.31  |

---

*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.*

A total of 11.50% 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 $10,921,766 of distributions paid in the calendar year 2021 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $13,890,058 of distributions paid in the calendar year 2021 as qualifying to be taxed as section 163(j) interest dividends.

A percentage of the dividends distributed during the fiscal year qualify for the dividends-received deduction for corporate shareholders:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A**  | **Class M**  | **Class C**  | **Fidelity Multi-Asset Income Fund**  | **Class I**  | **Class Z**  |
| January 2022  | 19%  | 19%  | 31%  | 16%  | 17%  | 17%  |
| February 2022  | 20%  | 20%  | 29%  | 18%  | 18%  | 18%  |
| March 2022  | 21%  | 20%  | 28%  | 18%  | 18%  | 19%  |
| April 2022  | 21%  | 20%  | 33%  | 18%  | 18%  | 18%  |
| May 2022  | 20%  | 20%  | 25%  | 18%  | 19%  | 18%  |
| June 2022  | 20%  | 20%  | 26%  | 18%  | 18%  | 19%  |
| July 2022  | 20%  | 20%  | 25%  | 18%  | 18%  | 19%  |
| August 2022  | 20%  | 19%  | 24%  | 18%  | 18%  | 18%  |
| September 2022  | 20%  | 20%  | 24%  | 18%  | 19%  | 18%  |
| October 2022  | 19%  | 19%  | 23%  | 18%  | 18%  | 18%  |
| November 2022  | 20%  | 20%  | 24%  | 18%  | 18%  | 17%  |
| December 2022  | 20%  | 20%  | 25%  | 18%  | 18%  | 18%  |

---

A percentage of the dividends distributed during the fiscal year may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A**  | **Class M**  | **Class C**  | **Fidelity Multi-Asset Income Fund**  | **Class I**  | **Class Z**  |
| January 2022  | 24.62%  | 24.75%  | 40.34%  | 20.96%  | 22.18%  | 22.20%  |
| February 2022  | 26.53%  | 26.35%  | 38.52%  | 23.42%  | 23.42%  | 22.91%  |
| March 2022  | 27.02%  | 25.76%  | 36.55%  | 23.50%  | 23.98%  | 24.19%  |
| April 2022  | 27.07%  | 26.03%  | 42.60%  | 24.04%  | 24.04%  | 23.38%  |
| May 2022  | 25.68%  | 25.60%  | 32.76%  | 23.58%  | 24.53%  | 23.46%  |
| June 2022  | 26.01%  | 26.01%  | 33.41%  | 23.73%  | 23.68%  | 24.83%  |
| July 2022  | 25.87%  | 25.84%  | 33.07%  | 23.61%  | 23.92%  | 24.85%  |
| August 2022  | 25.66%  | 25.19%  | 30.73%  | 23.85%  | 23.88%  | 24.12%  |
| September 2022  | 25.60%  | 25.58%  | 31.66%  | 23.66%  | 24.25%  | 23.94%  |
| October 2022  | 25.45%  | 25.10%  | 29.57%  | 23.92%  | 24.00%  | 23.78%  |
| November 2022  | 25.79%  | 25.52%  | 30.91%  | 24.06%  | 23.79%  | 22.85%  |
| December 2022  | 25.79%  | 25.67%  | 32.04%  | 23.81%  | 23.87%  | 23.59%  |

---

A percentage of the dividends distributed during the fiscal year qualify as a section 199A dividend:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A**  | **Class M**  | **Class C**  | **Fidelity Multi-Asset Income Fund**  | **Class I**  | **Class Z**  |
| January 2022  | 3.42%  | 3.44%  | 5.60%  | 2.91%  | 3.08%  | 3.09%  |
| February 2022  | 3.69%  | 3.66%  | 5.35%  | 3.26%  | 3.26%  | 3.18%  |
| March 2022  | 3.76%  | 3.58%  | 5.08%  | 3.27%  | 3.33%  | 3.36%  |
| April 2022  | 3.76%  | 3.62%  | 5.92%  | 3.34%  | 3.34%  | 3.25%  |
| May 2022  | 3.57%  | 3.56%  | 4.55%  | 3.28%  | 3.41%  | 3.26%  |
| June 2022  | 3.61%  | 3.62%  | 4.64%  | 3.30%  | 3.29%  | 3.45%  |
| July 2022  | 3.60%  | 3.59%  | 4.60%  | 3.28%  | 3.33%  | 3.45%  |
| August 2022  | 3.57%  | 3.50%  | 4.27%  | 3.32%  | 3.32%  | 3.35%  |
| September 2022  | 3.56%  | 3.56%  | 4.40%  | 3.29%  | 3.37%  | 3.33%  |
| October 2022  | 3.54%  | 3.49%  | 4.11%  | 3.32%  | 3.34%  | 3.31%  |
| November 2022  | 3.59%  | 3.55%  | 4.30%  | 3.34%  | 3.31%  | 3.18%  |
| December 2022  | 3.58%  | 3.57%  | 4.45%  | 3.31%  | 3.32%  | 3.28%  |

---

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 Advisor Multi-Asset 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 of a representative class (the retail class); (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 also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.

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 one or more appropriate securities market indices, including a customized blended index that reflects the respective weights of the fund's asset classes (each a 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; 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 representative class (the retail class) and an appropriate 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." 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 a 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.

![](img88199_9.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 total expense ratio of the representative class (the retail class) of the fund, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 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's representative class 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, which focuses on the total expenses of the representative class 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 total net expense ratio of the retail class 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 Class A, Class M, Class C, Class I, Class Z, and the retail class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed 1.10%, 1.10%, 1.85%, 0.85%, 0.76%, and 0.85% through April 30, 2023.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund 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.

![](img88199_2.jpg) <br>

1.9865887.107 AMAI-ANN-0323

**Fidelity® Series International Developed Markets Bond Index Fund**

**Annual Report**

**December 31, 2022**

![](img88224_1.jpg)

![](img88224_2.jpg)

**Contents**

---

| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Management's Discussion of Fund Performance](#Sec_Mgt Discussion of FundPerformance)** |
| **[Investment Summary](#Sec_InvestmentSummary6397)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments6397)** |
| **[Financial Statements](#Sec_FinancialStatements6397)** |
| **[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® Series International Developed Markets Bond Index Fund  | &nbsp;&nbsp; -13.79%  | &nbsp;&nbsp; -11.62%  |

---

<sup>A</sup> From August 31, 2021

---

| |
|:---|
| **$10,000 Over Life of Fund**  |
| Let's say hypothetically that $10,000 was invested in Fidelity® Series International Developed Markets Bond Index Fund, on August 31, 2021, 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 Treasury ex USD, ex Emerging Markets, RIC Capped, Float Adjusted Index (Hedged USD) performed over the same period.  |
| ![](img88224_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 -13.79%, which was in line, net of fees, with the -13.81% result of the benchmark, the Bloomberg Global Aggregate Treasury ex USD, ex Emerging Markets, RIC Capped, Float Adjusted Index (Hedged USD), a multicurrency benchmark that includes fixed-rate treasury securities from developed market issuers while excluding U.S.-dollar-denominated debt. These results met our goal of producing monthly returns, before expenses, that closely match the benchmark return. Given the large number of securities in the index (nearly 1,000), 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 sovereign bonds from international developed markets were solidly negative in 2022, as central banks across the world raised interest rates to tame inflation. The rate hikes pushed up bond yields, which move inversely to prices.

*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)**  |
| ![](img88224_6.jpg) <br>|
| 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)**  |
| ![](img88224_7.jpg)  |
| *Foreign investments - 99.6%*  |
| *Futures and Swaps - 1.2%*  |
| *Currency Contracts - (92.5)%*  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Geographic Diversification (% of Fund's net assets)**  |
| ![](img88224_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.*  |

---

*Foreign currency contracts and other assets and liabilities are included within United States of America, as applicable.*

**Schedule of Investments December 31, 2022**

Showing Percentage of Net Assets

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Government Obligations - 99.6%**  | &nbsp;&nbsp; **Government Obligations - 99.6%**  | &nbsp;&nbsp; **Government Obligations - 99.6%**  | &nbsp;&nbsp; **Government Obligations - 99.6%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Australia - 5.0%  |  |  |  |
|  Australian Commonwealth:  |  |  |  |
|  0.25% 11/21/24 (Reg. S)  | AUD  | 33023000  | 21201239  |
|  0.25% 11/21/25 (Reg. S)  | AUD  | 62192000  | 38596454  |
|  0.5% 9/21/26 (Reg. S)  | AUD  | 10076000  | 6126473  |
|  1% 12/21/30 (Reg. S)  | AUD  | 21812000  | 11857096  |
|  1% 11/21/31 (Reg. S)  | AUD  | 34057000  | 17991575  |
|  1.25% 5/21/32  | AUD  | 53000000  | 28299701  |
|  1.75% 11/21/32 (Reg. S)  | AUD  | 13400000  | 7426713  |
|  1.75% 6/21/51 (Reg. S)  | AUD  | 21612000  | 8527217  |
|  2.75% 4/21/24  | AUD  | 15698000  | 10607823  |
|  2.75% 11/21/27  | AUD  | 55551000  | 36240565  |
|  2.75% 11/21/28  | AUD  | 28367000  | 18265519  |
|  2.75% 11/21/29 (Reg. S)  | AUD  | 52813000  | 33520157  |
|  2.75% 6/21/35 (Reg. S)  | AUD  | 16600000  | 9726596  |
|  2.75% 5/21/41(Reg. S)  | AUD  | 14678000  | 7958037  |
|  3.25% 4/21/25 (Reg. S)  | AUD  | 80700000  | 54685806  |
|  3.25% 4/21/29(Reg. S)  | AUD  | 68300000  | 45017245  |
|  3.75% 4/21/37 (Reg. S)  | AUD  | 29572000  | 19003164  |
|  4.5% 4/21/33  | AUD  | 40321000  | 28482573  |
|  4.75% 4/21/27(Reg. S)  | AUD  | 19600000  | 13925820  |
|  TOTAL AUSTRALIA  |  |  | 417459773  |
| Austria - 5.1%  |  |  |  |
|  Austrian Republic:  |  |  |  |
|  0% 7/15/24 (Reg. S) (b)  | EUR  | 54987000  | 56394800  |
|  0% 4/20/25 (Reg. S) (b)  | EUR  | 15120000  | 15173273  |
|  0% 2/20/30 (Reg. S) (b)  | EUR  | 26462000  | 22842116  |
|  0% 2/20/31 (Reg. S) (b)  | EUR  | 12003000  | 10040290  |
|  0% 10/20/40 (Reg. S) (b)  | EUR  | 33809000  | 20627768  |
|  0.25% 10/20/36(Reg. S) (b)  | EUR  | 25709000  | 18680711  |
|  0.5% 4/20/27 (Reg. S) (b)  | EUR  | 58716000  | 56928690  |
|  0.5% 2/20/29 (Reg. S) (b)  | EUR  | 26300000  | 24260199  |
|  0.75% 10/20/26 (Reg. S) (b)  | EUR  | 12510000  | 12455409  |
|  0.75% 2/20/28 (Reg. S) (b)  | EUR  | 22997000  | 22130808  |
|  0.75% 3/20/51 (Reg. S) (b)  | EUR  | 48477000  | 29741706  |
|  0.85% 6/30/20 (Reg. S) (b)  | EUR  | 11016000  | 4859515  |
|  0.9% 2/20/32 (Reg. S) (b)  | EUR  | 36230000  | 32006962  |
|  1.2% 10/20/25 (Reg. S) (b)  | EUR  | 29419000  | 30251305  |
|  1.5% 2/20/47 (Reg. S) (b)  | EUR  | 1482000  | 1167288  |
|  1.75% 10/20/23(Reg. S) (b)  | EUR  | 8280000  | 8790399  |
|  2.1% 9/20/17 (Reg. S) (b)  | EUR  | 1020000  | 797352  |
|  3.15% 6/20/44(Reg. S) (b)  | EUR  | 1080000  | 1148618  |
|  3.8% 1/26/62 (b)  | EUR  | 11365000  | 13910804  |
|  4.15% 3/15/37 (b)  | EUR  | 16199000  | 19220870  |
|  4.85% 3/15/26 (b)  | EUR  | 17828000  | 20285357  |
|  TOTAL AUSTRIA  |  |  | 421714240  |
| Belgium - 4.9%  |  |  |  |
|  Belgian Kingdom:  |  |  |  |
|  0% 10/22/27 (Reg. S) (b)  | EUR  | 38428000  | 35951799  |
|  0% 10/22/31 (b)  | EUR  | 706000  | 578744  |
|  0.1% 6/22/30 (Reg. S) (b)  | EUR  | 9500000  | 8252264  |
|  0.2% 10/22/23 (Reg. S) (b)  | EUR  | 6120000  | 6428752  |
|  0.35% 6/22/32 (b)  | EUR  | 37690000  | 31242422  |
|  0.4% 6/22/40 (b)  | EUR  | 6768000  | 4417390  |
|  0.65% 6/22/71 (Reg. S) (b)  | EUR  | 1103000  | 492874  |
|  0.8% 6/22/25 (Reg. S) (b)  | EUR  | 51678000  | 52870862  |
|  0.8% 6/22/27 (b)  | EUR  | 6886000  | 6761085  |
|  0.8% 6/22/28 (Reg. S) (b)  | EUR  | 19086000  | 18432413  |
|  0.9% 6/22/29 (b)  | EUR  | 29176000  | 27648202  |
|  1% 6/22/26 (Reg. S) (b)  | EUR  | 10527000  | 10646531  |
|  1% 6/22/31(Reg. S) (b)  | EUR  | 19681000  | 17930656  |
|  1.4% 6/22/53 (Reg. S) (b)  | EUR  | 22010000  | 14916077  |
|  1.6% 6/22/47 (b)  | EUR  | 9816000  | 7489100  |
|  1.7% 6/22/50 (b)  | EUR  | 27649000  | 20885980  |
|  1.9% 6/22/38(Reg. S) (b)  | EUR  | 8350000  | 7390652  |
|  2.15% 6/22/66 (b)  | EUR  | 4230000  | 3513921  |
|  2.6% 6/22/24 (Reg.S) (b)  | EUR  | 20875000  | 22292014  |
|  3.75% 6/22/45(Reg. S)  | EUR  | 3138000  | 3561604  |
|  4.25% 3/28/41 (b)  | EUR  | 28360000  | 33749432  |
|  4.5% 3/28/26 (b)  | EUR  | 12960000  | 14659910  |
|  5% 3/28/35 (b)  | EUR  | 46949000  | 58782381  |
|  TOTAL BELGIUM  |  |  | 408895065  |
| Canada - 4.7%  |  |  |  |
|  Canadian Government:  |  |  |  |
|  0.25% 8/1/23  | CAD  | 24000  | 17294  |
|  0.25% 4/1/24  | CAD  | 37162000  | 26123459  |
|  0.25% 3/1/26  | CAD  | 27528000  | 18260579  |
|  0.5% 9/1/25  | CAD  | 24391000  | 16511392  |
|  0.5% 12/1/30 (c)  | CAD  | 86362000  | 51473410  |
|  0.75% 2/1/24 (c)  | CAD  | 50800000  | 36090511  |
|  1% 6/1/27  | CAD  | 6319000  | 4225936  |
|  1.25% 3/1/27  | CAD  | 30500000  | 20598312  |
|  1.25% 6/1/30  | CAD  | 12150000  | 7782640  |
|  1.5% 6/1/26 (d)  | CAD  | 21563000  | 14883725  |
|  1.5% 12/1/31  | CAD  | 54493000  | 34669461  |
|  1.75% 12/1/53  | CAD  | 13200000  | 6868192  |
|  2% 6/1/32  | CAD  | 23400000  | 15485996  |
|  2% 12/1/51  | CAD  | 68669000  | 38666631  |
|  2.25% 6/1/29  | CAD  | 700000  | 487198  |
|  2.75% 8/1/24  | CAD  | 68000000  | 49138035  |
|  2.75% 9/1/27  | CAD  | 21200000  | 15214921  |
|  2.75% 12/1/64  | CAD  | 5346000  | 3480151  |
|  3.5% 12/1/45  | CAD  | 4519000  | 3432471  |
|  4% 6/1/41  | CAD  | 16281000  | 13084922  |
|  5.75% 6/1/29  | CAD  | 4040000  | 3406997  |
|  5.75% 6/1/33  | CAD  | 14800000  | 13236818  |
|  TOTAL CANADA  |  |  | 393139051  |
| Cyprus - 0.2%  |  |  |  |
|  Republic of Cyprus:  |  |  |  |
|  0% 2/9/26 (Reg. S)  | EUR  | 5219000  | 4980175  |
|  0.625% 1/21/30 (Reg. S)  | EUR  | 4882000  | 4012631  |
|  0.95% 1/20/32 (Reg. S)  | EUR  | 1900000  | 1488395  |
|  1.25% 1/21/40 (Reg. S)  | EUR  | 3774000  | 2634253  |
|  2.25% 4/16/50 (Reg. S)  | EUR  | 3919000  | 2977205  |
|  2.75% 2/26/34 (Reg. S)  | EUR  | 1789000  | 1637714  |
|  TOTAL CYPRUS  |  |  | 17730373  |
| Denmark - 2.2%  |  |  |  |
|  Danish Kingdom:  |  |  |  |
|  0% 11/15/24  | DKK  | 197000000  | 26929402  |
|  0% 11/15/31  | DKK  | 50702000  | 5767728  |
|  0% 11/15/31 (Reg. S)  | DKK  | 175827000  | 19916658  |
|  0.25% 11/15/52 (Reg. S)  | DKK  | 148550000  | 11466098  |
|  0.5% 11/15/27  | DKK  | 169987000  | 22037180  |
|  0.5% 11/15/29(Reg. S)  | DKK  | 178726000  | 22221370  |
|  1.5% 11/15/23  | DKK  | 98000  | 13971  |
|  1.75% 11/15/25  | DKK  | 124198000  | 17400306  |
|  4.5% 11/15/39  | DKK  | 302764000  | 54315482  |
|  TOTAL DENMARK  |  |  | 180068195  |
| Estonia - 0.1%  |  |  |  |
|  Estonian Republic:  |  |  |  |
|  0.125% 6/10/30 (Reg. S)  | EUR  | 2467000  | 2060319  |
|  4% 10/12/32 (Reg. S)  | EUR  | 3700000  | 4031957  |
|  TOTAL ESTONIA  |  |  | 6092276  |
| Finland - 3.1%  |  |  |  |
|  Finnish Government:  |  |  |  |
|  0% 9/15/24 (b)  | EUR  | 7103000  | 7261527  |
|  0% 9/15/26 (Reg. S) (b)  | EUR  | 17640000  | 17015046  |
|  0% 9/15/30 (Reg. S) (b)  | EUR  | 11605000  | 9873162  |
|  0.125% 9/15/31 (Reg. S) (b)  | EUR  | 22467000  | 18797564  |
|  0.125% 4/15/36 (Reg. S) (b)  | EUR  | 23991000  | 17398158  |
|  0.125% 4/15/52 (Reg. S) (b)  | EUR  | 15600000  | 7831840  |
|  0.25% 9/15/40 (Reg. S) (b)  | EUR  | 27189000  | 17701627  |
|  0.5% 4/15/26 (Reg. S) (b)  | EUR  | 13649000  | 13620589  |
|  0.5% 9/15/27 (Reg. S) (b)  | EUR  | 13808000  | 13259714  |
|  0.5% 9/15/28 (Reg. S) (b)  | EUR  | 19079000  | 17881091  |
|  0.5% 9/15/29 (Reg. S) (b)  | EUR  | 19245000  | 17561779  |
|  0.5% 4/15/43(Reg. S) (b)  | EUR  | 16470000  | 10846168  |
|  0.875% 9/15/25 (Reg. S) (b)  | EUR  | 22796000  | 23230439  |
|  1.125% 4/15/34 (Reg. S) (b)  | EUR  | 2320000  | 2022482  |
|  1.375% 4/15/47(Reg. S) (b)  | EUR  | 5710000  | 4491907  |
|  1.5% 4/15/23 (Reg. S) (b)  | EUR  | 68000  | 72584  |
|  1.5% 9/15/32 (Reg. S) (b)  | EUR  | 11660000  | 10849956  |
|  2% 4/15/24 (Reg. S) (b)  | EUR  | 16654000  | 17651116  |
|  2.75% 7/4/28 (b)  | EUR  | 20413000  | 21719954  |
|  4% 7/4/25 (b)  | EUR  | 11067000  | 12210932  |
|  TOTAL FINLAND  |  |  | 261297635  |
| France - 6.5%  |  |  |  |
|  French Government:  |  |  |  |
|  OAT:  |  |  |  |
|  3.25% 5/25/45 <br>| EUR  | 14553000  | 15491332  |
|  4.5% 4/25/41 <br>| EUR  | 2610000  | 3256205  |
|  0% 2/25/23 (Reg. S)  | EUR  | 63000  | 67235  |
|  0% 2/25/24 (Reg. S)  | EUR  | 66000  | 68404  |
|  0% 2/25/25(Reg. S)  | EUR  | 18310000  | 18451540  |
|  0% 3/25/25(Reg. S)  | EUR  | 53272000  | 53598037  |
|  0% 2/25/26 (Reg. S)  | EUR  | 60900000  | 59800201  |
|  0% 2/25/27 (Reg. S)  | EUR  | 26074000  | 24922380  |
|  0% 11/25/29 (Reg. S)  | EUR  | 40654000  | 35888921  |
|  0% 11/25/31 (Reg. S)  | EUR  | 7769000  | 6422798  |
|  0% 5/25/32 (Reg. S)  | EUR  | 22900000  | 18549708  |
|  0.5% 5/25/29 (Reg. S)  | EUR  | 32490000  | 30070550  |
|  0.5% 5/25/40 (Reg. S) (b)  | EUR  | 24343000  | 16526951  |
|  0.5% 6/25/44(Reg. S) (b)  | EUR  | 7500000  | 4674473  |
|  0.5% 5/25/72 (b)  | EUR  | 8170000  | 3275306  |
|  0.75% 2/25/28 (Reg. S)  | EUR  | 1900000  | 1834509  |
|  0.75% 5/25/28 (Reg. S)  | EUR  | 12780000  | 12276993  |
|  0.75% 11/25/28(Reg. S)  | EUR  | 36762000  | 35008458  |
|  0.75% 5/25/52 (Reg. S)  | EUR  | 34264000  | 19679013  |
|  0.75% 5/25/53 (Reg. S) (b)  | EUR  | 7000000  | 3910825  |
|  1.25% 5/25/36(Reg. S) (b)  | EUR  | 79486000  | 66671522  |
|  1.5% 5/25/50 (Reg. S) (b)  | EUR  | 9827000  | 7200217  |
|  1.75% 6/25/39 (Reg. S) (b)  | EUR  | 6190000  | 5403984  |
|  1.75% 5/25/66 (b)  | EUR  | 4110000  | 3001637  |
|  2% 11/25/32 (Reg. S)  | EUR  | 16900000  | 16502069  |
|  2% 5/25/48 (b)  | EUR  | 70000  | 58545  |
|  2.5% 5/25/30  | EUR  | 23878000  | 24997727  |
|  2.75% 10/25/27  | EUR  | 40810000  | 43642340  |
|  3.5% 4/25/26  | EUR  | 10516000  | 11505944  |
|  4.75% 4/25/35  | EUR  | 36000  | 44402  |
|  TOTAL FRANCE  |  |  | 542802226  |
| Germany - 5.1%  |  |  |  |
|  German Federal Republic:  |  |  |  |
|  0% 9/15/23 (Reg. S) (c)  | EUR  | 34151000  | 35995204  |
|  0% 10/18/24 (Reg. S)  | EUR  | 1018000  | 1041171  |
|  0% 4/11/25 (Reg. S) (c)  | EUR  | 26010000  | 26299100  |
|  0% 10/10/25 (Reg. S) (c)  | EUR  | 39774000  | 39753284  |
|  0% 10/9/26 (Reg. S)  | EUR  | 12249000  | 11939341  |
|  0% 4/16/27 (Reg. S)  | EUR  | 18990000  | 18276766  |
|  0% 8/15/29(Reg. S) (c)  | EUR  | 14992000  | 13664260  |
|  0% 8/15/30 (Reg. S) (c)  | EUR  | 31124000  | 27728211  |
|  0% 8/15/31  | EUR  | 940000  | 816178  |
|  0% 2/15/32 (Reg. S)  | EUR  | 15890000  | 13604771  |
|  0% 5/15/36 (Reg. S) (c)  | EUR  | 14965000  | 11380324  |
|  0% 8/15/50  | EUR  | 16203000  | 9062581  |
|  0% 8/15/52 (Reg. S)  | EUR  | 14719000  | 7870950  |
|  0.2% 6/14/24 (Reg. S)  | EUR  | 21870000  | 22624609  |
|  0.25% 2/15/27  | EUR  | 1710000  | 1673529  |
|  0.25% 2/15/29 (c)  | EUR  | 20250000  | 18999204  |
|  1% 8/15/24 (c)  | EUR  | 18270000  | 19085560  |
|  1.25% 8/15/48 (c)(d)  | EUR  | 4320000  | 3596815  |
|  1.3% 10/15/27 (Reg. S) (c)  | EUR  | 12400000  | 12555877  |
|  1.7% 8/15/32 (Reg. S)  | EUR  | 20300000  | 20256832  |
|  1.75% 2/15/24  | EUR  | 5294000  | 5620484  |
|  2.1% 11/15/29 (Reg. S)  | EUR  | 5600000  | 5850504  |
|  2.5% 7/4/44  | EUR  | 52000  | 55608  |
|  2.5% 8/15/46  | EUR  | 7381000  | 7950041  |
|  3.25% 7/4/42 (c)  | EUR  | 18570000  | 22050552  |
|  4% 1/4/37  | EUR  | 8010000  | 9996598  |
|  4.75% 7/4/34  | EUR  | 650000  | 848717  |
|  4.75% 7/4/40 (c)  | EUR  | 21231000  | 29556241  |
|  5.5% 1/4/31 (c)  | EUR  | 14881000  | 19305309  |
|  6.5% 7/4/27 (c)  | EUR  | 4770000  | 5957367  |
|  TOTAL GERMANY  |  |  | 423415988  |
| Hong Kong - 0.2%  |  |  |  |
|  Hong Kong Government SAR:  |  |  |  |
|  0.51% 10/23/23  | HKD  | 23200000  | 2883683  |
|  1.25% 6/29/27  | HKD  | 12800000  | 1474775  |
|  1.59% 3/4/36  | HKD  | 19200000  | 1879368  |
|  1.68% 1/21/26  | HKD  | 33050000  | 3964325  |
|  1.89% 3/2/32  | HKD  | 9400000  | 1041479  |
|  1.97% 1/17/29  | HKD  | 36000000  | 4187742  |
|  2.02% 3/7/34  | HKD  | 12000000  | 1276541  |
|  2.13% 7/16/30  | HKD  | 4750000  | 545395  |
|  2.22% 8/7/24  | HKD  | 3250000  | 403715  |
|  TOTAL HONG KONG  |  |  | 17657023  |
| Ireland - 3.9%  |  |  |  |
|  Irish Republic:  |  |  |  |
|  0% 10/18/31 (Reg. S)  | EUR  | 31431000  | 25931722  |
|  0.2% 5/15/27 (Reg. S)  | EUR  | 7634000  | 7300291  |
|  0.2% 10/18/30 (Reg. S)  | EUR  | 21745000  | 18865909  |
|  0.35% 10/18/32 (Reg. S)  | EUR  | 29012000  | 24094282  |
|  0.4% 5/15/35 (Reg. S)  | EUR  | 24240000  | 18594127  |
|  0.55% 4/22/41 (Reg. S)  | EUR  | 18406000  | 12375268  |
|  0.9% 5/15/28 (Reg. S)  | EUR  | 19128000  | 18533829  |
|  1% 5/15/26(Reg. S)  | EUR  | 23017000  | 23350398  |
|  1.1% 5/15/29 (Reg. S)  | EUR  | 57029000  | 54747895  |
|  1.5% 5/15/50 (Reg. S)  | EUR  | 22443000  | 16608780  |
|  1.7% 5/15/37  | EUR  | 4490000  | 3964638  |
|  2% 2/18/45 (Reg.S)  | EUR  | 23584000  | 20210532  |
|  2.4% 5/15/30 (Reg. S)  | EUR  | 10260000  | 10626644  |
|  3.4% 3/18/24 (Reg.S)  | EUR  | 17267000  | 18631328  |
|  3.9% 3/20/23(Reg. S)  | EUR  | 98000  | 105161  |
|  5.4% 3/13/25  | EUR  | 42472000  | 47951314  |
|  TOTAL IRELAND  |  |  | 321892118  |
| Italy - 5.9%  |  |  |  |
|  Italian Republic:  |  |  |  |
|  0% 4/15/24 (Reg. S)  | EUR  | 36404000  | 37462330  |
|  0% 12/15/24 (Reg. S)  | EUR  | 39780000  | 40036067  |
|  0% 4/1/26 (Reg. S)  | EUR  | 51571000  | 49052223  |
|  0% 8/1/26(Reg. S)  | EUR  | 12600000  | 11840461  |
|  0.25% 3/15/28 (Reg. S)  | EUR  | 24775000  | 21910623  |
|  0.45% 2/15/29(Reg. S)  | EUR  | 29560000  | 25393741  |
|  0.6% 6/15/23 (Reg. S)  | EUR  | 2152000  | 2284995  |
|  0.6% 8/1/31 (Reg. S) (b)  | EUR  | 20243000  | 15873073  |
|  0.65% 10/15/23 (Reg. S)  | EUR  | 3330000  | 3507491  |
|  0.95% 8/1/30 (Reg. S)  | EUR  | 16920000  | 14206122  |
|  0.95% 6/1/32 (Reg. S)  | EUR  | 31140000  | 24457528  |
|  0.95% 3/1/37 (Reg. S) (b)  | EUR  | 41747000  | 27884913  |
|  1.1% 4/1/27 (Reg. S)  | EUR  | 27790000  | 26681164  |
|  1.45% 5/15/25  | EUR  | 12582000  | 12889261  |
|  1.65% 3/1/32 (b)  | EUR  | 1710000  | 1452111  |
|  1.7% 9/1/51 (Reg. S) (b)  | EUR  | 5786000  | 3440050  |
|  1.8% 3/1/41 (Reg. S) (b)  | EUR  | 28010000  | 19425703  |
|  2.15% 9/1/52 (Reg. S) (b)  | EUR  | 13410000  | 8696443  |
|  2.15% 3/1/72 (Reg. S) (b)  | EUR  | 4097000  | 2453867  |
|  2.5% 12/1/32 (Reg. S)  | EUR  | 14400000  | 12902290  |
|  2.65% 12/1/27 (Reg. S)  | EUR  | 11500000  | 11623621  |
|  2.7% 3/1/47 (b)  | EUR  | 5850000  | 4533233  |
|  2.8% 6/15/29 (Reg. S)  | EUR  | 16700000  | 16481217  |
|  3% 8/1/29  | EUR  | 18611000  | 18642116  |
|  3.25% 9/1/46 (b)  | EUR  | 9830000  | 8432140  |
|  4% 2/1/37 (b)  | EUR  | 137000  | 136967  |
|  4.75% 9/1/44 (b)  | EUR  | 13626000  | 14558238  |
|  5% 8/1/34 (b)  | EUR  | 9900000  | 10801138  |
|  6% 5/1/31  | EUR  | 20409000  | 24457945  |
|  7.25% 11/1/26  | EUR  | 19492000  | 23571429  |
|  TOTAL ITALY  |  |  | 495088500  |
| Japan - 20.6%  |  |  |  |
|  Japan Government:  |  |  |  |
|  0.005% 5/1/23  | JPY  | 40000000  | 304864  |
|  0.005% 8/1/23  | JPY  | 2602500000  | 19837221  |
|  0.005% 12/1/24  | JPY  | 2769200000  | 21092256  |
|  0.005% 3/20/26  | JPY  | 676550000  | 5144388  |
|  0.005% 6/20/26  | JPY  | 4721750000  | 35868246  |
|  0.005% 3/20/27  | JPY  | 5770000000  | 43630239  |
|  0.005% 6/20/27  | JPY  | 2590000000  | 19550514  |
|  0.1% 3/20/24  | JPY  | 260000000  | 1983144  |
|  0.1% 3/20/27  | JPY  | 3530000000  | 26795616  |
|  0.1% 6/20/27  | JPY  | 5020150000  | 38046265  |
|  0.1% 9/20/27  | JPY  | 30000000  | 227156  |
|  0.1% 9/20/27  | JPY  | 5328100000  | 40339125  |
|  0.1% 9/20/28  | JPY  | 1415100000  | 10644304  |
|  0.1% 6/20/31  | JPY  | 34532900000  | 254234138  |
|  0.2% 3/20/32  | JPY  | 14730000000  | 109989013  |
|  0.2% 6/20/32  | JPY  | 3220000000  | 24013339  |
|  0.2% 9/20/32  | JPY  | 1023200000  | 7632289  |
|  0.2% 6/20/36  | JPY  | 4474500000  | 31046361  |
|  0.3% 12/20/25  | JPY  | 3000000000  | 23015696  |
|  0.4% 3/20/25  | JPY  | 10960000000  | 84151655  |
|  0.4% 6/20/25  | JPY  | 1615650000  | 12414062  |
|  0.4% 6/20/41  | JPY  | 27727900000  | 181537037  |
|  0.4% 3/20/56  | JPY  | 140000000  | 734669  |
|  0.5% 3/20/60  | JPY  | 597800000  | 3133531  |
|  0.6% 6/20/24  | JPY  | 8141100000  | 62547642  |
|  0.6% 12/20/36  | JPY  | 8330000000  | 60613381  |
|  0.7% 6/20/51  | JPY  | 10128150000  | 61919546  |
|  0.7% 3/20/61  | JPY  | 5773100000  | 32353378  |
|  0.8% 3/20/42  | JPY  | 15650000000  | 109745565  |
|  0.9% 6/20/42  | JPY  | 3810000000  | 27176587  |
|  1% 3/20/52  | JPY  | 10250000000  | 67609075  |
|  1.1% 9/20/42  | JPY  | 533100000  | 3928343  |
|  1.3% 6/20/52  | JPY  | 2660000000  | 19001042  |
|  1.4% 12/20/45  | JPY  | 970400000  | 7387580  |
|  1.4% 9/20/52  | JPY  | 2841600000  | 20696219  |
|  1.7% 9/20/32  | JPY  | 200000000  | 1694194  |
|  1.9% 9/20/23  | JPY  | 3670000000  | 28347143  |
|  2% 12/20/24  | JPY  | 1548550000  | 12250937  |
|  2% 3/20/25  | JPY  | 40000000  | 317860  |
|  2.1% 6/20/27  | JPY  | 730000000  | 6026116  |
|  2.3% 3/20/40  | JPY  | 1641350000  | 14649962  |
|  2.4% 6/20/28  | JPY  | 4480650000  | 37989248  |
|  2.4% 3/20/48  | JPY  | 7312900000  | 66398948  |
|  2.5% 6/20/34  | JPY  | 8518600000  | 77580014  |
|  TOTAL JAPAN  |  |  | 1713597908  |
| Latvia - 0.4%  |  |  |  |
|  Latvian Republic:  |  |  |  |
|  0% 3/17/31 (Reg. S)  | EUR  | 6978000  | 5477551  |
|  0.25% 1/23/30 (Reg. S)  | EUR  | 2400000  | 2001956  |
|  0.375% 10/7/26 (Reg. S)  | EUR  | 16787000  | 15875190  |
|  1.125% 5/30/28 (Reg. S)  | EUR  | 400000  | 377621  |
|  1.375% 9/23/25 (Reg. S)  | EUR  | 1420000  | 1433443  |
|  1.375% 5/16/36 (Reg. S)  | EUR  | 1633000  | 1312126  |
|  1.875% 2/19/49 (Reg. S)  | EUR  | 3478000  | 2621940  |
|  2.25% 2/15/47(Reg. S)  | EUR  | 1080000  | 900360  |
|  TOTAL LATVIA  |  |  | 30000187  |
| Lithuania - 0.3%  |  |  |  |
|  Lithuanian Republic:  |  |  |  |
|  0.5% 7/28/50 (Reg. S)  | EUR  | 2285000  | 1098992  |
|  0.75% 5/6/30 (Reg. S)  | EUR  | 5762000  | 5020312  |
|  0.75% 7/15/51(Reg. S)  | EUR  | 2250000  | 1197934  |
|  0.95% 5/26/27 (Reg. S)  | EUR  | 1116000  | 1069411  |
|  1.625% 6/19/49 (Reg. S)  | EUR  | 1009000  | 707320  |
|  2.1% 5/26/47 (Reg. S)  | EUR  | 3903000  | 3144703  |
|  2.125% 10/29/26 (Reg. S)  | EUR  | 4140000  | 4271846  |
|  2.125% 10/22/35 (Reg. S)  | EUR  | 6210000  | 5529319  |
|  4.125% 4/25/28 (Reg. S)  | EUR  | 5200000  | 5694366  |
|  TOTAL LITHUANIA  |  |  | 27734203  |
| Luxembourg - 0.3%  |  |  |  |
|  Grand Duchy of Luxembourg:  |  |  |  |
|  0% 4/28/25 (Reg. S)  | EUR  | 174000  | 173338  |
|  0% 11/13/26 (Reg. S)  | EUR  | 3426000  | 3271551  |
|  0% 4/28/30 (Reg. S)  | EUR  | 1879000  | 1621734  |
|  0% 3/24/31 (Reg. S)  | EUR  | 9303000  | 7817102  |
|  0% 9/14/32 (Reg. S)  | EUR  | 2297000  | 1842085  |
|  0.625% 2/1/27 (Reg. S)  | EUR  | 5651000  | 5495563  |
|  1.375% 5/25/29 (Reg. S)  | EUR  | 3870000  | 3764667  |
|  1.75% 5/25/42 (Reg. S)  | EUR  | 3330000  | 2924290  |
|  2.125% 7/10/23 (Reg. S)  | EUR  | 56000  | 59844  |
|  TOTAL LUXEMBOURG  |  |  | 26970174  |
| Netherlands - 4.6%  |  |  |  |
|  Dutch Government:  |  |  |  |
|  0% 1/15/24(Reg. S) (b)  | EUR  | 5969000  | 6218366  |
|  0% 1/15/26  | EUR  | 23520000  | 23189996  |
|  0% 1/15/27 (Reg. S) (b)  | EUR  | 2084000  | 2003497  |
|  0% 1/15/29  | EUR  | 4200000  | 3821462  |
|  0% 7/15/30 (Reg. S) (b)  | EUR  | 30013000  | 26144970  |
|  0% 7/15/31 (Reg. S) (b)  | EUR  | 6951000  | 5885354  |
|  0% 1/15/38 (Reg. S) (b)  | EUR  | 30030000  | 21054091  |
|  0% 1/15/52 (Reg. S) (b)  | EUR  | 17727000  | 9186787  |
|  0.25% 7/15/25 (b)  | EUR  | 35050000  | 35333400  |
|  0.25% 7/15/29(Reg. S) (b)  | EUR  | 1900000  | 1736180  |
|  0.5% 7/15/26(Reg. S) (b)  | EUR  | 9511000  | 9450152  |
|  0.5% 7/15/32 (Reg. S) (b)  | EUR  | 24500000  | 21194038  |
|  0.5% 1/15/40 (Reg. S) (b)  | EUR  | 42689000  | 31498556  |
|  0.75% 7/15/27 (Reg. S) (b)  | EUR  | 27602000  | 27174327  |
|  0.75% 7/15/28 (b)  | EUR  | 70454000  | 68095502  |
|  1.75% 7/15/23 (Reg. S) (b)  | EUR  | 39000  | 41607  |
|  2% 7/15/24 (b)  | EUR  | 25646000  | 27161042  |
|  2% 1/15/54 (Reg. S) (b)  | EUR  | 7500000  | 6942778  |
|  2.5% 1/15/33 (b)  | EUR  | 11430000  | 11860292  |
|  2.75% 1/15/47 (b)  | EUR  | 18665000  | 20175753  |
|  3.75% 1/15/42 (b)  | EUR  | 10930000  | 13267010  |
|  4% 1/15/37 (b)  | EUR  | 9670000  | 11649919  |
|  TOTAL NETHERLANDS  |  |  | 383085079  |
| New Zealand - 2.1%  |  |  |  |
|  New Zealand Government:  |  |  |  |
|  0.25% 5/15/28  | NZD  | 24200000  | 12294891  |
|  0.5% 5/15/24  | NZD  | 62689000  | 37402823  |
|  0.5% 5/15/26  | NZD  | 51379000  | 28412479  |
|  1.5% 5/15/31  | NZD  | 16100000  | 8133558  |
|  1.75% 5/15/41  | NZD  | 9264000  | 3775119  |
|  2% 5/15/32  | NZD  | 41113000  | 21216229  |
|  2.75% 4/15/37 (Reg. S)  | NZD  | 45131000  | 23051592  |
|  2.75% 5/15/51  | NZD  | 13200000  | 6006350  |
|  3% 4/20/29  | NZD  | 39494000  | 23046194  |
|  3.5% 4/14/33 (Reg. S)  | NZD  | 10400000  | 6072808  |
|  4.5% 4/15/27  | NZD  | 12600000  | 7976461  |
|  TOTAL NEW ZEALAND  |  |  | 177388504  |
| Norway - 1.4%  |  |  |  |
|  Kingdom of Norway:  |  |  |  |
|  1.25% 9/17/31 (Reg. S) (b)  | NOK  | 12161000  | 1061307  |
|  1.375% 8/19/30 (Reg. S) (b)  | NOK  | 230881000  | 20704017  |
|  1.5% 2/19/26 (Reg. S) (b)  | NOK  | 76672000  | 7461683  |
|  1.75% 3/13/25 (Reg. S) (b)  | NOK  | 199500000  | 19782610  |
|  1.75% 2/17/27 (Reg. S) (b)  | NOK  | 263382000  | 25537924  |
|  1.75% 9/6/29 (Reg. S) (b)  | NOK  | 75590000  | 7077597  |
|  2% 5/24/23 (b)  | NOK  | 214000  | 21748  |
|  2% 4/26/28 (Reg. S) (b)  | NOK  | 45900000  | 4435482  |
|  2.125% 5/18/32(Reg. S) (b)  | NOK  | 142533000  | 13316931  |
|  3% 3/14/24 (b)  | NOK  | 101148000  | 10306012  |
|  3.5% 10/6/42 (Reg. S) (b)  | NOK  | 36600000  | 3834034  |
|  TOTAL NORWAY  |  |  | 113539345  |
| Portugal - 4.7%  |  |  |  |
|  Portugal Obrigacoes Do Tesouro:  |  |  |  |
|  0.3% 10/17/31 (Reg. S) (b)  | EUR  | 2477000  | 2032909  |
|  0.475% 10/18/30 (Reg. S) (b)  | EUR  | 31391000  | 27174607  |
|  0.7% 10/15/27 (Reg. S) (b)  | EUR  | 56405000  | 54454009  |
|  0.9% 10/12/35 (Reg. S) (b)  | EUR  | 20277000  | 15679572  |
|  1% 4/12/52 (Reg. S) (b)  | EUR  | 10015000  | 5336908  |
|  1.15% 4/11/42 (Reg. S) (b)  | EUR  | 12100000  | 8253946  |
|  1.65% 7/16/32 (Reg. S) (b)  | EUR  | 45340000  | 41288820  |
|  1.95% 6/15/29 (Reg. S) (b)  | EUR  | 46574000  | 46523967  |
|  2.875% 10/15/25 (Reg. S) (b)  | EUR  | 78288000  | 83803389  |
|  2.875% 7/21/26(Reg. S) (b)  | EUR  | 4950000  | 5299692  |
|  3.875% 2/15/30(Reg. S) (b)  | EUR  | 16065000  | 17940368  |
|  4.1% 2/15/45(Reg. S) (b)  | EUR  | 9047000  | 10090175  |
|  5.65% 2/15/24 (Reg. S) (b)  | EUR  | 27350000  | 30188932  |
|  Republic of Portugal:  |  |  |  |
|  2.125% 10/17/28 (b)  | EUR  | 17585000  | 17950843  |
|  4.1% 4/15/37 (b)  | EUR  | 24573000  | 27162525  |
|  TOTAL PORTUGAL  |  |  | 393180662  |
| Singapore - 3.2%  |  |  |  |
|  Republic of Singapore:  |  |  |  |
|  , yield at date of purchase 2.1345% to 3.2056% 10/1/51  | SGD  | 27600000  | 18171614  |
|  1.625% 7/1/31  | SGD  | 77154000  | 51267030  |
|  1.75% 2/1/23  | SGD  | 109000  | 81199  |
|  1.875% 3/1/50  | SGD  | 19850000  | 12893460  |
|  2% 2/1/24  | SGD  | 28300000  | 20848019  |
|  2.125% 6/1/26  | SGD  | 65913000  | 48049465  |
|  2.25% 8/1/36  | SGD  | 8615000  | 5843136  |
|  2.375% 7/1/39  | SGD  | 5400000  | 3729282  |
|  2.625% 8/1/32  | SGD  | 12800000  | 9190408  |
|  2.75% 4/1/42  | SGD  | 36617000  | 27913833  |
|  2.875% 9/1/27  | SGD  | 27500000  | 20578393  |
|  2.875% 7/1/29  | SGD  | 3553000  | 2624827  |
|  3% 9/1/24  | SGD  | 38900000  | 28990868  |
|  3.5% 3/1/27  | SGD  | 18124000  | 13883249  |
|  TOTAL SINGAPORE  |  |  | 264064783  |
| Slovakia - 1.5%  |  |  |  |
|  Slovakia Republic:  |  |  |  |
|  0% 6/17/24 (Reg. S)  | EUR  | 6882000  | 7041720  |
|  0.125% 6/17/27 (Reg. S)  | EUR  | 8670000  | 8020840  |
|  0.25% 5/14/25 (Reg. S)  | EUR  | 35344000  | 35173688  |
|  0.375% 4/21/36(Reg. S)  | EUR  | 5220000  | 3500334  |
|  1% 6/12/28 (Reg. S)  | EUR  | 5130000  | 4827522  |
|  1% 10/9/30 (Reg. S)  | EUR  | 21333000  | 18769405  |
|  1% 5/14/32 (Reg. S)  | EUR  | 18381000  | 15639570  |
|  1% 10/13/51 (Reg. S)  | EUR  | 4320000  | 2269177  |
|  1.375% 1/21/27  | EUR  | 3150000  | 3127380  |
|  1.875% 3/9/37 (Reg. S)  | EUR  | 4837000  | 4006737  |
|  2% 10/17/47 (Reg. S)  | EUR  | 8534000  | 6397623  |
|  2.25% 6/12/68 (Reg. S)  | EUR  | 1282000  | 984885  |
|  3% 2/28/23 (Reg. S)  | EUR  | 429000  | 459280  |
|  3.625% 1/16/29 (Reg. S)  | EUR  | 14171000  | 15281600  |
|  3.875% 2/8/33 (Reg. S)  | EUR  | 3054000  | 3277164  |
|  TOTAL SLOVAKIA  |  |  | 128776925  |
| Slovenia - 0.9%  |  |  |  |
|  Republic of Slovenia:  |  |  |  |
|  0% 2/12/31 (Reg. S)  | EUR  | 5375000  | 4232255  |
|  0.125% 7/1/31(Reg. S)  | EUR  | 6660000  | 5229908  |
|  0.4875% 10/20/50 (Reg. S)  | EUR  | 6065000  | 2754220  |
|  0.6875% 3/3/81(Reg. S)  | EUR  | 1748000  | 597948  |
|  0.875% 7/15/30 (Reg. S)  | EUR  | 8718000  | 7533685  |
|  1% 3/6/28(Reg. S)  | EUR  | 9000000  | 8570065  |
|  1.1875% 3/14/29 (Reg. S)  | EUR  | 4421000  | 4130017  |
|  1.5% 3/25/35 (Reg. S)  | EUR  | 6884000  | 5583447  |
|  1.75% 11/3/40 (Reg. S)  | EUR  | 6840000  | 5049972  |
|  2.125% 7/28/25 (Reg. S)  | EUR  | 261000  | 277486  |
|  2.25% 3/3/32 (Reg. S)  | EUR  | 6950000  | 6567744  |
|  3.125% 8/7/45 (Reg. S)  | EUR  | 6338000  | 5814463  |
|  4.625% 9/9/24  | EUR  | 2655000  | 2947115  |
|  5.125% 3/30/26 (Reg. S)  | EUR  | 12292000  | 14098766  |
|  TOTAL SLOVENIA  |  |  | 73387091  |
| Spain - 4.7%  |  |  |  |
|  Spanish Kingdom:  |  |  |  |
|  0% 4/30/23  | EUR  | 16000  | 17000  |
|  0% 5/31/24  | EUR  | 25154000  | 25863003  |
|  0% 1/31/25  | EUR  | 7857000  | 7920613  |
|  0% 5/31/25  | EUR  | 20610000  | 20541110  |
|  0% 1/31/26  | EUR  | 32671000  | 31891370  |
|  0% 1/31/27  | EUR  | 31580000  | 29838357  |
|  0% 1/31/28  | EUR  | 10708000  | 9786579  |
|  0.35% 7/30/23  | EUR  | 580000  | 613423  |
|  0.5% 10/31/31 (Reg. S) (b)  | EUR  | 7736000  | 6445269  |
|  0.6% 10/31/29 (Reg. S) (b)  | EUR  | 19277000  | 17354337  |
|  0.7% 4/30/32 (Reg. S) (b)  | EUR  | 22230000  | 18534579  |
|  0.8% 7/30/27 (Reg. S) (b)  | EUR  | 23656000  | 22855388  |
|  0.8% 7/30/29  | EUR  | 24230000  | 22176138  |
|  0.85% 7/30/37 (Reg. S) (b)  | EUR  | 29474000  | 20984319  |
|  1% 7/30/42(Reg. S) (b)  | EUR  | 15660000  | 10227257  |
|  1% 10/31/50 (Reg. S) (b)  | EUR  | 15809000  | 8814719  |
|  1.2% 10/31/40 (Reg. S) (b)  | EUR  | 600000  | 420291  |
|  1.25% 10/31/30 (Reg. S) (b)  | EUR  | 17815000  | 16368715  |
|  1.4% 4/30/28 (Reg. S) (b)  | EUR  | 14259000  | 13959643  |
|  1.45% 4/30/29 (Reg. S) (b)  | EUR  | 8730000  | 8421758  |
|  1.45% 10/31/71 (Reg. S) (b)  | EUR  | 9459000  | 4695040  |
|  1.9% 10/31/52 (Reg. S) (b)  | EUR  | 2600000  | 1782398  |
|  1.95% 4/30/26 (Reg. S) (b)  | EUR  | 11790000  | 12205413  |
|  2.55% 10/31/32 (Reg. S) (b)  | EUR  | 17900000  | 17537079  |
|  2.7% 10/31/48 (b)  | EUR  | 3843000  | 3355011  |
|  2.75% 10/31/24 (Reg. S) (b)  | EUR  | 15259000  | 16282610  |
|  2.9% 10/31/46(Reg. S) (b)  | EUR  | 720000  | 662952  |
|  3.45% 7/30/43 (Reg. S) (b)  | EUR  | 2700000  | 2679229  |
|  4.2% 1/31/37 (b)  | EUR  | 6230000  | 6987424  |
|  5.15% 10/31/44 (b)  | EUR  | 14225000  | 18122838  |
|  5.75% 7/30/32  | EUR  | 6620000  | 8421736  |
|  6% 1/31/29  | EUR  | 6030000  | 7454044  |
|  TOTAL SPAIN  |  |  | 393219642  |
| Sweden - 1.5%  |  |  |  |
|  Sweden Kingdom:  |  |  |  |
|  0.125% 5/12/31 (Reg. S) (b)  | SEK  | 176865000  | 14060525  |
|  0.5% 11/24/45 (b)  | SEK  | 48860000  | 3231034  |
|  0.75% 5/12/28 (b)  | SEK  | 122560000  | 10719807  |
|  0.75% 11/12/29 (b)  | SEK  | 209120000  | 17930317  |
|  1% 11/12/26 (Reg. S) (b)  | SEK  | 276075000  | 24880496  |
|  1.375% 6/23/71 (b)  | SEK  | 25210000  | 1422174  |
|  1.5% 11/13/23 (b)  | SEK  | 745000  | 70558  |
|  1.75% 11/11/33 (Reg. S) (b)  | SEK  | 91000000  | 8205902  |
|  2.25% 6/1/32 (b)  | SEK  | 87865000  | 8342116  |
|  2.5% 5/12/25 (b)  | SEK  | 223435000  | 21270290  |
|  3.5% 3/30/39 (b)  | SEK  | 108125000  | 12095357  |
|  TOTAL SWEDEN  |  |  | 122228576  |
| Switzerland - 2.4%  |  |  |  |
|  Switzerland Confederation:  |  |  |  |
|  0% 7/24/39 (Reg. S)  | CHF  | 2070000  | 1713857  |
|  0.25% 6/23/35(Reg. S)  | CHF  | 7110000  | 6498155  |
|  0.5% 5/27/30 (Reg. S)  | CHF  | 9095000  | 9128915  |
|  0.5% 6/27/32  | CHF  | 27300000  | 26742515  |
|  0.5% 6/28/45  | CHF  | 6536000  | 5621108  |
|  0.5% 5/24/55(Reg. S)  | CHF  | 6700000  | 5406954  |
|  0.5% 5/30/58 (Reg. S)  | CHF  | 3907000  | 3075715  |
|  1.25% 6/11/24  | CHF  | 9855000  | 10660112  |
|  1.25% 5/28/26  | CHF  | 5574000  | 6004114  |
|  1.25% 6/27/37 (Reg. S)  | CHF  | 6501000  | 6679792  |
|  1.5% 7/24/25  | CHF  | 12549000  | 13635408  |
|  1.5% 4/30/42  | CHF  | 9324000  | 9904525  |
|  2% 6/25/64 (Reg. S)  | CHF  | 2842000  | 3574813  |
|  2.25% 6/22/31(Reg. S)  | CHF  | 16319000  | 18617973  |
|  2.5% 3/8/36 (Reg. S)  | CHF  | 3128000  | 3722951  |
|  3.25% 6/27/27  | CHF  | 18987000  | 22152356  |
|  3.5% 4/8/33  | CHF  | 5504000  | 7015048  |
|  4% 2/11/23  | CHF  | 99000  | 107408  |
|  4% 4/8/28  | CHF  | 7110000  | 8669794  |
|  4% 1/6/49 (Reg. S)  | CHF  | 19826000  | 32535524  |
|  TOTAL SWITZERLAND  |  |  | 201467037  |
| United Kingdom - 4.1%  |  |  |  |
|  United Kingdom, Great Britain and Northern Ireland:  |  |  |  |
|  0.125% 1/31/24 (Reg. S)  | GBP  | 15456000  | 17973612  |
|  0.125% 1/31/28 (Reg. S)  | GBP  | 7096000  | 7193419  |
|  0.375% 10/22/26 (Reg. S)  | GBP  | 5740000  | 6139541  |
|  0.375% 10/22/30 (Reg. S)  | GBP  | 4377000  | 4133778  |
|  0.5% 1/31/29(Reg. S)  | GBP  | 24400000  | 24382724  |
|  0.5% 10/22/61 (Reg. S)  | GBP  | 1816000  | 781362  |
|  0.625% 6/7/25 (c)  | GBP  | 38580000  | 43534981  |
|  0.625% 7/31/35 (Reg. S)  | GBP  | 155000  | 126167  |
|  0.75% 7/22/23(Reg. S)  | GBP  | 3120000  | 3719835  |
|  0.875% 1/31/46 (Reg. S)  | GBP  | 17192000  | 10997788  |
|  1% 4/22/24(Reg. S)  | GBP  | 26226000  | 30642823  |
|  1.25% 7/22/27  | GBP  | 18140000  | 19755739  |
|  1.25% 10/22/41 (Reg. S) (c)  | GBP  | 49057000  | 37597276  |
|  1.25% 7/31/51(Reg. S)  | GBP  | 59140000  | 38615693  |
|  1.625% 10/22/28  | GBP  | 3570000  | 3875983  |
|  1.625% 10/22/71 (Reg. S)  | GBP  | 21072000  | 14131428  |
|  3.5% 7/22/68  | GBP  | 1510000  | 1746835  |
|  4.25% 6/7/32  | GBP  | 6000000  | 7588995  |
|  4.25% 3/7/36 (Reg. S)  | GBP  | 3699000  | 4623056  |
|  4.25% 12/7/40  | GBP  | 3110000  | 3844468  |
|  4.25% 12/7/49 (Reg. S)  | GBP  | 15124000  | 18951195  |
|  4.5% 9/7/34  | GBP  | 4130000  | 5291767  |
|  4.75% 12/7/30  | GBP  | 22792000  | 29705763  |
|  United Kingdom, Great Britain and Northern Ireland Treasury GILT 2.5% 7/22/65 (Reg. S)  | GBP  | 4840000  | 4376201  |
|  TOTAL UNITED KINGDOM  |  |  | 339730429  |
| <br> **TOTAL GOVERNMENT OBLIGATIONS** <br> (Cost $9,889,321,997)  |  |  | <br> **8295623008**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 0.9%**  | &nbsp;&nbsp; **Money Market Funds - 0.9%**  | &nbsp;&nbsp; **Money Market Funds - 0.9%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.37% (e) <br>(Cost $77,361,656) <br>| 77346187  | **77361656**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.5%** <br> (Cost $9,966,683,653) <br>| <br>**8372984664**  |
| **NET OTHER ASSETS (LIABILITIES) - (0.5)%**  | **(38580233)**  |
| **NET ASSETS - 100.0%**  | **8334404431**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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)  | 346  | Mar 2023  | 42870987  | (1433058)  | (1433058)  |
| ICE Long Gilt Contracts (United Kingdom)  | 460  | Mar 2023  | 55556088  | (3845843)  | (3845843)  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **(5278901)**  |
| The notional amount of futures purchased as a percentage of Net Assets is 1.2%  | The notional amount of futures purchased as a percentage of Net Assets is 1.2%  | The notional amount of futures purchased as a percentage of Net Assets is 1.2%  | The notional amount of futures purchased as a percentage of Net Assets is 1.2%  | The notional amount of futures purchased as a percentage of Net Assets is 1.2%  | The notional amount of futures purchased as a percentage of Net Assets is 1.2%  |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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) ($)  |
| AUD  | 633920585  | USD  | 428593708  | Bank of America, N.A.  | 1/04/23  | 3011124  |
| CAD  | 584518000  | USD  | 430996903  | Citibank, N. A.  | 1/04/23  | 700290  |
| CHF  | 198396000  | USD  | 214738688  | HSBC Bank  | 1/04/23  | (175340)  |
| DKK  | 1319393000  | USD  | 189216441  | Bank of America, N.A.  | 1/04/23  | 711727  |
| DKK  | 21215000  | USD  | 3004718  | State Street Bank and Trust Co  | 1/04/23  | 49206  |
| EUR  | 23666000  | USD  | 24694236  | Bank of America, N.A.  | 1/04/23  | 639034  |
| EUR  | 25152000  | USD  | 26491897  | Brown Brothers Harriman & Co  | 1/04/23  | 432061  |
| EUR  | 4369574000  | USD  | 4659276756  | State Street Bank and Trust Co  | 1/04/23  | 18133717  |
| GBP  | 310163000  | USD  | 374041070  | State Street Bank and Trust Co  | 1/04/23  | 930488  |
| HKD  | 137040781  | USD  | 17582229  | HSBC Bank  | 1/04/23  | (25166)  |
| JPY  | 3293950000  | USD  | 23702171  | Canadian Imperial Bk. of Comm.  | 1/04/23  | 1396503  |
| JPY  | 234251750000  | USD  | 1757723043  | HSBC Bank  | 1/04/23  | 27188188  |
| JPY  | 822800000  | USD  | 6051390  | JPMorgan Chase Bank, N.A.  | 1/04/23  | 218040  |
| JPY  | 902750000  | USD  | 6827616  | JPMorgan Chase Bank, N.A.  | 1/04/23  | 51004  |
| NOK  | 1127000000  | USD  | 113889922  | Bank of America, N.A.  | 1/04/23  | 1147641  |
| NZD  | 286922000  | USD  | 182100786  | Bank of America, N.A.  | 1/04/23  | 65992  |
| SEK  | 1310193568  | USD  | 125236080  | Bank of America, N.A.  | 1/04/23  | 323326  |
| SGD  | 11414000  | USD  | 8329931  | Canadian Imperial Bk. of Comm.  | 1/04/23  | 191795  |
| SGD  | 379188674  | USD  | 281610601  | State Street Bank and Trust Co  | 1/04/23  | 1492784  |
| USD  | 408930007  | AUD  | 615673000  | Bank of America, N.A.  | 1/04/23  | (10250957)  |
| USD  | 12644777  | AUD  | 18774000  | State Street Bank and Trust Co  | 1/04/23  | (137501)  |
| USD  | 15259309  | CAD  | 20826000  | Bank of America, N.A.  | 1/04/23  | (121784)  |
| USD  | 421168559  | CAD  | 563692000  | HSBC Bank  | 1/04/23  | 4852459  |
| USD  | 1826927  | CHF  | 1712000  | Bank of America, N.A.  | 1/04/23  | (24585)  |
| USD  | 207606160  | CHF  | 196684000  | State Street Bank and Trust Co  | 1/04/23  | (5105677)  |
| USD  | 185842713  | DKK  | 1340608000  | Bank of America, N.A.  | 1/04/23  | (7139380)  |
| USD  | 111292800  | EUR  | 107784000  | BNP Paribas S.A.  | 1/04/23  | (4084582)  |
| USD  | 4415637478  | EUR  | 4277185000  | JPMorgan Chase Bank, N.A.  | 1/04/23  | (162875190)  |
| USD  | 35418804  | EUR  | 33617000  | State Street Bank and Trust Co  | 1/04/23  | (566514)  |
| USD  | 3746542  | GBP  | 3110000  | Bank of America, N.A.  | 1/04/23  | (13292)  |
| USD  | 341107003  | GBP  | 286541000  | HSBC Bank  | 1/04/23  | (5306738)  |
| USD  | 13848967  | GBP  | 11621000  | JPMorgan Chase Bank, N.A.  | 1/04/23  | (200241)  |
| USD  | 10593361  | GBP  | 8665000  | State Street Bank and Trust Co  | 1/04/23  | 117809  |
| USD  | 17539329  | HKD  | 137121000  | Brown Brothers Harriman & Co  | 1/04/23  | (28012)  |
| USD  | 1701358620  | JPY  | 239271250000  | State Street Bank and Trust Co  | 1/04/23  | (121799335)  |
| USD  | 100843125  | NOK  | 1022515000  | Bank of America, N.A.  | 1/04/23  | (3529221)  |
| USD  | 10445627  | NOK  | 104485000  | Bank of America, N.A.  | 1/04/23  | (219590)  |
| USD  | 169737926  | NZD  | 275954000  | Bank of America, N.A.  | 1/04/23  | (5465269)  |
| USD  | 6976249  | NZD  | 10968000  | Bank of America, N.A.  | 1/04/23  | 12666  |
| USD  | 123347392  | SEK  | 1310196000  | HSBC Bank  | 1/04/23  | (2212247)  |
| USD  | 267428784  | SGD  | 368822000  | State Street Bank and Trust Co  | 1/04/23  | (7934812)  |
| USD  | 16816959  | SGD  | 22793000  | State Street Bank and Trust Co  | 1/04/23  | (200362)  |
| AUD  | 15281000  | USD  | 10408296  | Bank of America, N.A.  | 2/01/23  | 8595  |
| CHF  | 9269000  | USD  | 10054825  | Brown Brothers Harriman & Co  | 2/01/23  | 2556  |
| DKK  | 59437000  | USD  | 8565178  | Bank of America, N.A.  | 2/01/23  | 10582  |
| EUR  | 173646000  | USD  | 186007859  | Bank of America, N.A.  | 2/01/23  | 250096  |
| GBP  | 16470000  | USD  | 19895266  | Brown Brothers Harriman & Co  | 2/01/23  | 32204  |
| JPY  | 4166400000  | USD  | 31714255  | Brown Brothers Harriman & Co  | 2/01/23  | 156222  |
| USD  | 429428246  | AUD  | 634498000  | Bank of America, N.A.  | 2/01/23  | (3102106)  |
| USD  | 431774839  | CAD  | 585491000  | Citibank, N. A.  | 2/01/23  | (700887)  |
| USD  | 215034212  | CHF  | 198085000  | HSBC Bank  | 2/01/23  | 100972  |
| USD  | 189501806  | DKK  | 1318654000  | Bank of America, N.A.  | 2/01/23  | (757808)  |
| USD  | 4665556979  | EUR  | 4366933000  | State Street Bank and Trust Co  | 2/01/23  | (18547524)  |
| USD  | 374190707  | GBP  | 310058000  | State Street Bank and Trust Co  | 2/01/23  | (956321)  |
| USD  | 17884764  | HKD  | 139319000  | HSBC Bank  | 2/01/23  | 23950  |
| USD  | 1764049923  | JPY  | 234243250000  | HSBC Bank  | 2/01/23  | (27771330)  |
| USD  | 114033963  | NOK  | 1127228000  | Bank of America, N.A.  | 2/01/23  | (1166132)  |
| USD  | 182560678  | NZD  | 287556000  | Bank of America, N.A.  | 2/01/23  | (89142)  |
| USD  | 127348958  | SEK  | 1330235000  | Bank of America, N.A.  | 2/01/23  | (351064)  |
| USD  | 281615139  | SGD  | 379023000  | State Street Bank and Trust Co  | 2/01/23  | (1514896)  |
| **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**  |  | **(330121974)**  |
| Unrealized Appreciation  | Unrealized Appreciation  | Unrealized Appreciation  |  |  |  | 62251031  |
| Unrealized Depreciation  | Unrealized Depreciation  | Unrealized Depreciation  |  |  |  | (392373005)  |

---

For the period, the average contract value for forward foreign currency contracts was $17,518,046,424. 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  |
| DKK  | -  | Danish krone  |
| EUR  | -  | European Monetary Unit  |
| GBP  | -  | British pound sterling  |
| HKD  | -  | Hong Kong dollar  |
| JPY  | -  | Japanese yen  |
| NOK  | -  | Norwegian krone  |
| NZD  | -  | New Zealand dollar  |
| SEK  | -  | Swedish krona  |
| SGD  | -  | Singapore dollar  |
| 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) 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 $2,530,475,145 or 30.4% of net assets.

(c) 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 $259,781,458.

(d) 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 $4,613,399.

(e) 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%  | 12953038  | 7343201982  | 7278793364  | 967188  | -  | -  | 77361656  | 0.2%  |
| Total  | 12953038  | 7343201982  | 7278793364  | 967188  | -  | -  | 77361656  |  |

---

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>**  |  |  |  |  |
|  Government Obligations  | 8295623008  | -  | 8295623008  | -  |
|  Money Market Funds  | 77361656  | 77361656  | -  | -  |
| **Total Investments in Securities:**  | 8372984664  | 77361656  | 8295623008  | -  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Forward Foreign Currency Contracts  | 62251031  | -  | 62251031  | -  |
| Total Assets  | 62251031  | -  | 62251031  | -  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (5278901)  | (5278901)  | -  | -  |
| Forward Foreign Currency Contracts  | (392373005)  | -  | (392373005)  | -  |
| Total Liabilities  | (397651906)  | (5278901)  | (392373005)  | -  |
| **Total Derivative Instruments:**  | (335400875)  | (5278901)  | (330121974)  | -  |

---

**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)  | 62251031  | (392373005)  |
| **Total Foreign Exchange Risk**  | 62251031  | (392373005)  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts (b)  | 0  | (5278901)  |
| **Total Interest Rate Risk**  | 0  | (5278901)  |
| **Total Value of Derivatives**  | 62251031  | (397651906)  |

---

(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> **($)**  |
| HSBC Bank  | 32165569  | (35490821)  | -  | -  | (3325252)  |
| State Street Bank and Trust Co  | 20724004  | (156762942)  | -  | 93655277  | (42383661)  |
| Bank of America, N.A.  | 6180783  | (32230330)  | -  | 18753630  | (7295917)  |
| Canadian Imperial Bk. of Comm.  | 1588298  | -  | -  | -  | 1588298  |
| Citibank, N. A.  | 700290  | (700887)  | -  | -  | (597)  |
| Brown Brothers Harriman & Co  | 623043  | (28012)  | -  | -  | 595031  |
| JPMorgan Chase Bank, N.A.  | 269044  | (163075431)  | -  | 143844582  | (18961805)  |
| BNP Paribas S.A.  | -  | (4084582)  | -  | 3527969  | (556613)  |
| Exchange Traded Futures  | -  | (5278901)  | -  | 4613399  | (665502)  |
| Total  | $62251031  | $(397651906)  |  |  |  |

---

*(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 $9,889,321,997)  | 8295623008  |  |
|  Fidelity Central Funds (cost $77,361,656)  | 77361656  |  |
|  Total Investment in Securities (cost $9,966,683,653)  |  | $8372984664  |
|  Foreign currency held at value (cost $3,346,841)  |  | 3371856  |
| Receivable for investments sold  |  | 163165154  |
|  Unrealized appreciation on forward foreign currency contracts  |  | 62251031  |
|  Receivable for fund shares sold  |  | 78130810  |
|  Interest receivable  |  | 49917456  |
|  Distributions receivable from Fidelity Central Funds  |  | 309189  |
|  Receivable from investment adviser for expense reductions  |  | 26169  |
| **Total assets**  |  | 8730156329  |
| **Liabilities**  |  |  |
|  Unrealized depreciation on forward foreign currency contracts  | $392373005  |  |
|  Payable for fund shares redeemed  | 3030825  |  |
|  Payable for daily variation margin on futures contracts  | 157504  |  |
|  Other payables and accrued expenses  | 190564  |  |
| **Total Liabilities**  |  | 395751898  |
| **Net Assets**  |  | $8334404431  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $9502373740  |
|  Total accumulated earnings (loss)  |  | (1167969309)  |
|  **Net Assets**  |  | $8334404431  |
|  **Net Asset Value** , offering price and redemption price per share ($8,334,404,431 ÷ 991,126,433 shares)  |  | $8.41  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Year ended** <br> **December 31, 2022**  |
|  **Investment Income**  |  |  |
| Interest  |  | $57128121  |
| Income from Fidelity Central Funds  |  | 967188  |
| Income before foreign taxes withheld  |  | 58095309  |
| Less foreign taxes withheld  |  | (1668953)  |
| **Total Income**  |  | 56426356  |
|  **Expenses**  |  |  |
| Custodian fees and expenses  | 509621  |  |
| Independent trustees' fees and expenses  | 23010  |  |
| Total expenses before reductions  | 532631  |  |
| Expense reductions  | (283090)  |  |
| Total expenses after reductions  |  | 249541  |
| **Net Investment income (loss)**  |  | 56176815  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (268730638)  |  |
| Forward foreign currency contracts  | 959309554  |  |
| Foreign currency transactions  | 4741840  |  |
| Futures contracts  | 3309654  |  |
| Total net realized gain (loss)  |  | 698630410  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (1514211675)  |  |
| Forward foreign currency contracts  | (316981071)  |  |
| Assets and liabilities in foreign currencies  | 1923006  |  |
| Futures contracts  | (5278901)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (1834548641)  |
| **Net gain (loss)**  |  | (1135918231)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(1079741416)  |

---

---

| | | |
|:---|:---|:---|
| **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 31, 2021 (commencement of operations) through December 31, 2021**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $56176815  | $1606869  |
| &nbsp;&nbsp; Net realized gain (loss)  | 698630410 <br>| 68971609 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (1834548641)  | (92772871) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (1079741416) <br>| (22194393) <br>|
| Distributions to shareholders  | (63041158) <br>| (2963679) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 5973560658  | 4817445515  |
| Reinvestment of distributions  | 63041158 <br>| 2963679 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (1260957359)  | (93708574)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 4775644457 <br>| 4726700620 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 3632861883 <br>| 4701542548 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 4701542548  | - <br>|
| &nbsp;&nbsp; End of period  | $8334404431  | $4701542548  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 648488407  | 487636716  |
| Issued in reinvestment of distributions  | 7336551 <br>| 300576 <br>|
| &nbsp;&nbsp; Redeemed  | (143145897)  | (9489920)  |
| &nbsp;&nbsp; Net increase (decrease)  | 512679061  | 478447372  |

---

**Financial Highlights** 

 **Fidelity® Series International Developed Markets Bond Index Fund** <br>

---

| | | |
|:---|:---|:---|
| **Years ended December 31,**  | **2022**  | **2021** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.83  | $10.00  |
| Income from Investment Operations  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .066  | .007  |
| Net realized and unrealized gain (loss)  | (1.420)  | (.169)  |
| Total from investment operations  | (1.354)  | (.162)  |
| Distributions from net investment income  | (.066)  | (.008)  |
| Total distributions  | (.066)  | (.008)  |
| Net asset value, end of period  | $8.41  | $9.83  |
| **Total Return** <sup>D,E</sup>  | (13.79)%  | (1.62)%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |  |
| Expenses before reductions  | .01%  | .01% <sup>H</sup>  |
| Expenses net of fee waivers, if any <sup>I</sup>  | -%  | -% <sup>H</sup>  |
| Expenses net of all reductions <sup>I</sup>  | -%  | -% <sup>H</sup>  |
| Net investment income (loss)  | .74%  | .21% <sup>H</sup>  |
| **Supplemental Data**  |  |  |
| Net assets, end of period (000 omitted)  | $8334404  | $4701543  |
| Portfolio turnover rate <sup>J</sup>  | 22%  | 2% <sup>K</sup>  |

---

<sup>A</sup> *For the period August 31, 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> *Annualized.*

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

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

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

**Notes to Financial Statements**

For the period ended December 31, 2022

**1. Organization.**

Fidelity Series International Developed Markets Bond Index Fund (the Fund) is a non-diversified fund of Fidelity School Street Trust (the Trust) and 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. 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. 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. 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.

**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.

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 futures contracts, foreign currency transactions, 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**  | $53278093  |
| **Gross unrealized depreciation**  | <u>(1238845584)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(1185567491)</u>  |
| **Tax Cost**  | <u>$9966399250</u>  |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$112631697</u>  |
| **Capital loss carryforward**  | <u>$(96811867)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(1183789139)</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  | $(75462565)  |
| Long-term  | <u>(21349302</u>)  |
| **Total capital loss carryforward**  | <u>$(96811867</u>)  |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **December 31, 2022**  | **December 31, 2021** <sup>A</sup>  |
| **Ordinary Income**  | <u>$63041158</u>  | <u>$2963679</u>  |

---

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

**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):

---

| | |
|:---|:---|
| 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. A summary of derivatives inclusive of potential netting arrangements is presented at the end of the Schedule of Investments.

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 Series International Developed Markets Bond Index Fund**  |  |  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts  | <u>$959309554</u>  | <u>$(316981071)</u>  |
| **Total Foreign Exchange Risk**  | <u>959309554</u>  | <u>(316981071)</u>  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts  | <u>3309654</u>  | <u>(5278901)</u>  |
| **Total Interest Rate Risk**  | <u>3309654</u>  | <u>(5278901)</u>  |
| Totals  | <u>$962619208</u>  | <u>$(322259972)</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 Series International Developed Markets Bond Index Fund**  | 7983962228  | 1618916148  |

---

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

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**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.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .003% of average net assets. This reimbursement will remain in place through April 30, 2026. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $283,090.

**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, 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 Fund.

**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 School Street Trust and the Shareholders of Fidelity Series International Developed Markets Bond Index Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Series International Developed Markets Bond Index Fund (the "Fund"), a fund of Fidelity School Street Trust, including the schedule of investments, as of December 31, 2022, the related statement of operations for the year then ended, and the statement of changes in net assets and the financial highlights for the year then ended and for the period from August 31, 2021 (commencement of operations) through December 31, 2021, and the related notes. In our opinion, the financial statements and financial highlights 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, and the changes in its net assets and the financial highlights for the year then ended and for the period from August 31, 2021 (commencement of operations) through December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights 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 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 and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. 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 and financial highlights. 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/ Deloitte & Touche LLP

Boston, Massachusetts

February 17, 2023

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

**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. Each of the Trustees oversees 295 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>

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® Series International Developed Markets Bond Index Fund**  | -%- <sup>D</sup>  |  |  |  |
| **Actual**  |  | $1000  | $960.30  | $- <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 total of 0.01% 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 $1,182,261 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 Series International Developed Markets 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 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 the 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 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. 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 the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is 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 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 that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds, collective investment trusts, and 529 plans that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the 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 the 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 the 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 the fund does not pay a management fee and 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 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 the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.

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

![](img88224_2.jpg) <br>

1.9901932.101 IDM-ANN-0323

Item 2.

<u>Code of Ethics</u>

As of the end of the period, December 31, 2022, Fidelity School 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.

Item 3.

<u>Audit Committee Financial Expert</u>

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.

Item 4.

<u>Principal Accountant Fees and Services</u>

<u>Fees and Services</u>

The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") in each of the last two fiscal years for services rendered to Fidelity Series International Developed Markets Bond Index Fund (the "Fund"):

**<u>Services Billed by Deloitte Entities</u>**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Audit Fees** | **Audit-Related Fees** | **Tax Fees** | **All Other Fees** |
| Fidelity Series International Developed Markets Bond Index Fund | $73200  | $-  | $10100  | $1700  |

---

**<u>December 31, 2021 Fees</u><sup>A,B</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Audit Fees** | **Audit-Related Fees** | **Tax Fees** | **All Other Fees** |
| Fidelity Series International Developed Markets Bond Index Fund | $- | $- | $- | $500 |

---

<sup>A</sup> Amounts may reflect rounding.

<sup>B</sup> Fidelity Series International Developed Markets Bond Index Fund commenced operations on August 31, 2021.

The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC") in each of the last two fiscal years for services rendered to Fidelity Advisor Multi-Asset Income Fund, Fidelity Global Credit Fund, Fidelity Intermediate Municipal Income Fund and Fidelity Series International Credit Fund (the "Funds"):

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Audit Fees** | **Audit-Related Fees** | **Tax Fees** | **All Other Fees** |
| Fidelity Advisor Multi-Asset Income Fund | $52500  | $4600  | $13000  | $2100  |
| Fidelity Global Credit Fund | $81100  | $6800  | $13400  | $3000  |
| Fidelity Intermediate Municipal Income Fund | $47500  | $3800  | $5300  | $1700  |
| Fidelity Series International Credit Fund | $75000  | $6300  | $11500  | $2800  |

---

**<u>December 31, 2021 Fees</u><sup>A</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Audit Fees** | **Audit-Related Fees** | **Tax Fees** | **All Other Fees** |
| Fidelity Advisor Multi-Asset Income Fund | $50400  | $4800  | $10500  | $2100  |
| Fidelity Global Credit Fund | $78800  | $7300  | $13000  | $3100  |
| Fidelity Intermediate Municipal Income Fund | $46200  | $4100  | $5100  | $1800  |
| Fidelity Series International Credit Fund | $73000  | $6700  | $11200  | $2900  |

---

<sup>A</sup> Amounts may reflect rounding.

The following table(s) present(s) fees billed by Deloitte Entities and 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"):

**<u>Services Billed by Deloitte Entities</u>**

---

| | | |
|:---|:---|:---|
|  | **<u>December 31, 2022</u><sup>A</sup>** | **<u>December 31, 2021</u> <sup>A,B</sup>** |
| Audit-Related Fees | $-  | $-  |
| Tax Fees | $- | $- |
| All Other Fees | $- | $- |

---

<sup>A</sup> Amounts may reflect rounding.

<sup>B</sup> May include amounts billed prior to the Fidelity Series International Developed Markets Bond Index Fund's commencement of operations.

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

---

| | | |
|:---|:---|:---|
|  | **<u>December 31, 2022</u><sup>A</sup>** | **<u>December 31, 2021</u><sup>A</sup>** |
| Audit-Related Fees | $7914600  | $8522600  |
| Tax Fees | $1000  | $354200  |
| All Other Fees | $- | $- |

---

<sup>A</sup> Amounts may reflect rounding.

"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.

"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.

"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.

Assurance services must be performed by an independent public accountant.

\* \* \*

The aggregate non-audit fees billed by Deloitte Entities and 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:

---

| | | |
|:---|:---|:---|
| **<u>Billed By</u>** | **<u>December 31, 2022</u><sup>A</sup>** | **<u>December 31, 2021</u><sup>A,B</sup>** |
| Deloitte Entities | $469400  | $522100  |
| PwC | $12957300  | $14192100  |

---

<sup>A</sup> Amounts may reflect rounding.

<sup>B</sup> May include amounts billed prior to the Fidelity Series International Developed Markets Bond Index Fund's commencement of operations.

The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and 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.

<u>Audit Committee Pre-Approval Policies and Procedures</u>

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.

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.

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.

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.

<u>Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")</u>

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).

Item 5.

<u>Audit Committee of Listed Registrants</u>

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable.

Item 7.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 8.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 9.

<u>Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 10.

<u>Submission of Matters to a Vote of Security Holders</u>

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

Item 11.

<u>Controls and Procedures</u>

(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.

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

Item 12.

<u>Disclosure of Securities Lending Activities for Closed-End Management</u>

<u>Investment Companies</u>

Not applicable.

Item 13.

<u>Exhibits</u>

(a) (1) [Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.](code.htm)

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.](ex99cert.htm)

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.](ex99906cert.htm)

SIGNATURES

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

Fidelity School Street Trust

---

| | |
|:---|:---|
| By: | <u>/s/Laura M. Del Prato</u> |
|  | Laura M. Del Prato |
|  | President and Treasurer |
| Date: | February 21, 2023 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By: | <u>/s/Laura M. Del Prato</u> |
|  | Laura M. Del Prato |
|  | President and Treasurer |
| Date: | February 21, 2023 |

---

---

| | |
|:---|:---|
| By: | <u>/s/John J. Burke III</u> |
|  | John J. Burke III |
|  | Chief Financial Officer |
| Date: | February 21, 2023 |

---

## 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 School 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 School 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 School 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.

&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; **VI. Other Policies and Procedures** 

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

&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.

&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; **VII. Amendments** 

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

&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.

&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; **VIII. Records and Confidentiality** 

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

&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.

&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>