# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0000035315-23-000085
**Filing Date:** 2023-2
**Character Count:** 825168
**Document Hash:** bb7cf2abe7f77bb1cf2690b9586b71fe
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035315-23-000085.hdr.sgml**: 20230221

**ACCESSION NUMBER**: 0000035315-23-000085

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 26

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230221

**DATE AS OF CHANGE**: 20230221

**EFFECTIVENESS DATE**: 20230221

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 23646146

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

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

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

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

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

## Series and Classes Contracts Data

### Fidelity Municipal Income 2023 Fund (Series ID: S000040416)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000125570 | Fidelity Municipal Income 2023 Fund                  | FCHPX           |
| C000125571 | Fidelity Advisor Municipal Income 2023 Fund: Class A | FSODX           |
| C000125572 | Fidelity Advisor Municipal Income 2023 Fund: Class I | FSWTX           |

### Fidelity Municipal Income 2025 Fund (Series ID: S000057383)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000183196 | Fidelity Municipal Income 2025 Fund                  | FIMSX           |
| C000183197 | Fidelity Advisor Municipal Income 2025 Fund: Class A | FAMHX           |
| C000183198 | Fidelity Advisor Municipal Income 2025 Fund: Class I | FAMYX           |

### Fidelity Municipal Bond Index Fund (Series ID: S000065746)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000212594 | Fidelity Municipal Bond Index Fund | FMBIX           |

### Fidelity SAI Municipal Bond Index Fund (Series ID: S000065747)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000212595 | Fidelity SAI Municipal Bond Index Fund | FSABX           |

### Fidelity Mid Cap Growth Index Fund (Series ID: S000065748)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000212596 | Fidelity Mid Cap Growth Index Fund | FMDGX           |

### Fidelity Mid Cap Value Index Fund (Series ID: S000065749)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000212597 | Fidelity Mid Cap Value Index Fund | FIMVX           |

### Fidelity Small Cap Growth Index Fund (Series ID: S000065750)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000212598 | Fidelity Small Cap Growth Index Fund | FECGX           |

### Fidelity Small Cap Value Index Fund (Series ID: S000065751)

| Class ID   | Class Name                          | Ticker Symbol   |
|:---|:---|:---|
| C000212599 | Fidelity Small Cap Value Index Fund | FISVX           |

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

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

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

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

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

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

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

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

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

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

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>245 Summer St., Boston, MA 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; June 30  |
|  &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; 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® Defined Maturity Funds**

**Fidelity® Municipal Income 2023 Fund**

**Fidelity® Municipal Income 2025 Fund**

**Semi-Annual Report**

**December 31, 2022**

Includes Fidelity and Fidelity Advisor share classes

![](img88358_1.jpg)

![](img88358_2.jpg)

**Contents**

---

| |
|:---|
| **[Fidelity® Municipal Income 2023 Fund](#Sec_FundName2523)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Investment Summary](#Sub_Sec_InvestmentSummary2523)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Schedule of Investments](#Sub_Sec_ScheduleOfInvestments2523)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Financial Statements](#Sub_Sec_FinancialStatements2523)** |
| **[Fidelity® Municipal Income 2025 Fund](#Sec_FundName2948)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Investment Summary](#Sub_Sec_InvestmentSummary2948)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Schedule of Investments](#Sub_Sec_ScheduleOfInvestments2948)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Financial Statements](#Sub_Sec_FinancialStatements2948)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[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 Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Funds nor Fidelity Distributors Corporation is a bank.*

**Fidelity® Municipal Income 2023 Fund** 

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

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Five States (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Five States (% of Fund's net assets)**  |
| Illinois  | 9.7  |
| New Jersey  | 8.3  |
| Florida  | 7.1  |
| Arizona  | 6.7  |
| New York  | 5.6  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  | &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  |
| General Obligations  | 27.8%  |
| Health Care  | 18.2%  |
| Transportation  | 14.4%  |
| Electric Utilities  | 8.3%  |
| Special Tax  | 8.0%  |
| Education  | 6.0%  |
| Other  | 5.4%  |
| Others\* (Individually Less Than 5%)  | 11.9%  |
|  | 100.0%  |
| *\*Includes net other assets*  |  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Quality Diversification (% of Fund's net assets)**  |
| ![](img88358_5.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.  |

---

**Fidelity® Municipal Income 2023 Fund**

**Schedule of Investments December 31, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Bonds - 94.6%**  | &nbsp;&nbsp; **Municipal Bonds - 94.6%**  | &nbsp;&nbsp; **Municipal Bonds - 94.6%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Alabama - 3.5%  |  |  |
|  Birmingham Arpt. Auth. Series 2020, 5% 7/1/23 (Build America Mutual Assurance Insured)  | 325000  | 327952  |
|  Black Belt Energy Gas District Series 2022 E, 5% 6/1/23  | 600000  | 602836  |
|  Mobile County Board of School Commissioners:  |  |  |
|  Series 2016 A, 5% 3/1/23  | 500000  | 501408  |
|  Series 2016 B, 5% 3/1/23  | 150000  | 150422  |
|  TOTAL ALABAMA  |  | 1582618  |
| Arizona - 6.7%  |  |  |
|  Arizona Indl. Dev. Auth. Rev. (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018, 4% 5/1/23  | 330000  | 319211  |
|  Bullhead City Excise Taxes Series 2021 2, 0.4% 7/1/23  | 250000  | 245346  |
|  Glendale Trans. Excise Tax Rev. Series 2015, 5% 7/1/23 (Assured Guaranty Muni. Corp. Insured)  | 300000  | 303048  |
|  Phoenix Civic Impt. Board Arpt. Rev.:  |  |  |
|  Series 2013, 5% 7/1/23 (b)  | 380000  | 382525  |
|  Series 2017 A, 5% 7/1/23 (b)  | 1000000  | 1006644  |
|  Pima County Swr. Sys. Rev. Series 2020 A, 5% 7/1/23  | 100000  | 101045  |
|  Tucson Ctfs. of Prtn.:  |  |  |
|  Series 2012, 5% 7/1/23 (Assured Guaranty Muni. Corp. Insured)  | 450000  | 454307  |
|  Series 2015, 5% 7/1/23 (Assured Guaranty Muni. Corp. Insured)  | 250000  | 252393  |
|  TOTAL ARIZONA  |  | 3064519  |
| California - 3.5%  |  |  |
|  California Health Facilities Fing. Auth. Rev. Series 2013 A, 5% 3/1/23  | 110000  | 110262  |
|  Los Angeles Dept. Arpt. Rev. Series 2018 C, 5% 5/15/23 (b)  | 120000  | 120683  |
|  Los Angeles Unified School District:  |  |  |
|  Series 2020 C, 5% 7/1/23  | 300000  | 303121  |
|  Series A, 5% 7/1/23  | 670000  | 676970  |
|  Riverside County Trans. Commission Toll Rev. Series 2013 A, 0% 6/1/23 (Escrowed to Maturity)  | 200000  | 197622  |
|  Washington Township Health Care District Rev. Series 2017 B, 5% 7/1/23  | 200000  | 201280  |
|  TOTAL CALIFORNIA  |  | 1609938  |
| Colorado - 3.7%  |  |  |
|  Colorado Reg'l. Trans. District Ctfs. of Prtn.:  |  |  |
|  Series 2013 A, 5% 6/1/23  | 1500000  | 1512160  |
|  Series 2014 A, 5% 6/1/23 (Escrowed to Maturity)  | 200000  | 201548  |
|  TOTAL COLORADO  |  | 1713708  |
| Connecticut - 3.2%  |  |  |
|  Connecticut Health & Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2022 L, 5% 7/1/23  | 175000  | 176521  |
|  Series K1, 5% 7/1/23  | 500000  | 502739  |
|  Connecticut Hsg. Fin. Auth. Series C, 5% 5/15/23 (b)  | 100000  | 100551  |
|  Univ. of Connecticut Gen. Oblig. Series 2022 A, 5% 5/1/23  | 700000  | 704422  |
|  TOTAL CONNECTICUT  |  | 1484233  |
| Florida - 7.1%  |  |  |
|  Broward County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2015 A, 5% 7/1/23  | 250000  | 252209  |
|  Series 2015 B, 5% 7/1/23  | 45000  | 45398  |
|  Duval County School Board Ctfs. of Prtn. Series 2015 B, 5% 7/1/23  | 500000  | 504566  |
|  Escambia County Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2003, 2.6% 6/1/23  | 300000  | 298818  |
|  Florida Board of Ed. Lottery Rev. Series 2016 A, 5% 7/1/23  | 530000  | 535358  |
|  Lake County School Board Ctfs. of Prtn. Series 2015 B, 5% 6/1/23 (Assured Guaranty Muni. Corp. Insured)  | 500000  | 503972  |
|  Miami-Dade County Expressway Auth.:  |  |  |
|  Series 2014 A, 4% 7/1/23  | 200000  | 200557  |
|  Series 2014 B, 5% 7/1/23  | 90000  | 90686  |
|  Miami-Dade County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2015 A, 5% 5/1/23  | 30000  | 30186  |
|  Series 2015 D, 5% 2/1/23  | 650000  | 650872  |
|  Seminole County School Board Ctfs. of Prtn. Series 2012 A, 5% 7/1/23  | 145000  | 146416  |
|  TOTAL FLORIDA  |  | 3259038  |
| Georgia - 1.8%  |  |  |
|  Bartow County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Bowen Proj.) Series 2009 1st, 2.75%, tender 3/15/23 (c)  | 300000  | 299411  |
|  Georgia Muni. Elec. Auth. Pwr. Rev. Series GG, 5% 1/1/23  | 210000  | 210000  |
|  Private Colleges & Univs. Auth. Rev. (The Savannah College of Art & Design Projs.) Series 2021, 5% 4/1/23  | 325000  | 326358  |
|  TOTAL GEORGIA  |  | 835769  |
| Illinois - 9.7%  |  |  |
|  Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017, 5% 6/1/23  | 500000  | 503319  |
|  Illinois Fin. Auth. Rev.:  |  |  |
|  Series 2016 E, 5% 2/15/23  | 125000  | 125263  |
|  Series 2019, 5% 4/1/23  | 500000  | 502090  |
|  Illinois Gen. Oblig.:  |  |  |
|  Series 2013, 5% 7/1/23  | 295000  | 296929  |
|  Series 2014, 5% 2/1/23  | 250000  | 250253  |
|  Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A, 5% 2/1/23  | 510000  | 510602  |
|  Illinois Reg'l. Trans. Auth. Series 2003 A, 5.5% 7/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 205000  | 207388  |
|  Illinois Sales Tax Rev. Series 2013, 5% 6/15/23  | 815000  | 820489  |
|  Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016, 5% 2/1/23  | 500000  | 500652  |
|  Metropolitan Pier & Exposition:  |  |  |
|  (McCormick Place Expansion Proj.) Series 1996 A, 0% 6/15/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 140000  | 137697  |
|  Series 2002:  |  |  |
|  5.7% 6/15/23 <br>| 45000  | 45388  |
|  5.7% 6/15/23 (Escrowed to Maturity) <br>| 50000  | 50568  |
|  Railsplitter Tobacco Settlement Auth. Rev. Series 2017, 5% 6/1/23  | 500000  | 503665  |
|  TOTAL ILLINOIS  |  | 4454303  |
| Indiana - 2.6%  |  |  |
|  Indiana Hsg. & Cmnty. Dev. Auth. Series A, 5% 7/1/23  | 580000  | 585693  |
|  Indianapolis Local Pub. Impt.:  |  |  |
|  (Indianapolis Arpt. Auth. Proj.) Series 2016 A1, 5% 1/1/23 (b)  | 500000  | 500000  |
|  Series 2021 A, 5% 6/1/23  | 100000  | 100684  |
|  TOTAL INDIANA  |  | 1186377  |
| Kentucky - 0.6%  |  |  |
|  Kentucky Tpk. Auth. Econ. Dev. Road Rev. (Revitalization Projs.) Series B, 4% 7/1/23  | 275000  | 276300  |
| Louisiana - 2.6%  |  |  |
|  St. John Baptist Parish Rev. Bonds (Marathon Oil Corp.) Series 2017, 2%, tender 4/1/23 (c)  | 45000  | 44722  |
|  Tobacco Settlement Fing. Corp. Series 2013 A, 5% 5/15/23  | 1140000  | 1147904  |
|  TOTAL LOUISIANA  |  | 1192626  |
| Maine - 0.4%  |  |  |
|  Maine Health & Higher Edl. Facilities Auth. Rev. Series 2013, 3% 7/1/23 (Escrowed to Maturity)  | 200000  | 199803  |
| Maryland - 1.1%  |  |  |
|  Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2021 A, 5% 7/1/23  | 500000  | 504957  |
| Massachusetts - 2.8%  |  |  |
|  Massachusetts Bay Trans. Auth. Sales Tax Rev.:  |  |  |
|  Series 2003 C, 5.25% 7/1/23  | 125000  | 126427  |
|  Series 2005 B, 5.5% 7/1/23  | 50000  | 50632  |
|  Massachusetts Dev. Fin. Agcy. Rev.:  |  |  |
|  Series 2016, 5% 7/1/23  | 230000  | 231786  |
|  Series 2019 A, 5% 7/1/23  | 200000  | 201475  |
|  Massachusetts Edl. Fing. Auth. Rev. Series 2018 B, 5% 7/1/23 (b)  | 135000  | 136140  |
|  Massachusetts Port Auth. Rev. Series 2017 A, 5% 7/1/23 (b)  | 545000  | 549923  |
|  TOTAL MASSACHUSETTS  |  | 1296383  |
| Michigan - 2.2%  |  |  |
|  Detroit Swr. Disp. Rev. Series 2004 A, 5.25% 7/1/23 (Assured Guaranty Muni. Corp. Insured)  | 50000  | 50539  |
|  Flint Hosp. Bldg. Auth. Rev. Series 2020, 5% 7/1/23  | 195000  | 196011  |
|  Grand Traverse County Hosp. Fin. Auth. Series 2014 C, 5% 7/1/23  | 390000  | 393447  |
|  Michigan Fin. Auth. Rev. Series 2022, 5% 4/15/23  | 275000  | 276421  |
|  Saginaw Hosp. Fin. Auth. Hosp. Rev. Series 2020 J, 5% 7/1/23  | 100000  | 100835  |
|  TOTAL MICHIGAN  |  | 1017253  |
| Minnesota - 0.6%  |  |  |
|  Anoka-Hennepin Independent School District 11 Series 2014 A, 5% 2/1/23  | 250000  | 250322  |
| Nebraska - 1.1%  |  |  |
|  Nebraska Pub. Pwr. District Rev. Bonds Series 2020 A, 0.6%, tender 7/1/23 (c)  | 500000  | 493079  |
| Nevada - 2.3%  |  |  |
|  Clark County Poll. Cont. Rev. Bonds Series 2017, 1.65%, tender 3/31/23 (c)  | 585000  | 582252  |
|  Clark County School District Series 2018 A, 5% 6/15/23  | 450000  | 453876  |
|  TOTAL NEVADA  |  | 1036128  |
| New Jersey - 8.3%  |  |  |
|  Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A, 5% 2/15/23  | 250000  | 250367  |
|  Carteret School District Series 2020, 2% 2/1/23  | 300000  | 299617  |
|  New Jersey Econ. Dev. Auth. Rev.:  |  |  |
|  Series 2013, 5% 3/1/23  | 550000  | 551319  |
|  Series 2015 XX, 5% 6/15/23  | 250000  | 251786  |
|  New Jersey Edl. Facilities Auth. Rev. Series 2013 A, 5% 7/1/23 (Escrowed to Maturity)  | 100000  | 100991  |
|  New Jersey Health Care Facilities Fing. Auth. Rev.:  |  |  |
|  Series 2013 A, 5% 7/1/23  | 200000  | 201914  |
|  Series 2013, 5% 7/1/23  | 200000  | 201719  |
|  Series 2016 A:  |  |  |
|  5% 7/1/23 <br>| 250000  | 252332  |
|  5% 7/1/23 (Escrowed to Maturity) <br>| 90000  | 90826  |
|  Series 2016, 5% 7/1/23  | 950000  | 958907  |
|  New Jersey Tobacco Settlement Fing. Corp. Series 2018 A, 5% 6/1/23  | 240000  | 241236  |
|  New Jersey Trans. Trust Fund Auth. Series 2004 A, 5.75% 6/15/23  | 255000  | 257662  |
|  Rutgers State Univ. Rev. Series Q, 5% 5/1/23  | 150000  | 150947  |
|  TOTAL NEW JERSEY  |  | 3809623  |
| New Mexico - 0.4%  |  |  |
|  New Mexico Severance Tax Rev. Series 2015 A, 5% 7/1/23  | 175000  | 176761  |
| New York - 5.6%  |  |  |
|  Monroe County Indl. Dev. Corp. Univ. of Rochester, Proj.) Series 2017 A, 5% 7/1/23  | 100000  | 100972  |
|  Nassau County Local Econ. Assistance Corp.:  |  |  |
|  (Catholic Health Svcs. of Long Island Obligated Group Proj.) Series 2014, 5% 7/1/23  | 350000  | 352410  |
|  Series 2014 B, 5% 7/1/23  | 285000  | 286963  |
|  New York City Gen. Oblig. Series 2021 F1, 5% 3/1/23  | 100000  | 100315  |
|  New York Dorm. Auth. Rev. Series 2015 A, 5% 5/1/23  | 530000  | 533140  |
|  New York Dorm. Auth. Sales Tax Rev. Series 2018 F, 5% 3/15/23 (b)  | 175000  | 175698  |
|  New York Metropolitan Trans. Auth. Rev. Series 2020 A, 5% 2/1/23  | 720000  | 720526  |
|  Saratoga County Cap. Resources Rev. Series A, 5% 7/1/23  | 300000  | 302945  |
|  TOTAL NEW YORK  |  | 2572969  |
| North Carolina - 0.5%  |  |  |
|  North Carolina Grant Anticipation Rev. Series 2017, 5% 3/1/23  | 100000  | 100302  |
|  Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2017 A, 5% 5/1/23 (b)  | 100000  | 100514  |
|  TOTAL NORTH CAROLINA  |  | 200816  |
| Ohio - 4.2%  |  |  |
|  Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 5% 6/15/23  | 400000  | 401332  |
|  Franklin County Hosp. Facilities Rev. Bonds (U.S. Health Corp. of Columbus Proj.) Series 2011 B, 5%, tender 5/15/23 (c)  | 710000  | 714246  |
|  Hamilton County Hosp. Facilities Rev. Series 2014, 5% 2/1/23  | 100000  | 100111  |
|  Lancaster Port Auth. Gas Rev. Series 2019, 5% 2/1/23  | 200000  | 200151  |
|  Univ. of Toledo Gen. Receipts Series 2018 A, 5% 6/1/23  | 500000  | 503523  |
|  TOTAL OHIO  |  | 1919363  |
| Oregon - 1.1%  |  |  |
|  Clackamas County Hosp. Facility Auth. (Williamette View, Inc.) Series 2017 A, 4% 5/15/23  | 250000  | 249656  |
|  Port of Portland Arpt. Rev. Series 22, 5% 7/1/23 (b)  | 250000  | 251783  |
|  TOTAL OREGON  |  | 501439  |
| Pennsylvania - 3.4%  |  |  |
|  Commonwealth Fing. Auth. Rev. Series 2020 A, 5% 6/1/23  | 200000  | 201450  |
|  Indiana County Hosp. Auth. Series 2014 A, 5% 6/1/23 (Escrowed to Maturity)  | 325000  | 327184  |
|  Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A, 5% 7/1/23  | 100000  | 100791  |
|  Pennsylvania Ctfs. Prtn. Series 2018 A, 5% 7/1/23  | 385000  | 388497  |
|  Philadelphia Arpt. Rev. Series 2017 B, 5% 7/1/23  | 100000  | 100859  |
|  Philadelphia Wtr. & Wastewtr. Rev. Series 2014 A, 5% 7/1/23  | 100000  | 100962  |
|  State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.) Series 2015 A, 5% 6/1/23  | 340000  | 342395  |
|  TOTAL PENNSYLVANIA  |  | 1562138  |
| Puerto Rico - 0.4%  |  |  |
|  Puerto Rico Commonwealth Pub. Impt. Gen. Oblig. Series 2021 A1, 5.25% 7/1/23  | 200000  | 200000  |
| Rhode Island - 0.6%  |  |  |
|  Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2013 A, 5% 5/15/23  | 250000  | 251513  |
| South Carolina - 0.2%  |  |  |
|  South Carolina Ports Auth. Ports Rev. Series 2019 B, 5% 7/1/23 (b)  | 100000  | 100874  |
| South Dakota - 0.3%  |  |  |
|  South Dakota Health & Edl. Facilities Auth. Rev. (Avera Health Proj.) Series 2017, 5% 7/1/23  | 150000  | 151362  |
| Tennessee - 1.6%  |  |  |
|  Memphis-Shelby County Arpt. Auth. Arpt. Rev. Series 2020 B, 5% 7/1/23 (b)  | 200000  | 201377  |
|  Tennessee Energy Acquisition Corp. Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (c)  | 530000  | 530857  |
|  TOTAL TENNESSEE  |  | 732234  |
| Texas - 5.6%  |  |  |
|  Houston Independent School District Bonds Series 2012, 4%, tender 6/1/23 (c)  | 1300000  | 1303039  |
|  Lower Colorado River Auth. Rev.:  |  |  |
|  Series 2013, 5% 5/15/23  | 610000  | 613914  |
|  Series 2015 B, 5% 5/15/23  | 250000  | 251604  |
|  Series 2022, 5% 5/15/23 (Assured Guaranty Muni. Corp. Insured)  | 400000  | 402567  |
|  TOTAL TEXAS  |  | 2571124  |
| Virginia - 1.6%  |  |  |
|  King George County Indl. Dev. Auth. Solid Waste Disp. Fac. Rev. (King George Landfill, Inc. Proj.) Series 2003 A, 2.5% 6/1/23 (b)(c)  | 200000  | 198239  |
|  Salem Econ. Dev. Auth. Series 2020, 5% 4/1/23  | 250000  | 250680  |
|  Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016, 5% 6/15/23  | 200000  | 201420  |
|  York County Econ. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2009 A, 1.9%, tender 6/1/23 (c)  | 100000  | 98880  |
|  TOTAL VIRGINIA  |  | 749219  |
| Washington - 3.6%  |  |  |
|  Port of Seattle Rev.:  |  |  |
|  Series 2013, 5% 7/1/23 (b)  | 250000  | 251661  |
|  Series 2015 B, 5% 3/1/23  | 250000  | 250716  |
|  Port of Seattle Spl. Facility Rev. Series 2013, 5% 6/1/23 (b)  | 300000  | 301625  |
|  Washington Ctfs. of Prtn. Series 2013 B, 4% 7/1/23  | 300000  | 301491  |
|  Washington Gen. Oblig. Series 2003 C, 0% 6/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 160000  | 157989  |
|  Washington Health Care Facilities Auth. Rev. (Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B, 5% 7/1/23  | 380000  | 382987  |
|  TOTAL WASHINGTON  |  | 1646469  |
| Wisconsin - 1.1%  |  |  |
|  Wisconsin Health & Edl. Facilities (Agnesian Healthcare Proj.) Series 2017, 5% 7/1/23  | 500000  | 504297  |
| Wyoming - 0.6%  |  |  |
|  Laramie County Hosp. Rev. (Cheyenne Reg'l. Med. Ctr. Proj.) Series 2021, 4% 5/1/23  | 285000  | 285712  |
| <br> **TOTAL MUNICIPAL BONDS** <br> (Cost $43,631,311)  |  | <br> **43393267**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 4.1%**  | &nbsp;&nbsp; **Money Market Funds - 4.1%**  | &nbsp;&nbsp; **Money Market Funds - 4.1%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Municipal Cash Central Fund 3.72% (d)(e) <br>(Cost $1,861,001) <br>| 1860628  | **1860996**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 98.7%** <br> (Cost $45,492,312) <br>| <br>**45254263**  |
| **NET OTHER ASSETS (LIABILITIES) - 1.3%**  | **605896**  |
| **NET ASSETS - 100.0%**  | **45860159**  |

---

**Legend**

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

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

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

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

(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 are available on the SEC's website or upon request.

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Municipal Cash Central Fund 3.72%  | 3553999  | 8714998  | 10408000  | 10424  | -  | (1)  | 1860996  | 0.1%  |
| Total  | 3553999  | 8714998  | 10408000  | 10424  | -  | (1)  | 1860996  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of December 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  Municipal Securities  | 43393267  | -  | 43393267  | -  |
|  Money Market Funds  | 1860996  | 1860996  | -  | -  |
| **Total Investments in Securities:**  | 45254263  | 1860996  | 43393267  | -  |

---

**Fidelity® Municipal Income 2023 Fund**

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $43,631,311)  | $43393267  |  |
|  Fidelity Central Funds (cost $1,861,001)  | 1860996  |  |
|  Total Investment in Securities (cost $45,492,312)  |  | $45254263  |
|  Cash  |  | 21394  |
|  Interest receivable  |  | 628673  |
|  Distributions receivable from Fidelity Central Funds  |  | 3674  |
| Other receivables  |  | 31  |
| **Total assets**  |  | 45908035  |
| **Liabilities**  |  |  |
|  Payable for fund shares redeemed  | $17987  |  |
|  Distributions payable  | 13378  |  |
|  Accrued management fee  | 12018  |  |
|  Transfer agent fee payable  | 4006  |  |
|  Distribution and service plan fees payable  | 487  |  |
| **Total Liabilities**  |  | 47876  |
| **Net Assets**  |  | $45860159  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $46167297  |
|  Total accumulated earnings (loss)  |  | (307138)  |
|  **Net Assets**  |  | $45860159  |
|  **Net Asset Value and Maximum Offering Price**  |  |  |
| **Class A :**  |  |  |
|  **Net Asset Value** and redemption price per share ($2,339,538 ÷ 231,188 shares) <sup>(a)</sup>  |  | $10.12  |
|  Maximum offering price per share (100/97.25 of $10.12)  |  | $10.41  |
| **Municipal Income 2023 :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($22,699,250 ÷ 2,243,209 shares)  |  | $10.12  |
| **Class I :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($20,821,371 ÷ 2,057,559 shares)  |  | $10.12  |
| *(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**  |
|  |  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Interest  |  | $500472  |
| Income from Fidelity Central Funds  |  | 10412  |
| **Total Income**  |  | 510884  |
|  **Expenses**  |  |  |
| Management fee  | $80871  |  |
| Transfer agent fees  | 26957  |  |
| Distribution and service plan fees  | 3046  |  |
| Independent trustees' fees and expenses  | 95  |  |
| Total expenses before reductions  | 110969  |  |
| Expense reductions  | (141)  |  |
| Total expenses after reductions  |  | 110828  |
| **Net Investment income (loss)**  |  | 400056  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (56863)  |  |
| Capital gain distributions from Fidelity Central Funds  | 12  |  |
| Total net realized gain (loss)  |  | (56851)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (183497)  |  |
| Fidelity Central Funds  | (1)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (183498)  |
| **Net gain (loss)**  |  | (240349)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $159707  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  | **Year ended** <br> **June 30, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $400056  | $671199  |
| &nbsp;&nbsp; Net realized gain (loss)  | (56851) <br>| 28989 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (183498)  | (1246658) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 159707 <br>| (546470) <br>|
| Distributions to shareholders  | (399437) <br>| (670143) <br>|
| Share transactions - net increase (decrease)  | (12608269) <br>| 14530478 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (12847999) <br>| 13313865 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 58708158  | 45394293 <br>|
| &nbsp;&nbsp; End of period  | $45860159  | $58708158  |

---

**Financial Highlights** 

 **Fidelity Advisor® Municipal Income 2023 Fund Class A** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.16  | $10.44  | $10.40  | $10.34  | $10.08  | $10.25  |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .063  | .121  | .146  | .183  | .189  | .175  |
| Net realized and unrealized gain (loss)  | (.040)  | (.280)  | .041  | .060  | .259  | (.171)  |
| Total from investment operations  | .023  | (.159)  | .187  | .243  | .448  | .004  |
| Distributions from net investment income  | (.063)  | (.121)  | (.147)  | (.183)  | (.188)  | (.174)  |
| Total distributions  | (.063)  | (.121)  | (.147)  | (.183)  | (.188)  | (.174)  |
| Net asset value, end of period  | $10.12  | $10.16  | $10.44  | $10.40  | $10.34  | $10.08  |
| **Total Return** <sup>C,D,E</sup>  | .23%  | (1.53)%  | 1.81%  | 2.37%  | 4.50%  | .04%  |
| **Ratios to Average Net Assets** <sup>B,F,G</sup>  |  |  |  |  |  |  |
| Expenses before reductions  | .64% <sup>H,I</sup>  | .65%  | .65%  | .65%  | .65%  | .65%  |
| Expenses net of fee waivers, if any  | .64% <sup>H,I</sup>  | .65%  | .65%  | .65%  | .65%  | .65%  |
| Expenses net of all reductions  | .64% <sup>H,I</sup>  | .65%  | .65%  | .65%  | .65%  | .65%  |
| Net investment income (loss)  | 1.23% <sup>H</sup>  | 1.17%  | 1.39%  | 1.77%  | 1.86%  | 1.71%  |
| **Supplemental Data**  |  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $2340  | $2684  | $3126  | $2675  | $2487  | $2390  |
| Portfolio turnover rate <sup>J</sup>  | -% <sup>H</sup>  | 9%  | 9%  | 10%  | 18%  | 12%  |

---

<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 for periods of less than one year are not annualized.*

<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> *Annualized.*

<sup>I</sup> *On certain classes, the size and fluctuation of net assets and expense amounts may cause ratios to differ from contractual rates.*

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

 **Fidelity® Municipal Income 2023 Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.16  | $10.44  | $10.40  | $10.34  | $10.08  | $10.24  |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .076  | .146  | .171  | .209  | .214  | .199  |
| Net realized and unrealized gain (loss)  | (.040)  | (.279)  | .042  | .060  | .260  | (.159)  |
| Total from investment operations  | .036  | (.133)  | .213  | .269  | .474  | .040  |
| Distributions from net investment income  | (.076)  | (.147)  | (.173)  | (.209)  | (.214)  | (.200)  |
| Total distributions  | (.076)  | (.147)  | (.173)  | (.209)  | (.214)  | (.200)  |
| Net asset value, end of period  | $10.12  | $10.16  | $10.44  | $10.40  | $10.34  | $10.08  |
| **Total Return** <sup>C,D</sup>  | .35%  | (1.29)%  | 2.06%  | 2.63%  | 4.76%  | .39%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |  |
| Expenses before reductions  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of fee waivers, if any  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of all reductions  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Net investment income (loss)  | 1.48% <sup>G</sup>  | 1.42%  | 1.64%  | 2.02%  | 2.11%  | 1.96%  |
| **Supplemental Data**  |  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $22699  | $31541  | $32627  | $25058  | $23223  | $18883  |
| Portfolio turnover rate <sup>H</sup>  | -% <sup>G</sup>  | 9%  | 9%  | 10%  | 18%  | 12%  |

---

<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 for periods of less than one year are not annualized.*

<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> *Annualized.*

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

 **Fidelity Advisor® Municipal Income 2023 Fund Class I** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.16  | $10.44  | $10.40  | $10.34  | $10.08  | $10.24  |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .076  | .145  | .172  | .209  | .213  | .199  |
| Net realized and unrealized gain (loss)  | (.040)  | (.278)  | .041  | .060  | .261  | (.159)  |
| Total from investment operations  | .036  | (.133)  | .213  | .269  | .474  | .040  |
| Distributions from net investment income  | (.076)  | (.147)  | (.173)  | (.209)  | (.214)  | (.200)  |
| Total distributions  | (.076)  | (.147)  | (.173)  | (.209)  | (.214)  | (.200)  |
| Net asset value, end of period  | $10.12  | $10.16  | $10.44  | $10.40  | $10.34  | $10.08  |
| **Total Return** <sup>C,D</sup>  | .35%  | (1.29)%  | 2.06%  | 2.63%  | 4.76%  | .39%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |  |
| Expenses before reductions  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of fee waivers, if any  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of all reductions  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Net investment income (loss)  | 1.48% <sup>G</sup>  | 1.42%  | 1.64%  | 2.02%  | 2.11%  | 1.96%  |
| **Supplemental Data**  |  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $20821  | $24482  | $9641  | $9716  | $9384  | $13944  |
| Portfolio turnover rate <sup>H</sup>  | -% <sup>G</sup>  | 9%  | 9%  | 10%  | 18%  | 12%  |

---

<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 for periods of less than one year are not annualized.*

<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> *Annualized.*

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

**Fidelity® Municipal Income 2025 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)**  |
| Pennsylvania  | 11.0  |
| Connecticut  | 10.8  |
| Illinois  | 7.3  |
| Massachusetts  | 6.8  |
| Florida  | 6.5  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  | &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  |
| Health Care  | 26.4%  |
| Education  | 19.5%  |
| Transportation  | 18.9%  |
| General Obligations  | 13.6%  |
| Others\* (Individually Less Than 5%)  | 21.6%  |
|  | 100.0%  |
| *\*Includes net other assets*  |  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Quality Diversification (% of Fund's net assets)**  |
| ![](img88358_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.  |

---

**Fidelity® Municipal Income 2025 Fund**

**Schedule of Investments December 31, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Bonds - 98.5%**  | &nbsp;&nbsp; **Municipal Bonds - 98.5%**  | &nbsp;&nbsp; **Municipal Bonds - 98.5%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Alabama - 2.3%  |  |  |
|  Black Belt Energy Gas District Series 2022 C1, 5.25% 6/1/25  | 500000  | 513241  |
|  Montgomery Med. Clinic Facilities Series 2015, 5% 3/1/25  | 100000  | 100357  |
|  TOTAL ALABAMA  |  | 613598  |
| Arizona - 2.3%  |  |  |
|  Glendale Trans. Excise Tax Rev. Series 2015, 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured)  | 75000  | 79155  |
|  Phoenix Civic Impt. Board Arpt. Rev.:  |  |  |
|  Series 2017 A, 5% 7/1/25 (b)  | 250000  | 259864  |
|  Series 2017 B, 5% 7/1/25  | 250000  | 263849  |
|  TOTAL ARIZONA  |  | 602868  |
| California - 5.7%  |  |  |
|  Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2015 A, 5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100)  | 365000  | 386256  |
|  Poway Unified School District Series 2009, 0% 8/1/25  | 90000  | 83229  |
|  Sacramento Muni. Util. District Elec. Rev. Series 2015, 5% 7/1/25  | 550000  | 581013  |
|  San Diego County Reg'l. Arpt. Auth. Arpt. Rev. (Sub Lien Proj.) Series 2017 B, 5% 7/1/25 (b)  | 150000  | 155554  |
|  Washington Township Health Care District Rev. Series 2017 B, 5% 7/1/25  | 270000  | 277914  |
|  TOTAL CALIFORNIA  |  | 1483966  |
| Colorado - 0.7%  |  |  |
|  E-470 Pub. Hwy. Auth. Rev. Series 1997 B, 0% 9/1/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 200000  | 184323  |
| Connecticut - 10.8%  |  |  |
|  Connecticut Gen. Oblig.:  |  |  |
|  Series 2015 B, 5% 6/15/25  | 175000  | 184640  |
|  Series 2016 D, 5% 8/15/25  | 330000  | 349473  |
|  Connecticut Health & Edl. Facilities Auth. Rev.:  |  |  |
|  (Quinnipiac Univ., Ct. Proj.) Series M, 5% 7/1/25  | 40000  | 41754  |
|  (Sacred Heart Univ., CT. Proj.) Series 2017 I-1, 5% 7/1/25  | 400000  | 419201  |
|  Series 2022 M, 5% 7/1/25  | 175000  | 181099  |
|  Series K1, 5% 7/1/25  | 280000  | 282893  |
|  Series K3, 5% 7/1/25  | 200000  | 202066  |
|  Series N, 5% 7/1/25  | 50000  | 50646  |
|  Connecticut Hsg. Fin. Auth. Series C, 5% 5/15/25 (b)  | 935000  | 969837  |
|  Hartford Gen. Oblig. Series 2015 C, 5% 7/15/25 (Assured Guaranty Muni. Corp. Insured)  | 150000  | 158332  |
|  TOTAL CONNECTICUT  |  | 2839941  |
| District Of Columbia - 1.3%  |  |  |
|  District of Columbia Rev. Series 2018, 5% 10/1/25  | 75000  | 78396  |
|  Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 B, 5% 7/1/25  | 250000  | 263911  |
|  TOTAL DISTRICT OF COLUMBIA  |  | 342307  |
| Florida - 6.5%  |  |  |
|  Broward County Arpt. Sys. Rev. Series 2017, 5% 10/1/25 (b)  | 500000  | 520905  |
|  Greater Orlando Aviation Auth. Arpt. Facilities Rev. Series 2017 A:  |  |  |
|  5% 10/1/25 (b)  | 95000  | 98896  |
|  5% 10/1/25 (Escrowed to Maturity) (b)  | 205000  | 215383  |
|  Lakeland Hosp. Sys. Rev. Series 2016, 5% 11/15/25  | 430000  | 450534  |
|  Palm Beach County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/25  | 50000  | 52687  |
|  Seminole County School Board Ctfs. of Prtn. Series 2016 C, 5% 7/1/25  | 40000  | 42166  |
|  South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017, 5% 8/15/25  | 200000  | 209169  |
|  Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2016 B, 5% 7/1/25  | 100000  | 104311  |
|  TOTAL FLORIDA  |  | 1694051  |
| Georgia - 0.2%  |  |  |
|  Atlanta Arpt. Rev. Series 2019 B, 5% 7/1/25 (b)  | 50000  | 51973  |
| Hawaii - 4.0%  |  |  |
|  Hawaii Gen. Oblig. Series 2017 FK, 5% 5/1/25  | 1000000  | 1052645  |
| Illinois - 7.3%  |  |  |
|  Chicago O'Hare Int'l. Arpt. Rev. Series 2017 D, 5% 1/1/25 (b)  | 100000  | 102914  |
|  Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017, 5% 6/1/25  | 250000  | 259152  |
|  Illinois Fin. Auth. Rev.:  |  |  |
|  (Edward-Elmhurst Healthcare) Series 2017 A, 5% 1/1/25 (Escrowed to Maturity)  | 145000  | 150671  |
|  (Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A, 5% 7/15/25  | 200000  | 210257  |
|  Series 2016, 5% 5/15/25  | 250000  | 260298  |
|  Series 2019, 5% 9/1/25  | 200000  | 204255  |
|  Illinois Gen. Oblig. Series 2013, 5.5% 7/1/25  | 200000  | 201732  |
|  Illinois Sales Tax Rev. Series 2016 D, 5% 6/15/25  | 100000  | 102980  |
|  Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2008, 0% 2/1/25 (Assured Guaranty Muni. Corp. Insured)  | 185000  | 172899  |
|  Metropolitan Pier & Exposition Series 1994 A, 0% 6/15/25  | 270000  | 247130  |
|  TOTAL ILLINOIS  |  | 1912288  |
| Indiana - 1.5%  |  |  |
|  Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (c)  | 55000  | 53662  |
|  Indiana Fin. Auth. Rev. (Cmnty. Foundation of Northwest Indiana Obligated Group) Series 2016, 5% 9/1/25  | 25000  | 26363  |
|  Indiana Hsg. & Cmnty. Dev. Auth. Series A, 5% 7/1/25  | 300000  | 316248  |
|  TOTAL INDIANA  |  | 396273  |
| Kentucky - 1.6%  |  |  |
|  Kentucky State Property & Buildings Commission Rev.:  |  |  |
|  (Kentucky St) Series 2016, 5% 10/1/25  | 100000  | 105334  |
|  (Proj. No. 118) Series 2018, 5% 4/1/25  | 300000  | 313068  |
|  TOTAL KENTUCKY  |  | 418402  |
| Louisiana - 0.4%  |  |  |
|  New Orleans Aviation Board Rev. (North Term. Proj.) Series 2017 B, 5% 1/1/25 (b)  | 100000  | 102817  |
| Maine - 3.2%  |  |  |
|  Maine Health & Higher Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2013, 5% 7/1/25 (Pre-Refunded to 7/1/23 @ 100)  | 265000  | 267303  |
|  Series 2017 A, 4% 7/1/25  | 465000  | 474551  |
|  Series 2017 B, 4% 7/1/25  | 100000  | 102054  |
|  TOTAL MAINE  |  | 843908  |
| Maryland - 0.6%  |  |  |
|  Maryland Health & Higher Edl. Facilities Auth. Rev. (Lifebridge Health Proj.) Series 2017, 5% 7/1/25  | 150000  | 156796  |
| Massachusetts - 6.8%  |  |  |
|  Massachusetts Commonwealth Trans. Fund Rev. (Rail Enhancement Prog.) Series 2021 B, 5% 6/1/25  | 375000  | 395847  |
|  Massachusetts Dev. Fin. Agcy. Rev.:  |  |  |
|  (Fisher College) Series 2017, 5% 4/1/25  | 250000  | 256240  |
|  Bonds Series 2017 A2, 5%, tender 1/30/25 (c)  | 10000  | 10385  |
|  Caregroup, Inc. Series 2015 H-1, 5% 7/1/25  | 150000  | 156466  |
|  Series 2016 I, 5% 7/1/25  | 50000  | 51610  |
|  Series 2019 K, 5% 7/1/25  | 50000  | 52155  |
|  Series 2019, 5% 7/1/25  | 170000  | 175638  |
|  Series 2022, 5% 7/1/25  | 125000  | 128754  |
|  Massachusetts Edl. Fing. Auth. Rev. Series 2017 A, 5% 7/1/25 (b)  | 250000  | 258713  |
|  Massachusetts Port Auth. Rev. Series 2019 C, 5% 7/1/25 (b)  | 300000  | 312932  |
|  TOTAL MASSACHUSETTS  |  | 1798740  |
| Michigan - 3.1%  |  |  |
|  Flint Hosp. Bldg. Auth. Rev. Series 2020, 5% 7/1/25  | 300000  | 308218  |
|  Grand Traverse County Hosp. Fin. Auth. Series 2019 A, 5% 7/1/25  | 150000  | 157348  |
|  Saginaw Hosp. Fin. Auth. Hosp. Rev. Series 2020 J, 5% 7/1/25  | 100000  | 104311  |
|  Warren Consolidated School District Series 2017, 4% 5/1/25 (Assured Guaranty Muni. Corp. Insured)  | 250000  | 255856  |
|  TOTAL MICHIGAN  |  | 825733  |
| Missouri - 3.6%  |  |  |
|  Saint Louis Arpt. Rev.:  |  |  |
|  Series 2017 A, 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured)  | 370000  | 388215  |
|  Series 2017 B, 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) (b)  | 250000  | 259864  |
|  Series 2019 C, 5% 7/1/25  | 290000  | 303636  |
|  TOTAL MISSOURI  |  | 951715  |
| Nebraska - 0.5%  |  |  |
|  Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (c)  | 125000  | 124674  |
| Nevada - 0.2%  |  |  |
|  Clark County School District Series 2017 A, 5% 6/15/25  | 60000  | 63188  |
| New Hampshire - 1.3%  |  |  |
|  New Hampshire Health & Ed. Facilities Auth.:  |  |  |
|  (Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A, 5% 8/1/25  | 50000  | 52231  |
|  (Partners Healthcare Sys., Inc. Proj.) Series 2017, 5% 7/1/25  | 200000  | 210980  |
|  New Hampshire Health & Ed. Facilities Auth. Rev. Series 2016, 5% 10/1/25  | 70000  | 73338  |
|  TOTAL NEW HAMPSHIRE  |  | 336549  |
| New Jersey - 3.7%  |  |  |
|  New Jersey Econ. Dev. Auth. Lease Rev. (Libersty State Park Proj.) Series 2015 A, 5% 6/15/25  | 200000  | 208360  |
|  New Jersey Edl. Facility:  |  |  |
|  (Stevens Institute of Techonolgy Proj.) Series 2017 A, 5% 7/1/25  | 105000  | 108710  |
|  (Stockton Univ. Proj.) Series A, 5% 7/1/25  | 15000  | 15661  |
|  Series 2016 E, 5% 7/1/25  | 50000  | 52241  |
|  New Jersey Health Care Facilities Fing. Auth. Rev. (St Joseph Hosp. & Med. Ctr., Proj.) Series 2016, 5% 7/1/25  | 400000  | 410288  |
|  New Jersey Trans. Trust Fund Auth.:  |  |  |
|  Series 2006 C, 0% 12/15/25  | 140000  | 126746  |
|  Series 2016 A, 5% 6/15/25  | 40000  | 41691  |
|  TOTAL NEW JERSEY  |  | 963697  |
| New York - 2.4%  |  |  |
|  Dutchess County Local Dev. Corp. Rev. (Health Quest Systems, Inc. Proj.) Series 2016 A, 5% 7/1/25  | 30000  | 31046  |
|  New York City Muni. Wtr. Fin. Auth. Series 2015, 5% 6/15/27 (Pre-Refunded to 6/15/25 @ 100)  | 200000  | 211148  |
|  Niagara Frontier Trans. Auth. Arpt. Rev. Series 2019 A, 5% 4/1/25 (b)  | 255000  | 262860  |
|  Onondaga Civic Dev. Corp. (Le Moyne College Proj.):  |  |  |
|  Series 2015, 5% 7/1/25  | 100000  | 102763  |
|  Series 2018, 5% 1/1/25  | 15000  | 15330  |
|  TOTAL NEW YORK  |  | 623147  |
| Ohio - 3.9%  |  |  |
|  Akron Bath Copley Hosp. District Rev. (Summa Health Sys.) Series 2016, 5% 11/15/25  | 150000  | 156161  |
|  Hamilton County Hosp. Facilities Rev. (Trihealth, Inc. Obligated Group Proj.) Series 2017 A, 5% 8/15/25  | 140000  | 147499  |
|  Lancaster Port Auth. Gas Rev. Series 2019, 5% 2/1/25  | 200000  | 203819  |
|  Ohio Higher Edl. Facility Commission Rev.:  |  |  |
|  (Kenyon College, Oh. Proj.) Series 2017 5% 7/1/25  | 200000  | 208134  |
|  (Xavier Univ. 2015 Proj.) Series 2015 C, 5% 5/1/25  | 190000  | 197688  |
|  (Xavier Univ. 2016 Proj.) Series 2016, 5% 5/1/25  | 100000  | 104047  |
|  TOTAL OHIO  |  | 1017348  |
| Oregon - 2.4%  |  |  |
|  Clackamas County Hosp. Facility Auth. (Williamette View, Inc.) Series 2017 A, 4% 5/15/25  | 200000  | 197508  |
|  Port of Portland Arpt. Rev. Series 24B, 5% 7/1/25 (b)  | 420000  | 436571  |
|  TOTAL OREGON  |  | 634079  |
| Pennsylvania - 11.0%  |  |  |
|  Allegheny County Hosp. Dev. Auth. Rev. Series 2019 A, 5% 7/15/25  | 600000  | 628526  |
|  Bucks County Indl. Dev. Auth. Hosp. Rev. Series 2021, 5% 7/1/25  | 375000  | 383036  |
|  Butler County Hosp. Auth. Hosp. Rev. Series 2015 A, 5% 7/1/25  | 30000  | 31125  |
|  Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.) Series 2018 A, 5% 11/15/25  | 100000  | 105702  |
|  Delaware County Auth. Rev. Series 2017, 5% 7/1/25  | 125000  | 125707  |
|  Doylestown Hosp. Auth. Hosp. Rev. Series 2016 A, 5% 7/1/25  | 125000  | 123304  |
|  Dubois Hosp. Auth. Hosp. Rev. (Penn Highlands Healthcare Proj.) Series 2018, 5% 7/15/25  | 110000  | 114060  |
|  Monroe County Hosp. Auth. Rev. Series 2016, 5% 7/1/25  | 50000  | 52155  |
|  Pennsylvania Higher Edl. Facilities Auth. Rev.:  |  |  |
|  (Drexel Univ.) Series 2016, 5% 5/1/25  | 445000  | 464839  |
|  Series 2015 AQ, 5% 6/15/25  | 200000  | 210191  |
|  Philadelphia Arpt. Rev.:  |  |  |
|  Series 2017 A, 5% 7/1/25  | 50000  | 52351  |
|  Series 2017 B, 5% 7/1/25 (b)  | 210000  | 217522  |
|  Philadelphia School District:  |  |  |
|  Series 2015 A, 5% 9/1/25  | 20000  | 20996  |
|  Series 2018 A, 5% 9/1/25  | 50000  | 52516  |
|  Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 A, 5% 6/1/25  | 300000  | 314741  |
|  TOTAL PENNSYLVANIA  |  | 2896771  |
| Puerto Rico - 0.4%  |  |  |
|  Puerto Rico Commonwealth Pub. Impt. Gen. Oblig. Series 2022 A1, 5.375% 7/1/25  | 100000  | 100754  |
| Tennessee - 2.1%  |  |  |
|  Chattanooga Health Ed. & Hsg. Facility Board Rev. Series 2019 A1, 5% 8/1/25  | 250000  | 259961  |
|  Knox County Health Edl. & Hsg. Facilities Board Rev.:  |  |  |
|  Series 2016, 5% 9/1/25  | 15000  | 15525  |
|  Series 2017, 5% 4/1/25  | 265000  | 272707  |
|  TOTAL TENNESSEE  |  | 548193  |
| Texas - 0.8%  |  |  |
|  Houston Arpt. Sys. Rev. Series 2018 C, 5% 7/1/25 (b)  | 200000  | 207551  |
| Utah - 0.1%  |  |  |
|  Salt Lake City Arpt. Rev. Series 2017 A, 5% 7/1/25 (b)  | 30000  | 31133  |
| Vermont - 2.6%  |  |  |
|  Vermont Student Assistant Corp. Ed. Ln. Rev.:  |  |  |
|  Series 2015 A, 5% 6/15/25 (b)  | 300000  | 310535  |
|  Series 2019 A, 5% 6/15/25 (b)  | 105000  | 108687  |
|  Series 2020 A, 5% 6/15/25 (b)  | 250000  | 258779  |
|  TOTAL VERMONT  |  | 678001  |
| Virginia - 0.5%  |  |  |
|  Salem Econ. Dev. Auth. Series 2020, 5% 4/1/25  | 125000  | 128445  |
| Washington - 2.4%  |  |  |
|  Port of Seattle Rev. Series 2017 C, 5% 5/1/25 (b)  | 465000  | 482017  |
|  Washington Convention Ctr. Pub. Facilities Series 2018, 5% 7/1/25  | 155000  | 159320  |
|  TOTAL WASHINGTON  |  | 641337  |
| Wisconsin - 2.3%  |  |  |
|  Pub. Fin. Auth. Hosp. Rev. Series 2016, 5% 6/1/25  | 180000  | 186463  |
|  Wisconsin Health & Edl. Facilities:  |  |  |
|  Bonds Series 2018 B, 5%, tender 1/29/25 (c)  | 40000  | 41408  |
|  Series 2014, 5% 5/1/25  | 100000  | 102001  |
|  Series 2016, 5% 2/15/27 (Pre-Refunded to 8/15/25 @ 100)  | 10000  | 10558  |
|  Series 2017 A:  |  |  |
|  5% 4/1/25 <br>| 155000  | 161649  |
|  5% 9/1/25 (Escrowed to Maturity) <br>| 100000  | 105425  |
|  TOTAL WISCONSIN  |  | 607504  |
| <br> **TOTAL MUNICIPAL BONDS** <br> (Cost $26,569,172)  |  | <br> **25874715**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 0.7%**  | &nbsp;&nbsp; **Money Market Funds - 0.7%**  | &nbsp;&nbsp; **Money Market Funds - 0.7%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Municipal Cash Central Fund 3.72% (d)(e) <br>(Cost $167,000) <br>| 166967  | **167000**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.2%** <br> (Cost $26,736,172) <br>| <br>**26041715**  |
| **NET OTHER ASSETS (LIABILITIES) - 0.8%**  | **221531**  |
| **NET ASSETS - 100.0%**  | **26263246**  |

---

**Legend**

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

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

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

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

(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 are available on the SEC's website or upon request.

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Municipal Cash Central Fund 3.72%  | 578000  | 3555000  | 3966000  | 7886  | -  | -  | 167000  | 0.0%  |
| Total  | 578000  | 3555000  | 3966000  | 7886  | -  | -  | 167000  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of December 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  Municipal Securities  | 25874715  | -  | 25874715  | -  |
|  Money Market Funds  | 167000  | 167000  | -  | -  |
| **Total Investments in Securities:**  | 26041715  | 167000  | 25874715  | -  |

---

**Fidelity® Municipal Income 2025 Fund**

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $26,569,172)  | $25874715  |  |
|  Fidelity Central Funds (cost $167,000)  | 167000  |  |
|  Total Investment in Securities (cost $26,736,172)  |  | $26041715  |
|  Interest receivable  |  | 393656  |
|  Distributions receivable from Fidelity Central Funds  |  | 1083  |
| Other receivables  |  | 25  |
| **Total assets**  |  | 26436479  |
| **Liabilities**  |  |  |
|  Payable to custodian bank  | 106193  |  |
|  Payable for fund shares redeemed  | 47877  |  |
|  Distributions payable  | 9698  |  |
|  Accrued management fee  | 6579  |  |
|  Distribution and service plan fees payable  | 691  |  |
|  Other affiliated payables  | 2195  |  |
| **Total Liabilities**  |  | 173233  |
| **Net Assets**  |  | $26263246  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $27029683  |
|  Total accumulated earnings (loss)  |  | (766437)  |
|  **Net Assets**  |  | $26263246  |
|  **Net Asset Value and Maximum Offering Price**  |  |  |
| **Class A :**  |  |  |
|  **Net Asset Value** and redemption price per share ($3,346,545 ÷ 340,828 shares) <sup>(a)</sup>  |  | $9.82  |
|  Maximum offering price per share (100/97.25 of $9.82)  |  | $10.10  |
| **Municipal Income 2025 :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($18,084,273 ÷ 1,841,736 shares)  |  | $9.82  |
| **Class I :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($4,832,428 ÷ 492,093 shares)  |  | $9.82  |
| *(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**  |
|  |  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Interest  |  | $263390  |
| Income from Fidelity Central Funds  |  | 7878  |
| **Total Income**  |  | 271268  |
|  **Expenses**  |  |  |
| Management fee  | $38617  |  |
| Transfer agent fees  | 12872  |  |
| Distribution and service plan fees  | 4130  |  |
| Independent trustees' fees and expenses  | 43  |  |
| Total expenses before reductions  | 55662  |  |
| Expense reductions  | (130)  |  |
| Total expenses after reductions  |  | 55532  |
| **Net Investment income (loss)**  |  | 215736  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Capital gain distributions from Fidelity Central Funds  | 8  |  |
| Total net realized gain (loss)  |  | 8  |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | (239343)  |
| **Net gain (loss)**  |  | (239335)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(23599)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  | **Year ended** <br> **June 30, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $215736  | $396741  |
| &nbsp;&nbsp; Net realized gain (loss)  | 8 <br>| 2057 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (239343)  | (1724403) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (23599) <br>| (1325605) <br>|
| Distributions to shareholders  | (215731) <br>| (396732) <br>|
| Share transactions - net increase (decrease)  | 2090319 <br>| (377895) <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 1850989 <br>| (2100232) <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 24412257  | 26512489 <br>|
| &nbsp;&nbsp; End of period  | $26263246  | $24412257  |

---

**Financial Highlights** 

 **Fidelity Advisor® Municipal Income 2025 Fund Class A** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.91  | $10.59  | $10.35  | $10.29  | $9.77  | $9.96  |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .072  | .135  | .146  | .166  | .180  | .163  |
| Net realized and unrealized gain (loss)  | (.090)  | (.680)  | .241  | .060  | .521  | (.192)  |
| Total from investment operations  | (.018)  | (.545)  | .387  | .226  | .701  | (.029)  |
| Distributions from net investment income  | (.072)  | (.135)  | (.147)  | (.166)  | (.181)  | (.161)  |
| Total distributions  | (.072)  | (.135)  | (.147)  | (.166)  | (.181)  | (.161)  |
| Net asset value, end of period  | $9.82  | $9.91  | $10.59  | $10.35  | $10.29  | $9.77  |
| **Total Return** <sup>C,D,E</sup>  | (.18)%  | (5.18)%  | 3.75%  | 2.21%  | 7.25%  | (.29)%  |
| **Ratios to Average Net Assets** <sup>B,F,G</sup>  |  |  |  |  |  |  |
| Expenses before reductions  | .65% <sup>H</sup>  | .65%  | .65%  | .65%  | .65%  | .65%  |
| Expenses net of fee waivers, if any  | .65% <sup>H</sup>  | .65%  | .65%  | .65%  | .65%  | .65%  |
| Expenses net of all reductions  | .64% <sup>H</sup>  | .65%  | .65%  | .65%  | .65%  | .65%  |
| Net investment income (loss)  | 1.45% <sup>H</sup>  | 1.31%  | 1.39%  | 1.61%  | 1.81%  | 1.65%  |
| **Supplemental Data**  |  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $3347  | $3309  | $3550  | $3510  | $3329  | $2482  |
| Portfolio turnover rate <sup>I</sup>  | -% <sup>H</sup>  | 7%  | 6%  | 23%  | 17%  | 44%  |

---

<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 for periods of less than one year are not annualized.*

<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> *Annualized.*

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

 **Fidelity® Municipal Income 2025 Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.91  | $10.59  | $10.35  | $10.29  | $9.77  | $9.96  |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .084  | .161  | .173  | .193  | .205  | .187  |
| Net realized and unrealized gain (loss)  | (.090)  | (.680)  | .240  | .059  | .521  | (.191)  |
| Total from investment operations  | (.006)  | (.519)  | .413  | .252  | .726  | (.004)  |
| Distributions from net investment income  | (.084)  | (.161)  | (.173)  | (.192)  | (.206)  | (.186)  |
| Total distributions  | (.084)  | (.161)  | (.173)  | (.192)  | (.206)  | (.186)  |
| Net asset value, end of period  | $9.82  | $9.91  | $10.59  | $10.35  | $10.29  | $9.77  |
| **Total Return** <sup>C,D</sup>  | (.06)%  | (4.95)%  | 4.01%  | 2.47%  | 7.52%  | (.04)%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |  |
| Expenses before reductions  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of fee waivers, if any  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of all reductions  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Net investment income (loss)  | 1.70% <sup>G</sup>  | 1.56%  | 1.64%  | 1.86%  | 2.06%  | 1.90%  |
| **Supplemental Data**  |  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $18084  | $15820  | $17136  | $14596  | $15780  | $8947  |
| Portfolio turnover rate <sup>H</sup>  | -% <sup>G</sup>  | 7%  | 6%  | 23%  | 17%  | 44%  |

---

<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 for periods of less than one year are not annualized.*

<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> *Annualized.*

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

 **Fidelity Advisor® Municipal Income 2025 Fund Class I** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.91  | $10.59  | $10.36  | $10.29  | $9.77  | $9.96  |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .084  | .161  | .173  | .192  | .205  | .187  |
| Net realized and unrealized gain (loss)  | (.090)  | (.680)  | .230  | .070  | .521  | (.191)  |
| Total from investment operations  | (.006)  | (.519)  | .403  | .262  | .726  | (.004)  |
| Distributions from net investment income  | (.084)  | (.161)  | (.173)  | (.192)  | (.206)  | (.186)  |
| Total distributions  | (.084)  | (.161)  | (.173)  | (.192)  | (.206)  | (.186)  |
| Net asset value, end of period  | $9.82  | $9.91  | $10.59  | $10.36  | $10.29  | $9.77  |
| **Total Return** <sup>C,D</sup>  | (.06)%  | (4.95)%  | 3.91%  | 2.57%  | 7.52%  | (.04)%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |  |
| Expenses before reductions  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of fee waivers, if any  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of all reductions  | .40% <sup>G</sup>  | .40%  | .40%  | .40%  | .40%  | .40%  |
| Net investment income (loss)  | 1.70% <sup>G</sup>  | 1.56%  | 1.64%  | 1.86%  | 2.06%  | 1.90%  |
| **Supplemental Data**  |  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $4832  | $5284  | $5827  | $5512  | $4727  | $3794  |
| Portfolio turnover rate <sup>H</sup>  | -% <sup>G</sup>  | 7%  | 6%  | 23%  | 17%  | 44%  |

---

<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 for periods of less than one year are not annualized.*

<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> *Annualized.*

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

**Notes to Financial Statements** **(Unaudited)**

For the period ended December 31, 2022

**1. Organization.**

Fidelity Municipal Income 2023 Fund and Fidelity Municipal Income 2025 Fund (the Funds) are funds of Fidelity Salem Street Trust (the Trust) and are 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 Funds offer Class A, Class I, and Retail Class 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. Effective after the close of business on June 30, 2022, the Fidelity Municipal Income 2023 Fund was closed to new accounts 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.**

Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies* . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated each Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, each Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages each Fund's fair valuation practices and maintains the fair valuation policies and procedures. Each Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value each Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. 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 each Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are 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, and capital loss carryforwards.

The Funds purchase 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 for each Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Tax cost**  | **Gross unrealized appreciation**  | **Gross unrealized depreciation**  | **Net unrealized appreciation (depreciation)**  |
| **Fidelity Municipal Income 2023 Fund.**  | 45484385  | $18141  | $(248263)  | $(230122)  |
| **Fidelity Municipal Income 2025 Fund.**  | 26736172  | 6596  | (701053)  | (694457)  |

---

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Short-term**  | **Long-term**  | **Total capital loss** <br> **carryforward**  |
| **Fidelity Municipal Income 2023 Fund.**  | $(6904)  | $(-)  | $(6904)  |
| **Fidelity Municipal Income 2025 Fund.**  | (71998)  | (-)  | (71998)  |

---

**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 Municipal Income 2023 Fund**  | -  | 10594873  |
| **Fidelity Municipal Income 2025 Fund**  | 2889965  | -  |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of.30% of average net assets. Under the management contract, the investment adviser pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Service Fee**  | **Total Fees**  | **Retained by FDC**  |
| **Fidelity Municipal Income 2023 Fund**  |  |  |  |
| **Class A**  | .25%  | $3046  | $-  |
| **Fidelity Municipal Income 2025 Fund**  |  |  |  |
| **Class A**  | .25%  | 4130  | 3323  |

---

**Sales Load.** FDC may receive a front-end sales charge of up to 2.75% for selling each Fund's Class A 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 redemptions. The deferred sales charge is .75% or .50% for certain purchases of each Fund's Class A shares.

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

---

| | |
|:---|:---|
|  | **Retained by FDC**  |
| **Fidelity Municipal Income 2023 Fund**  |  |
| **Class A**  | $-  |
| **Fidelity Municipal Income 2025 Fund**  |  |
| **Class A**  | -  |

---

**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 Funds. FIIOC receives asset-based fees of .10% of class-level average net assets for each class of each Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class of each fund were as follows:

---

| | |
|:---|:---|
|  | **Amount**  |
| **Fidelity Municipal Income 2023 Fund**  |  |
| **Class A**  | $1218  |
| **Municipal Income 2023**  | 14280  |
| **Class I**  | <u>11459</u>  |
|  | <u>$26957</u>  |
| **Fidelity Municipal Income 2025 Fund**  |  |
| **Class A**  | $1652  |
| **Municipal Income 2025**  | 8602  |
| **Class I**  | <u>2618</u>  |
|  | <u>$12872</u>  |

---

**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.

**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 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.

**7. Expense Reductions.** 

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

---

| | | |
|:---|:---|:---|
|  | **Custodian credits**  | **Transfer Agent credits**  |
| **Fidelity Municipal Income 2023 Fund** .  | $27  |  |
| Class A  |  | $4  |
| Municipal Income 2023  |  | 63  |
| Class I  |  | 47  |
| **Fidelity Municipal Income 2025 Fund** .  | 27  |  |
| Class A  |  | 7  |
| Municipal Income 2025  |  | 64  |
| Class I  |  | 32  |

---

**8. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Six months ended December 31, 2022**  | **Year ended** **June 30, 2022**  |
| **Fidelity Municipal Income 2023 Fund**  |  |  |
| **Distributions to shareholders**  |  |  |
| Class A  | $15174  | $32039  |
| Municipal Income 2023  | 213046  | 451351  |
| Class I  | <u>171217</u>  | <u>186753</u>  |
| Total  | <u>$399437</u>  | <u>$670143</u>  |
| **Fidelity Municipal Income 2025 Fund**  |  |  |
| **Distributions to shareholders**  |  |  |
| Class A  | $24094  | $45144  |
| Municipal Income 2025  | 146945  | 264122  |
| Class I  | <u>44692</u>  | <u>87466</u>  |
| Total  | <u>$215731</u>  | <u>$396732</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**  |
|  | **Six months ended December 31, 2022**  | **Year ended** **June 30, 2022**  | **Six months ended December 31, 2022**  | **Year ended** **June 30, 2022**  |
| **Fidelity Municipal Income 2023 Fund**  |  |  |  |  |
| **Class A**  |  |  |  |  |
| Shares sold  | -  | 22605  | $-  | $229750  |
| Reinvestment of distributions  | 1355  | 2832  | 13706  | 29184  |
| Shares redeemed  | <u>(34372)</u>  | <u>(60697)</u>  | <u>(348714)</u>  | <u>(629335)</u>  |
| Net increase (decrease)  | <u>(33017)</u>  | <u>(35260)</u>  | <u>$(335008)</u>  | <u>$(370401)</u>  |
| **Municipal Income 2023**  |  |  |  |  |
| Shares sold  | -  | 680872  | $-  | $6989240  |
| Reinvestment of distributions  | 13068  | 29357  | 132230  | 302416  |
| Shares redeemed  | <u>(874380)</u>  | <u>(731067)</u>  | <u>(8838922)</u>  | <u>(7525006)</u>  |
| Net increase (decrease)  | <u>(861312)</u>  | <u>(20838)</u>  | <u>$(8706692)</u>  | <u>$(233350)</u>  |
| **Class I**  |  |  |  |  |
| Shares sold  | 3  | 1729592  | $27  | $17640853  |
| Reinvestment of distributions  | 16631  | 17265  | 168286  | 177025  |
| Shares redeemed  | <u>(368700)</u>  | <u>(260718)</u>  | <u>(3734882)</u>  | <u>(2683649)</u>  |
| Net increase (decrease)  | <u>(352066)</u>  | <u>1486139</u>  | <u>$(3566569)</u>  | <u>$15134229</u>  |
| **Fidelity Municipal Income 2025 Fund**  |  |  |  |  |
| **Class A**  |  |  |  |  |
| Shares sold  | 13664  | 2990  | $134667  | $30464  |
| Reinvestment of distributions  | 2455  | 4385  | 24080  | 45104  |
| Shares redeemed  | <u>(9311)</u>  | <u>(8522)</u>  | <u>(90750)</u>  | <u>(88903)</u>  |
| Net increase (decrease)  | <u>6808</u>  | <u>(1147)</u>  | <u>$67997</u>  | <u>$(13335)</u>  |
| **Municipal Income 2025**  |  |  |  |  |
| Shares sold  | 475061  | 266749  | $4670577  | $2736157  |
| Reinvestment of distributions  | 10469  | 20432  | 102689  | 210378  |
| Shares redeemed  | <u>(240750)</u>  | <u>(308148)</u>  | <u>(2350306)</u>  | <u>(3140427)</u>  |
| Net increase (decrease)  | <u>244780</u>  | <u>(20967)</u>  | <u>$2422960</u>  | <u>$(193892)</u>  |
| **Class I**  |  |  |  |  |
| Shares sold  | 61636  | 17070  | $611309  | $174223  |
| Reinvestment of distributions  | 4373  | 7993  | 42894  | 82223  |
| Shares redeemed  | <u>(107217)</u>  | <u>(41851)</u>  | <u>(1054841)</u>  | <u>(427114)</u>  |
| Net increase (decrease)  | <u>(41208)</u>  | <u>(16788)</u>  | <u>$(400638)</u>  | <u>$(170668)</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.

**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® Municipal Income 2023 Fund**  |  |  |  |  |
| **Class A**  | .64%  |  |  |  |
| **Actual**  |  | $1000  | $1002.30  | $3.23  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.98  | $3.26  |
| **Fidelity® Municipal Income 2023 Fund**  | .40%  |  |  |  |
| **Actual**  |  | $1000  | $1003.50  | $2.02  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1023.19  | $2.04  |
| **Class I**  | .40%  |  |  |  |
| **Actual**  |  | $1000  | $1003.50  | $2.02  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1023.19  | $2.04  |
| **Fidelity® Municipal Income 2025 Fund**  |  |  |  |  |
| **Class A**  | .65%  |  |  |  |
| **Actual**  |  | $1000  | $998.20  | $3.27  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.93  | $3.31  |
| **Fidelity® Municipal Income 2025 Fund**  | .40%  |  |  |  |
| **Actual**  |  | $1000  | $999.40  | $2.02  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1023.19  | $2.04  |
| **Class I**  | .40%  |  |  |  |
| **Actual**  |  | $1000  | $999.40  | $2.02  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1023.19  | $2.04  |

---

*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.*

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

**Fidelity Defined Maturity Funds** 

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

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

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

In considering whether to renew the Advisory Contracts for each 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 each 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 each fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that each 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 that 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 funds, including the backgrounds of investment personnel of Fidelity, and also considered the funds' investment objectives, strategies, and related investment philosophies. 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 each 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 each 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, each 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 each 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 each fund for different time periods, measured against an appropriate securities market index (benchmark index). 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, 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 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 a representative class (the retail) of each fund and an appropriate benchmark index for the most recent one-, three-, and five-year periods (for the most recent one- and three-year periods for Fidelity Municipal Income 2025 Fund). No performance peer group information was considered by the Board as Fidelity advised the Board that competitor funds have different and/or broader investment mandates compared with each fund's more specialized strategies.

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

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

<u>Management Fee</u> . The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the charts 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 a 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 funds' actual TMG %s and the number of funds in the Total Mapped Group are in the charts 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 a fund's management fee rate ranked, is also included in the charts and was considered by the Board.

**Fidelity Municipal Income 2023 Fund**![](img88358_7.jpg)

**Fidelity Municipal Income 2025 Fund**![](img88358_8.jpg)

The Board noted that each 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 each 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 each fund, the Board considered the fund's management fee rate as well as other "fund-level" expenses, such as pricing and bookkeeping fees and custodial, legal, and audit fees, paid by FMR under the fund's management contract. The Board also considered other "class-level" expenses, such as transfer agent fees and fund-paid 12b-1 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 each fund. Each 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 of each fund ranked below the similar sales load structure group competitive median for 2021 and below the ASPG competitive median for 2021.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of each 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 each fund and servicing each 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 each 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 each 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 each fund's Advisory Contracts should be renewed.

![](img88358_2.jpg) <br>

1.926263.111 DMI-SANN-0323

**Fidelity® Mid Cap Growth Index Fund**

**Fidelity® Mid Cap Value Index Fund**

**Fidelity® Small Cap Growth Index Fund**

**Fidelity® Small Cap Value Index Fund**

**Semi-Annual Report**

**December 31, 2022**

![](img88354_1.jpg)

![](img88354_2.jpg)

**Contents**

---

| |
|:---|
| **[Fidelity® Mid Cap Growth Index Fund](#Sec_FundName3403)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Investment Summary](#Sub_Sec_InvestmentSummary3403)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Schedule of Investments](#Sub_Sec_ScheduleOfInvestments3403)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Financial Statements](#Sub_Sec_FinancialStatements3403)** |
| **[Fidelity® Mid Cap Value Index Fund](#Sec_FundName3404)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Investment Summary](#Sub_Sec_InvestmentSummary3404)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Schedule of Investments](#Sub_Sec_ScheduleOfInvestments3404)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Financial Statements](#Sub_Sec_FinancialStatements3404)** |
| **[Fidelity® Small Cap Growth Index Fund](#Sec_FundName3405)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Investment Summary](#Sub_Sec_InvestmentSummary3405)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Schedule of Investments](#Sub_Sec_ScheduleOfInvestments3405)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Financial Statements](#Sub_Sec_FinancialStatements3405)** |
| **[Fidelity® Small Cap Value Index Fund](#Sec_FundName3406)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Investment Summary](#Sub_Sec_InvestmentSummary3406)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Schedule of Investments](#Sub_Sec_ScheduleOfInvestments3406)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Financial Statements](#Sub_Sec_FinancialStatements3406)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[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.

A fund is not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings (collectively, the "LSE Group"). The LSE Group does not accept any liability whatsoever to any person arising out of the use of a fund or the underlying data.

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

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

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

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Funds nor Fidelity Distributors Corporation is a bank.*

**Fidelity® Mid Cap Growth Index Fund** 

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

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| Synopsys, Inc.  | 1.5  |
| Cadence Design Systems, Inc.  | 1.3  |
| DexCom, Inc.  | 1.3  |
| AutoZone, Inc.  | 1.3  |
| Agilent Technologies, Inc.  | 1.2  |
| Chipotle Mexican Grill, Inc.  | 1.2  |
| IQVIA Holdings, Inc.  | 1.2  |
| Paychex, Inc.  | 1.1  |
| Cintas Corp.  | 1.1  |
| lululemon athletica, Inc.  | 1.1  |
|  | 12.3  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  | &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  |
| Information Technology  | 27.3  |
| Health Care  | 17.3  |
| Industrials  | 15.8  |
| Consumer Discretionary  | 15.2  |
| Financials  | 5.8  |
| Energy  | 5.0  |
| Materials  | 3.8  |
| Communication Services  | 3.7  |
| Consumer Staples  | 3.0  |
| Real Estate  | 2.0  |
| Utilities  | 0.3  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88354_5.jpg)  |
| *Foreign investments - 3.2%*  |
| *Futures - 0.4%*  |

---

**Fidelity® Mid Cap Growth Index Fund**

**Schedule of Investments December 31, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Common Stocks - 99.2%**  | &nbsp;&nbsp; **Common Stocks - 99.2%**  | &nbsp;&nbsp; **Common Stocks - 99.2%**  |
|  | Shares  | Value ($) <br>|
| COMMUNICATION SERVICES - 3.7%  |  |  |
| Entertainment - 2.1%  |  |  |
|  Electronic Arts, Inc.  | 2758  | 336972  |
|  Liberty Media Corp. Liberty Formula One:  |  |  |
|  Class A (a)  | 267  | 14266  |
|  Series C (a)  | 3713  | 221963  |
|  Live Nation Entertainment, Inc. (a)  | 12491  | 871122  |
|  Madison Square Garden Sports Corp.  | 1529  | 280312  |
|  Playtika Holding Corp. (a)(b)  | 13281  | 113021  |
|  Roblox Corp. (a)(b)  | 71715  | 2041009  |
|  Roku, Inc. Class A (a)(b)  | 5544  | 225641  |
|  Spotify Technology SA (a)  | 22437  | 1771401  |
|  Take-Two Interactive Software, Inc. (a)  | 21678  | 2257330  |
|  Warner Bros Discovery, Inc. (a)  | 277576  | 2631420  |
|  World Wrestling Entertainment, Inc. Class A (b)  | 6895  | 472445  |
|  |  | 11236902  |
| Interactive Media & Services - 0.7%  |  |  |
|  Match Group, Inc. (a)  | 41854  | 1736522  |
|  Pinterest, Inc. Class A (a)  | 19690  | 478073  |
|  TripAdvisor, Inc. (a)  | 1349  | 24255  |
|  Zoominfo Technologies, Inc. (a)  | 44049  | 1326315  |
|  |  | 3565165  |
| Media - 0.9%  |  |  |
|  Cable One, Inc.  | 568  | 404336  |
|  Liberty Broadband Corp.:  |  |  |
|  Class A (a)  | 1300  | 98605  |
|  Class C (a)  | 8879  | 677201  |
|  Liberty Media Corp. Liberty SiriusXM:  |  |  |
|  Series A (a)(b)  | 3354  | 131846  |
|  Series C (a)  | 6886  | 269449  |
|  Nexstar Broadcasting Group, Inc. Class A  | 529  | 92591  |
|  The Trade Desk, Inc. (a)  | 70345  | 3153566  |
|  |  | 4827594  |
|  TOTAL COMMUNICATION SERVICES  |  | 19629661  |
| CONSUMER DISCRETIONARY - 15.2%  |  |  |
| Auto Components - 0.2%  |  |  |
|  Aptiv PLC (a)  | 10876  | 1012882  |
| Automobiles - 0.1%  |  |  |
|  Lucid Group, Inc. Class A (a)(b)  | 79962  | 546140  |
| Distributors - 0.4%  |  |  |
|  Genuine Parts Co.  | 1805  | 313186  |
|  Pool Corp.  | 6097  | 1843306  |
|  |  | 2156492  |
| Diversified Consumer Services - 0.2%  |  |  |
|  Bright Horizons Family Solutions, Inc. (a)  | 2582  | 162924  |
|  H&R Block, Inc.  | 20567  | 750901  |
|  Mister Car Wash, Inc. (a)(b)  | 9148  | 84436  |
|  |  | 998261  |
| Hotels, Restaurants & Leisure - 4.7%  |  |  |
|  Caesars Entertainment, Inc. (a)(b)  | 22552  | 938163  |
|  Chipotle Mexican Grill, Inc. (a)  | 4461  | 6189593  |
|  Choice Hotels International, Inc.  | 5154  | 580547  |
|  Churchill Downs, Inc.  | 5718  | 1208957  |
|  Darden Restaurants, Inc.  | 14325  | 1981577  |
|  Domino's Pizza, Inc.  | 4133  | 1431671  |
|  Draftkings Holdings, Inc. (a)(b)  | 56707  | 645893  |
|  Expedia, Inc. (a)  | 24237  | 2123161  |
|  Hilton Worldwide Holdings, Inc.  | 30880  | 3901997  |
|  Las Vegas Sands Corp. (a)  | 19776  | 950632  |
|  Norwegian Cruise Line Holdings Ltd. (a)(b)  | 4996  | 61151  |
|  Planet Fitness, Inc. (a)  | 9857  | 776732  |
|  Six Flags Entertainment Corp. (a)  | 5963  | 138640  |
|  Travel+Leisure Co.  | 9198  | 334807  |
|  Vail Resorts, Inc.  | 6098  | 1453458  |
|  Wendy's Co.  | 27328  | 618433  |
|  Wyndham Hotels & Resorts, Inc.  | 9652  | 688284  |
|  Wynn Resorts Ltd. (a)  | 2114  | 174342  |
|  Yum! Brands, Inc.  | 5201  | 666144  |
|  |  | 24864182  |
| Household Durables - 1.1%  |  |  |
|  D.R. Horton, Inc.  | 26506  | 2362745  |
|  NVR, Inc. (a)  | 338  | 1559052  |
|  PulteGroup, Inc.  | 14203  | 646663  |
|  Toll Brothers, Inc.  | 8810  | 439795  |
|  TopBuild Corp. (a)  | 4313  | 674941  |
|  |  | 5683196  |
| Internet & Direct Marketing Retail - 1.0%  |  |  |
|  Doordash, Inc. (a)  | 35450  | 1730669  |
|  eBay, Inc.  | 11309  | 468984  |
|  Etsy, Inc. (a)  | 20039  | 2400271  |
|  Lyft, Inc. (a)  | 40715  | 448679  |
|  Wayfair LLC Class A (a)(b)  | 8046  | 264633  |
|  |  | 5313236  |
| Leisure Products - 0.4%  |  |  |
|  Brunswick Corp.  | 2017  | 145385  |
|  Mattel, Inc. (a)  | 27149  | 484338  |
|  Polaris, Inc.  | 6535  | 660035  |
|  YETI Holdings, Inc. (a)  | 13818  | 570822  |
|  |  | 1860580  |
| Multiline Retail - 0.3%  |  |  |
|  Dollar Tree, Inc. (a)  | 10558  | 1493324  |
|  Nordstrom, Inc. (b)  | 15373  | 248120  |
|  Ollie's Bargain Outlet Holdings, Inc. (a)  | 519  | 24310  |
|  |  | 1765754  |
| Specialty Retail - 5.4%  |  |  |
|  Advance Auto Parts, Inc.  | 762  | 112037  |
|  AutoZone, Inc. (a)  | 2759  | 6804191  |
|  Best Buy Co., Inc.  | 10082  | 808677  |
|  Burlington Stores, Inc. (a)  | 9888  | 2004891  |
|  CarMax, Inc. (a)(b)  | 2919  | 177738  |
|  Carvana Co. Class A (a)(b)  | 16762  | 79452  |
|  Five Below, Inc. (a)  | 8746  | 1546905  |
|  Floor & Decor Holdings, Inc. Class A (a)(b)  | 16539  | 1151611  |
|  Leslie's, Inc. (a)(b)  | 22646  | 276508  |
|  O'Reilly Automotive, Inc. (a)  | 4056  | 3423386  |
|  RH (a)(b)  | 1141  | 304864  |
|  Ross Stores, Inc.  | 23176  | 2690038  |
|  Tractor Supply Co.  | 17702  | 3982419  |
|  Ulta Beauty, Inc. (a)  | 8080  | 3790086  |
|  Victoria's Secret & Co. (a)  | 9305  | 332933  |
|  Williams-Sonoma, Inc. (b)  | 8398  | 965098  |
|  |  | 28450834  |
| Textiles, Apparel & Luxury Goods - 1.4%  |  |  |
|  Deckers Outdoor Corp. (a)  | 3727  | 1487669  |
|  lululemon athletica, Inc. (a)  | 17907  | 5737045  |
|  Skechers U.S.A., Inc. Class A (sub. vtg.) (a)  | 3246  | 136170  |
|  Tapestry, Inc.  | 5212  | 198473  |
|  |  | 7559357  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 80210914  |
| CONSUMER STAPLES - 3.0%  |  |  |
| Beverages - 0.3%  |  |  |
|  Boston Beer Co., Inc. Class A (a)  | 1436  | 473191  |
|  Brown-Forman Corp.:  |  |  |
|  Class A (b)  | 4284  | 281716  |
|  Class B (non-vtg.)  | 17300  | 1136264  |
|  |  | 1891171  |
| Food & Staples Retailing - 0.3%  |  |  |
|  BJ's Wholesale Club Holdings, Inc. (a)  | 13548  | 896336  |
|  Grocery Outlet Holding Corp. (a)(b)  | 1058  | 30883  |
|  Performance Food Group Co. (a)  | 7529  | 439618  |
|  |  | 1366837  |
| Food Products - 1.7%  |  |  |
|  Darling Ingredients, Inc. (a)  | 1777  | 111222  |
|  Freshpet, Inc. (a)(b)  | 4088  | 215724  |
|  Kellogg Co.  | 22391  | 1595135  |
|  Lamb Weston Holdings, Inc.  | 23101  | 2064305  |
|  Pilgrim's Pride Corp. (a)  | 3893  | 92381  |
|  The Hershey Co.  | 20288  | 4698092  |
|  |  | 8776859  |
| Household Products - 0.7%  |  |  |
|  Church & Dwight Co., Inc.  | 17626  | 1420832  |
|  The Clorox Co.  | 16373  | 2297623  |
|  |  | 3718455  |
| Personal Products - 0.0%  |  |  |
|  Olaplex Holdings, Inc. (a)(b)  | 20028  | 104346  |
|  TOTAL CONSUMER STAPLES  |  | 15857668  |
| ENERGY - 5.0%  |  |  |
| Energy Equipment & Services - 0.5%  |  |  |
|  Halliburton Co.  | 65246  | 2567430  |
| Oil, Gas & Consumable Fuels - 4.5%  |  |  |
|  Antero Resources Corp. (a)  | 29588  | 916932  |
|  Cheniere Energy, Inc.  | 22946  | 3440982  |
|  Coterra Energy, Inc.  | 20500  | 503685  |
|  Devon Energy Corp.  | 50992  | 3136518  |
|  Diamondback Energy, Inc.  | 16073  | 2198465  |
|  Enviva, Inc. (b)  | 4919  | 260559  |
|  Hess Corp.  | 35349  | 5013195  |
|  New Fortress Energy, Inc.  | 8835  | 374781  |
|  ONEOK, Inc.  | 8050  | 528885  |
|  Ovintiv, Inc.  | 28404  | 1440367  |
|  PDC Energy, Inc.  | 7542  | 478766  |
|  Range Resources Corp.  | 24907  | 623173  |
|  Southwestern Energy Co. (a)  | 12534  | 73324  |
|  Targa Resources Corp.  | 36216  | 2661876  |
|  Texas Pacific Land Corp.  | 918  | 2152003  |
|  |  | 23803511  |
|  TOTAL ENERGY  |  | 26370941  |
| FINANCIALS - 5.8%  |  |  |
| Banks - 0.5%  |  |  |
|  First Citizens Bancshares, Inc.  | 436  | 330645  |
|  Signature Bank  | 505  | 58186  |
|  SVB Financial Group (a)  | 6001  | 1381070  |
|  Western Alliance Bancorp.  | 10362  | 617161  |
|  |  | 2387062  |
| Capital Markets - 3.6%  |  |  |
|  Ameriprise Financial, Inc.  | 10873  | 3385526  |
|  Ares Management Corp.  | 24579  | 1682187  |
|  Blue Owl Capital, Inc. Class A (b)  | 66608  | 706045  |
|  FactSet Research Systems, Inc.  | 6084  | 2440962  |
|  LPL Financial  | 12760  | 2758329  |
|  MarketAxess Holdings, Inc.  | 5953  | 1660232  |
|  Morningstar, Inc.  | 3610  | 781890  |
|  MSCI, Inc.  | 9379  | 4362829  |
|  Raymond James Financial, Inc.  | 2509  | 268087  |
|  Tradeweb Markets, Inc. Class A  | 10907  | 708192  |
|  |  | 18754279  |
| Consumer Finance - 0.0%  |  |  |
|  Credit Acceptance Corp. (a)(b)  | 106  | 50286  |
|  Upstart Holdings, Inc. (a)(b)  | 2137  | 28251  |
|  |  | 78537  |
| Diversified Financial Services - 0.7%  |  |  |
|  Apollo Global Management, Inc.  | 59070  | 3768075  |
| Insurance - 1.0%  |  |  |
|  Arch Capital Group Ltd. (a)  | 18449  | 1158228  |
|  Arthur J. Gallagher & Co.  | 3802  | 716829  |
|  Assurant, Inc.  | 524  | 65531  |
|  Brown & Brown, Inc.  | 2894  | 164871  |
|  Erie Indemnity Co. Class A  | 2973  | 739445  |
|  Everest Re Group Ltd.  | 1926  | 638026  |
|  Lincoln National Corp.  | 5652  | 173629  |
|  Markel Corp. (a)  | 490  | 645570  |
|  RenaissanceRe Holdings Ltd.  | 3773  | 695100  |
|  Ryan Specialty Group Holdings, Inc. (a)(b)  | 13178  | 547019  |
|  |  | 5544248  |
| Thrifts & Mortgage Finance - 0.0%  |  |  |
|  Rocket Companies, Inc. (b)  | 10206  | 71442  |
|  UWM Holdings Corp. Class A (b)  | 13641  | 45152  |
|  |  | 116594  |
|  TOTAL FINANCIALS  |  | 30648795  |
| HEALTH CARE - 17.3%  |  |  |
| Biotechnology - 3.9%  |  |  |
|  Alnylam Pharmaceuticals, Inc. (a)  | 19704  | 4682656  |
|  Exact Sciences Corp. (a)(b)  | 5087  | 251857  |
|  Exelixis, Inc. (a)  | 43843  | 703242  |
|  Horizon Therapeutics PLC (a)  | 33001  | 3755514  |
|  Incyte Corp. (a)  | 25302  | 2032257  |
|  Ionis Pharmaceuticals, Inc. (a)  | 20797  | 785503  |
|  Natera, Inc. (a)  | 14537  | 583951  |
|  Neurocrine Biosciences, Inc. (a)  | 15189  | 1814174  |
|  Novavax, Inc. (a)(b)  | 12577  | 129292  |
|  Repligen Corp. (a)  | 6310  | 1068346  |
|  Sarepta Therapeutics, Inc. (a)  | 13486  | 1747516  |
|  Seagen, Inc. (a)  | 21792  | 2800490  |
|  Ultragenyx Pharmaceutical, Inc. (a)  | 8341  | 386439  |
|  |  | 20741237  |
| Health Care Equipment & Supplies - 5.0%  |  |  |
|  Align Technology, Inc. (a)  | 9432  | 1989209  |
|  DexCom, Inc. (a)  | 61793  | 6997439  |
|  Globus Medical, Inc. (a)  | 821  | 60976  |
|  ICU Medical, Inc. (a)  | 605  | 95275  |
|  IDEXX Laboratories, Inc. (a)  | 13177  | 5375689  |
|  Insulet Corp. (a)  | 11035  | 3248594  |
|  Masimo Corp. (a)  | 5815  | 860329  |
|  Novocure Ltd. (a)(b)  | 16558  | 1214529  |
|  Penumbra, Inc. (a)  | 5715  | 1271359  |
|  ResMed, Inc.  | 23163  | 4820915  |
|  Tandem Diabetes Care, Inc. (a)  | 9562  | 429812  |
|  |  | 26364126  |
| Health Care Providers & Services - 1.6%  |  |  |
|  agilon health, Inc. (a)(b)  | 28291  | 456617  |
|  AmerisourceBergen Corp.  | 24879  | 4122699  |
|  Chemed Corp.  | 834  | 425699  |
|  DaVita HealthCare Partners, Inc. (a)  | 8910  | 665310  |
|  Guardant Health, Inc. (a)  | 15617  | 424782  |
|  Molina Healthcare, Inc. (a)  | 7125  | 2352818  |
|  Signify Health, Inc. (a)(b)  | 714  | 20463  |
|  |  | 8468388  |
| Health Care Technology - 0.8%  |  |  |
|  Certara, Inc. (a)  | 12078  | 194093  |
|  Definitive Healthcare Corp. (a)(b)  | 2805  | 30827  |
|  Doximity, Inc. (a)(b)  | 8366  | 280763  |
|  Teladoc Health, Inc. (a)(b)  | 2491  | 58912  |
|  Veeva Systems, Inc. Class A (a)  | 22336  | 3604584  |
|  |  | 4169179  |
| Life Sciences Tools & Services - 5.9%  |  |  |
|  10X Genomics, Inc. (a)  | 13211  | 481409  |
|  Agilent Technologies, Inc.  | 42590  | 6373594  |
|  Avantor, Inc. (a)  | 90801  | 1914993  |
|  Bio-Techne Corp.  | 24934  | 2066530  |
|  Bruker Corp.  | 17182  | 1174390  |
|  Charles River Laboratories International, Inc. (a)  | 7540  | 1642966  |
|  IQVIA Holdings, Inc. (a)  | 29743  | 6094043  |
|  Maravai LifeSciences Holdings, Inc. (a)  | 17658  | 252686  |
|  Mettler-Toledo International, Inc. (a)  | 3526  | 5096657  |
|  Sotera Health Co. (a)  | 15901  | 132455  |
|  Syneos Health, Inc. (a)  | 2893  | 106115  |
|  Waters Corp. (a)  | 9468  | 3243547  |
|  West Pharmaceutical Services, Inc.  | 11870  | 2793605  |
|  |  | 31372990  |
| Pharmaceuticals - 0.1%  |  |  |
|  Catalent, Inc. (a)  | 9149  | 411796  |
|  TOTAL HEALTH CARE  |  | 91527716  |
| INDUSTRIALS - 15.8%  |  |  |
| Aerospace & Defense - 1.4%  |  |  |
|  Axon Enterprise, Inc. (a)  | 8379  | 1390327  |
|  BWX Technologies, Inc.  | 5713  | 331811  |
|  HEICO Corp.  | 6795  | 1043984  |
|  HEICO Corp. Class A  | 11793  | 1413391  |
|  Howmet Aerospace, Inc.  | 5851  | 230588  |
|  Huntington Ingalls Industries, Inc.  | 1390  | 320645  |
|  Spirit AeroSystems Holdings, Inc. Class A  | 15864  | 469574  |
|  TransDigm Group, Inc.  | 3186  | 2006065  |
|  |  | 7206385  |
| Air Freight & Logistics - 0.3%  |  |  |
|  C.H. Robinson Worldwide, Inc.  | 5002  | 457983  |
|  Expeditors International of Washington, Inc.  | 7856  | 816396  |
|  GXO Logistics, Inc. (a)  | 1854  | 79147  |
|  |  | 1353526  |
| Airlines - 0.6%  |  |  |
|  Delta Air Lines, Inc. (a)  | 102607  | 3371666  |
| Building Products - 1.7%  |  |  |
|  A.O. Smith Corp.  | 4843  | 277213  |
|  Advanced Drain Systems, Inc.  | 10267  | 841586  |
|  Allegion PLC  | 11122  | 1170702  |
|  Armstrong World Industries, Inc.  | 4204  | 288352  |
|  Carlisle Companies, Inc.  | 6948  | 1637296  |
|  Fortune Brands Home & Security, Inc.  | 7137  | 407594  |
|  Masco Corp.  | 1877  | 87600  |
|  MasterBrand, Inc. (a)  | 7130  | 53832  |
|  Trane Technologies PLC  | 21405  | 3597966  |
|  Trex Co., Inc. (a)  | 17651  | 747167  |
|  |  | 9109308  |
| Commercial Services & Supplies - 2.5%  |  |  |
|  Cintas Corp.  | 12950  | 5848479  |
|  Copart, Inc. (a)  | 68333  | 4160796  |
|  Driven Brands Holdings, Inc. (a)  | 579  | 15812  |
|  IAA, Inc. (a)  | 17778  | 711120  |
|  MSA Safety, Inc.  | 2286  | 329618  |
|  Republic Services, Inc.  | 2122  | 273717  |
|  Rollins, Inc.  | 34386  | 1256464  |
|  Tetra Tech, Inc.  | 3463  | 502793  |
|  |  | 13098799  |
| Construction & Engineering - 0.5%  |  |  |
|  AECOM  | 1296  | 110069  |
|  Quanta Services, Inc.  | 12452  | 1774410  |
|  Valmont Industries, Inc.  | 470  | 155415  |
|  Willscot Mobile Mini Holdings (a)  | 17335  | 783022  |
|  |  | 2822916  |
| Electrical Equipment - 1.0%  |  |  |
|  ChargePoint Holdings, Inc. Class A (a)(b)  | 40582  | 386746  |
|  Generac Holdings, Inc. (a)  | 9983  | 1004889  |
|  Plug Power, Inc. (a)(b)  | 41355  | 511561  |
|  Rockwell Automation, Inc.  | 12429  | 3201338  |
|  Vertiv Holdings Co.  | 7687  | 105004  |
|  |  | 5209538  |
| Machinery - 1.7%  |  |  |
|  AGCO Corp.  | 1319  | 182932  |
|  Allison Transmission Holdings, Inc.  | 11670  | 485472  |
|  Donaldson Co., Inc.  | 3337  | 196449  |
|  Graco, Inc.  | 18449  | 1240880  |
|  IDEX Corp.  | 2166  | 494563  |
|  Lincoln Electric Holdings, Inc.  | 8977  | 1297087  |
|  Middleby Corp. (a)  | 594  | 79537  |
|  Nordson Corp.  | 2144  | 509672  |
|  Otis Worldwide Corp.  | 8153  | 638461  |
|  Parker Hannifin Corp.  | 4656  | 1354896  |
|  Toro Co.  | 16725  | 1893270  |
|  Xylem, Inc.  | 4018  | 444270  |
|  |  | 8817489  |
| Professional Services - 2.4%  |  |  |
|  Booz Allen Hamilton Holding Corp. Class A  | 21042  | 2199310  |
|  CoStar Group, Inc. (a)  | 9246  | 714531  |
|  Equifax, Inc.  | 9741  | 1893261  |
|  FTI Consulting, Inc. (a)  | 2270  | 360476  |
|  KBR, Inc.  | 14151  | 747173  |
|  Robert Half International, Inc.  | 14938  | 1102873  |
|  TransUnion Holding Co., Inc.  | 22607  | 1282947  |
|  Verisk Analytics, Inc.  | 24902  | 4393211  |
|  |  | 12693782  |
| Road & Rail - 1.4%  |  |  |
|  J.B. Hunt Transport Services, Inc.  | 11770  | 2052217  |
|  Landstar System, Inc.  | 5093  | 829650  |
|  Old Dominion Freight Lines, Inc.  | 15923  | 4518629  |
|  RXO, Inc. (a)  | 1270  | 21844  |
|  XPO, Inc. (a)  | 1256  | 41812  |
|  |  | 7464152  |
| Trading Companies & Distributors - 2.3%  |  |  |
|  Core & Main, Inc. (a)(b)  | 3931  | 75908  |
|  Fastenal Co.  | 92284  | 4366879  |
|  SiteOne Landscape Supply, Inc. (a)(b)  | 4333  | 508348  |
|  United Rentals, Inc. (a)  | 5138  | 1826148  |
|  W.W. Grainger, Inc.  | 7224  | 4018350  |
|  Watsco, Inc. (b)  | 2792  | 696325  |
|  WESCO International, Inc. (a)  | 3776  | 472755  |
|  |  | 11964713  |
|  TOTAL INDUSTRIALS  |  | 83112274  |
| INFORMATION TECHNOLOGY - 27.3%  |  |  |
| Communications Equipment - 0.9%  |  |  |
|  Arista Networks, Inc. (a)  | 39448  | 4787015  |
|  Ubiquiti, Inc. (b)  | 192  | 52518  |
|  |  | 4839533  |
| Electronic Equipment & Components - 3.4%  |  |  |
|  Amphenol Corp. Class A  | 70798  | 5390560  |
|  Arrow Electronics, Inc. (a)  | 491  | 51344  |
|  CDW Corp.  | 21674  | 3870543  |
|  Cognex Corp.  | 25923  | 1221233  |
|  Coherent Corp. (a)  | 3008  | 105581  |
|  Corning, Inc.  | 7167  | 228914  |
|  Jabil, Inc.  | 17187  | 1172153  |
|  Keysight Technologies, Inc. (a)  | 26607  | 4551659  |
|  National Instruments Corp.  | 2745  | 101291  |
|  Vontier Corp.  | 15788  | 305182  |
|  Zebra Technologies Corp. Class A (a)  | 3390  | 869230  |
|  |  | 17867690  |
| IT Services - 5.7%  |  |  |
|  Broadridge Financial Solutions, Inc.  | 16982  | 2277796  |
|  Cloudflare, Inc. (a)(b)  | 45331  | 2049415  |
|  EPAM Systems, Inc. (a)  | 8798  | 2883457  |
|  Euronet Worldwide, Inc. (a)  | 5690  | 537022  |
|  FleetCor Technologies, Inc. (a)  | 11508  | 2113789  |
|  Gartner, Inc. (a)  | 12304  | 4135867  |
|  Genpact Ltd.  | 15275  | 707538  |
|  Globant SA (a)  | 6523  | 1096908  |
|  GoDaddy, Inc. (a)  | 3471  | 259700  |
|  Jack Henry & Associates, Inc.  | 11633  | 2042289  |
|  MongoDB, Inc. Class A (a)  | 10629  | 2092212  |
|  Okta, Inc. (a)  | 3310  | 226172  |
|  Paychex, Inc.  | 51717  | 5976417  |
|  Shift4 Payments, Inc. (a)(b)  | 8086  | 452250  |
|  The Western Union Co.  | 20760  | 285865  |
|  Thoughtworks Holding, Inc. (a)  | 13671  | 139307  |
|  Toast, Inc. (a)(b)  | 40855  | 736616  |
|  Twilio, Inc. Class A (a)  | 10548  | 516430  |
|  VeriSign, Inc. (a)  | 1594  | 327471  |
|  WEX, Inc. (a)  | 5049  | 826269  |
|  Wix.com Ltd. (a)  | 6871  | 527899  |
|  |  | 30210689  |
| Semiconductors & Semiconductor Equipment - 4.2%  |  |  |
|  Allegro MicroSystems LLC (a)(b)  | 10641  | 319443  |
|  Enphase Energy, Inc. (a)  | 20983  | 5559656  |
|  Entegris, Inc.  | 23784  | 1559993  |
|  GlobalFoundries, Inc. (a)(b)  | 2476  | 133432  |
|  Lattice Semiconductor Corp. (a)  | 21748  | 1411010  |
|  Microchip Technology, Inc.  | 72881  | 5119890  |
|  Monolithic Power Systems, Inc.  | 7273  | 2571806  |
|  onsemi (a)  | 43401  | 2706920  |
|  Teradyne, Inc.  | 22766  | 1988610  |
|  Universal Display Corp.  | 6960  | 751958  |
|  |  | 22122718  |
| Software - 12.0%  |  |  |
|  Alteryx, Inc. Class A (a)  | 9618  | 487344  |
|  ANSYS, Inc. (a)  | 7348  | 1775203  |
|  AppLovin Corp. (a)(b)  | 35095  | 369550  |
|  Aspen Technology, Inc. (a)  | 4321  | 887533  |
|  Bentley Systems, Inc. Class B (b)  | 27021  | 998696  |
|  Black Knight, Inc. (a)  | 2310  | 142643  |
|  Cadence Design Systems, Inc. (a)  | 43741  | 7026554  |
|  CCC Intelligent Solutions Holdings, Inc. Class A (a)(b)  | 10632  | 92498  |
|  Ceridian HCM Holding, Inc. (a)  | 4178  | 268019  |
|  Confluent, Inc. (a)  | 19899  | 442554  |
|  Coupa Software, Inc. (a)  | 6703  | 530677  |
|  Crowdstrike Holdings, Inc. (a)  | 33707  | 3549010  |
|  Datadog, Inc. Class A (a)  | 42559  | 3128087  |
|  DocuSign, Inc. (a)  | 31663  | 1754763  |
|  DoubleVerify Holdings, Inc. (a)  | 10255  | 225200  |
|  Dropbox, Inc. Class A (a)  | 40075  | 896879  |
|  Dynatrace, Inc. (a)  | 31875  | 1220813  |
|  Elastic NV (a)  | 12397  | 638446  |
|  Fair Isaac Corp. (a)  | 3892  | 2329673  |
|  Five9, Inc. (a)  | 11218  | 761253  |
|  Fortinet, Inc. (a)  | 103457  | 5058013  |
|  Gen Digital, Inc.  | 32097  | 687839  |
|  HubSpot, Inc. (a)  | 7422  | 2145923  |
|  Informatica, Inc. (a)(b)  | 1026  | 16714  |
|  Jamf Holding Corp. (a)(b)  | 9049  | 192744  |
|  Manhattan Associates, Inc. (a)  | 6135  | 744789  |
|  nCino, Inc. (a)(b)  | 2207  | 58353  |
|  NCR Corp. (a)  | 1076  | 25189  |
|  New Relic, Inc. (a)  | 8536  | 481857  |
|  Nutanix, Inc. Class A (a)  | 19172  | 499431  |
|  Palantir Technologies, Inc. (a)(b)  | 294871  | 1893072  |
|  Paycom Software, Inc. (a)  | 8206  | 2546404  |
|  Paylocity Holding Corp. (a)  | 6362  | 1235882  |
|  Pegasystems, Inc.  | 6641  | 227388  |
|  Procore Technologies, Inc. (a)(b)  | 8208  | 387253  |
|  PTC, Inc. (a)  | 16883  | 2026635  |
|  RingCentral, Inc. (a)  | 13648  | 483139  |
|  SentinelOne, Inc. (a)  | 21549  | 314400  |
|  Smartsheet, Inc. (a)  | 20372  | 801842  |
|  Splunk, Inc. (a)  | 26081  | 2245313  |
|  Synopsys, Inc. (a)  | 24446  | 7805361  |
|  Teradata Corp. (a)  | 8906  | 299776  |
|  Tyler Technologies, Inc. (a)  | 5758  | 1856437  |
|  UiPath, Inc. Class A (a)  | 5565  | 70731  |
|  Unity Software, Inc. (a)(b)  | 26762  | 765126  |
|  Zoom Video Communications, Inc. Class A (a)  | 20402  | 1382031  |
|  Zscaler, Inc. (a)  | 13526  | 1513559  |
|  |  | 63290596  |
| Technology Hardware, Storage & Peripherals - 1.1%  |  |  |
|  Dell Technologies, Inc.  | 6215  | 249967  |
|  HP, Inc.  | 74044  | 1989562  |
|  NetApp, Inc.  | 34827  | 2091710  |
|  Pure Storage, Inc. Class A (a)  | 45084  | 1206448  |
|  |  | 5537687  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 143868913  |
| MATERIALS - 3.8%  |  |  |
| Chemicals - 2.0%  |  |  |
|  Albemarle Corp.  | 9662  | 2095301  |
|  Axalta Coating Systems Ltd. (a)  | 8631  | 219832  |
|  CF Industries Holdings, Inc.  | 31384  | 2673917  |
|  FMC Corp.  | 6903  | 861494  |
|  Ginkgo Bioworks Holdings, Inc. Class A (a)(b)  | 26721  | 45158  |
|  PPG Industries, Inc.  | 20058  | 2522093  |
|  RPM International, Inc.  | 1043  | 101640  |
|  The Chemours Co. LLC  | 14474  | 443194  |
|  The Mosaic Co.  | 6718  | 294719  |
|  The Scotts Miracle-Gro Co. Class A (b)  | 2225  | 108113  |
|  Valvoline, Inc.  | 28328  | 924909  |
|  |  | 10290370  |
| Construction Materials - 0.5%  |  |  |
|  Eagle Materials, Inc.  | 4859  | 645518  |
|  Martin Marietta Materials, Inc.  | 879  | 297076  |
|  Vulcan Materials Co.  | 10356  | 1813439  |
|  |  | 2756033  |
| Containers & Packaging - 1.2%  |  |  |
|  Ardagh Metal Packaging SA  | 7878  | 37893  |
|  Avery Dennison Corp.  | 8026  | 1452706  |
|  Ball Corp.  | 19672  | 1006026  |
|  Berry Global Group, Inc.  | 9691  | 585627  |
|  Crown Holdings, Inc.  | 16250  | 1335913  |
|  Graphic Packaging Holding Co.  | 37791  | 840850  |
|  Sealed Air Corp.  | 23360  | 1165197  |
|  |  | 6424212  |
| Metals & Mining - 0.1%  |  |  |
|  MP Materials Corp. (a)(b)  | 14549  | 353250  |
|  Royal Gold, Inc.  | 687  | 77439  |
|  |  | 430689  |
| Paper & Forest Products - 0.0%  |  |  |
|  Louisiana-Pacific Corp.  | 1106  | 65475  |
|  TOTAL MATERIALS  |  | 19966779  |
| REAL ESTATE - 2.0%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 1.6%  |  |  |
|  Apartment Income (REIT) Corp.  | 1945  | 66733  |
|  Camden Property Trust (SBI)  | 1404  | 157080  |
|  Equity Lifestyle Properties, Inc.  | 17445  | 1126947  |
|  Extra Space Storage, Inc.  | 2528  | 372071  |
|  Iron Mountain, Inc.  | 34654  | 1727502  |
|  Lamar Advertising Co. Class A  | 12191  | 1150830  |
|  SBA Communications Corp. Class A  | 3898  | 1092648  |
|  Simon Property Group, Inc.  | 25362  | 2979528  |
|  |  | 8673339  |
| Real Estate Management & Development - 0.4%  |  |  |
|  CBRE Group, Inc. (a)  | 24657  | 1897603  |
|  Opendoor Technologies, Inc. (a)(b)  | 20577  | 23869  |
|  Zillow Group, Inc.:  |  |  |
|  Class A (a)  | 645  | 20130  |
|  Class C (a)(b)  | 1456  | 46898  |
|  |  | 1988500  |
|  TOTAL REAL ESTATE  |  | 10661839  |
| UTILITIES - 0.3%  |  |  |
| Gas Utilities - 0.0%  |  |  |
|  National Fuel Gas Co.  | 1136  | 71909  |
| Independent Power and Renewable Electricity Producers - 0.3%  |  |  |
|  The AES Corp.  | 19249  | 553601  |
|  Vistra Corp.  | 36327  | 842786  |
|  |  | 1396387  |
|  TOTAL UTILITIES  |  | 1468296  |
| <br> **TOTAL COMMON STOCKS** <br> (Cost $503,207,339)  |  | <br> **523323796**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  |
|  | Principal <br> Amount (c) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 1.23% 1/26/23 <br>(Cost $99,916) <br>| 100000  | **99752**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 4.0%**  | &nbsp;&nbsp; **Money Market Funds - 4.0%**  | &nbsp;&nbsp; **Money Market Funds - 4.0%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Securities Lending Cash Central Fund 4.37% (d)(e) <br>(Cost $21,106,422) <br>| 21104312  | **21106422**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 103.2%** <br> (Cost $524,413,677) <br>| <br>**544529970**  |
| **NET OTHER ASSETS (LIABILITIES) - (3.2)%**  | **(16933147)**  |
| **NET ASSETS - 100.0%**  | **527596823**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Equity Index Contracts  |  |  |  |  |  |
| CME E-mini S&P MidCap 400 Index Contracts (United States)  | 9  | Mar 2023  | 2198340  | 13916  | 13916  |
| The notional amount of futures purchased as a percentage of Net Assets is 0.4%  | The notional amount of futures purchased as a percentage of Net Assets is 0.4%  | The notional amount of futures purchased as a percentage of Net Assets is 0.4%  | The notional amount of futures purchased as a percentage of Net Assets is 0.4%  | The notional amount of futures purchased as a percentage of Net Assets is 0.4%  | The notional amount of futures purchased as a percentage of Net Assets is 0.4%  |

---

**Legend**

(a) Non-income producing

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

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

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

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.37%  | 576947  | 74939023  | 75515970  | 28919  | -  | -  | -  | 0.0%  |
|  Fidelity Securities Lending Cash Central Fund 4.37%  | 20271725  | 92810216  | 91975519  | 83366  | -  | -  | 21106422  | 0.1%  |
| Total  | 20848672  | 167749239  | 167491489  | 112285  | -  | -  | 21106422  |  |

---

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>**  |  |  |  |  |
|  **Equities:**  |  |  |  |  |
| Communication Services  | 19629661  | 19629661  | -  | -  |
| Consumer Discretionary  | 80210914  | 80210914  | -  | -  |
| Consumer Staples  | 15857668  | 15857668  | -  | -  |
| Energy  | 26370941  | 26370941  | -  | -  |
| Financials  | 30648795  | 30648795  | -  | -  |
| Health Care  | 91527716  | 91527716  | -  | -  |
| Industrials  | 83112274  | 83112274  | -  | -  |
| Information Technology  | 143868913  | 143868913  | -  | -  |
| Materials  | 19966779  | 19966779  | -  | -  |
| Real Estate  | 10661839  | 10661839  | -  | -  |
| Utilities  | 1468296  | 1468296  | -  | -  |
|  U.S. Government and Government Agency Obligations  | 99752  | -  | 99752  | -  |
|  Money Market Funds  | 21106422  | 21106422  | -  | -  |
| **Total Investments in Securities:**  | 544529970  | 544430218  | 99752  | -  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 13916  | 13916  | -  | -  |
| Total Assets  | 13916  | 13916  | -  | -  |
| **Total Derivative Instruments:**  | 13916  | 13916  | -  | -  |

---

**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 ($)**  | **Liability ($)**  |
| **Equity Risk**  |  |  |
| Futures Contracts (a)  | 13916  | 0  |
| **Total Equity Risk**  | 13916  | 0  |
| **Total Value of Derivatives**  | 13916  | 0  |

---

(a)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).

**Fidelity® Mid Cap Growth Index Fund**

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $20,655,890) - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $503,307,255)  | $523423548  |  |
|  Fidelity Central Funds (cost $21,106,422)  | 21106422  |  |
|  Total Investment in Securities (cost $524,413,677)  |  | $544529970  |
|  Segregated cash with brokers for derivative instruments  |  | 40256  |
| Receivable for investments sold  |  | 4447138  |
|  Receivable for fund shares sold  |  | 4870633  |
|  Dividends receivable  |  | 169010  |
|  Distributions receivable from Fidelity Central Funds  |  | 14347  |
| **Total assets**  |  | 554071354  |
| **Liabilities**  |  |  |
|  Payable to custodian bank  | $2240669  |  |
|  Payable for investments purchased  | 2489130  |  |
|  Payable for fund shares redeemed  | 602633  |  |
|  Accrued management fee  | 22281  |  |
|  Payable for daily variation margin on futures contracts  | 13396  |  |
|  Collateral on securities loaned  | 21106422  |  |
| **Total Liabilities**  |  | 26474531  |
| **Net Assets**  |  | $527596823  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $597299939  |
|  Total accumulated earnings (loss)  |  | (69703116)  |
|  **Net Assets**  |  | $527596823  |
|  **Net Asset Value** , offering price and redemption price per share ($527,596,823 ÷ 24,344,849 shares)  |  | $21.67  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends  |  | $2156772  |
| Interest  |  | 756  |
| Income from Fidelity Central Funds (including $83,366 from security lending)  |  | 112285  |
| **Total Income**  |  | 2269813  |
|  **Expenses**  |  |  |
| Management fee  | $130696  |  |
| Independent trustees' fees and expenses  | 872  |  |
| Interest  | 2602  |  |
| Total expenses before reductions  | 134170  |  |
| Expense reductions  | (79)  |  |
| Total expenses after reductions  |  | 134091  |
| **Net Investment income (loss)**  |  | 2135722  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | 1461921  |  |
| Futures contracts  | 48846  |  |
| Total net realized gain (loss)  |  | 1510767  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | 23938021  |  |
| Futures contracts  | 11122  |  |
| Total change in net unrealized appreciation (depreciation)  |  | 23949143  |
| **Net gain (loss)**  |  | 25459910  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $27595632  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  | **Year ended** <br> **June 30, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $2135722  | $4081538  |
| &nbsp;&nbsp; Net realized gain (loss)  | 1510767 <br>| (85689263) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | 23949143  | (151835524) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 27595632 <br>| (233443249) <br>|
| Distributions to shareholders  | (4150490) <br>| (40696927) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 137313126  | 459206091  |
| Reinvestment of distributions  | 2724805 <br>| 25822157 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (93214583)  | (407072810)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 46823348 <br>| 77955438 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 70268490 <br>| (196184738) <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 457328333  | 653513071 <br>|
| &nbsp;&nbsp; End of period  | $527596823  | $457328333  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 6181620  | 16475807  |
| Issued in reinvestment of distributions  | 120408 <br>| 868015 <br>|
| &nbsp;&nbsp; Redeemed  | (4198139)  | (16131262)  |
| &nbsp;&nbsp; Net increase (decrease)  | 2103889  | 1212560  |

---

**Financial Highlights** 

 **Fidelity® Mid Cap Growth Index Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $20.56  | $31.08  | $21.71  | $20.00  |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .09  | .17  | .13  | .15  |
| Net realized and unrealized gain (loss)  | 1.20  | (8.78)  | 9.34  | 1.62  |
| Total from investment operations  | 1.29  | (8.61)  | 9.47  | 1.77  |
| Distributions from net investment income  | (.18)  | (.12)  | (.10)  | (.06)  |
| Distributions from net realized gain  | -  | (1.79)  | -  | - <sup>D</sup>  |
| Total distributions  | (.18)  | (1.91)  | (.10)  | (.06)  |
| Net asset value, end of period  | $21.67  | $20.56  | $31.08  | $21.71  |
| **Total Return** <sup>E,F</sup>  | 6.22%  | (29.57)%  | 43.70%  | 8.86%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |  |  |  |
| Expenses before reductions  | .05% <sup>I</sup>  | .05%  | .05%  | .05% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | .05% <sup>I</sup>  | .05%  | .05%  | .05% <sup>I</sup>  |
| Expenses net of all reductions  | .05% <sup>I</sup>  | .05%  | .05%  | .05% <sup>I</sup>  |
| Net investment income (loss)  | .82% <sup>I</sup>  | .62%  | .47%  | .76% <sup>I</sup>  |
| **Supplemental Data**  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $527597  | $457328  | $653513  | $208955  |
| Portfolio turnover rate <sup>J</sup>  | 17% <sup>I</sup>  | 62%  | 54%  | 109% <sup>I</sup>  |

---

<sup>A</sup> *For the period July 11, 2019 (commencement of operations) through June 30, 2020.*

<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> *Amount represents less than $.005 per share.*

<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).*

**Fidelity® Mid Cap Value Index Fund** 

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

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| Phillips 66 Co.  | 0.8  |
| AFLAC, Inc.  | 0.7  |
| Motorola Solutions, Inc.  | 0.7  |
| Corteva, Inc.  | 0.7  |
| The Williams Companies, Inc.  | 0.7  |
| Realty Income Corp.  | 0.7  |
| Biogen, Inc.  | 0.7  |
| Xcel Energy, Inc.  | 0.6  |
| Prudential Financial, Inc.  | 0.6  |
| Allstate Corp.  | 0.6  |
|  | 6.8  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  | &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  |
| Financials  | 18.1  |
| Industrials  | 15.5  |
| Real Estate  | 10.6  |
| Consumer Discretionary  | 9.9  |
| Utilities  | 9.1  |
| Information Technology  | 8.8  |
| Materials  | 7.6  |
| Health Care  | 7.5  |
| Energy  | 5.4  |
| Consumer Staples  | 4.1  |
| Communication Services  | 3.1  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88354_6.jpg)  |
| *Foreign investments - 4.9%*  |
| *Futures - 0.3%*  |

---

**Fidelity® Mid Cap Value Index Fund**

**Schedule of Investments December 31, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Common Stocks - 99.7%**  | &nbsp;&nbsp; **Common Stocks - 99.7%**  | &nbsp;&nbsp; **Common Stocks - 99.7%**  |
|  | Shares  | Value ($) <br>|
| COMMUNICATION SERVICES - 3.1%  |  |  |
| Diversified Telecommunication Services - 0.2%  |  |  |
|  Frontier Communications Parent, Inc. (a)(b)  | 31834  | 811130  |
|  Lumen Technologies, Inc. (b)  | 133566  | 697215  |
|  |  | 1508345  |
| Entertainment - 1.1%  |  |  |
|  AMC Entertainment Holdings, Inc. Class A (a)(b)  | 66918  | 272356  |
|  Electronic Arts, Inc.  | 33808  | 4130661  |
|  Liberty Media Corp. Liberty Formula One:  |  |  |
|  Class A (a)  | 2442  | 130476  |
|  Series C (a)  | 23156  | 1384266  |
|  Live Nation Entertainment, Inc. (a)  | 10136  | 706885  |
|  Madison Square Garden Sports Corp.  | 1217  | 223113  |
|  Playtika Holding Corp. (a)  | 975  | 8297  |
|  Roku, Inc. Class A (a)  | 11348  | 461864  |
|  Take-Two Interactive Software, Inc. (a)  | 3652  | 380283  |
|  Warner Bros Discovery, Inc. (a)  | 81605  | 773615  |
|  |  | 8471816  |
| Interactive Media & Services - 0.3%  |  |  |
|  IAC, Inc. (a)  | 9989  | 443512  |
|  Match Group, Inc. (a)  | 2297  | 95303  |
|  Pinterest, Inc. Class A (a)  | 59740  | 1450487  |
|  TripAdvisor, Inc. (a)  | 12090  | 217378  |
|  |  | 2206680  |
| Media - 1.5%  |  |  |
|  Altice U.S.A., Inc. Class A (a)  | 27580  | 126868  |
|  Cable One, Inc.  | 292  | 207863  |
|  DISH Network Corp. Class A (a)  | 32575  | 457353  |
|  Fox Corp.:  |  |  |
|  Class A  | 38995  | 1184278  |
|  Class B  | 18137  | 515998  |
|  Interpublic Group of Companies, Inc.  | 50455  | 1680656  |
|  Liberty Broadband Corp.:  |  |  |
|  Class A (a)  | 1195  | 90641  |
|  Class C (a)  | 8304  | 633346  |
|  Liberty Media Corp. Liberty SiriusXM:  |  |  |
|  Series A (a)(b)  | 7027  | 276231  |
|  Series C (a)  | 14551  | 569381  |
|  News Corp.:  |  |  |
|  Class A  | 49391  | 898916  |
|  Class B  | 15380  | 283607  |
|  Nexstar Broadcasting Group, Inc. Class A  | 4284  | 749829  |
|  Omnicom Group, Inc.  | 26459  | 2158261  |
|  Paramount Global:  |  |  |
|  Class A (b)  | 1305  | 25591  |
|  Class B (b)  | 74864  | 1263704  |
|  Sirius XM Holdings, Inc. (b)  | 91253  | 532918  |
|  The New York Times Co. Class A  | 21112  | 685296  |
|  |  | 12340737  |
|  TOTAL COMMUNICATION SERVICES  |  | 24527578  |
| CONSUMER DISCRETIONARY - 9.9%  |  |  |
| Auto Components - 0.7%  |  |  |
|  Aptiv PLC (a)  | 26331  | 2452206  |
|  BorgWarner, Inc.  | 30343  | 1221306  |
|  Gentex Corp.  | 30536  | 832717  |
|  Lear Corp.  | 7648  | 948505  |
|  QuantumScape Corp. Class A (a)(b)  | 33788  | 191578  |
|  |  | 5646312  |
| Automobiles - 0.3%  |  |  |
|  Harley-Davidson, Inc.  | 17484  | 727334  |
|  Lucid Group, Inc. Class A (a)(b)  | 4413  | 30141  |
|  Rivian Automotive, Inc. (a)(b)  | 67560  | 1245131  |
|  Thor Industries, Inc.  | 6708  | 506387  |
|  |  | 2508993  |
| Distributors - 0.6%  |  |  |
|  Genuine Parts Co.  | 16591  | 2878704  |
|  LKQ Corp.  | 32499  | 1735772  |
|  |  | 4614476  |
| Diversified Consumer Services - 0.3%  |  |  |
|  ADT, Inc.  | 26961  | 244536  |
|  Bright Horizons Family Solutions, Inc. (a)  | 5359  | 338153  |
|  Grand Canyon Education, Inc. (a)  | 3984  | 420949  |
|  H&R Block, Inc.  | 3559  | 129939  |
|  Mister Car Wash, Inc. (a)(b)  | 2951  | 27238  |
|  Service Corp. International  | 19446  | 1344496  |
|  |  | 2505311  |
| Hotels, Restaurants & Leisure - 2.3%  |  |  |
|  ARAMARK Holdings Corp.  | 30141  | 1246029  |
|  Boyd Gaming Corp.  | 9924  | 541156  |
|  Caesars Entertainment, Inc. (a)  | 8355  | 347568  |
|  Carnival Corp. (a)(b)  | 126837  | 1022306  |
|  Darden Restaurants, Inc.  | 4298  | 594542  |
|  Domino's Pizza, Inc.  | 1234  | 427458  |
|  Hilton Worldwide Holdings, Inc.  | 9597  | 1212677  |
|  Hyatt Hotels Corp. Class A (a)  | 6156  | 556810  |
|  Las Vegas Sands Corp. (a)  | 26970  | 1296448  |
|  Marriott Vacations Worldwide Corp.  | 4861  | 654242  |
|  MGM Resorts International  | 41708  | 1398469  |
|  Norwegian Cruise Line Holdings Ltd. (a)(b)  | 50347  | 616247  |
|  Penn Entertainment, Inc. (a)  | 20080  | 596376  |
|  Planet Fitness, Inc. (a)  | 2828  | 222846  |
|  Royal Caribbean Cruises Ltd. (a)(b)  | 28640  | 1415675  |
|  Six Flags Entertainment Corp. (a)  | 4900  | 113925  |
|  Travel+Leisure Co.  | 2920  | 106288  |
|  Vail Resorts, Inc.  | 288  | 68645  |
|  Wyndham Hotels & Resorts, Inc.  | 3477  | 247945  |
|  Wynn Resorts Ltd. (a)  | 11844  | 976775  |
|  Yum! Brands, Inc.  | 32459  | 4157349  |
|  |  | 17819776  |
| Household Durables - 1.5%  |  |  |
|  D.R. Horton, Inc.  | 19533  | 1741172  |
|  Garmin Ltd.  | 20047  | 1850138  |
|  Leggett & Platt, Inc. (b)  | 17301  | 557611  |
|  Lennar Corp.:  |  |  |
|  Class A  | 32613  | 2951477  |
|  Class B  | 1925  | 143952  |
|  Mohawk Industries, Inc. (a)  | 6838  | 698980  |
|  Newell Brands, Inc.  | 49080  | 641966  |
|  NVR, Inc. (a)  | 106  | 488933  |
|  PulteGroup, Inc.  | 17952  | 817355  |
|  Tempur Sealy International, Inc.  | 21844  | 749905  |
|  Toll Brothers, Inc.  | 6620  | 330470  |
|  TopBuild Corp. (a)  | 650  | 101719  |
|  Whirlpool Corp.  | 6934  | 980884  |
|  |  | 12054562  |
| Internet & Direct Marketing Retail - 0.4%  |  |  |
|  Doordash, Inc. (a)  | 3772  | 184149  |
|  eBay, Inc.  | 61427  | 2547378  |
|  Lyft, Inc. (a)  | 8335  | 91852  |
|  Wayfair LLC Class A (a)(b)  | 3776  | 124193  |
|  |  | 2947572  |
| Leisure Products - 0.3%  |  |  |
|  Brunswick Corp.  | 7753  | 558836  |
|  Hasbro, Inc.  | 17078  | 1041929  |
|  Mattel, Inc. (a)  | 23660  | 422094  |
|  Peloton Interactive, Inc. Class A (a)(b)  | 39981  | 317449  |
|  Polaris, Inc.  | 1867  | 188567  |
|  |  | 2528875  |
| Multiline Retail - 0.5%  |  |  |
|  Dollar Tree, Inc. (a)  | 19066  | 2696695  |
|  Kohl's Corp.  | 15083  | 380846  |
|  Macy's, Inc.  | 35025  | 723266  |
|  Nordstrom, Inc. (b)  | 2185  | 35266  |
|  Ollie's Bargain Outlet Holdings, Inc. (a)  | 7695  | 360434  |
|  |  | 4196507  |
| Specialty Retail - 2.1%  |  |  |
|  Advance Auto Parts, Inc.  | 7195  | 1057881  |
|  AutoNation, Inc. (a)  | 4381  | 470081  |
|  AutoZone, Inc. (a)  | 227  | 559823  |
|  Bath & Body Works, Inc.  | 29744  | 1253412  |
|  Best Buy Co., Inc.  | 17953  | 1440010  |
|  Burlington Stores, Inc. (a)  | 547  | 110910  |
|  CarMax, Inc. (a)(b)  | 18145  | 1104849  |
|  Dick's Sporting Goods, Inc. (b)  | 6910  | 831204  |
|  GameStop Corp. Class A (b)  | 34899  | 644236  |
|  Gap, Inc.  | 25187  | 284109  |
|  Leslie's, Inc. (a)(b)  | 2343  | 28608  |
|  Lithia Motors, Inc. Class A (sub. vtg.) (b)  | 3524  | 721504  |
|  O'Reilly Automotive, Inc. (a)  | 4774  | 4029399  |
|  Penske Automotive Group, Inc. (b)  | 3351  | 385130  |
|  Petco Health & Wellness Co., Inc. (a)(b)  | 10606  | 100545  |
|  RH (a)(b)  | 1546  | 413076  |
|  Ross Stores, Inc.  | 25539  | 2964312  |
|  Victoria's Secret & Co. (a)  | 3032  | 108485  |
|  Williams-Sonoma, Inc. (b)  | 1816  | 208695  |
|  |  | 16716269  |
| Textiles, Apparel & Luxury Goods - 0.9%  |  |  |
|  Capri Holdings Ltd. (a)  | 16326  | 935806  |
|  Carter's, Inc. (b)  | 4841  | 361187  |
|  Columbia Sportswear Co.  | 4677  | 409612  |
|  Deckers Outdoor Corp. (a)  | 405  | 161660  |
|  Hanesbrands, Inc. (b)  | 45033  | 286410  |
|  PVH Corp.  | 8433  | 595285  |
|  Ralph Lauren Corp.  | 5270  | 556881  |
|  Skechers U.S.A., Inc. Class A (sub. vtg.) (a)  | 14768  | 619518  |
|  Tapestry, Inc.  | 27231  | 1036956  |
|  Under Armour, Inc.:  |  |  |
|  Class A (sub. vtg.) (a)  | 24201  | 245882  |
|  Class C (non-vtg.) (a)  | 25994  | 231866  |
|  VF Corp.  | 45454  | 1254985  |
|  |  | 6696048  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 78234701  |
| CONSUMER STAPLES - 4.1%  |  |  |
| Beverages - 0.3%  |  |  |
|  Boston Beer Co., Inc. Class A (a)  | 62  | 20430  |
|  Brown-Forman Corp.:  |  |  |
|  Class A (b)  | 2461  | 161835  |
|  Class B (non-vtg.)  | 9807  | 644124  |
|  Molson Coors Beverage Co. Class B  | 22764  | 1172801  |
|  |  | 1999190  |
| Food & Staples Retailing - 1.0%  |  |  |
|  Albertsons Companies, Inc.  | 21881  | 453812  |
|  BJ's Wholesale Club Holdings, Inc. (a)  | 6428  | 425276  |
|  Casey's General Stores, Inc.  | 4819  | 1081143  |
|  Grocery Outlet Holding Corp. (a)  | 10594  | 309239  |
|  Kroger Co.  | 85282  | 3801872  |
|  Performance Food Group Co. (a)  | 13661  | 797666  |
|  U.S. Foods Holding Corp. (a)  | 26235  | 892515  |
|  |  | 7761523  |
| Food Products - 2.5%  |  |  |
|  Bunge Ltd.  | 17986  | 1794463  |
|  Campbell Soup Co.  | 25206  | 1430441  |
|  Conagra Brands, Inc.  | 61211  | 2368866  |
|  Darling Ingredients, Inc. (a)  | 19366  | 1212118  |
|  Flowers Foods, Inc.  | 24360  | 700106  |
|  Freshpet, Inc. (a)  | 2636  | 139102  |
|  Hormel Foods Corp.  | 37273  | 1697785  |
|  Ingredion, Inc.  | 8519  | 834266  |
|  Kellogg Co.  | 14985  | 1067531  |
|  McCormick & Co., Inc. (non-vtg.)  | 32596  | 2701882  |
|  Pilgrim's Pride Corp. (a)  | 2905  | 68936  |
|  Post Holdings, Inc. (a)  | 7112  | 641929  |
|  Seaboard Corp.  | 33  | 124582  |
|  The Hershey Co.  | 2524  | 584483  |
|  The J.M. Smucker Co.  | 13405  | 2124156  |
|  Tyson Foods, Inc. Class A  | 37046  | 2306114  |
|  |  | 19796760  |
| Household Products - 0.3%  |  |  |
|  Church & Dwight Co., Inc.  | 17268  | 1391973  |
|  Reynolds Consumer Products, Inc.  | 7123  | 213548  |
|  Spectrum Brands Holdings, Inc.  | 5169  | 314895  |
|  The Clorox Co.  | 2738  | 384224  |
|  |  | 2304640  |
| Personal Products - 0.0%  |  |  |
|  Coty, Inc. Class A (a)  | 45659  | 390841  |
|  TOTAL CONSUMER STAPLES  |  | 32252954  |
| ENERGY - 5.4%  |  |  |
| Energy Equipment & Services - 0.9%  |  |  |
|  Baker Hughes Co. Class A  | 122483  | 3616923  |
|  Halliburton Co.  | 63918  | 2515173  |
|  NOV, Inc.  | 50888  | 1063050  |
|  |  | 7195146  |
| Oil, Gas & Consumable Fuels - 4.5%  |  |  |
|  Antero Midstream GP LP (b)  | 43723  | 471771  |
|  Antero Resources Corp. (a)  | 12871  | 398872  |
|  APA Corp.  | 41659  | 1944642  |
|  Cheniere Energy, Inc.  | 13759  | 2063300  |
|  Chesapeake Energy Corp.  | 15749  | 1486233  |
|  Coterra Energy, Inc.  | 85427  | 2098941  |
|  Devon Energy Corp.  | 43228  | 2658954  |
|  Diamondback Energy, Inc.  | 9797  | 1340034  |
|  DT Midstream, Inc.  | 12604  | 696497  |
|  EQT Corp.  | 47922  | 1621201  |
|  Hess Corp.  | 7948  | 1127185  |
|  HF Sinclair Corp.  | 17542  | 910254  |
|  Marathon Oil Corp.  | 82333  | 2228754  |
|  ONEOK, Inc.  | 51281  | 3369162  |
|  Ovintiv, Inc.  | 9322  | 472719  |
|  PDC Energy, Inc.  | 5287  | 335619  |
|  Phillips 66 Co.  | 61492  | 6400077  |
|  Range Resources Corp.  | 10353  | 259032  |
|  Southwestern Energy Co. (a)  | 132909  | 777518  |
|  The Williams Companies, Inc.  | 158434  | 5212479  |
|  |  | 35873244  |
|  TOTAL ENERGY  |  | 43068390  |
| FINANCIALS - 18.1%  |  |  |
| Banks - 4.6%  |  |  |
|  Bank of Hawaii Corp. (b)  | 5139  | 398581  |
|  Bank OZK  | 14539  | 582432  |
|  BOK Financial Corp.  | 3768  | 391081  |
|  Citizens Financial Group, Inc.  | 63500  | 2499995  |
|  Comerica, Inc.  | 16984  | 1135380  |
|  Commerce Bancshares, Inc.  | 14781  | 1006143  |
|  Cullen/Frost Bankers, Inc.  | 7584  | 1013981  |
|  East West Bancorp, Inc.  | 18384  | 1211506  |
|  Fifth Third Bancorp  | 88601  | 2906999  |
|  First Citizens Bancshares, Inc.  | 1075  | 815237  |
|  First Hawaiian, Inc.  | 16601  | 432290  |
|  First Horizon National Corp.  | 68830  | 1686335  |
|  First Republic Bank  | 23644  | 2881967  |
|  FNB Corp., Pennsylvania  | 45410  | 592601  |
|  Huntington Bancshares, Inc.  | 186639  | 2631610  |
|  KeyCorp  | 120834  | 2104928  |
|  M&T Bank Corp.  | 22359  | 3243397  |
|  PacWest Bancorp  | 15043  | 345237  |
|  Pinnacle Financial Partners, Inc.  | 9742  | 715063  |
|  Popular, Inc.  | 9261  | 614190  |
|  Prosperity Bancshares, Inc.  | 11389  | 827753  |
|  Regions Financial Corp.  | 121553  | 2620683  |
|  Signature Bank  | 7644  | 880742  |
|  SVB Financial Group (a)  | 2762  | 635647  |
|  Synovus Financial Corp.  | 18715  | 702748  |
|  Umpqua Holdings Corp.  | 28091  | 501424  |
|  Webster Financial Corp.  | 22468  | 1063635  |
|  Western Alliance Bancorp.  | 5307  | 316085  |
|  Wintrust Financial Corp.  | 7790  | 658411  |
|  Zions Bancorp NA  | 19140  | 940922  |
|  |  | 36357003  |
| Capital Markets - 4.6%  |  |  |
|  Affiliated Managers Group, Inc.  | 4861  | 770128  |
|  Ameriprise Financial, Inc.  | 5004  | 1558095  |
|  Bank of New York Mellon Corp.  | 95546  | 4349254  |
|  Carlyle Group LP  | 26914  | 803114  |
|  Cboe Global Markets, Inc.  | 13767  | 1727345  |
|  Coinbase Global, Inc. (a)(b)  | 20760  | 734696  |
|  Evercore, Inc. Class A  | 4739  | 516930  |
|  Franklin Resources, Inc.  | 37108  | 978909  |
|  Interactive Brokers Group, Inc.  | 12072  | 873409  |
|  Invesco Ltd. (b)  | 48563  | 873648  |
|  Janus Henderson Group PLC  | 17680  | 415834  |
|  Jefferies Financial Group, Inc.  | 26056  | 893200  |
|  KKR & Co. LP  | 74380  | 3452720  |
|  Lazard Ltd. Class A  | 10750  | 372703  |
|  Morningstar, Inc.  | 309  | 66926  |
|  MSCI, Inc.  | 2495  | 1160599  |
|  NASDAQ, Inc.  | 44714  | 2743204  |
|  Northern Trust Corp.  | 26729  | 2365249  |
|  Raymond James Financial, Inc.  | 23285  | 2488002  |
|  Robinhood Markets, Inc. (a)(b)  | 73064  | 594741  |
|  SEI Investments Co.  | 13370  | 779471  |
|  State Street Corp.  | 47715  | 3701253  |
|  Stifel Financial Corp.  | 13432  | 784026  |
| T. Rowe Price Group, Inc. (b)  | 28613  | 3120534  |
|  Tradeweb Markets, Inc. Class A  | 5144  | 334000  |
|  Virtu Financial, Inc. Class A  | 12198  | 248961  |
|  |  | 36706951  |
| Consumer Finance - 1.0%  |  |  |
|  Ally Financial, Inc.  | 38798  | 948611  |
|  Credit Acceptance Corp. (a)(b)  | 785  | 372404  |
|  Discover Financial Services  | 35486  | 3471595  |
|  OneMain Holdings, Inc.  | 14920  | 496985  |
|  SLM Corp.  | 32507  | 539616  |
|  SoFi Technologies, Inc. (a)(b)  | 104733  | 482819  |
|  Synchrony Financial  | 58383  | 1918465  |
|  Upstart Holdings, Inc. (a)(b)  | 7511  | 99295  |
|  |  | 8329790  |
| Diversified Financial Services - 0.4%  |  |  |
|  Apollo Global Management, Inc.  | 14963  | 954490  |
|  Corebridge Financial, Inc.  | 10521  | 211051  |
|  Equitable Holdings, Inc.  | 47916  | 1375189  |
|  Voya Financial, Inc. (b)  | 12654  | 778094  |
|  |  | 3318824  |
| Insurance - 6.9%  |  |  |
|  AFLAC, Inc.  | 80202  | 5769732  |
|  Allstate Corp.  | 34378  | 4661657  |
|  American Financial Group, Inc.  | 8747  | 1200788  |
|  Arch Capital Group Ltd. (a)  | 31090  | 1951830  |
|  Arthur J. Gallagher & Co.  | 23973  | 4519869  |
|  Assurant, Inc.  | 6495  | 812265  |
|  Assured Guaranty Ltd.  | 7490  | 466327  |
|  Axis Capital Holdings Ltd.  | 10114  | 547875  |
|  Brighthouse Financial, Inc. (a)  | 8920  | 457328  |
|  Brown & Brown, Inc.  | 28393  | 1617549  |
|  Cincinnati Financial Corp.  | 19933  | 2040940  |
|  CNA Financial Corp.  | 3587  | 151658  |
|  Erie Indemnity Co. Class A  | 855  | 212656  |
|  Everest Re Group Ltd.  | 3496  | 1158120  |
|  F&G Annuities & Life, Inc.  | 2406  | 48144  |
|  Fidelity National Financial, Inc.  | 33765  | 1270239  |
|  First American Financial Corp.  | 13111  | 686230  |
|  Globe Life, Inc.  | 11628  | 1401755  |
|  Hanover Insurance Group, Inc.  | 4600  | 621598  |
|  Hartford Financial Services Group, Inc.  | 41286  | 3130717  |
|  Kemper Corp.  | 8254  | 406097  |
|  Lincoln National Corp.  | 17486  | 537170  |
|  Loews Corp.  | 25543  | 1489923  |
|  Markel Corp. (a)  | 1339  | 1764119  |
|  Old Republic International Corp.  | 36301  | 876669  |
|  Primerica, Inc.  | 4764  | 675630  |
|  Principal Financial Group, Inc.  | 31489  | 2642557  |
|  Prudential Financial, Inc.  | 47893  | 4763438  |
|  Reinsurance Group of America, Inc.  | 8687  | 1234336  |
|  RenaissanceRe Holdings Ltd.  | 2535  | 467023  |
|  Unum Group  | 25769  | 1057302  |
|  W.R. Berkley Corp.  | 26766  | 1942409  |
|  White Mountains Insurance Group Ltd.  | 325  | 459657  |
|  Willis Towers Watson PLC  | 13999  | 3423875  |
|  |  | 54467482  |
| Mortgage Real Estate Investment Trusts - 0.4%  |  |  |
|  AGNC Investment Corp.  | 74168  | 767639  |
|  Annaly Capital Management, Inc.  | 60773  | 1281095  |
|  Rithm Capital Corp.  | 56292  | 459906  |
|  Starwood Property Trust, Inc.  | 37971  | 696008  |
|  |  | 3204648  |
| Thrifts & Mortgage Finance - 0.2%  |  |  |
|  MGIC Investment Corp.  | 38370  | 498810  |
|  New York Community Bancorp, Inc.  | 86996  | 748166  |
|  Rocket Companies, Inc. (b)  | 6712  | 46984  |
|  TFS Financial Corp. (b)  | 6631  | 95553  |
|  UWM Holdings Corp. Class A (b)  | 1342  | 4442  |
|  |  | 1393955  |
|  TOTAL FINANCIALS  |  | 143778653  |
| HEALTH CARE - 7.5%  |  |  |
| Biotechnology - 1.5%  |  |  |
|  Biogen, Inc. (a)  | 18644  | 5162896  |
|  BioMarin Pharmaceutical, Inc. (a)  | 23997  | 2483450  |
|  Exact Sciences Corp. (a)(b)  | 18614  | 921579  |
|  Exelixis, Inc. (a)  | 5633  | 90353  |
|  Horizon Therapeutics PLC (a)  | 2000  | 227600  |
|  Incyte Corp. (a)  | 3179  | 255337  |
|  Ionis Pharmaceuticals, Inc. (a)  | 1518  | 57335  |
|  Mirati Therapeutics, Inc. (a)  | 5766  | 261257  |
|  Natera, Inc. (a)  | 927  | 37238  |
|  Repligen Corp. (a)  | 2068  | 350133  |
|  Ultragenyx Pharmaceutical, Inc. (a)  | 1947  | 90205  |
|  United Therapeutics Corp. (a)  | 5800  | 1612922  |
|  |  | 11550305  |
| Health Care Equipment & Supplies - 2.1%  |  |  |
|  Align Technology, Inc. (a)  | 2550  | 537795  |
|  Dentsply Sirona, Inc.  | 27855  | 886903  |
|  Enovis Corp. (a)  | 6556  | 350877  |
|  Envista Holdings Corp. (a)  | 21160  | 712457  |
|  Globus Medical, Inc. (a)  | 9263  | 687963  |
|  Hologic, Inc. (a)  | 31988  | 2393022  |
|  ICU Medical, Inc. (a)(b)  | 2130  | 335432  |
|  Integra LifeSciences Holdings Corp. (a)  | 9413  | 527787  |
|  Masimo Corp. (a)  | 1463  | 216451  |
|  QuidelOrtho Corp. (a)  | 6337  | 542891  |
|  STERIS PLC  | 12976  | 2396537  |
|  Tandem Diabetes Care, Inc. (a)  | 565  | 25397  |
|  Teleflex, Inc.  | 6101  | 1522993  |
|  The Cooper Companies, Inc.  | 6317  | 2088842  |
|  Zimmer Biomet Holdings, Inc.  | 27285  | 3478838  |
|  |  | 16704185  |
| Health Care Providers & Services - 1.9%  |  |  |
|  Acadia Healthcare Co., Inc. (a)  | 11579  | 953183  |
|  agilon health, Inc. (a)(b)  | 1668  | 26922  |
|  Amedisys, Inc. (a)  | 4150  | 346691  |
|  Cardinal Health, Inc.  | 34076  | 2619422  |
|  Chemed Corp.  | 1223  | 624256  |
|  Encompass Health Corp.  | 12732  | 761501  |
|  Enhabit Home Health & Hospice (a)  | 6467  | 85106  |
|  Henry Schein, Inc. (a)  | 17580  | 1404115  |
|  Laboratory Corp. of America Holdings  | 11516  | 2711788  |
|  Molina Healthcare, Inc. (a)  | 1668  | 550807  |
|  Oak Street Health, Inc. (a)(b)  | 15110  | 325016  |
|  Premier, Inc.  | 15304  | 535334  |
|  Quest Diagnostics, Inc.  | 14761  | 2309211  |
|  Signify Health, Inc. (a)(b)  | 9906  | 283906  |
|  Tenet Healthcare Corp. (a)  | 13817  | 674131  |
|  Universal Health Services, Inc. Class B  | 8067  | 1136560  |
|  |  | 15347949  |
| Health Care Technology - 0.1%  |  |  |
|  Certara, Inc. (a)  | 5435  | 87340  |
|  Definitive Healthcare Corp. (a)(b)  | 2148  | 23607  |
|  Doximity, Inc. (a)(b)  | 7708  | 258680  |
|  Teladoc Health, Inc. (a)(b)  | 18867  | 446205  |
|  |  | 815832  |
| Life Sciences Tools & Services - 0.9%  |  |  |
|  10X Genomics, Inc. (a)  | 1279  | 46607  |
|  Agilent Technologies, Inc.  | 3919  | 586478  |
|  Avantor, Inc. (a)  | 5704  | 120297  |
|  Azenta, Inc.  | 9626  | 560426  |
|  Bio-Rad Laboratories, Inc. Class A (a)  | 2779  | 1168542  |
|  Charles River Laboratories International, Inc. (a)  | 446  | 97183  |
|  PerkinElmer, Inc.  | 16398  | 2299328  |
|  QIAGEN NV (a)  | 29488  | 1470567  |
|  Syneos Health, Inc. (a)  | 10982  | 402820  |
|  |  | 6752248  |
| Pharmaceuticals - 1.0%  |  |  |
|  Catalent, Inc. (a)  | 15842  | 713048  |
|  Elanco Animal Health, Inc. (a)  | 57886  | 707367  |
|  Jazz Pharmaceuticals PLC (a)  | 8004  | 1275117  |
|  Organon & Co.  | 33038  | 922751  |
|  Perrigo Co. PLC  | 17460  | 595211  |
|  Royalty Pharma PLC  | 48365  | 1911385  |
|  Viatris, Inc.  | 157574  | 1753799  |
|  |  | 7878678  |
|  TOTAL HEALTH CARE  |  | 59049197  |
| INDUSTRIALS - 15.5%  |  |  |
| Aerospace & Defense - 1.3%  |  |  |
|  Axon Enterprise, Inc. (a)  | 1981  | 328707  |
|  BWX Technologies, Inc.  | 7241  | 420557  |
|  Curtiss-Wright Corp.  | 4979  | 831443  |
|  HEICO Corp.  | 365  | 56079  |
|  HEICO Corp. Class A  | 656  | 78622  |
|  Hexcel Corp.  | 10893  | 641053  |
|  Howmet Aerospace, Inc.  | 43532  | 1715596  |
|  Huntington Ingalls Industries, Inc.  | 3993  | 921105  |
|  Mercury Systems, Inc. (a)  | 6364  | 284725  |
|  Spirit AeroSystems Holdings, Inc. Class A  | 720  | 21312  |
|  Textron, Inc.  | 27117  | 1919884  |
|  TransDigm Group, Inc.  | 4094  | 2577787  |
|  Woodward, Inc.  | 7651  | 739163  |
|  |  | 10536033  |
| Air Freight & Logistics - 0.4%  |  |  |
|  C.H. Robinson Worldwide, Inc.  | 11030  | 1009907  |
|  Expeditors International of Washington, Inc.  | 14252  | 1481068  |
|  GXO Logistics, Inc. (a)  | 12230  | 522099  |
|  |  | 3013074  |
| Airlines - 0.8%  |  |  |
|  Alaska Air Group, Inc. (a)  | 16098  | 691248  |
|  American Airlines Group, Inc. (a)(b)  | 83985  | 1068289  |
|  Copa Holdings SA Class A (a)  | 3720  | 309392  |
|  JetBlue Airways Corp. (a)  | 41406  | 268311  |
|  Southwest Airlines Co.  | 77034  | 2593735  |
|  United Airlines Holdings, Inc. (a)  | 42425  | 1599423  |
|  |  | 6530398  |
| Building Products - 1.7%  |  |  |
|  A.O. Smith Corp.  | 12345  | 706628  |
|  Allegion PLC  | 2352  | 247572  |
|  Armstrong World Industries, Inc.  | 2506  | 171887  |
|  Builders FirstSource, Inc. (a)  | 18908  | 1226751  |
|  Carlisle Companies, Inc.  | 1044  | 246019  |
|  Carrier Global Corp.  | 108704  | 4484040  |
|  Fortune Brands Home & Security, Inc.  | 10993  | 627810  |
|  Hayward Holdings, Inc. (a)(b)  | 8795  | 82673  |
|  Lennox International, Inc.  | 4153  | 993522  |
|  Masco Corp.  | 27768  | 1295933  |
|  MasterBrand, Inc. (a)  | 11209  | 84628  |
|  Owens Corning  | 12129  | 1034604  |
|  The AZEK Co., Inc. (a)(b)  | 14380  | 292202  |
|  Trane Technologies PLC  | 12523  | 2104991  |
|  |  | 13599260  |
| Commercial Services & Supplies - 0.8%  |  |  |
|  Cintas Corp.  | 753  | 340070  |
|  Clean Harbors, Inc. (a)  | 6625  | 756045  |
|  Driven Brands Holdings, Inc. (a)  | 7666  | 209358  |
|  IAA, Inc. (a)  | 3015  | 120600  |
|  MSA Safety, Inc.  | 2943  | 424351  |
|  Republic Services, Inc.  | 25102  | 3237907  |
|  Rollins, Inc.  | 2266  | 82800  |
|  Stericycle, Inc. (a)  | 11911  | 594240  |
|  Tetra Tech, Inc.  | 4025  | 584390  |
|  |  | 6349761  |
| Construction & Engineering - 0.7%  |  |  |
|  AECOM  | 16078  | 1365505  |
|  MasTec, Inc. (a)  | 7924  | 676155  |
|  MDU Resources Group, Inc.  | 26264  | 796850  |
|  Quanta Services, Inc.  | 8400  | 1197000  |
|  Valmont Industries, Inc.  | 2352  | 777736  |
|  Willscot Mobile Mini Holdings (a)  | 12373  | 558888  |
|  |  | 5372134  |
| Electrical Equipment - 1.5%  |  |  |
|  Acuity Brands, Inc.  | 4167  | 690097  |
|  AMETEK, Inc.  | 29966  | 4186850  |
|  Hubbell, Inc. Class B  | 6963  | 1634077  |
|  nVent Electric PLC  | 21475  | 826143  |
|  Plug Power, Inc. (a)(b)  | 33960  | 420085  |
|  Regal Rexnord Corp.  | 8601  | 1031948  |
|  Rockwell Automation, Inc.  | 4854  | 1250245  |
|  Sensata Technologies, Inc. PLC  | 19658  | 793790  |
|  Sunrun, Inc. (a)  | 27078  | 650414  |
|  Vertiv Holdings Co.  | 33222  | 453813  |
|  |  | 11937462  |
| Machinery - 5.4%  |  |  |
|  AGCO Corp.  | 7005  | 971523  |
|  Allison Transmission Holdings, Inc.  | 2517  | 104707  |
|  Crane Holdings Co.  | 6114  | 614151  |
|  Cummins, Inc.  | 18331  | 4441418  |
|  Donaldson Co., Inc.  | 13338  | 785208  |
|  Dover Corp.  | 18214  | 2466358  |
|  ESAB Corp.  | 6574  | 308452  |
|  Flowserve Corp.  | 16925  | 519259  |
|  Fortive Corp.  | 46048  | 2958584  |
|  Gates Industrial Corp. PLC (a)  | 14182  | 161817  |
|  Graco, Inc.  | 6848  | 460596  |
|  IDEX Corp.  | 8120  | 1854040  |
|  Ingersoll Rand, Inc.  | 52822  | 2759950  |
|  ITT, Inc.  | 10849  | 879854  |
|  Middleby Corp. (a)  | 6471  | 866467  |
|  Nordson Corp.  | 5696  | 1354053  |
|  Oshkosh Corp.  | 8535  | 752702  |
|  Otis Worldwide Corp.  | 47608  | 3728182  |
|  PACCAR, Inc.  | 44377  | 4391992  |
|  Parker Hannifin Corp.  | 12867  | 3744297  |
|  Pentair PLC  | 21388  | 962032  |
|  Snap-On, Inc.  | 6838  | 1562415  |
|  Stanley Black & Decker, Inc.  | 19200  | 1442304  |
|  Timken Co.  | 7950  | 561827  |
|  Westinghouse Air Brake Tech Co.  | 23539  | 2349428  |
|  Xylem, Inc.  | 20031  | 2214828  |
|  |  | 43216444  |
| Marine - 0.1%  |  |  |
|  Kirby Corp. (a)  | 7761  | 499420  |
| Professional Services - 1.7%  |  |  |
|  CACI International, Inc. Class A (a)  | 3012  | 905377  |
|  Clarivate Analytics PLC (a)  | 61350  | 511659  |
|  CoStar Group, Inc. (a)  | 44952  | 3473891  |
|  Dun & Bradstreet Holdings, Inc.  | 32675  | 400596  |
|  Equifax, Inc.  | 7902  | 1535833  |
|  FTI Consulting, Inc. (a)  | 2541  | 403511  |
|  Jacobs Solutions, Inc.  | 16618  | 1995323  |
|  KBR, Inc.  | 6222  | 328522  |
|  Leidos Holdings, Inc.  | 17713  | 1863230  |
|  Manpower, Inc.  | 6531  | 543445  |
|  Robert Half International, Inc.  | 1639  | 121007  |
|  Science Applications International Corp.  | 7147  | 792817  |
|  TransUnion Holding Co., Inc.  | 6674  | 378750  |
|  |  | 13253961  |
| Road & Rail - 0.5%  |  |  |
|  Avis Budget Group, Inc. (a)(b)  | 3320  | 544248  |
|  Hertz Global Holdings, Inc. (a)  | 24532  | 377547  |
|  J.B. Hunt Transport Services, Inc.  | 1179  | 205570  |
|  Knight-Swift Transportation Holdings, Inc. Class A  | 20283  | 1063032  |
|  Landstar System, Inc.  | 509  | 82916  |
|  RXO, Inc. (a)  | 12188  | 209634  |
|  Ryder System, Inc.  | 6315  | 527745  |
|  Schneider National, Inc. Class B  | 7096  | 166046  |
|  U-Haul Holding Co. (b)  | 1196  | 71987  |
|  U-Haul Holding Co. (non-vtg.)  | 10492  | 576850  |
|  XPO, Inc. (a)  | 12293  | 409234  |
|  |  | 4234809  |
| Trading Companies & Distributors - 0.6%  |  |  |
|  Air Lease Corp. Class A  | 13509  | 519016  |
|  Core & Main, Inc. (a)(b)  | 6176  | 119259  |
|  MSC Industrial Direct Co., Inc. Class A  | 6011  | 491099  |
|  SiteOne Landscape Supply, Inc. (a)(b)  | 2251  | 264087  |
|  United Rentals, Inc. (a)  | 4913  | 1746178  |
|  Univar Solutions, Inc. (a)  | 20907  | 664843  |
|  Watsco, Inc. (b)  | 2017  | 503040  |
|  WESCO International, Inc. (a)  | 2716  | 340043  |
|  |  | 4647565  |
|  TOTAL INDUSTRIALS  |  | 123190321  |
| INFORMATION TECHNOLOGY - 8.8%  |  |  |
| Communications Equipment - 1.2%  |  |  |
|  Ciena Corp. (a)  | 19153  | 976420  |
|  F5, Inc. (a)  | 7740  | 1110767  |
|  Juniper Networks, Inc.  | 41551  | 1327970  |
|  Lumentum Holdings, Inc. (a)  | 8852  | 461809  |
|  Motorola Solutions, Inc.  | 21414  | 5518602  |
|  Ubiquiti, Inc. (b)  | 389  | 106403  |
|  ViaSat, Inc. (a)(b)  | 9313  | 294756  |
|  |  | 9796727  |
| Electronic Equipment & Components - 1.8%  |  |  |
|  Amphenol Corp. Class A  | 18730  | 1426102  |
|  Arrow Electronics, Inc. (a)  | 7566  | 791177  |
|  Avnet, Inc.  | 11822  | 491559  |
|  Cognex Corp.  | 1585  | 74669  |
|  Coherent Corp. (a)  | 12984  | 455738  |
|  Corning, Inc.  | 92397  | 2951160  |
|  IPG Photonics Corp. (a)  | 4237  | 401117  |
|  Jabil, Inc.  | 3171  | 216262  |
|  Keysight Technologies, Inc. (a)  | 1719  | 294069  |
|  Littelfuse, Inc.  | 3141  | 691648  |
|  National Instruments Corp.  | 14785  | 545567  |
|  TD SYNNEX Corp.  | 5537  | 524409  |
|  Teledyne Technologies, Inc. (a)  | 6021  | 2407858  |
|  Trimble, Inc. (a)  | 32006  | 1618223  |
|  Vontier Corp.  | 7825  | 151257  |
|  Zebra Technologies Corp. Class A (a)  | 3958  | 1014871  |
|  |  | 14055686  |
| IT Services - 2.2%  |  |  |
|  Affirm Holdings, Inc. (a)(b)  | 28143  | 272143  |
|  Akamai Technologies, Inc. (a)  | 20141  | 1697886  |
|  Amdocs Ltd.  | 15710  | 1428039  |
|  Broadridge Financial Solutions, Inc.  | 1410  | 189123  |
|  Concentrix Corp.  | 5525  | 735709  |
|  DXC Technology Co. (a)  | 29908  | 792562  |
|  Euronet Worldwide, Inc. (a)  | 1541  | 145440  |
|  Genpact Ltd.  | 11076  | 513040  |
|  Global Payments, Inc.  | 34901  | 3466367  |
|  GoDaddy, Inc. (a)  | 17536  | 1312044  |
|  Kyndryl Holdings, Inc. (a)  | 26477  | 294424  |
|  Okta, Inc. (a)  | 16993  | 1161132  |
|  SS&C Technologies Holdings, Inc.  | 28685  | 1493341  |
|  The Western Union Co.  | 33216  | 457384  |
|  Twilio, Inc. Class A (a)  | 14085  | 689602  |
|  VeriSign, Inc. (a)  | 10774  | 2213411  |
|  WEX, Inc. (a)  | 1552  | 253985  |
|  Wix.com Ltd. (a)  | 1605  | 123312  |
|  |  | 17238944  |
| Semiconductors & Semiconductor Equipment - 1.2%  |  |  |
|  Cirrus Logic, Inc. (a)  | 7122  | 530447  |
|  First Solar, Inc. (a)  | 13814  | 2069199  |
|  GlobalFoundries, Inc. (a)(b)  | 6241  | 336327  |
|  Microchip Technology, Inc.  | 10105  | 709876  |
|  MKS Instruments, Inc.  | 7449  | 631154  |
|  onsemi (a)  | 21214  | 1323117  |
|  Qorvo, Inc. (a)  | 13147  | 1191644  |
|  Skyworks Solutions, Inc.  | 20910  | 1905528  |
|  Teradyne, Inc.  | 1914  | 167188  |
|  Wolfspeed, Inc. (a)(b)  | 16009  | 1105261  |
|  |  | 9969741  |
| Software - 1.5%  |  |  |
|  ANSYS, Inc. (a)  | 5348  | 1292023  |
|  Bill.Com Holdings, Inc. (a)  | 12856  | 1400790  |
|  Black Knight, Inc. (a)  | 18224  | 1125332  |
|  CCC Intelligent Solutions Holdings, Inc. Class A (a)(b)  | 13722  | 119381  |
|  Ceridian HCM Holding, Inc. (a)  | 14408  | 924273  |
|  Coupa Software, Inc. (a)  | 4335  | 343202  |
|  Dolby Laboratories, Inc. Class A  | 7929  | 559312  |
|  DoubleVerify Holdings, Inc. (a)  | 1299  | 28526  |
|  Dropbox, Inc. Class A (a)  | 2447  | 54764  |
|  Gen Digital, Inc.  | 46692  | 1000610  |
|  Guidewire Software, Inc. (a)  | 10650  | 666264  |
|  Informatica, Inc. (a)(b)  | 4003  | 65209  |
|  Jamf Holding Corp. (a)(b)  | 1251  | 26646  |
|  Manhattan Associates, Inc. (a)  | 3084  | 374398  |
|  nCino, Inc. (a)(b)  | 7178  | 189786  |
|  NCR Corp. (a)  | 15654  | 366460  |
|  Nutanix, Inc. Class A (a)  | 14290  | 372255  |
|  Paycor HCM, Inc. (a)(b)  | 7177  | 175621  |
|  Procore Technologies, Inc. (a)(b)  | 2604  | 122857  |
|  SentinelOne, Inc. (a)  | 7427  | 108360  |
|  Teradata Corp. (a)  | 6152  | 207076  |
|  Tyler Technologies, Inc. (a)  | 674  | 217304  |
|  UiPath, Inc. Class A (a)  | 44486  | 565417  |
|  Unity Software, Inc. (a)(b)  | 10517  | 300681  |
|  Zoom Video Communications, Inc. Class A (a)  | 16285  | 1103146  |
|  |  | 11709693  |
| Technology Hardware, Storage & Peripherals - 0.9%  |  |  |
|  Dell Technologies, Inc.  | 27820  | 1118920  |
|  Hewlett Packard Enterprise Co.  | 167176  | 2668129  |
|  HP, Inc.  | 70801  | 1902423  |
|  Western Digital Corp. (a)  | 41330  | 1303962  |
|  |  | 6993434  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 69764225  |
| MATERIALS - 7.6%  |  |  |
| Chemicals - 4.0%  |  |  |
|  Albemarle Corp.  | 7382  | 1600861  |
|  Ashland, Inc.  | 6587  | 708300  |
|  Axalta Coating Systems Ltd. (a)  | 21727  | 553387  |
|  Celanese Corp. Class A  | 14081  | 1439641  |
|  Corteva, Inc.  | 93053  | 5469655  |
|  DuPont de Nemours, Inc.  | 65226  | 4476460  |
|  Eastman Chemical Co.  | 15550  | 1266392  |
|  Element Solutions, Inc.  | 29300  | 532967  |
|  FMC Corp.  | 10778  | 1345094  |
|  Ginkgo Bioworks Holdings, Inc. Class A (a)(b)  | 92984  | 157143  |
|  Huntsman Corp.  | 23704  | 651386  |
|  International Flavors & Fragrances, Inc.  | 33144  | 3474817  |
|  LyondellBasell Industries NV Class A  | 33421  | 2774946  |
|  NewMarket Corp.  | 752  | 233955  |
|  Olin Corp.  | 16409  | 868692  |
|  PPG Industries, Inc.  | 14373  | 1807261  |
|  RPM International, Inc.  | 15748  | 1534643  |
|  The Chemours Co. LLC  | 7676  | 235039  |
|  The Mosaic Co.  | 38783  | 1701410  |
|  The Scotts Miracle-Gro Co. Class A (b)  | 3489  | 169531  |
|  Westlake Corp.  | 4291  | 439999  |
|  |  | 31441579  |
| Construction Materials - 0.5%  |  |  |
|  Eagle Materials, Inc.  | 811  | 107741  |
|  Martin Marietta Materials, Inc.  | 7376  | 2492867  |
|  Vulcan Materials Co.  | 8816  | 1543770  |
|  |  | 4144378  |
| Containers & Packaging - 1.5%  |  |  |
|  Amcor PLC  | 195021  | 2322700  |
|  Aptargroup, Inc.  | 8508  | 935710  |
|  Ardagh Group SA (a)  | 2333  | 20309  |
|  Ardagh Metal Packaging SA  | 13440  | 64646  |
|  Avery Dennison Corp.  | 4073  | 737213  |
|  Ball Corp.  | 24134  | 1234213  |
|  Berry Global Group, Inc.  | 8410  | 508216  |
|  Crown Holdings, Inc.  | 1797  | 147731  |
|  Graphic Packaging Holding Co.  | 9193  | 204544  |
|  International Paper Co.  | 46179  | 1599179  |
|  Packaging Corp. of America  | 11863  | 1517396  |
|  Silgan Holdings, Inc.  | 10926  | 566404  |
|  Sonoco Products Co.  | 12645  | 767678  |
|  WestRock Co.  | 32947  | 1158417  |
|  |  | 11784356  |
| Metals & Mining - 1.5%  |  |  |
|  Alcoa Corp.  | 22983  | 1045037  |
|  Cleveland-Cliffs, Inc. (a)  | 66438  | 1070316  |
|  Nucor Corp.  | 33348  | 4395600  |
|  Reliance Steel & Aluminum Co.  | 7594  | 1537329  |
|  Royal Gold, Inc.  | 7967  | 898040  |
|  SSR Mining, Inc. (b)  | 26782  | 419674  |
|  Steel Dynamics, Inc.  | 21649  | 2115107  |
|  United States Steel Corp.  | 30184  | 756109  |
|  |  | 12237212  |
| Paper & Forest Products - 0.1%  |  |  |
|  Louisiana-Pacific Corp.  | 8342  | 493846  |
|  TOTAL MATERIALS  |  | 60101371  |
| REAL ESTATE - 10.6%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 10.1%  |  |  |
|  Alexandria Real Estate Equities, Inc.  | 21067  | 3068830  |
|  American Homes 4 Rent Class A  | 40021  | 1206233  |
|  Americold Realty Trust  | 34948  | 989378  |
|  Apartment Income (REIT) Corp.  | 17887  | 613703  |
|  AvalonBay Communities, Inc.  | 18164  | 2933849  |
|  Boston Properties, Inc.  | 20379  | 1377213  |
|  Brixmor Property Group, Inc.  | 38784  | 879233  |
|  Camden Property Trust (SBI)  | 12347  | 1381382  |
|  Cousins Properties, Inc.  | 19633  | 496519  |
|  CubeSmart  | 29063  | 1169786  |
|  Douglas Emmett, Inc.  | 21930  | 343862  |
|  EastGroup Properties, Inc.  | 5347  | 791677  |
|  EPR Properties  | 9615  | 362678  |
|  Equity Lifestyle Properties, Inc.  | 8936  | 577266  |
|  Equity Residential (SBI)  | 48159  | 2841381  |
|  Essex Property Trust, Inc.  | 8451  | 1790936  |
|  Extra Space Storage, Inc.  | 15180  | 2234192  |
|  Federal Realty Investment Trust (SBI)  | 10436  | 1054453  |
|  First Industrial Realty Trust, Inc.  | 17128  | 826597  |
|  Gaming & Leisure Properties  | 31753  | 1654014  |
|  Healthcare Trust of America, Inc.  | 49300  | 950011  |
|  Healthpeak Properties, Inc.  | 70122  | 1757959  |
|  Highwoods Properties, Inc. (SBI)  | 13485  | 377310  |
|  Host Hotels & Resorts, Inc.  | 92054  | 1477467  |
|  Hudson Pacific Properties, Inc.  | 18063  | 175753  |
|  Invitation Homes, Inc.  | 79355  | 2352082  |
|  Iron Mountain, Inc.  | 9422  | 469687  |
|  JBG SMITH Properties  | 13789  | 261715  |
|  Kilroy Realty Corp.  | 15110  | 584304  |
|  Kimco Realty Corp.  | 78549  | 1663668  |
|  Lamar Advertising Co. Class A  | 1365  | 128856  |
|  Life Storage, Inc.  | 10937  | 1077295  |
|  Medical Properties Trust, Inc.  | 77227  | 860309  |
|  Mid-America Apartment Communities, Inc.  | 14928  | 2343547  |
|  National Retail Properties, Inc.  | 23188  | 1061083  |
|  National Storage Affiliates Trust  | 11028  | 398331  |
|  Omega Healthcare Investors, Inc.  | 30560  | 854152  |
|  Park Hotels & Resorts, Inc.  | 28913  | 340884  |
|  Rayonier, Inc.  | 18940  | 624262  |
|  Realty Income Corp.  | 81633  | 5177981  |
|  Regency Centers Corp.  | 22282  | 1392625  |
|  Rexford Industrial Realty, Inc.  | 23877  | 1304639  |
|  SBA Communications Corp. Class A  | 10707  | 3001279  |
|  Simon Property Group, Inc.  | 21849  | 2566821  |
|  SL Green Realty Corp.  | 8268  | 278797  |
|  Spirit Realty Capital, Inc.  | 18094  | 722493  |
|  Store Capital Corp.  | 33048  | 1059519  |
|  Sun Communities, Inc.  | 15819  | 2262117  |
|  UDR, Inc.  | 42097  | 1630417  |
|  Ventas, Inc.  | 51920  | 2338996  |
|  VICI Properties, Inc.  | 125119  | 4053856  |
|  Vornado Realty Trust  | 22945  | 477485  |
|  Welltower, Inc.  | 61527  | 4033095  |
|  Weyerhaeuser Co.  | 95695  | 2966545  |
|  WP Carey, Inc.  | 26816  | 2095670  |
|  |  | 79714192  |
| Real Estate Management & Development - 0.5%  |  |  |
|  CBRE Group, Inc. (a)  | 20987  | 1615160  |
|  Howard Hughes Corp. (a)  | 4756  | 363454  |
|  Jones Lang LaSalle, Inc. (a)  | 6206  | 989050  |
|  Opendoor Technologies, Inc. (a)(b)  | 44246  | 51325  |
|  WeWork, Inc. (a)(b)  | 28172  | 40286  |
|  Zillow Group, Inc.:  |  |  |
|  Class A (a)  | 6893  | 215131  |
|  Class C (a)(b)  | 19256  | 620236  |
|  |  | 3894642  |
|  TOTAL REAL ESTATE  |  | 83608834  |
| UTILITIES - 9.1%  |  |  |
| Electric Utilities - 4.5%  |  |  |
|  Alliant Energy Corp.  | 32594  | 1799515  |
|  Avangrid, Inc. (b)  | 9213  | 395975  |
|  Constellation Energy Corp.  | 42472  | 3661511  |
|  Edison International  | 48895  | 3110700  |
|  Entergy Corp.  | 26402  | 2970225  |
|  Evergy, Inc.  | 28909  | 1819243  |
|  Eversource Energy  | 44817  | 3757457  |
|  FirstEnergy Corp.  | 70622  | 2961887  |
|  Hawaiian Electric Industries, Inc.  | 14135  | 591550  |
|  IDACORP, Inc.  | 6540  | 705339  |
|  NRG Energy, Inc.  | 29788  | 947854  |
|  OGE Energy Corp.  | 25965  | 1026916  |
|  PG&E Corp. (a)  | 214127  | 3481705  |
|  Pinnacle West Capital Corp.  | 14682  | 1116419  |
|  PPL Corp.  | 95848  | 2800679  |
|  Xcel Energy, Inc.  | 70933  | 4973113  |
|  |  | 36120088  |
| Gas Utilities - 0.5%  |  |  |
|  Atmos Energy Corp.  | 17950  | 2011657  |
|  National Fuel Gas Co.  | 10472  | 662878  |
|  UGI Corp.  | 27222  | 1009120  |
|  |  | 3683655  |
| Independent Power and Renewable Electricity Producers - 0.4%  |  |  |
|  Brookfield Renewable Corp.  | 16600  | 457164  |
|  The AES Corp.  | 71137  | 2045900  |
|  Vistra Corp.  | 21605  | 501236  |
|  |  | 3004300  |
| Multi-Utilities - 3.1%  |  |  |
|  Ameren Corp.  | 33473  | 2976419  |
|  CenterPoint Energy, Inc.  | 81944  | 2457501  |
|  CMS Energy Corp.  | 37652  | 2384501  |
|  Consolidated Edison, Inc.  | 46167  | 4400177  |
|  DTE Energy Co.  | 25091  | 2948945  |
|  NiSource, Inc.  | 52803  | 1447858  |
|  Public Service Enterprise Group, Inc.  | 64761  | 3967906  |
|  WEC Energy Group, Inc.  | 41045  | 3848379  |
|  |  | 24431686  |
| Water Utilities - 0.6%  |  |  |
|  American Water Works Co., Inc.  | 23659  | 3606105  |
|  Essential Utilities, Inc.  | 30086  | 1436005  |
|  |  | 5042110  |
|  TOTAL UTILITIES  |  | 72281839  |
| <br> **TOTAL COMMON STOCKS** <br> (Cost $684,948,296)  |  | <br> **789858063**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  |
|  | Principal <br> Amount (c) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 1.23% 1/26/23 <br>(Cost $99,916) <br>| 100000  | **99752**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 3.4%**  | &nbsp;&nbsp; **Money Market Funds - 3.4%**  | &nbsp;&nbsp; **Money Market Funds - 3.4%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.37% (d)  | 156  | 156  |
|  Fidelity Securities Lending Cash Central Fund 4.37% (d)(e)  | 26816080  | 26818762  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $26,818,918)  |  | **26818918**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 103.1%** <br> (Cost $711,867,130) <br>| <br>**816776733**  |
| **NET OTHER ASSETS (LIABILITIES) - (3.1)%**  | **(24870074)**  |
| **NET ASSETS - 100.0%**  | **791906659**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Equity Index Contracts  |  |  |  |  |  |
| CME E-mini S&P MidCap 400 Index Contracts (United States)  | 10  | Mar 2023  | 2442600  | 14177  | 14177  |
| The notional amount of futures purchased as a percentage of Net Assets is 0.3%  | The notional amount of futures purchased as a percentage of Net Assets is 0.3%  | The notional amount of futures purchased as a percentage of Net Assets is 0.3%  | The notional amount of futures purchased as a percentage of Net Assets is 0.3%  | The notional amount of futures purchased as a percentage of Net Assets is 0.3%  | The notional amount of futures purchased as a percentage of Net Assets is 0.3%  |

---

**Legend**

(a) Non-income producing

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

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

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

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.37%  | -  | 78241253  | 78241097  | 25610  | -  | -  | 156  | 0.0%  |
|  Fidelity Securities Lending Cash Central Fund 4.37%  | 23207975  | 83255536  | 79644749  | 186706  | -  | -  | 26818762  | 0.1%  |
| Total  | 23207975  | 161496789  | 157885846  | 212316  | -  | -  | 26818918  |  |

---

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>**  |  |  |  |  |
|  **Equities:**  |  |  |  |  |
| Communication Services  | 24527578  | 24527578  | -  | -  |
| Consumer Discretionary  | 78234701  | 78234701  | -  | -  |
| Consumer Staples  | 32252954  | 32252954  | -  | -  |
| Energy  | 43068390  | 43068390  | -  | -  |
| Financials  | 143778653  | 143778653  | -  | -  |
| Health Care  | 59049197  | 59049197  | -  | -  |
| Industrials  | 123190321  | 123190321  | -  | -  |
| Information Technology  | 69764225  | 69764225  | -  | -  |
| Materials  | 60101371  | 60101371  | -  | -  |
| Real Estate  | 83608834  | 83608834  | -  | -  |
| Utilities  | 72281839  | 72281839  | -  | -  |
|  U.S. Government and Government Agency Obligations  | 99752  | -  | 99752  | -  |
|  Money Market Funds  | 26818918  | 26818918  | -  | -  |
| **Total Investments in Securities:**  | 816776733  | 816676981  | 99752  | -  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 14177  | 14177  | -  | -  |
| Total Assets  | 14177  | 14177  | -  | -  |
| **Total Derivative Instruments:**  | 14177  | 14177  | -  | -  |

---

**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 ($)**  | **Liability ($)**  |
| **Equity Risk**  |  |  |
| Futures Contracts (a)  | 14177  | 0  |
| **Total Equity Risk**  | 14177  | 0  |
| **Total Value of Derivatives**  | 14177  | 0  |

---

(a)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).

**Fidelity® Mid Cap Value Index Fund**

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $26,071,198) - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $685,048,212)  | $789957815  |  |
|  Fidelity Central Funds (cost $26,818,918)  | 26818918  |  |
|  Total Investment in Securities (cost $711,867,130)  |  | $816776733  |
|  Segregated cash with brokers for derivative instruments  |  | 13258  |
|  Cash  |  | 15536  |
| Receivable for investments sold  |  | 8630052  |
|  Receivable for fund shares sold  |  | 655331  |
|  Dividends receivable  |  | 1622971  |
|  Distributions receivable from Fidelity Central Funds  |  | 27738  |
| Other receivables  |  | 15  |
| **Total assets**  |  | 827741634  |
| **Liabilities**  |  |  |
|  Payable for fund shares redeemed  | 750486  |  |
|  Accrued management fee  | 33859  |  |
|  Notes payable to affiliates  | 8219000  |  |
|  Payable for daily variation margin on futures contracts  | 10785  |  |
|  Other payables and accrued expenses  | 2083  |  |
|  Collateral on securities loaned  | 26818762  |  |
| **Total Liabilities**  |  | 35834975  |
| **Net Assets**  |  | $791906659  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $696057472  |
|  Total accumulated earnings (loss)  |  | 95849187  |
|  **Net Assets**  |  | $791906659  |
|  **Net Asset Value** , offering price and redemption price per share ($791,906,659 ÷ 34,837,361 shares)  |  | $22.73  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends  |  | $8333719  |
| Interest  |  | 1113  |
| Income from Fidelity Central Funds (including $186,706 from security lending)  |  | 212316  |
| **Total Income**  |  | 8547148  |
|  **Expenses**  |  |  |
| Management fee  | $198928  |  |
| Independent trustees' fees and expenses  | 1362  |  |
| Interest  | 10014  |  |
| Total expenses before reductions  | 210304  |  |
| Expense reductions  | (175)  |  |
| Total expenses after reductions  |  | 210129  |
| **Net Investment income (loss)**  |  | 8337019  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | 2116501  |  |
| Futures contracts  | (192853)  |  |
| Total net realized gain (loss)  |  | 1923648  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | 29742053  |  |
| Futures contracts  | (12411)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | 29729642  |
| **Net gain (loss)**  |  | 31653290  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $39990309  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  | **Year ended** <br> **June 30, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $8337019  | $16663664  |
| &nbsp;&nbsp; Net realized gain (loss)  | 1923648 <br>| 7609877 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | 29729642  | (123503389) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 39990309 <br>| (99229848) <br>|
| Distributions to shareholders  | (21922393) <br>| (53176354) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 145147132  | 411832421  |
| Reinvestment of distributions  | 7596612 <br>| 21077325 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (175998462)  | (392096125)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | (23254718) <br>| 40813621 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (5186802) <br>| (111592581) <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 797093461  | 908686042 <br>|
| &nbsp;&nbsp; End of period  | $791906659  | $797093461  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 6262354  | 16157682  |
| Issued in reinvestment of distributions  | 327643 <br>| 830362 <br>|
| &nbsp;&nbsp; Redeemed  | (7601487)  | (15833117)  |
| &nbsp;&nbsp; Net increase (decrease)  | (1011490)  | 1154927  |

---

**Financial Highlights** 

 **Fidelity® Mid Cap Value Index Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $22.23  | $26.19  | $17.36  | $20.00  |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .24  | .43  | .41  | .46  |
| Net realized and unrealized gain (loss)  | .88  | (2.90)  | 8.69  | (2.97)  |
| Total from investment operations  | 1.12  | (2.47)  | 9.10  | (2.51)  |
| Distributions from net investment income  | (.45)  | (.39)  | (.27)  | (.13)  |
| Distributions from net realized gain  | (.17)  | (1.11)  | -  | -  |
| Total distributions  | (.62)  | (1.49) <sup>D</sup>  | (.27)  | (.13)  |
| Net asset value, end of period  | $22.73  | $22.23  | $26.19  | $17.36  |
| **Total Return** <sup>E,F</sup>  | 5.02%  | (10.08)%  | 52.83%  | (12.65)%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |  |  |  |
| Expenses before reductions  | .05% <sup>I</sup>  | .05%  | .05%  | .05% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | .05% <sup>I</sup>  | .05%  | .05%  | .05% <sup>I</sup>  |
| Expenses net of all reductions  | .05% <sup>I</sup>  | .05%  | .05%  | .05% <sup>I</sup>  |
| Net investment income (loss)  | 2.09% <sup>I</sup>  | 1.70%  | 1.80%  | 2.82% <sup>I</sup>  |
| **Supplemental Data**  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $791907  | $797093  | $908686  | $249744  |
| Portfolio turnover rate <sup>J</sup>  | 16% <sup>I</sup>  | 41%  | 32%  | 89% <sup>I</sup>  |

---

<sup>A</sup> *For the period July 11, 2019 (commencement of operations) through June 30, 2020.*

<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 distributions per share do not sum due to rounding.*

<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).*

**Fidelity® Small Cap Growth Index Fund** 

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

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| Halozyme Therapeutics, Inc.  | 0.7  |
| Shockwave Medical, Inc.  | 0.6  |
| Inspire Medical Systems, Inc.  | 0.6  |
| EMCOR Group, Inc.  | 0.6  |
| Crocs, Inc.  | 0.6  |
| Matador Resources Co.  | 0.6  |
| Iridium Communications, Inc.  | 0.6  |
| Texas Roadhouse, Inc. Class A  | 0.5  |
| Karuna Therapeutics, Inc.  | 0.5  |
| Murphy U.S.A., Inc.  | 0.5  |
|  | 5.8  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  | &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  |
| Health Care  | 23.2  |
| Information Technology  | 19.8  |
| Industrials  | 17.8  |
| Consumer Discretionary  | 10.8  |
| Energy  | 7.3  |
| Financials  | 5.7  |
| Consumer Staples  | 4.5  |
| Materials  | 4.4  |
| Communication Services  | 2.3  |
| Real Estate  | 2.2  |
| Utilities  | 1.8  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88354_7.jpg)  |
| *Foreign investments - 4.8%*  |
| *Futures - 0.2%*  |

---

**Fidelity® Small Cap Growth Index Fund**

**Schedule of Investments December 31, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Common Stocks - 99.8%**  | &nbsp;&nbsp; **Common Stocks - 99.8%**  | &nbsp;&nbsp; **Common Stocks - 99.8%**  |
|  | Shares  | Value ($) <br>|
| COMMUNICATION SERVICES - 2.3%  |  |  |
| Diversified Telecommunication Services - 0.8%  |  |  |
|  Anterix, Inc. (a)  | 1533  | 49317  |
|  Bandwidth, Inc. (a)  | 1277  | 29307  |
|  Charge Enterprises, Inc. (a)  | 36743  | 45561  |
|  Cogent Communications Group, Inc.  | 6497  | 370849  |
|  Consolidated Communications Holdings, Inc. (a)  | 1772  | 6344  |
|  Globalstar, Inc. (a)(b)  | 161082  | 214239  |
|  IDT Corp. Class B (a)  | 3125  | 88031  |
|  Iridium Communications, Inc.  | 34633  | 1780136  |
|  Ooma, Inc. (a)  | 6552  | 89238  |
|  |  | 2673022  |
| Entertainment - 0.3%  |  |  |
|  Chicken Soup For The Soul Entertainment, Inc. (a)  | 2  | 10  |
|  Cinemark Holdings, Inc. (a)(b)  | 23752  | 205692  |
|  IMAX Corp. (a)  | 7955  | 116620  |
|  Liberty Media Corp. Liberty Braves:  |  |  |
|  Class A (a)(b)  | 1494  | 48809  |
|  Class C (a)  | 11537  | 371838  |
|  Playstudios, Inc. Class A (a)  | 11085  | 43010  |
|  Reservoir Media, Inc. (a)  | 5289  | 31575  |
|  |  | 817554  |
| Interactive Media & Services - 0.7%  |  |  |
|  CarGurus, Inc. Class A (a)  | 28276  | 396147  |
|  Cars.com, Inc. (a)  | 2366  | 32580  |
|  DHI Group, Inc. (a)  | 9530  | 50414  |
|  Eventbrite, Inc. (a)  | 19089  | 111862  |
|  EverQuote, Inc. Class A (a)(b)  | 5589  | 82382  |
|  MediaAlpha, Inc. Class A (a)  | 6734  | 67003  |
|  QuinStreet, Inc. (a)  | 849  | 12183  |
|  Shutterstock, Inc.  | 6728  | 354700  |
|  The Arena Group Holdings, Inc.  | 2431  | 25793  |
|  Vimeo, Inc. (a)  | 39199  | 134453  |
|  Vinco Ventures, Inc. (a)(b)  | 37359  | 17335  |
|  Wejo Group Ltd. (a)  | 14893  | 7164  |
|  Yelp, Inc. (a)  | 18781  | 513473  |
|  Ziff Davis, Inc. (a)  | 2362  | 186834  |
|  ZipRecruiter, Inc. (a)  | 20351  | 334163  |
|  |  | 2326486  |
| Media - 0.5%  |  |  |
|  AdTheorent Holding Co., Inc. Class A (a)  | 10835  | 17986  |
|  Boston Omaha Corp. (a)  | 133  | 3525  |
|  Entravision Communication Corp. Class A  | 12108  | 58118  |
|  Gambling.com Group Ltd. (a)  | 2549  | 23323  |
|  Gray Television, Inc.  | 10165  | 113746  |
|  Innovid Corp. (a)(b)  | 19538  | 33410  |
|  Integral Ad Science Holding Corp. (a)  | 3556  | 31257  |
|  John Wiley & Sons, Inc. Class A  | 11194  | 448432  |
|  Loyalty Ventures, Inc. (a)  | 1829  | 4408  |
|  PubMatic, Inc. (a)(b)  | 11168  | 143062  |
|  Sinclair Broadcast Group, Inc. Class A (b)  | 11346  | 175976  |
|  Stagwell, Inc. (a)(b)  | 1897  | 11780  |
|  TechTarget, Inc. (a)  | 7568  | 333446  |
|  Thryv Holdings, Inc. (a)(b)  | 1697  | 32243  |
|  WideOpenWest, Inc. (a)  | 8615  | 78483  |
|  |  | 1509195  |
| Wireless Telecommunication Services - 0.0%  |  |  |
|  Gogo, Inc. (a)(b)  | 1072  | 15823  |
|  TOTAL COMMUNICATION SERVICES  |  | 7342080  |
| CONSUMER DISCRETIONARY - 10.8%  |  |  |
| Auto Components - 1.5%  |  |  |
|  American Axle & Manufacturing Holdings, Inc. (a)  | 1474  | 11527  |
|  Dorman Products, Inc. (a)  | 7302  | 590513  |
|  Fox Factory Holding Corp. (a)  | 11733  | 1070402  |
|  Gentherm, Inc. (a)  | 9150  | 597404  |
|  Holley, Inc. (a)(b)  | 14638  | 31033  |
|  LCI Industries  | 6917  | 639477  |
|  Luminar Technologies, Inc. (a)(b)  | 69900  | 346005  |
|  Patrick Industries, Inc.  | 609  | 36905  |
|  Solid Power, Inc. (a)(b)  | 14530  | 36906  |
|  Stoneridge, Inc. (a)  | 960  | 20698  |
|  Visteon Corp. (a)  | 7696  | 1006868  |
|  XPEL, Inc. (a)  | 5972  | 358678  |
|  |  | 4746416  |
| Automobiles - 0.2%  |  |  |
|  Canoo, Inc. (a)(b)  | 47555  | 58493  |
|  Faraday Future Intelligent Electric, Inc. (a)(b)  | 31750  | 9217  |
|  Fisker, Inc. (a)(b)  | 49560  | 360301  |
|  Mullen Automotive, Inc. (a)(b)  | 92165  | 26359  |
|  Workhorse Group, Inc. (a)(b)  | 41239  | 62683  |
|  |  | 517053  |
| Distributors - 0.0%  |  |  |
|  Funko, Inc. (a)(b)  | 9106  | 99346  |
| Diversified Consumer Services - 0.9%  |  |  |
|  Carriage Services, Inc.  | 3745  | 103137  |
|  Chegg, Inc. (a)  | 34736  | 877779  |
|  Coursera, Inc. (a)  | 31877  | 377105  |
|  Duolingo, Inc. (a)  | 6527  | 464266  |
|  European Wax Center, Inc. (b)  | 6466  | 80502  |
|  Nerdy, Inc. Class A (a)(b)  | 16230  | 36518  |
|  OneSpaWorld Holdings Ltd. (a)(b)  | 18288  | 170627  |
|  Rover Group, Inc. Class A (a)  | 24973  | 91651  |
|  Stride, Inc. (a)  | 11307  | 353683  |
|  The Beachbody Co., Inc. (a)  | 4749  | 2498  |
|  Udemy, Inc. (a)  | 20426  | 215494  |
|  Universal Technical Institute, Inc. (a)  | 9177  | 61669  |
|  Vivint Smart Home, Inc. Class A (a)  | 6729  | 80075  |
|  |  | 2915004  |
| Hotels, Restaurants & Leisure - 3.2%  |  |  |
|  Accel Entertainment, Inc. (a)  | 15549  | 119727  |
|  Bloomin' Brands, Inc.  | 17526  | 352623  |
|  Bluegreen Vacations Holding Corp. Class A  | 331  | 8262  |
|  Brinker International, Inc. (a)  | 10812  | 345011  |
|  Century Casinos, Inc. (a)  | 6101  | 42890  |
|  Cracker Barrel Old Country Store, Inc.  | 6169  | 584451  |
|  Dave & Buster's Entertainment, Inc. (a)  | 11882  | 421098  |
|  Denny's Corp. (a)  | 10814  | 99597  |
|  Dine Brands Global, Inc.  | 3558  | 229847  |
|  Everi Holdings, Inc. (a)  | 12905  | 185187  |
|  F45 Training Holdings, Inc. (a)  | 10345  | 29483  |
|  First Watch Restaurant Group, Inc. (a)  | 1497  | 20254  |
|  Full House Resorts, Inc. (a)  | 2385  | 17935  |
|  Golden Entertainment, Inc. (a)  | 5489  | 205289  |
|  Hilton Grand Vacations, Inc. (a)  | 23820  | 918023  |
|  Inspired Entertainment, Inc. (a)  | 3875  | 49096  |
|  International Game Technology PLC  | 6082  | 137940  |
|  Jack in the Box, Inc.  | 828  | 56494  |
|  Krispy Kreme, Inc. (b)  | 5239  | 54066  |
|  Kura Sushi U.S.A., Inc. Class A (a)  | 1283  | 61173  |
|  Lindblad Expeditions Holdings (a)(b)  | 830  | 6391  |
|  Monarch Casino & Resort, Inc. (a)  | 3644  | 280187  |
|  NeoGames SA (a)  | 3622  | 44152  |
|  Noodles & Co. (a)  | 11300  | 62037  |
|  Papa John's International, Inc.  | 6519  | 536579  |
|  Portillo's, Inc. (a)  | 7792  | 127165  |
|  RCI Hospitality Holdings, Inc.  | 2185  | 203620  |
|  Red Rock Resorts, Inc.  | 6100  | 244061  |
|  Rush Street Interactive, Inc. (a)  | 16241  | 58305  |
|  Ruth's Hospitality Group, Inc.  | 8828  | 136657  |
|  SeaWorld Entertainment, Inc. (a)  | 5536  | 296231  |
|  Shake Shack, Inc. Class A (a)  | 10421  | 432784  |
|  Sonder Holdings, Inc. (a)  | 52931  | 65634  |
|  Sweetgreen, Inc. Class A (a)(b)  | 24823  | 212733  |
|  Target Hospitality Corp. (a)(b)  | 8121  | 122952  |
|  Texas Roadhouse, Inc. Class A  | 18585  | 1690306  |
|  The Cheesecake Factory, Inc. (b)  | 13459  | 426785  |
|  The ONE Group Hospitality, Inc. (a)(b)  | 6357  | 40049  |
|  Wingstop, Inc. (b)  | 8309  | 1143485  |
|  Xponential Fitness, Inc. (a)(b)  | 1509  | 34601  |
|  |  | 10103160  |
| Household Durables - 1.4%  |  |  |
|  Aterian, Inc. (a)  | 1640  | 1263  |
|  Cavco Industries, Inc. (a)  | 2466  | 557933  |
|  Century Communities, Inc.  | 594  | 29706  |
|  Dream Finders Homes, Inc. (a)(b)  | 6045  | 52350  |
|  Green Brick Partners, Inc. (a)  | 2055  | 49793  |
|  Helen of Troy Ltd. (a)  | 6621  | 734335  |
|  Hovnanian Enterprises, Inc. Class A (a)  | 1454  | 61184  |
|  Installed Building Products, Inc.  | 6625  | 567100  |
|  iRobot Corp. (a)(b)  | 6475  | 311642  |
|  KB Home  | 3900  | 124215  |
|  LGI Homes, Inc. (a)  | 376  | 34818  |
|  Lovesac (a)  | 3942  | 86763  |
|  M.D.C. Holdings, Inc.  | 4264  | 134742  |
|  M/I Homes, Inc. (a)  | 934  | 43132  |
|  Meritage Homes Corp. (a)  | 671  | 61866  |
|  Purple Innovation, Inc. (a)(b)  | 1004  | 4809  |
|  Skyline Champion Corp. (a)  | 14893  | 767138  |
|  Sonos, Inc. (a)  | 35258  | 595860  |
|  Taylor Morrison Home Corp. (a)  | 3575  | 108501  |
|  TRI Pointe Homes, Inc. (a)  | 2150  | 39969  |
|  Vizio Holding Corp. (a)(b)  | 19172  | 142065  |
|  Vuzix Corp. (a)(b)  | 14357  | 52259  |
|  |  | 4561443  |
| Internet & Direct Marketing Retail - 0.3%  |  |  |
|  a.k.a. Brands Holding Corp. (a)(b)  | 580  | 737  |
|  CarParts.com, Inc. (a)  | 14452  | 90470  |
|  Duluth Holdings, Inc. (a)(b)  | 1733  | 10710  |
|  Groupon, Inc. (a)(b)  | 706  | 6057  |
|  Liquidity Services, Inc. (a)  | 3522  | 49519  |
|  Lulu's Fashion Lounge Holdings, Inc. (a)(b)  | 5020  | 12600  |
|  PetMed Express, Inc. (b)  | 4749  | 84057  |
|  Quotient Technology, Inc. (a)  | 2930  | 10050  |
|  Rent the Runway, Inc. Class A (a)(b)  | 13347  | 40708  |
|  Revolve Group, Inc. (a)(b)  | 11446  | 254788  |
|  Stitch Fix, Inc. (a)(b)  | 9504  | 29557  |
|  The RealReal, Inc. (a)(b)  | 4749  | 5936  |
|  thredUP, Inc. (a)(b)  | 2770  | 3629  |
|  Vivid Seats, Inc. Class A (a)(b)  | 1899  | 13863  |
|  Xometry, Inc. (a)(b)  | 9541  | 307506  |
|  |  | 920187  |
| Leisure Products - 0.3%  |  |  |
|  Acushnet Holdings Corp. (b)  | 2584  | 109717  |
|  Clarus Corp.  | 7076  | 55478  |
|  Latham Group, Inc. (a)(b)  | 12400  | 39928  |
|  Malibu Boats, Inc. Class A (a)  | 5671  | 302264  |
|  Marine Products Corp.  | 2403  | 28283  |
|  MasterCraft Boat Holdings, Inc. (a)  | 4690  | 121330  |
|  Smith & Wesson Brands, Inc. (b)  | 983  | 8532  |
|  Sturm, Ruger & Co., Inc.  | 4331  | 219235  |
|  |  | 884767  |
| Multiline Retail - 0.2%  |  |  |
|  Dillard's, Inc. Class A  | 1110  | 358752  |
|  Franchise Group, Inc.  | 6926  | 164977  |
|  |  | 523729  |
| Specialty Retail - 1.7%  |  |  |
|  Arko Corp.  | 22551  | 195292  |
|  Asbury Automotive Group, Inc. (a)  | 1785  | 319961  |
|  Bed Bath & Beyond, Inc. (a)(b)  | 15772  | 39588  |
|  Boot Barn Holdings, Inc. (a)  | 8238  | 515040  |
|  Build-A-Bear Workshop, Inc.  | 2700  | 64368  |
|  Caleres, Inc.  | 9854  | 219547  |
|  Camping World Holdings, Inc. (b)  | 10980  | 245074  |
|  Chico's FAS, Inc. (a)  | 24839  | 122208  |
|  Citi Trends, Inc. (a)  | 161  | 4263  |
|  Designer Brands, Inc. Class A  | 10368  | 101399  |
|  Destination XL Group, Inc. (a)  | 8434  | 56930  |
|  EVgo, Inc. Class A (a)(b)  | 2740  | 12248  |
|  Guess?, Inc.  | 8633  | 178617  |
|  Hibbett, Inc.  | 2818  | 192244  |
|  MarineMax, Inc. (a)  | 542  | 16921  |
|  Murphy U.S.A., Inc.  | 5794  | 1619655  |
|  National Vision Holdings, Inc. (a)(b)  | 1255  | 48644  |
|  OneWater Marine, Inc. Class A (a)(b)  | 307  | 8780  |
|  Party City Holdco, Inc. (a)(b)  | 10943  | 4000  |
|  Rent-A-Center, Inc. (b)  | 13985  | 315362  |
|  Sally Beauty Holdings, Inc. (a)  | 27257  | 341258  |
|  Sleep Number Corp. (a)(b)  | 2658  | 69055  |
|  The Buckle, Inc.  | 7779  | 352778  |
|  The Children's Place, Inc. (a)(b)  | 2305  | 83948  |
|  Torrid Holdings, Inc. (a)(b)  | 2422  | 7169  |
|  Warby Parker, Inc. (a)(b)  | 23279  | 314034  |
|  |  | 5448383  |
| Textiles, Apparel & Luxury Goods - 1.1%  |  |  |
|  Allbirds, Inc. Class A (a)(b)  | 6770  | 16383  |
|  Crocs, Inc. (a)  | 16830  | 1824877  |
|  Ermenegildo Zegna Holditalia SpA  | 3336  | 34928  |
|  Kontoor Brands, Inc.  | 15390  | 615446  |
|  Oxford Industries, Inc.  | 2892  | 269477  |
|  Rocky Brands, Inc.  | 84  | 1984  |
|  Steven Madden Ltd.  | 21373  | 683081  |
|  Wolverine World Wide, Inc.  | 21519  | 235203  |
|  |  | 3681379  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 34400867  |
| CONSUMER STAPLES - 4.5%  |  |  |
| Beverages - 1.0%  |  |  |
|  Celsius Holdings, Inc. (a)(b)  | 15425  | 1604817  |
|  Coca-Cola Bottling Co. Consolidated  | 1312  | 672216  |
|  Duckhorn Portfolio, Inc. (a)  | 11861  | 196537  |
|  MGP Ingredients, Inc.  | 3946  | 419775  |
|  National Beverage Corp. (b)  | 6577  | 306028  |
|  The Vita Coco Co., Inc. (a)(b)  | 7850  | 108487  |
|  Vintage Wine Estates, Inc. (a)(b)  | 1765  | 5754  |
|  |  | 3313614  |
| Food & Staples Retailing - 0.5%  |  |  |
|  Chefs' Warehouse Holdings (a)  | 6734  | 224108  |
|  Natural Grocers by Vitamin Cottage, Inc.  | 2534  | 23161  |
|  PriceSmart, Inc.  | 4288  | 260625  |
|  Rite Aid Corp. (a)(b)  | 7362  | 24589  |
|  Sprouts Farmers Market LLC (a)  | 29490  | 954591  |
|  United Natural Foods, Inc. (a)  | 1190  | 46065  |
|  |  | 1533139  |
| Food Products - 1.4%  |  |  |
|  Benson Hill, Inc. (a)  | 23484  | 59884  |
|  Beyond Meat, Inc. (a)(b)  | 17141  | 211006  |
|  BRC, Inc. Class A (a)  | 7699  | 47041  |
|  Cal-Maine Foods, Inc.  | 9795  | 533338  |
|  Calavo Growers, Inc.  | 4821  | 141737  |
|  J&J Snack Foods Corp.  | 4242  | 635070  |
|  John B. Sanfilippo & Son, Inc.  | 1515  | 123200  |
|  Lancaster Colony Corp.  | 4580  | 903634  |
|  Local Bounti Corp. (a)(b)  | 18353  | 25511  |
|  Mission Produce, Inc. (a)  | 981  | 11399  |
|  Sovos Brands, Inc. (a)  | 7584  | 108982  |
|  SunOpta, Inc. (a)  | 25293  | 213473  |
|  Tattooed Chef, Inc. (a)(b)  | 13898  | 17095  |
|  The Simply Good Foods Co. (a)  | 24745  | 941052  |
|  Tootsie Roll Industries, Inc.  | 3633  | 154657  |
|  Utz Brands, Inc. Class A  | 15940  | 252808  |
|  Vital Farms, Inc. (a)  | 8200  | 122344  |
|  |  | 4502231  |
| Household Products - 0.4%  |  |  |
|  Central Garden & Pet Co. (a)  | 499  | 18688  |
|  Central Garden & Pet Co. Class A (non-vtg.) (a)  | 4405  | 157699  |
|  Energizer Holdings, Inc.  | 18389  | 616951  |
|  WD-40 Co.  | 3800  | 612598  |
|  |  | 1405936  |
| Personal Products - 1.1%  |  |  |
|  BellRing Brands, Inc. (a)  | 36436  | 934219  |
|  elf Beauty, Inc. (a)  | 13623  | 753352  |
|  Herbalife Nutrition Ltd. (a)(b)  | 17921  | 266664  |
|  Inter Parfums, Inc.  | 4942  | 477002  |
|  MediFast, Inc.  | 3055  | 352394  |
|  Nu Skin Enterprises, Inc. Class A  | 5598  | 236012  |
|  The Beauty Health Co. (a)(b)  | 23161  | 210765  |
|  Thorne HealthTech, Inc. (a)(b)  | 4111  | 14923  |
|  USANA Health Sciences, Inc. (a)  | 2978  | 158430  |
|  Veru, Inc. (a)(b)  | 18105  | 95594  |
|  |  | 3499355  |
| Tobacco - 0.1%  |  |  |
|  22nd Century Group, Inc. (a)(b)  | 45327  | 41724  |
|  Turning Point Brands, Inc.  | 4049  | 87580  |
|  Vector Group Ltd.  | 5165  | 61257  |
|  |  | 190561  |
|  TOTAL CONSUMER STAPLES  |  | 14444836  |
| ENERGY - 7.3%  |  |  |
| Energy Equipment & Services - 2.4%  |  |  |
|  Borr Drilling Ltd. (a)  | 25556  | 127013  |
|  Cactus, Inc.  | 16419  | 825219  |
|  Championx Corp.  | 55483  | 1608452  |
|  DMC Global, Inc. (a)  | 1317  | 25602  |
|  Liberty Oilfield Services, Inc. Class A  | 38600  | 617986  |
|  Nabors Industries Ltd. (a)  | 2192  | 339475  |
|  Nextier Oilfield Solutions, Inc. (a)  | 48895  | 451790  |
|  Noble Corp. PLC (a)  | 4163  | 156987  |
|  Oceaneering International, Inc. (a)  | 25088  | 438789  |
|  Patterson-UTI Energy, Inc.  | 40332  | 679191  |
|  ProFrac Holding Corp. (b)  | 3003  | 75676  |
|  RPC, Inc.  | 20549  | 182681  |
|  Solaris Oilfield Infrastructure, Inc. Class A  | 8904  | 88417  |
|  TETRA Technologies, Inc. (a)  | 34674  | 119972  |
|  U.S. Silica Holdings, Inc. (a)  | 3060  | 38250  |
|  Valaris Ltd. (a)(b)  | 16849  | 1139329  |
|  Weatherford International PLC (a)  | 19519  | 993907  |
|  |  | 7908736  |
| Oil, Gas & Consumable Fuels - 4.9%  |  |  |
|  Amplify Energy Corp. (a)  | 7637  | 67129  |
|  Arch Resources, Inc.  | 4105  | 586153  |
|  Battalion Oil Corp. (a)  | 663  | 6438  |
|  Berry Corp.  | 3963  | 31704  |
|  Callon Petroleum Co. (a)  | 11351  | 421009  |
|  Chord Energy Corp.  | 6890  | 942621  |
|  CNX Resources Corp. (a)  | 2256  | 37991  |
|  Comstock Resources, Inc. (b)  | 25583  | 350743  |
|  CONSOL Energy, Inc.  | 8978  | 583570  |
|  Crescent Energy, Inc. Class A (b)  | 10946  | 131243  |
|  CVR Energy, Inc.  | 8192  | 256737  |
|  Delek U.S. Holdings, Inc.  | 19112  | 516024  |
|  Denbury, Inc. (a)  | 13881  | 1207925  |
|  Earthstone Energy, Inc. (a)(b)  | 12248  | 174289  |
|  Empire Petroleum Corp. (a)  | 2823  | 34723  |
|  Energy Fuels, Inc. (a)(b)  | 35570  | 220890  |
|  Equitrans Midstream Corp.  | 26794  | 179520  |
|  Golar LNG Ltd. (a)  | 1453  | 33114  |
|  Gulfport Energy Corp. (a)(b)  | 3004  | 221215  |
|  HighPeak Energy, Inc. (b)  | 1969  | 45031  |
|  Kinetik Holdings, Inc. (b)  | 456  | 15084  |
|  Kosmos Energy Ltd. (a)  | 125145  | 795922  |
|  Magnolia Oil & Gas Corp. Class A  | 48565  | 1138849  |
|  Matador Resources Co.  | 31270  | 1789895  |
|  Murphy Oil Corp.  | 17901  | 769922  |
|  Nextdecade Corp. (a)(b)  | 8561  | 42291  |
|  Northern Oil & Gas, Inc.  | 15653  | 482425  |
|  Par Pacific Holdings, Inc. (a)  | 13359  | 310597  |
|  PBF Energy, Inc. Class A  | 6207  | 253121  |
|  Permian Resource Corp. Class A (b)  | 7858  | 73865  |
|  Ranger Oil Corp. (b)  | 5346  | 216139  |
|  Riley Exploration Permian, Inc.  | 1830  | 53857  |
|  Ring Energy, Inc. (a)(b)  | 10786  | 26534  |
|  SandRidge Energy, Inc. (a)  | 8669  | 147633  |
|  SilverBow Resources, Inc. (a)  | 3301  | 93352  |
|  Sitio Royalties Corp. (b)  | 19841  | 572413  |
|  SM Energy Co.  | 33627  | 1171228  |
|  Talos Energy, Inc. (a)  | 18397  | 347335  |
|  Tellurian, Inc. (a)(b)  | 142493  | 239388  |
|  Ur-Energy, Inc. (a)  | 50814  | 58436  |
|  Uranium Energy Corp. (a)(b)  | 97380  | 377834  |
|  VAALCO Energy, Inc.  | 29974  | 136681  |
|  Vertex Energy, Inc. (a)(b)  | 13410  | 83142  |
|  Vital Energy, Inc. (a)  | 4625  | 237818  |
|  W&T Offshore, Inc. (a)  | 22072  | 123162  |
|  |  | 15604992  |
|  TOTAL ENERGY  |  | 23513728  |
| FINANCIALS - 5.7%  |  |  |
| Banks - 1.7%  |  |  |
|  BancFirst Corp.  | 3287  | 289848  |
|  Bancorp, Inc., Delaware (a)  | 8751  | 248353  |
|  Cadence Bank  | 3227  | 79578  |
|  Coastal Financial Corp. of Washington (a)  | 2818  | 133911  |
|  Eastern Bankshares, Inc.  | 8690  | 149903  |
|  Esquire Financial Holdings, Inc.  | 1605  | 69432  |
|  Farmers & Merchants Bancorp, Inc.  | 1096  | 29789  |
|  First Bancorp, Puerto Rico  | 4088  | 51999  |
|  First Financial Bankshares, Inc. (b)  | 36196  | 1245142  |
|  First Guaranty Bancshares, Inc.  | 152  | 3564  |
|  Five Star Bancorp  | 1181  | 32170  |
|  Glacier Bancorp, Inc.  | 4071  | 201189  |
|  HomeTrust Bancshares, Inc.  | 511  | 12351  |
|  Lakeland Financial Corp.  | 6182  | 451101  |
|  Live Oak Bancshares, Inc.  | 7264  | 219373  |
|  Metrocity Bankshares, Inc.  | 1115  | 24117  |
|  Metropolitan Bank Holding Corp. (a)  | 245  | 14374  |
|  National Bank Holdings Corp.  | 567  | 23854  |
|  Nicolet Bankshares, Inc. (a)  | 274  | 21862  |
|  Pathward Financial, Inc.  | 2216  | 95399  |
|  Professional Holdings Corp. (A Shares) (a)  | 242  | 6713  |
|  ServisFirst Bancshares, Inc.  | 13957  | 961777  |
|  Silvergate Capital Corp. (a)(b)  | 7066  | 122948  |
|  Stock Yards Bancorp, Inc.  | 6668  | 433287  |
|  The Bank of NT Butterfield & Son Ltd.  | 872  | 25994  |
|  Third Coast Bancshares, Inc. (a)  | 52  | 958  |
|  Triumph Bancorp, Inc. (a)  | 2423  | 118412  |
|  Veritex Holdings, Inc.  | 2221  | 62366  |
|  West Bancorp., Inc.  | 743  | 18984  |
|  Westamerica Bancorp.  | 1790  | 105628  |
|  |  | 5254376  |
| Capital Markets - 2.2%  |  |  |
|  Artisan Partners Asset Management, Inc.  | 10964  | 325631  |
| B. Riley Financial, Inc. (b)  | 5864  | 200549  |
|  Blucora, Inc. (a)  | 13083  | 334009  |
|  BrightSphere Investment Group, Inc.  | 7999  | 164619  |
|  Cohen & Steers, Inc.  | 7066  | 456181  |
|  Diamond Hill Investment Group, Inc.  | 793  | 146721  |
|  Donnelley Financial Solutions, Inc. (a)  | 440  | 17006  |
|  Federated Hermes, Inc.  | 23686  | 860039  |
|  Focus Financial Partners, Inc. Class A (a)  | 16164  | 602432  |
|  GCM Grosvenor, Inc. Class A  | 9997  | 76077  |
|  Hamilton Lane, Inc. Class A  | 10044  | 641611  |
|  Houlihan Lokey  | 13881  | 1209868  |
|  MarketWise, Inc. Class A (a)  | 1251  | 2102  |
|  Moelis & Co. Class A  | 9001  | 345368  |
|  Open Lending Corp. (a)  | 29804  | 201177  |
|  Perella Weinberg Partners Class A  | 9105  | 89229  |
|  PJT Partners, Inc.  | 6557  | 483185  |
|  Sculptor Capital Management, Inc. Class A  | 3599  | 31167  |
|  Silvercrest Asset Management Group Class A  | 2525  | 47394  |
|  StepStone Group, Inc. Class A  | 15260  | 384247  |
|  StoneX Group, Inc. (a)  | 362  | 34499  |
|  Value Line, Inc.  | 251  | 12771  |
|  Victory Capital Holdings, Inc.  | 1403  | 37642  |
|  Virtus Investment Partners, Inc.  | 208  | 39820  |
|  WisdomTree Investments, Inc.  | 37302  | 203296  |
|  |  | 6946640  |
| Consumer Finance - 0.2%  |  |  |
|  Atlanticus Holdings Corp. (a)(b)  | 798  | 20908  |
|  CURO Group Holdings Corp.  | 5231  | 18570  |
|  FirstCash Holdings, Inc.  | 5227  | 454279  |
|  Green Dot Corp. Class A (a)  | 1506  | 23825  |
|  LendingClub Corp. (a)  | 2090  | 18392  |
|  LendingTree, Inc. (a)  | 2944  | 62796  |
|  MoneyLion, Inc. (a)  | 2916  | 1808  |
|  NerdWallet, Inc. (a)  | 7383  | 70877  |
|  PROG Holdings, Inc. (a)  | 2298  | 38813  |
|  World Acceptance Corp. (a)(b)  | 767  | 50576  |
|  |  | 760844  |
| Insurance - 1.4%  |  |  |
|  BRP Group, Inc. (a)  | 17023  | 427958  |
|  eHealth, Inc. (a)  | 1978  | 9574  |
|  Goosehead Insurance (a)(b)  | 4634  | 159132  |
|  HCI Group, Inc. (b)  | 1787  | 70747  |
|  Investors Title Co.  | 65  | 9591  |
|  Kinsale Capital Group, Inc.  | 6021  | 1574612  |
|  Palomar Holdings, Inc. (a)  | 6827  | 308307  |
|  RLI Corp.  | 10848  | 1424017  |
|  Siriuspoint Ltd. (a)  | 2036  | 12012  |
|  Trupanion, Inc. (a)(b)  | 10886  | 517412  |
|  Universal Insurance Holdings, Inc.  | 1423  | 15070  |
|  |  | 4528432  |
| Mortgage Real Estate Investment Trusts - 0.0%  |  |  |
|  Hannon Armstrong Sustainable Infrastructure Capital, Inc.  | 1741  | 50454  |
|  PennyMac Mortgage Investment Trust  | 5345  | 66225  |
|  |  | 116679  |
| Thrifts & Mortgage Finance - 0.2%  |  |  |
|  Axos Financial, Inc. (a)  | 1702  | 65050  |
|  Bridgewater Bancshares, Inc. (a)  | 960  | 17030  |
|  Columbia Financial, Inc. (a)  | 3101  | 67044  |
|  Greene County Bancorp, Inc.  | 936  | 53745  |
|  Hingham Institution for Savings  | 27  | 7451  |
|  NMI Holdings, Inc. (a)  | 1610  | 33649  |
|  Velocity Financial, Inc. (a)  | 96  | 926  |
|  Walker & Dunlop, Inc.  | 5989  | 470017  |
|  |  | 714912  |
|  TOTAL FINANCIALS  |  | 18321883  |
| HEALTH CARE - 23.2%  |  |  |
| Biotechnology - 9.1%  |  |  |
|  Aadi Bioscience, Inc. (a)  | 3696  | 47420  |
|  ACADIA Pharmaceuticals, Inc. (a)  | 33139  | 527573  |
|  ADMA Biologics, Inc. (a)  | 22614  | 87742  |
|  Affimed NV (a)  | 38689  | 47974  |
|  Agenus, Inc. (a)  | 84953  | 203887  |
|  Akero Therapeutics, Inc. (a)  | 656  | 35949  |
|  Albireo Pharma, Inc. (a)(b)  | 5093  | 110060  |
|  Alector, Inc. (a)  | 17301  | 159688  |
|  Alkermes PLC (a)  | 45195  | 1180945  |
|  Alpine Immune Sciences, Inc. (a)(b)  | 2849  | 20940  |
|  Amicus Therapeutics, Inc. (a)  | 76677  | 936226  |
|  Anavex Life Sciences Corp. (a)(b)  | 19045  | 176357  |
|  Apellis Pharmaceuticals, Inc. (a)  | 26008  | 1344874  |
|  Arbutus Biopharma Corp. (a)  | 16349  | 38093  |
|  Arcturus Therapeutics Holdings, Inc. (a)  | 5915  | 100318  |
|  Arcutis Biotherapeutics, Inc. (a)  | 11454  | 169519  |
|  Arrowhead Pharmaceuticals, Inc. (a)  | 28623  | 1160949  |
|  Atara Biotherapeutics, Inc. (a)  | 2702  | 8863  |
|  Aura Biosciences, Inc. (a)  | 5063  | 53162  |
|  Aurinia Pharmaceuticals, Inc. (a)  | 37361  | 161400  |
|  Avid Bioservices, Inc. (a)  | 17119  | 235729  |
|  Beam Therapeutics, Inc. (a)(b)  | 17738  | 693733  |
|  BioCryst Pharmaceuticals, Inc. (a)(b)  | 35435  | 406794  |
|  Biohaven Ltd. (a)  | 10917  | 151528  |
|  Blueprint Medicines Corp. (a)  | 16615  | 727903  |
|  BridgeBio Pharma, Inc. (a)(b)  | 17776  | 135453  |
|  CareDx, Inc. (a)  | 13967  | 159363  |
|  Catalyst Pharmaceutical Partners, Inc. (a)  | 26983  | 501884  |
|  Celldex Therapeutics, Inc. (a)  | 2671  | 119046  |
|  Celularity, Inc. Class A (a)  | 17621  | 22731  |
|  Cerevel Therapeutics Holdings (a)(b)  | 15801  | 498364  |
|  Chimerix, Inc. (a)  | 16402  | 30508  |
|  Chinook Therapeutics, Inc. rights (a)(c)  | 985  | 0  |
|  Coherus BioSciences, Inc. (a)  | 19887  | 157505  |
|  Crinetics Pharmaceuticals, Inc. (a)  | 2014  | 36856  |
|  CTI BioPharma Corp. (a)(b)  | 5468  | 32863  |
|  Cytokinetics, Inc. (a)  | 20610  | 944350  |
|  Deciphera Pharmaceuticals, Inc. (a)  | 3651  | 59840  |
|  Denali Therapeutics, Inc. (a)  | 30287  | 842281  |
|  Dynavax Technologies Corp. (a)(b)  | 33333  | 354663  |
|  Eagle Pharmaceuticals, Inc. (a)  | 2861  | 83627  |
|  Eiger Biopharmaceuticals, Inc. (a)  | 10817  | 12764  |
|  Enanta Pharmaceuticals, Inc. (a)  | 569  | 26470  |
|  Fate Therapeutics, Inc. (a)(b)  | 23275  | 234845  |
|  FibroGen, Inc. (a)  | 21534  | 344975  |
|  Foghorn Therapeutics, Inc. (a)  | 5635  | 35951  |
|  Gelesis Holdings, Inc. Class A (a)  | 958  | 278  |
|  Geron Corp. (a)(b)  | 70130  | 169715  |
|  Gossamer Bio, Inc. (a)  | 17617  | 38229  |
|  GreenLight Biosciences Holdings PBC Class A (a)  | 25071  | 29584  |
|  Halozyme Therapeutics, Inc. (a)  | 36834  | 2095850  |
|  Heron Therapeutics, Inc. (a)(b)  | 28890  | 72225  |
|  HilleVax, Inc.  | 996  | 16663  |
|  Humacyte, Inc. Class A (a)(b)  | 16399  | 34602  |
|  IGM Biosciences, Inc. (a)(b)  | 2242  | 38136  |
|  Imago BioSciences, Inc. (a)  | 4180  | 150271  |
|  ImmunityBio, Inc. (a)(b)  | 17369  | 88061  |
|  ImmunoGen, Inc. (a)  | 29624  | 146935  |
|  Inhibrx, Inc. (a)(b)  | 9049  | 222967  |
|  Insmed, Inc. (a)  | 37565  | 750549  |
|  Intellia Therapeutics, Inc. (a)  | 15489  | 540411  |
|  Intercept Pharmaceuticals, Inc. (a)  | 6796  | 84067  |
|  Ironwood Pharmaceuticals, Inc. Class A (a)  | 37686  | 466930  |
|  Iveric Bio, Inc. (a)  | 37457  | 801954  |
|  Karuna Therapeutics, Inc. (a)  | 8362  | 1643133  |
|  Karyopharm Therapeutics, Inc. (a)(b)  | 21456  | 72950  |
|  Keros Therapeutics, Inc. (a)  | 5042  | 242117  |
|  Kiniksa Pharmaceuticals Ltd. (a)  | 8106  | 121428  |
|  Krystal Biotech, Inc. (a)  | 1911  | 151389  |
|  Lexicon Pharmaceuticals, Inc. (a)  | 8104  | 15479  |
|  Madrigal Pharmaceuticals, Inc. (a)  | 3538  | 1026905  |
|  MannKind Corp. (a)  | 7398  | 38987  |
|  MeiraGTx Holdings PLC (a)  | 574  | 3742  |
|  Mirum Pharmaceuticals, Inc. (a)  | 5111  | 99665  |
|  Morphic Holding, Inc. (a)  | 6093  | 162988  |
|  Ocugen, Inc. (a)(b)  | 60484  | 78629  |
|  Omniab, Inc. (c)  | 191  | 596  |
|  Omniab, Inc. (c)  | 191  | 563  |
|  Organogenesis Holdings, Inc. Class A (a)  | 20577  | 55352  |
|  Outlook Therapeutics, Inc. (a)(b)  | 31606  | 34134  |
|  PepGen, Inc.  | 850  | 11365  |
|  Point Biopharma Global, Inc. (a)(b)  | 22313  | 162662  |
|  Praxis Precision Medicines, Inc. (a)  | 1029  | 2449  |
|  Precigen, Inc. (a)(b)  | 23171  | 35220  |
|  Prime Medicine, Inc. (b)  | 1140  | 21181  |
|  Prometheus Biosciences, Inc. (a)(b)  | 9642  | 1060620  |
|  Prothena Corp. PLC (a)  | 10214  | 615394  |
|  PTC Therapeutics, Inc. (a)  | 14601  | 557320  |
|  Rallybio Corp. (a)(b)  | 4060  | 26674  |
|  RAPT Therapeutics, Inc. (a)  | 5089  | 100762  |
|  Recursion Pharmaceuticals, Inc. (a)(b)  | 3730  | 28758  |
|  Relay Therapeutics, Inc. (a)  | 1971  | 29447  |
|  Revolution Medicines, Inc. (a)(b)  | 2907  | 69245  |
|  Rigel Pharmaceuticals, Inc. (a)  | 48064  | 72096  |
|  Sangamo Therapeutics, Inc. (a)  | 1958  | 6148  |
|  Seres Therapeutics, Inc. (a)  | 19721  | 110438  |
|  Sorrento Therapeutics, Inc. (a)(b)  | 19143  | 16961  |
|  SpringWorks Therapeutics, Inc. (a)(b)  | 1965  | 51110  |
|  Syndax Pharmaceuticals, Inc. (a)  | 3500  | 89075  |
|  TG Therapeutics, Inc. (a)  | 36854  | 435983  |
|  Travere Therapeutics, Inc. (a)  | 15477  | 325481  |
|  Twist Bioscience Corp. (a)  | 10878  | 259005  |
|  Vaxart, Inc. (a)(b)  | 6879  | 6610  |
|  Vaxcyte, Inc. (a)  | 19892  | 953821  |
|  Vera Therapeutics, Inc. (a)  | 3558  | 68847  |
|  Vericel Corp. (a)  | 13125  | 345713  |
|  Verve Therapeutics, Inc. (a)(b)  | 2008  | 38855  |
|  Viridian Therapeutics, Inc. (a)(b)  | 7653  | 223544  |
|  VistaGen Therapeutics, Inc. (a)(b)  | 39676  | 4087  |
|  Y-mAbs Therapeutics, Inc. (a)  | 10296  | 50244  |
|  Zentalis Pharmaceuticals, Inc. (a)  | 12314  | 248004  |
|  |  | 28944568  |
| Health Care Equipment & Supplies - 6.6%  |  |  |
|  Alphatec Holdings, Inc. (a)(b)  | 17793  | 219744  |
|  Artivion, Inc. (a)  | 9024  | 109371  |
|  Atricure, Inc. (a)  | 8210  | 364360  |
|  Atrion Corp.  | 369  | 206437  |
|  AxoGen, Inc. (a)  | 11186  | 111636  |
|  Axonics Modulation Technologies, Inc. (a)  | 13679  | 855348  |
|  Cardiovascular Systems, Inc. (a)  | 6038  | 82238  |
|  Cerus Corp. (a)  | 48495  | 177007  |
|  CONMED Corp.  | 8104  | 718339  |
|  Cutera, Inc. (a)  | 4558  | 201555  |
|  Embecta Corp.  | 13933  | 352366  |
|  Figs, Inc. Class A (a)(b)  | 30038  | 202156  |
|  Glaukos Corp. (a)  | 12590  | 549931  |
|  Haemonetics Corp. (a)  | 14026  | 1103145  |
|  Heska Corp. (a)  | 2659  | 165283  |
|  Inari Medical, Inc. (a)  | 12284  | 780771  |
|  Inogen, Inc. (a)  | 241  | 4750  |
|  Inspire Medical Systems, Inc. (a)  | 7831  | 1972472  |
|  IRadimed Corp.  | 1984  | 56127  |
|  iRhythm Technologies, Inc. (a)  | 8407  | 787484  |
|  Lantheus Holdings, Inc. (a)  | 19023  | 969412  |
|  Lantheus Holdings, Inc. rights (a)(c)  | 4548  | 0  |
|  LeMaitre Vascular, Inc.  | 5350  | 246207  |
|  LivaNova PLC (a)  | 11392  | 632712  |
|  Meridian Bioscience, Inc. (a)  | 11740  | 389885  |
|  Merit Medical Systems, Inc. (a)  | 13244  | 935291  |
|  Mesa Laboratories, Inc.  | 1425  | 236849  |
|  Nano-X Imaging Ltd. (a)(b)  | 1175  | 8672  |
|  Neogen Corp. (a)  | 55662  | 847732  |
|  Nevro Corp. (a)  | 9707  | 384397  |
|  NuVasive, Inc. (a)  | 14435  | 595299  |
|  Omnicell, Inc. (a)  | 12425  | 626469  |
|  OrthoPediatrics Corp. (a)  | 4218  | 167581  |
|  Outset Medical, Inc. (a)  | 13485  | 348183  |
|  Owlet, Inc. (a)(b)  | 5040  | 2818  |
|  Paragon 28, Inc. (a)  | 12708  | 242850  |
|  PROCEPT BioRobotics Corp. (a)  | 7209  | 299462  |
|  Pulmonx Corp. (a)  | 9598  | 80911  |
|  RxSight, Inc. (a)  | 5316  | 67354  |
|  Senseonics Holdings, Inc. (a)(b)  | 132544  | 136520  |
|  Shockwave Medical, Inc. (a)  | 9886  | 2032660  |
|  SI-BONE, Inc. (a)  | 9444  | 128438  |
|  Sight Sciences, Inc. (a)(b)  | 594  | 7253  |
|  Silk Road Medical, Inc. (a)  | 10433  | 551384  |
|  Staar Surgical Co. (a)  | 13389  | 649902  |
|  SurModics, Inc. (a)  | 3669  | 125186  |
|  Tactile Systems Technology, Inc. (a)  | 1912  | 21950  |
|  Tenon Medical, Inc. (b)  | 1970  | 3113  |
|  TransMedics Group, Inc. (a)  | 8477  | 523200  |
|  Treace Medical Concepts, Inc. (a)  | 9178  | 211002  |
|  UFP Technologies, Inc. (a)  | 1881  | 221751  |
|  Utah Medical Products, Inc.  | 860  | 86456  |
|  Vicarious Surgical, Inc. (a)(b)  | 16309  | 32944  |
|  ViewRay, Inc. (a)  | 35704  | 159954  |
|  Zynex, Inc. (b)  | 5996  | 83404  |
|  |  | 21077721  |
| Health Care Providers & Services - 3.9%  |  |  |
|  23andMe Holding Co. Class A (a)(b)  | 31531  | 68107  |
|  Addus HomeCare Corp. (a)  | 1671  | 166248  |
|  Agiliti, Inc. (a)(b)  | 7633  | 124494  |
|  AirSculpt Technologies, Inc. (b)  | 3821  | 14138  |
|  Alignment Healthcare, Inc. (a)  | 27319  | 321271  |
|  AMN Healthcare Services, Inc. (a)  | 12019  | 1235794  |
|  Apollo Medical Holdings, Inc. (a)(b)  | 10872  | 321702  |
|  Cano Health, Inc. (a)(b)  | 46244  | 63354  |
|  Clover Health Investments Corp. (a)  | 108828  | 101156  |
|  Corvel Corp. (a)  | 2460  | 357512  |
|  Cross Country Healthcare, Inc. (a)  | 1415  | 37597  |
|  DocGo, Inc. Class A (a)(b)  | 23042  | 162907  |
|  HealthEquity, Inc. (a)  | 23024  | 1419199  |
|  Hims & Hers Health, Inc. (a)(b)  | 28007  | 179525  |
|  Innovage Holding Corp. (a)(b)  | 621  | 4459  |
|  LHC Group, Inc. (a)  | 8178  | 1322301  |
|  LifeStance Health Group, Inc. (a)  | 1523  | 7524  |
|  Modivcare, Inc. (a)  | 1085  | 97357  |
|  National Research Corp. Class A  | 3864  | 144127  |
|  Option Care Health, Inc. (a)  | 43407  | 1306117  |
|  Owens & Minor, Inc.  | 2414  | 47145  |
|  P3 Health Partners, Inc. Class A (a)(b)  | 4507  | 8293  |
|  Patterson Companies, Inc.  | 19110  | 535653  |
|  Pennant Group, Inc. (a)  | 7227  | 79352  |
|  PetIQ, Inc. Class A (a)  | 6068  | 55947  |
|  Privia Health Group, Inc. (a)  | 12814  | 291006  |
|  Progyny, Inc. (a)  | 21154  | 658947  |
|  R1 Rcm, Inc. (a)  | 41682  | 456418  |
|  RadNet, Inc. (a)  | 13779  | 259459  |
|  Select Medical Holdings Corp.  | 24536  | 609229  |
|  Surgery Partners, Inc. (a)  | 12327  | 343430  |
|  The Ensign Group, Inc.  | 14901  | 1409784  |
|  The Joint Corp. (a)(b)  | 3979  | 55626  |
|  The Oncology Institute, Inc. (a)(b)  | 9886  | 16312  |
|  U.S. Physical Therapy, Inc.  | 3542  | 287008  |
|  |  | 12568498  |
| Health Care Technology - 0.5%  |  |  |
|  Babylon Holdings Ltd. Class A (a)(b)  | 1329  | 8971  |
|  Evolent Health, Inc. (a)  | 22899  | 643004  |
|  HealthStream, Inc. (a)  | 180  | 4471  |
|  Nextgen Healthcare, Inc. (a)  | 7687  | 144362  |
|  Nutex Health, Inc. (a)(b)  | 69841  | 132698  |
|  OptimizeRx Corp. (a)  | 4744  | 79699  |
|  Pear Therapeutics, Inc. Class A (a)(b)  | 8558  | 10098  |
|  Phreesia, Inc. (a)  | 6595  | 213414  |
|  Schrodinger, Inc. (a)  | 15045  | 281191  |
|  Simulations Plus, Inc.  | 4400  | 160908  |
|  |  | 1678816  |
| Life Sciences Tools & Services - 0.8%  |  |  |
|  AbCellera Biologics, Inc. (a)  | 24425  | 247425  |
|  Adaptive Biotechnologies Corp. (a)  | 1933  | 14768  |
|  Akoya Biosciences, Inc. (a)  | 4387  | 41984  |
|  BioLife Solutions, Inc. (a)  | 834  | 15179  |
|  Codexis, Inc. (a)  | 17766  | 82790  |
|  CryoPort, Inc. (a)(b)  | 10041  | 174211  |
|  Cytek Biosciences, Inc. (a)  | 31750  | 324168  |
|  Medpace Holdings, Inc. (a)  | 7059  | 1499402  |
|  Nanostring Technologies, Inc. (a)  | 11743  | 93592  |
|  OmniAb, Inc. (a)  | 2978  | 10721  |
|  Quanterix Corp. (a)  | 1359  | 18822  |
|  Science 37 Holdings, Inc. (a)(b)  | 15922  | 6611  |
|  SomaLogic, Inc. Class A (a)  | 5824  | 14618  |
|  |  | 2544291  |
| Pharmaceuticals - 2.3%  |  |  |
|  Aclaris Therapeutics, Inc. (a)  | 17950  | 282713  |
|  Amneal Pharmaceuticals, Inc. (a)  | 28422  | 56560  |
|  Amphastar Pharmaceuticals, Inc. (a)  | 10607  | 297208  |
|  Amylyx Pharmaceuticals, Inc.  | 2737  | 101132  |
|  AN2 Therapeutics, Inc. (b)  | 668  | 6366  |
|  Arvinas Holding Co. LLC (a)  | 13549  | 463511  |
|  Axsome Therapeutics, Inc. (a)(b)  | 8904  | 686766  |
|  Cassava Sciences, Inc. (a)(b)  | 10620  | 313715  |
|  Collegium Pharmaceutical, Inc. (a)  | 9237  | 214298  |
|  Corcept Therapeutics, Inc. (a)  | 23998  | 487399  |
|  Esperion Therapeutics, Inc. (a)(b)  | 20534  | 127927  |
|  Evolus, Inc. (a)  | 9995  | 75062  |
|  Eyepoint Pharmaceuticals, Inc. (a)(b)  | 3489  | 12212  |
|  Harmony Biosciences Holdings, Inc. (a)  | 7317  | 403167  |
|  Innoviva, Inc. (a)  | 17388  | 230391  |
|  Intra-Cellular Therapies, Inc. (a)  | 25421  | 1345279  |
|  Ligand Pharmaceuticals, Inc. Class B (a)  | 504  | 33667  |
|  Liquidia Technologies, Inc. (a)  | 8425  | 53667  |
|  NGM Biopharmaceuticals, Inc. (a)  | 6709  | 33679  |
|  Ocular Therapeutix, Inc. (a)  | 22045  | 61946  |
|  Pacira Biosciences, Inc. (a)  | 12500  | 482625  |
|  Phathom Pharmaceuticals, Inc. (a)(b)  | 6780  | 76072  |
|  Phibro Animal Health Corp. Class A  | 5280  | 70805  |
|  Provention Bio, Inc. (a)(b)  | 15038  | 158952  |
|  Reata Pharmaceuticals, Inc. (a)(b)  | 6396  | 242984  |
|  Relmada Therapeutics, Inc. (a)  | 5676  | 19809  |
|  Revance Therapeutics, Inc. (a)  | 22452  | 414464  |
|  SIGA Technologies, Inc.  | 13120  | 96563  |
|  Theravance Biopharma, Inc. (a)  | 16080  | 180418  |
|  Third Harmonics Bio, Inc. (b)  | 1485  | 6386  |
|  Tricida, Inc. (a)(b)  | 1631  | 249  |
|  Ventyx Biosciences, Inc. (a)  | 6833  | 224054  |
|  Xeris Biopharma Holdings, Inc. (a)  | 36861  | 49025  |
|  |  | 7309071  |
|  TOTAL HEALTH CARE  |  | 74122965  |
| INDUSTRIALS - 17.8%  |  |  |
| Aerospace & Defense - 0.7%  |  |  |
|  Aerojet Rocketdyne Holdings, Inc. (a)  | 16551  | 925697  |
|  AeroVironment, Inc. (a)  | 6857  | 587371  |
|  Cadre Holdings, Inc.  | 5305  | 106843  |
|  Momentus, Inc. Class A (a)(b)  | 5734  | 4472  |
|  Moog, Inc. Class A  | 1249  | 109612  |
|  Redwire Corp. (a)(b)  | 748  | 1481  |
|  Rocket Lab U.S.A., Inc. Class A (a)(b)  | 60534  | 228213  |
|  Virgin Galactic Holdings, Inc. (a)(b)  | 32179  | 111983  |
|  |  | 2075672  |
| Air Freight & Logistics - 0.3%  |  |  |
|  Air Transport Services Group, Inc. (a)  | 6081  | 157984  |
|  Forward Air Corp.  | 7493  | 785941  |
|  Radiant Logistics, Inc. (a)  | 2745  | 13972  |
|  |  | 957897  |
| Airlines - 0.2%  |  |  |
|  Allegiant Travel Co. (a)  | 1861  | 126529  |
|  Frontier Group Holdings, Inc. (a)  | 9600  | 98592  |
|  Joby Aviation, Inc. (a)(b)  | 65218  | 218480  |
|  Sun Country Airlines Holdings, Inc. (a)  | 9141  | 144976  |
|  |  | 588577  |
| Building Products - 1.9%  |  |  |
|  AAON, Inc.  | 12135  | 914008  |
|  American Woodmark Corp. (a)  | 232  | 11336  |
|  Apogee Enterprises, Inc.  | 6065  | 269650  |
|  CSW Industrials, Inc.  | 4034  | 467662  |
|  Griffon Corp.  | 6401  | 229092  |
|  Insteel Industries, Inc.  | 5254  | 144590  |
|  Janus International Group, Inc. (a)  | 22367  | 212934  |
|  Jeld-Wen Holding, Inc. (a)  | 8637  | 83347  |
|  Masonite International Corp. (a)  | 6164  | 496880  |
|  PGT Innovations, Inc. (a)  | 16043  | 288132  |
|  Simpson Manufacturing Co. Ltd.  | 11850  | 1050621  |
|  UFP Industries, Inc.  | 14554  | 1153405  |
|  Zurn Elkay Water Solutions Cor  | 34516  | 730013  |
|  |  | 6051670  |
| Commercial Services & Supplies - 1.2%  |  |  |
|  ACV Auctions, Inc. Class A (a)  | 16233  | 133273  |
|  Aris Water Solution, Inc. Class A (b)  | 6219  | 89616  |
|  Brady Corp. Class A  | 9691  | 456446  |
|  Casella Waste Systems, Inc. Class A (a)  | 13805  | 1094875  |
|  Cimpress PLC (a)  | 4892  | 135068  |
|  Healthcare Services Group, Inc.  | 10154  | 121848  |
|  HNI Corp.  | 11526  | 327684  |
|  Interface, Inc.  | 12938  | 127698  |
|  Li-Cycle Holdings Corp. (a)(b)  | 14914  | 70991  |
|  Montrose Environmental Group, Inc. (a)(b)  | 7662  | 340116  |
|  Pitney Bowes, Inc. (b)  | 48798  | 185432  |
|  SP Plus Corp. (a)  | 5385  | 186967  |
|  The Brink's Co.  | 12582  | 675779  |
|  |  | 3945793  |
| Construction & Engineering - 2.2%  |  |  |
|  Ameresco, Inc. Class A (a)(b)  | 8871  | 506889  |
|  Comfort Systems U.S.A., Inc.  | 9816  | 1129625  |
|  Construction Partners, Inc. Class A (a)  | 11082  | 295779  |
|  Dycom Industries, Inc. (a)  | 8062  | 754603  |
|  EMCOR Group, Inc.  | 13056  | 1933724  |
|  Fluor Corp. (a)  | 36058  | 1249770  |
|  Great Lakes Dredge & Dock Corp. (a)  | 4251  | 25293  |
|  IES Holdings, Inc. (a)  | 1663  | 59153  |
|  MYR Group, Inc. (a)  | 4549  | 418826  |
|  Northwest Pipe Co. (a)  | 488  | 16446  |
|  NV5 Global, Inc. (a)  | 3754  | 496729  |
|  Primoris Services Corp.  | 708  | 15534  |
|  Sterling Construction Co., Inc. (a)  | 6794  | 222843  |
|  |  | 7125214  |
| Electrical Equipment - 2.1%  |  |  |
|  Allied Motion Technologies, Inc.  | 3408  | 118632  |
|  Array Technologies, Inc. (a)  | 42018  | 812208  |
|  Atkore, Inc. (a)  | 11453  | 1298999  |
|  Babcock & Wilcox Enterprises, Inc. (a)  | 16962  | 97871  |
|  Blink Charging Co. (a)(b)  | 10257  | 112519  |
|  Bloom Energy Corp. Class A (a)(b)  | 49890  | 953897  |
|  Energy Vault Holdings, Inc. Class A (a)(b)  | 23225  | 72462  |
|  EnerSys  | 1289  | 95180  |
|  Enovix Corp. (a)(b)  | 30116  | 374643  |
|  ESS Tech, Inc. Class A (a)(b)  | 20974  | 50967  |
|  Fluence Energy, Inc. (a)(b)  | 10053  | 172409  |
|  FTC Solar, Inc. (a)(b)  | 12288  | 32932  |
|  FuelCell Energy, Inc. (a)(b)  | 83155  | 231171  |
|  GrafTech International Ltd.  | 54165  | 257825  |
|  Heliogen, Inc. (a)  | 26578  | 18557  |
|  Shoals Technologies Group, Inc. (a)  | 38395  | 947205  |
|  Stem, Inc. (a)(b)  | 38027  | 339961  |
|  SunPower Corp. (a)(b)  | 22817  | 411391  |
|  TPI Composites, Inc. (a)  | 10277  | 104209  |
|  Vicor Corp. (a)  | 6172  | 331745  |
|  |  | 6834783  |
| Industrial Conglomerates - 0.0%  |  |  |
|  Brookfield Business Corp. Class A  | 6462  | 121421  |
| Machinery - 4.1%  |  |  |
|  Alamo Group, Inc.  | 2339  | 331202  |
|  Albany International Corp. Class A  | 1610  | 158730  |
|  Berkshire Grey, Inc. Class A (a)(b)  | 14540  | 8781  |
|  Blue Bird Corp. (a)  | 4762  | 51001  |
|  Chart Industries, Inc. (a)(b)  | 11857  | 1366282  |
|  CIRCOR International, Inc. (a)  | 1446  | 34646  |
|  Douglas Dynamics, Inc.  | 6194  | 223975  |
|  Energy Recovery, Inc. (a)  | 15232  | 312104  |
|  Enerpac Tool Group Corp. Class A  | 15842  | 403179  |
|  ESCO Technologies, Inc.  | 594  | 51999  |
|  Evoqua Water Technologies Corp. (a)  | 32598  | 1290881  |
|  Federal Signal Corp.  | 16530  | 768149  |
|  Franklin Electric Co., Inc.  | 12794  | 1020322  |
|  Gorman-Rupp Co.  | 1053  | 26978  |
|  Helios Technologies, Inc.  | 9090  | 494860  |
|  Hillenbrand, Inc.  | 9668  | 412534  |
|  Hyzon Motors, Inc. Class A (a)(b)  | 24891  | 38581  |
|  John Bean Technologies Corp.  | 8816  | 805165  |
|  Kadant, Inc.  | 3225  | 572857  |
|  Lightning eMotors, Inc. (a)(b)  | 11020  | 4039  |
|  Lindsay Corp.  | 3055  | 497507  |
|  Luxfer Holdings PLC sponsored  | 2875  | 39445  |
|  Markforged Holding Corp. (a)  | 5681  | 6590  |
|  Microvast Holdings, Inc. (a)(b)  | 28503  | 43610  |
|  Miller Industries, Inc.  | 11  | 293  |
|  Mueller Industries, Inc.  | 5615  | 331285  |
|  Mueller Water Products, Inc. Class A  | 43125  | 464025  |
|  Nikola Corp. (a)(b)  | 88700  | 191592  |
|  Omega Flex, Inc. (b)  | 905  | 84455  |
|  Proterra, Inc. Class A (a)(b)  | 28721  | 108278  |
|  Proto Labs, Inc. (a)  | 1243  | 31734  |
|  RBC Bearings, Inc. (a)  | 1143  | 239287  |
|  Sarcos Technology and Robotics Corp. Class A (a)  | 29911  | 16789  |
|  Shyft Group, Inc. (The)  | 9648  | 239849  |
|  Tennant Co.  | 2215  | 136378  |
|  Terex Corp.  | 9122  | 389692  |
|  Titan International, Inc. (a)  | 14080  | 215706  |
|  Trinity Industries, Inc.  | 3252  | 96162  |
|  Velo3D, Inc. (a)(b)  | 16795  | 30063  |
|  Wabash National Corp.  | 11491  | 259697  |
|  Watts Water Technologies, Inc. Class A  | 7563  | 1105937  |
|  Xos, Inc. Class A (a)(b)  | 15749  | 6975  |
|  |  | 12911614  |
| Professional Services - 2.6%  |  |  |
|  ASGN, Inc. (a)  | 13612  | 1109106  |
|  Atlas Technical Consultants, Inc. (a)(b)  | 3913  | 20152  |
|  Barrett Business Services, Inc.  | 1657  | 154565  |
|  CBIZ, Inc. (a)  | 13165  | 616780  |
|  CRA International, Inc.  | 1920  | 235066  |
|  Exponent, Inc.  | 14090  | 1396178  |
|  First Advantage Corp. (a)  | 1431  | 18603  |
|  Forrester Research, Inc. (a)  | 3190  | 114074  |
|  Franklin Covey Co. (a)  | 3361  | 157194  |
|  HireRight Holdings Corp. (a)  | 6062  | 71895  |
|  Huron Consulting Group, Inc. (a)  | 3231  | 234571  |
|  ICF International, Inc.  | 3567  | 353311  |
|  Insperity, Inc.  | 10026  | 1138954  |
|  Kforce, Inc.  | 5561  | 304910  |
|  Korn Ferry  | 14781  | 748214  |
|  LegalZoom.com, Inc. (a)  | 26438  | 204630  |
|  Planet Labs PBC Class A (a)(b)  | 38029  | 165426  |
|  Red Violet, Inc. (a)  | 2701  | 62177  |
|  Sterling Check Corp. (a)(b)  | 6255  | 96765  |
|  TriNet Group, Inc. (a)  | 10367  | 702883  |
|  Upwork, Inc. (a)  | 33596  | 350742  |
|  Willdan Group, Inc. (a)  | 358  | 6390  |
|  |  | 8262586  |
| Road & Rail - 0.7%  |  |  |
|  ArcBest Corp.  | 2229  | 156119  |
|  Daseke, Inc. (a)  | 11331  | 64473  |
|  Marten Transport Ltd.  | 12012  | 237597  |
|  P.A.M. Transportation Services, Inc.  | 1809  | 46853  |
|  Saia, Inc. (a)(b)  | 7377  | 1546809  |
|  Universal Logistics Holdings, Inc.  | 1454  | 48622  |
|  Werner Enterprises, Inc.  | 2056  | 82775  |
|  |  | 2183248  |
| Trading Companies & Distributors - 1.8%  |  |  |
|  Alta Equipment Group, Inc.  | 815  | 10750  |
|  Applied Industrial Technologies, Inc.  | 10599  | 1335792  |
|  Beacon Roofing Supply, Inc. (a)  | 9908  | 523043  |
|  Boise Cascade Co.  | 2317  | 159108  |
|  Custom Truck One Source, Inc. Class A (a)  | 5026  | 31764  |
|  Distribution Solutions Group I (a)  | 1217  | 44859  |
|  GATX Corp.  | 462  | 49129  |
|  Global Industrial Co.  | 2685  | 63178  |
|  GMS, Inc. (a)  | 11825  | 588885  |
|  H&E Equipment Services, Inc.  | 8837  | 401200  |
|  Herc Holdings, Inc.  | 6997  | 920595  |
|  Hudson Technologies, Inc. (a)  | 12093  | 122381  |
|  Karat Packaging, Inc.  | 1688  | 24257  |
|  McGrath RentCorp.  | 6651  | 656720  |
|  MRC Global, Inc. (a)  | 22900  | 265182  |
|  Textainer Group Holdings Ltd.  | 1513  | 46918  |
|  Transcat, Inc. (a)  | 1940  | 137488  |
|  Veritiv Corp.  | 3643  | 443390  |
|  |  | 5824639  |
|  TOTAL INDUSTRIALS  |  | 56883114  |
| INFORMATION TECHNOLOGY - 19.8%  |  |  |
| Communications Equipment - 1.4%  |  |  |
|  ADTRAN Holdings, Inc.  | 19442  | 365315  |
|  Calix, Inc. (a)  | 12602  | 862355  |
|  Cambium Networks Corp. (a)  | 3211  | 69582  |
|  Casa Systems, Inc. (a)(b)  | 9305  | 25403  |
|  Clearfield, Inc. (a)  | 3238  | 304825  |
|  CommScope Holding Co., Inc. (a)  | 57118  | 419817  |
|  Digi International, Inc. (a)  | 3266  | 119372  |
|  DZS, Inc. (a)(b)  | 4968  | 62994  |
|  Extreme Networks, Inc. (a)  | 35720  | 654033  |
|  Harmonic, Inc. (a)  | 25835  | 338439  |
|  Infinera Corp. (a)(b)  | 53296  | 359215  |
|  Inseego Corp. (a)(b)  | 5209  | 4389  |
|  Ondas Holdings, Inc. (a)(b)  | 10380  | 16504  |
|  Viavi Solutions, Inc. (a)  | 63001  | 662141  |
|  |  | 4264384  |
| Electronic Equipment & Components - 2.7%  |  |  |
|  908 Devices, Inc. (a)(b)  | 1546  | 11781  |
|  Advanced Energy Industries, Inc.  | 10473  | 898374  |
|  Aeva Technologies, Inc. (a)  | 2249  | 3059  |
|  AEye, Inc. Class A (a)(b)  | 28651  | 13770  |
|  Akoustis Technologies, Inc. (a)(b)  | 14256  | 40202  |
|  Arlo Technologies, Inc. (a)  | 24713  | 86743  |
|  Badger Meter, Inc.  | 8101  | 883252  |
|  Belden, Inc.  | 6184  | 444630  |
|  Cepton, Inc. (a)(b)  | 11517  | 14627  |
|  CTS Corp.  | 8665  | 341574  |
|  ePlus, Inc. (a)  | 5590  | 247525  |
|  Fabrinet (a)  | 10258  | 1315281  |
|  FARO Technologies, Inc. (a)  | 230  | 6764  |
|  Focus Universal, Inc. (a)(b)  | 4972  | 31871  |
|  Identiv, Inc. (a)  | 6301  | 45619  |
|  Insight Enterprises, Inc. (a)  | 7259  | 727860  |
|  Itron, Inc. (a)  | 913  | 46243  |
|  Lightwave Logic, Inc. (a)(b)  | 31566  | 136049  |
|  MicroVision, Inc. (a)(b)  | 46412  | 109068  |
|  Napco Security Technologies, Inc.  | 8179  | 224759  |
|  Novanta, Inc. (a)  | 9847  | 1337912  |
|  OSI Systems, Inc. (a)  | 426  | 33876  |
|  Par Technology Corp. (a)(b)  | 2749  | 71666  |
|  Plexus Corp. (a)  | 6432  | 662046  |
|  Rogers Corp. (a)  | 5199  | 620449  |
|  Smartrent, Inc. (a)  | 34126  | 82926  |
|  |  | 8437926  |
| IT Services - 3.2%  |  |  |
|  AvidXchange Holdings, Inc. (a)  | 36050  | 358337  |
|  BigCommerce Holdings, Inc. (a)  | 17899  | 156437  |
|  Brightcove, Inc. (a)  | 8126  | 42499  |
|  Cantaloupe, Inc. (a)  | 10133  | 44079  |
|  Cass Information Systems, Inc.  | 492  | 22543  |
|  Cerberus Cyber Sentinel Corp.  | 13154  | 33543  |
|  CSG Systems International, Inc.  | 8582  | 490890  |
|  Cyxtera Technologies, Inc. Class A (a)  | 10727  | 20596  |
|  Digitalocean Holdings, Inc. (a)(b)  | 19594  | 499059  |
|  Edgio, Inc. (a)  | 35213  | 39791  |
|  EVERTEC, Inc.  | 16917  | 547772  |
|  EVO Payments, Inc. Class A (a)  | 12915  | 437044  |
|  ExlService Holdings, Inc. (a)  | 8986  | 1522498  |
|  Flywire Corp. (a)  | 15780  | 386137  |
|  Grid Dynamics Holdings, Inc. (a)  | 15040  | 168749  |
|  Hackett Group, Inc.  | 6670  | 135868  |
|  i3 Verticals, Inc. Class A (a)  | 6134  | 149302  |
|  IBEX Ltd. (a)  | 2448  | 60833  |
|  Information Services Group, Inc.  | 4602  | 21169  |
|  International Money Express, Inc. (a)  | 8763  | 213554  |
|  Marqeta, Inc. Class A (a)  | 121377  | 741613  |
|  Maximus, Inc.  | 15802  | 1158761  |
|  Paya Holdings, Inc. (a)  | 24124  | 189856  |
|  Payoneer Global, Inc. (a)  | 61575  | 336815  |
|  Perficient, Inc. (a)  | 9544  | 666458  |
|  Priority Technology Holdings, Inc. (a)  | 5107  | 26863  |
|  Remitly Global, Inc. (a)  | 27873  | 319146  |
|  Sabre Corp. (a)  | 18568  | 114750  |
|  Squarespace, Inc. Class A (a)  | 2095  | 46446  |
|  StoneCo Ltd. Class A (a)  | 40237  | 379837  |
|  Ttec Holdings, Inc.  | 5258  | 232036  |
|  Tucows, Inc. (a)  | 2655  | 90058  |
|  Unisys Corp. (a)  | 13843  | 70738  |
|  Verra Mobility Corp. (a)  | 39011  | 539522  |
|  |  | 10263599  |
| Semiconductors & Semiconductor Equipment - 4.3%  |  |  |
|  ACM Research, Inc.  | 1903  | 14672  |
|  Alpha & Omega Semiconductor Ltd. (a)  | 4818  | 137650  |
|  Ambarella, Inc. (a)  | 10154  | 834963  |
|  Amkor Technology, Inc.  | 5605  | 134408  |
|  Atomera, Inc. (a)(b)  | 5932  | 36897  |
|  Axcelis Technologies, Inc. (a)  | 9101  | 722255  |
|  CEVA, Inc. (a)  | 6243  | 159696  |
|  Credo Technology Group Holding Ltd. (b)  | 26855  | 357440  |
|  Diodes, Inc. (a)  | 8947  | 681225  |
|  FormFactor, Inc. (a)  | 21416  | 476078  |
|  Impinj, Inc. (a)  | 5376  | 586952  |
|  indie Semiconductor, Inc. (a)(b)  | 28151  | 164120  |
|  Kulicke & Soffa Industries, Inc.  | 15922  | 704708  |
|  MACOM Technology Solutions Holdings, Inc. (a)  | 14012  | 882476  |
|  MaxLinear, Inc. Class A (a)  | 20332  | 690271  |
|  Onto Innovation, Inc. (a)  | 13801  | 939710  |
|  PDF Solutions, Inc. (a)  | 8096  | 230898  |
|  Photronics, Inc. (a)  | 11862  | 199637  |
|  Power Integrations, Inc.  | 15712  | 1126865  |
|  Rambus, Inc. (a)  | 24859  | 890449  |
|  Rockley Photonics Holdings Ltd. (a)(b)  | 27902  | 3909  |
|  Semtech Corp. (a)  | 17478  | 501444  |
|  Silicon Laboratories, Inc. (a)  | 9176  | 1244908  |
|  SiTime Corp. (a)  | 4502  | 457493  |
|  SkyWater Technology, Inc. (a)(b)  | 3151  | 22404  |
|  SMART Global Holdings, Inc. (a)  | 13027  | 193842  |
|  Synaptics, Inc. (a)  | 11089  | 1055229  |
|  Transphorm, Inc. (a)  | 6280  | 34163  |
|  Ultra Clean Holdings, Inc. (a)  | 4270  | 141551  |
|  Veeco Instruments, Inc. (a)  | 10856  | 201704  |
|  |  | 13828017  |
| Software - 7.8%  |  |  |
|  8x8, Inc. (a)(b)  | 31392  | 135613  |
|  A10 Networks, Inc.  | 14098  | 234450  |
|  ACI Worldwide, Inc. (a)  | 31000  | 713000  |
|  Agilysys, Inc. (a)  | 5500  | 435270  |
|  Alarm.com Holdings, Inc. (a)  | 13375  | 661795  |
|  Alkami Technology, Inc. (a)  | 10104  | 147417  |
|  Altair Engineering, Inc. Class A (a)  | 14492  | 658951  |
|  American Software, Inc. Class A  | 6500  | 95420  |
|  Amplitude, Inc. (a)(b)  | 15621  | 188702  |
|  AppFolio, Inc. (a)  | 5392  | 568209  |
|  Appian Corp. Class A (a)(b)  | 11183  | 364118  |
|  Applied Digital Corp. (b)  | 7512  | 13822  |
|  Arteris, Inc. (a)  | 4884  | 21001  |
|  Asana, Inc. (a)(b)  | 20637  | 284171  |
|  AvePoint, Inc. (a)(b)  | 36283  | 149123  |
|  Benefitfocus, Inc. (a)  | 4869  | 50930  |
|  Blackbaud, Inc. (a)  | 12189  | 717445  |
|  BlackLine, Inc. (a)  | 15289  | 1028491  |
|  Box, Inc. Class A (a)  | 38760  | 1206599  |
|  C3.ai, Inc. (a)(b)  | 3179  | 35573  |
|  Cipher Mining, Inc. (a)(b)  | 943  | 528  |
|  Clear Secure, Inc. (b)  | 17235  | 472756  |
|  CommVault Systems, Inc. (a)  | 12308  | 773435  |
|  Consensus Cloud Solutions, Inc. (a)  | 2378  | 127841  |
|  Couchbase, Inc. (a)(b)  | 7901  | 104767  |
|  CS Disco, Inc. (a)(b)  | 6691  | 42287  |
|  Digimarc Corp. (a)(b)  | 3579  | 66176  |
|  Digital Turbine, Inc. (a)  | 26146  | 398465  |
|  Domo, Inc. Class B (a)  | 8739  | 124443  |
|  Duck Creek Technologies, Inc. (a)  | 21483  | 258870  |
|  Ebix, Inc. (b)  | 1589  | 31716  |
|  eGain Communications Corp. (a)  | 2304  | 20805  |
|  Enfusion, Inc. Class A (a)  | 7501  | 72535  |
|  EngageSmart, Inc. (a)  | 10062  | 177091  |
|  Envestnet, Inc. (a)  | 15254  | 941172  |
|  Everbridge, Inc. (a)  | 11146  | 329699  |
|  EverCommerce, Inc. (a)  | 1184  | 8809  |
|  ForgeRock, Inc. (a)  | 7670  | 174646  |
|  Instructure Holdings, Inc. (a)(b)  | 686  | 16080  |
|  Intapp, Inc. (a)  | 3982  | 99311  |
|  InterDigital, Inc.  | 3053  | 151062  |
|  IronNet, Inc. Class A (a)(b)  | 18090  | 4161  |
|  KnowBe4, Inc. (a)  | 20219  | 501027  |
|  LivePerson, Inc. (a)  | 19500  | 197730  |
|  Matterport, Inc. (a)(b)  | 45599  | 127677  |
|  MeridianLink, Inc. (a)(b)  | 6388  | 87707  |
|  MicroStrategy, Inc. Class A (a)(b)  | 1548  | 219150  |
|  Mitek Systems, Inc. (a)  | 11084  | 107404  |
|  Model N, Inc. (a)  | 10145  | 411481  |
|  Momentive Global, Inc. (a)  | 36339  | 254373  |
|  N-able, Inc. (a)  | 16534  | 169970  |
|  Nextnav, Inc. (a)(b)  | 18913  | 55415  |
|  Onespan, Inc. (a)  | 3807  | 42600  |
|  Pagerduty, Inc. (a)  | 24171  | 641982  |
|  PowerSchool Holdings, Inc. (a)  | 4421  | 102037  |
|  Progress Software Corp.  | 11828  | 596723  |
|  PROS Holdings, Inc. (a)  | 7304  | 177195  |
|  Q2 Holdings, Inc. (a)  | 15588  | 418850  |
|  Qualys, Inc. (a)  | 10702  | 1201085  |
|  Rapid7, Inc. (a)  | 16517  | 561248  |
|  Rimini Street, Inc. (a)  | 14341  | 54639  |
|  Sapiens International Corp. NV  | 6511  | 120323  |
|  ShotSpotter, Inc. (a)  | 2506  | 84778  |
|  Sprout Social, Inc. (a)  | 13063  | 737537  |
|  SPS Commerce, Inc. (a)  | 10045  | 1290079  |
|  Sumo Logic, Inc. (a)  | 21142  | 171250  |
|  Telos Corp. (a)  | 15139  | 77058  |
|  Tenable Holdings, Inc. (a)  | 31038  | 1184100  |
|  TeraWulf, Inc. (a)(b)  | 2493  | 1659  |
|  UserTesting, Inc. (a)(b)  | 13345  | 100221  |
|  Varonis Systems, Inc. (a)  | 30383  | 727369  |
|  Verint Systems, Inc. (a)  | 16041  | 581967  |
|  Veritone, Inc. (a)(b)  | 8955  | 47462  |
|  Viant Technology, Inc. (a)  | 3537  | 14219  |
|  Weave Communications, Inc. (a)  | 8853  | 40547  |
|  Workiva, Inc. (a)  | 13188  | 1107396  |
|  Yext, Inc. (a)  | 31742  | 207275  |
|  Zeta Global Holdings Corp. (a)  | 30821  | 251808  |
|  Zuora, Inc. (a)  | 34672  | 220514  |
|  |  | 25000610  |
| Technology Hardware, Storage & Peripherals - 0.4%  |  |  |
|  Avid Technology, Inc. (a)  | 6032  | 160391  |
|  CompoSecure, Inc. (a)(b)  | 1776  | 8720  |
|  Corsair Gaming, Inc. (a)(b)  | 5986  | 81230  |
|  Diebold Nixdorf, Inc. (a)  | 15620  | 22180  |
|  IonQ, Inc. (a)(b)  | 4621  | 15942  |
|  Super Micro Computer, Inc. (a)(b)  | 12886  | 1057941  |
|  Turtle Beach Corp. (a)  | 3260  | 23374  |
|  |  | 1369778  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 63164314  |
| MATERIALS - 4.4%  |  |  |
| Chemicals - 2.7%  |  |  |
|  AdvanSix, Inc.  | 2509  | 95392  |
|  American Vanguard Corp.  | 6691  | 145262  |
|  Amyris, Inc. (a)(b)  | 6967  | 10660  |
|  Aspen Aerogels, Inc. (a)  | 8728  | 102903  |
|  Avient Corp.  | 18649  | 629590  |
|  Balchem Corp.  | 8794  | 1073835  |
|  Cabot Corp.  | 15480  | 1034683  |
|  Chase Corp.  | 490  | 42267  |
|  Diversey Holdings Ltd. (a)  | 21938  | 93456  |
|  H.B. Fuller Co.  | 12641  | 905348  |
|  Hawkins, Inc.  | 3264  | 125990  |
|  Ingevity Corp. (a)  | 10390  | 731872  |
|  Innospec, Inc.  | 5791  | 595662  |
|  Kronos Worldwide, Inc. (b)  | 6381  | 59981  |
|  Livent Corp. (a)(b)  | 45125  | 896634  |
|  LSB Industries, Inc. (a)  | 20681  | 275057  |
|  Mativ, Inc.  | 1113  | 23262  |
|  Origin Materials, Inc. Class A (a)(b)  | 17738  | 81772  |
|  Orion Engineered Carbons SA  | 16603  | 295699  |
|  PureCycle Technologies, Inc. (a)(b)  | 23349  | 157839  |
|  Quaker Houghton  | 2492  | 415915  |
|  Sensient Technologies Corp.  | 10971  | 800005  |
|  Stepan Co.  | 516  | 54933  |
|  |  | 8648017  |
| Construction Materials - 0.0%  |  |  |
|  United States Lime & Minerals, Inc.  | 423  | 59541  |
| Containers & Packaging - 0.3%  |  |  |
|  Cryptyde, Inc. (a)  | 3535  | 678  |
|  Greif, Inc.:  |  |  |
|  Class A  | 1099  | 73699  |
|  Class B  | 133  | 10405  |
|  Myers Industries, Inc.  | 9942  | 221011  |
|  O-I Glass, Inc. (a)  | 34818  | 576934  |
|  |  | 882727  |
| Metals & Mining - 1.3%  |  |  |
|  5E Advanced Materials, Inc. (a)(b)  | 10740  | 84631  |
|  Alpha Metallurgical Resources  | 4221  | 617912  |
|  ATI, Inc. (a)  | 34277  | 1023511  |
|  Century Aluminum Co. (a)  | 14703  | 120271  |
|  Commercial Metals Co.  | 5508  | 266036  |
|  Compass Minerals International, Inc.  | 9459  | 387819  |
|  Constellium NV (a)  | 18619  | 220263  |
|  Dakota Gold Corp. (a)  | 14750  | 44988  |
|  Hycroft Mining Holding Corp. (a)(b)  | 34606  | 18414  |
|  Ivanhoe Electric, Inc. (a)  | 1917  | 23292  |
|  Kaiser Aluminum Corp.  | 4405  | 334604  |
|  Materion Corp.  | 5305  | 464241  |
|  Novagold Resources, Inc. (a)  | 62282  | 372446  |
|  Piedmont Lithium, Inc. (a)(b)  | 1348  | 59339  |
|  Ramaco Resources, Inc. (b)  | 6486  | 57012  |
|  Ryerson Holding Corp.  | 362  | 10954  |
|  Schnitzer Steel Industries, Inc. Class A  | 651  | 19953  |
|  Warrior Metropolitan Coal, Inc.  | 1542  | 53415  |
|  |  | 4179101  |
| Paper & Forest Products - 0.1%  |  |  |
|  Sylvamo Corp.  | 9119  | 443092  |
|  TOTAL MATERIALS  |  | 14212478  |
| REAL ESTATE - 2.2%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 1.5%  |  |  |
|  Alexanders, Inc.  | 701  | 154262  |
|  Bluerock Homes Trust, Inc. (a)  | 553  | 11784  |
|  CareTrust (REIT), Inc.  | 3538  | 65736  |
|  CBL & Associates Properties, Inc.  | 1396  | 32220  |
|  Clipper Realty, Inc.  | 3946  | 25254  |
|  Community Healthcare Trust, Inc.  | 4871  | 174382  |
|  Corporate Office Properties Trust (SBI)  | 5311  | 137767  |
|  Essential Properties Realty Trust, Inc.  | 6091  | 142956  |
|  Four Corners Property Trust, Inc.  | 4072  | 105587  |
|  Gladstone Commercial Corp.  | 11972  | 221482  |
|  Gladstone Land Corp.  | 5624  | 103200  |
|  Hersha Hospitality Trust  | 1734  | 14774  |
|  Industrial Logistics Properties Trust  | 3428  | 11210  |
|  NexPoint Residential Trust, Inc.  | 6379  | 277614  |
|  Outfront Media, Inc.  | 42443  | 703705  |
|  Phillips Edison & Co., Inc.  | 33519  | 1067245  |
|  Postal Realty Trust, Inc.  | 4747  | 68974  |
|  Potlatch Corp.  | 2898  | 127483  |
|  Safehold, Inc.  | 5167  | 147880  |
|  Saul Centers, Inc.  | 3593  | 146163  |
|  Tanger Factory Outlet Centers, Inc.  | 29093  | 521928  |
|  UMH Properties, Inc.  | 13797  | 222132  |
|  Universal Health Realty Income Trust (SBI)  | 4249  | 202805  |
|  |  | 4686543  |
| Real Estate Management & Development - 0.7%  |  |  |
|  Compass, Inc. (a)  | 76682  | 178669  |
|  Cushman & Wakefield PLC (a)  | 44371  | 552863  |
|  Digitalbridge Group, Inc.  | 39709  | 434416  |
|  Doma Holdings, Inc. Class A (a)(b)  | 4909  | 2223  |
|  Douglas Elliman, Inc.  | 2400  | 9768  |
|  eXp World Holdings, Inc. (b)  | 20015  | 221766  |
|  Forestar Group, Inc. (a)  | 1369  | 21096  |
|  Marcus & Millichap, Inc.  | 7069  | 243527  |
|  Newmark Group, Inc.  | 3299  | 26293  |
|  Offerpad Solutions, Inc. (a)(b)  | 19777  | 9107  |
|  Redfin Corp. (a)(b)  | 29499  | 125076  |
|  The RMR Group, Inc.  | 2817  | 79580  |
|  The St. Joe Co.  | 9677  | 374016  |
|  |  | 2278400  |
|  TOTAL REAL ESTATE  |  | 6964943  |
| UTILITIES - 1.8%  |  |  |
| Electric Utilities - 0.2%  |  |  |
|  MGE Energy, Inc.  | 4287  | 301805  |
|  Otter Tail Corp.  | 5177  | 303942  |
|  Via Renewables, Inc. Class A, (b)  | 3664  | 18723  |
|  |  | 624470  |
| Gas Utilities - 0.5%  |  |  |
|  Brookfield Infrastructure Corp. A Shares  | 27194  | 1057847  |
|  Chesapeake Utilities Corp.  | 2763  | 326531  |
|  New Jersey Resources Corp.  | 2316  | 114920  |
|  Southwest Gas Corp.  | 1843  | 114045  |
|  |  | 1613343  |
| Independent Power and Renewable Electricity Producers - 0.6%  |  |  |
|  Altus Power, Inc. Class A (a)  | 4249  | 27703  |
|  Clearway Energy, Inc.:  |  |  |
|  Class A  | 6629  | 198340  |
|  Class C  | 25916  | 825943  |
|  Montauk Renewables, Inc. (a)(b)  | 17855  | 196941  |
|  Ormat Technologies, Inc. (b)  | 7623  | 659237  |
|  |  | 1908164  |
| Water Utilities - 0.5%  |  |  |
|  American States Water Co.  | 4973  | 460251  |
|  Artesian Resources Corp. Class A  | 1534  | 89862  |
|  California Water Service Group  | 4055  | 245895  |
|  Global Water Resources, Inc.  | 3717  | 49362  |
|  Middlesex Water Co.  | 4893  | 384932  |
|  Pure Cycle Corp. (a)  | 5646  | 59170  |
|  York Water Co.  | 3974  | 178751  |
|  |  | 1468223  |
|  TOTAL UTILITIES  |  | 5614200  |
| <br> **TOTAL COMMON STOCKS** <br> (Cost $335,251,971)  |  | <br> **318985408**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  |
|  | Principal <br> Amount (d) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 1.23% 1/26/23 <br>(Cost $99,916) <br>| 100000  | **99752**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 10.7%**  | &nbsp;&nbsp; **Money Market Funds - 10.7%**  | &nbsp;&nbsp; **Money Market Funds - 10.7%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Securities Lending Cash Central Fund 4.37% (e)(f) <br>(Cost $34,105,077) <br>| 34101667  | **34105077**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 110.5%** <br> (Cost $369,456,964) <br>| <br>**353190237**  |
| **NET OTHER ASSETS (LIABILITIES) - (10.5)%**  | **(33541974)**  |
| **NET ASSETS - 100.0%**  | **319648263**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Equity Index Contracts  |  |  |  |  |  |
| CME E-mini Russell 2000 Index Contracts (United States)  | 9  | Mar 2023  | 796905  | 184  | 184  |
| The notional amount of futures purchased as a percentage of Net Assets is 0.2%  | The notional amount of futures purchased as a percentage of Net Assets is 0.2%  | The notional amount of futures purchased as a percentage of Net Assets is 0.2%  | The notional amount of futures purchased as a percentage of Net Assets is 0.2%  | The notional amount of futures purchased as a percentage of Net Assets is 0.2%  | The notional amount of futures purchased as a percentage of Net Assets is 0.2%  |

---

**Legend**

(a) Non-income producing

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

(c) Level 3 security

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

(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 are available on the SEC's website or upon request.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.37%  | 294228  | 58362173  | 58656401  | 21087  | -  | -  | -  | 0.0%  |
|  Fidelity Securities Lending Cash Central Fund 4.37%  | 31870574  | 81636244  | 79401741  | 437682  | -  | -  | 34105077  | 0.1%  |
| Total  | 32164802  | 139998417  | 138058142  | 458769  | -  | -  | 34105077  |  |

---

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>**  |  |  |  |  |
|  **Equities:**  |  |  |  |  |
| Communication Services  | 7342080  | 7342080  | -  | -  |
| Consumer Discretionary  | 34400867  | 34400867  | -  | -  |
| Consumer Staples  | 14444836  | 14444836  | -  | -  |
| Energy  | 23513728  | 23513728  | -  | -  |
| Financials  | 18321883  | 18321883  | -  | -  |
| Health Care  | 74122965  | 74121806  | -  | 1159  |
| Industrials  | 56883114  | 56883114  | -  | -  |
| Information Technology  | 63164314  | 63164314  | -  | -  |
| Materials  | 14212478  | 14212478  | -  | -  |
| Real Estate  | 6964943  | 6964943  | -  | -  |
| Utilities  | 5614200  | 5614200  | -  | -  |
|  U.S. Government and Government Agency Obligations  | 99752  | -  | 99752  | -  |
|  Money Market Funds  | 34105077  | 34105077  | -  | -  |
| **Total Investments in Securities:**  | 353190237  | 353089326  | 99752  | 1159  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 184  | 184  | -  | -  |
| Total Assets  | 184  | 184  | -  | -  |
| **Total Derivative Instruments:**  | 184  | 184  | -  | -  |

---

**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 ($)**  | **Liability ($)**  |
| **Equity Risk**  |  |  |
| Futures Contracts (a)  | 184  | 0  |
| **Total Equity Risk**  | 184  | 0  |
| **Total Value of Derivatives**  | 184  | 0  |

---

(a)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).

**Fidelity® Small Cap Growth Index Fund**

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $32,826,983) - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $335,351,887)  | $319085160  |  |
|  Fidelity Central Funds (cost $34,105,077)  | 34105077  |  |
|  Total Investment in Securities (cost $369,456,964)  |  | $353190237  |
|  Segregated cash with brokers for derivative instruments  |  | 5235  |
| Receivable for investments sold  |  | 1298791  |
|  Receivable for fund shares sold  |  | 324655  |
|  Dividends receivable  |  | 167463  |
|  Distributions receivable from Fidelity Central Funds  |  | 58231  |
| **Total assets**  |  | 355044612  |
| **Liabilities**  |  |  |
|  Payable to custodian bank  | 167539  |  |
|  Payable for fund shares redeemed  | 1108304  |  |
|  Accrued management fee  | 13548  |  |
|  Payable for daily variation margin on futures contracts  | 1881  |  |
|  Collateral on securities loaned  | 34105077  |  |
| **Total Liabilities**  |  | 35396349  |
| **Net Assets**  |  | $319648263  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $395840325  |
|  Total accumulated earnings (loss)  |  | (76192062)  |
|  **Net Assets**  |  | $319648263  |
|  **Net Asset Value** , offering price and redemption price per share ($319,648,263 ÷ 15,470,107 shares)  |  | $20.66  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends  |  | $1538006  |
| Interest  |  | 673  |
| Income from Fidelity Central Funds (including $437,682 from security lending)  |  | 458769  |
| **Total Income**  |  | 1997448  |
|  **Expenses**  |  |  |
| Management fee  | $82091  |  |
| Independent trustees' fees and expenses  | 542  |  |
| Interest  | 1854  |  |
| Total expenses before reductions  | 84487  |  |
| Expense reductions  | (328)  |  |
| Total expenses after reductions  |  | 84159  |
| **Net Investment income (loss)**  |  | 1913289  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | 547536  |  |
| Futures contracts  | 277160  |  |
| Total net realized gain (loss)  |  | 824696  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | 8937968  |  |
| Futures contracts  | (12993)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | 8924975  |
| **Net gain (loss)**  |  | 9749671  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $11662960  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  | **Year ended** <br> **June 30, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $1913289  | $2156091  |
| &nbsp;&nbsp; Net realized gain (loss)  | 824696 <br>| (57491238) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | 8924975  | (78701931) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 11662960 <br>| (134037078) <br>|
| Distributions to shareholders  | (2541670) <br>| (11137021) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 94544311  | 253314244  |
| Reinvestment of distributions  | 2183459 <br>| 9762975 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (60953762)  | (180075429)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 35774008 <br>| 83001790 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 44895298 <br>| (62172309) <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 274752965  | 336925274 <br>|
| &nbsp;&nbsp; End of period  | $319648263  | $274752965  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 4397563  | 9319148  |
| Issued in reinvestment of distributions  | 102849 <br>| 339083 <br>|
| &nbsp;&nbsp; Redeemed  | (2817617)  | (6774929)  |
| &nbsp;&nbsp; Net increase (decrease)  | 1682795  | 2883302  |

---

**Financial Highlights** 

 **Fidelity® Small Cap Growth Index Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $19.93  | $30.90  | $20.66  | $20.00  |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .12  | .17  | .14  | .15  |
| Net realized and unrealized gain (loss)  | .78  | (10.17)  | 10.38  | .57  |
| Total from investment operations  | .90  | (10.00)  | 10.52  | .72  |
| Distributions from net investment income  | (.17)  | (.16)  | (.11)  | (.05)  |
| Distributions from net realized gain  | -  | (.81)  | (.18)  | (.01)  |
| Total distributions  | (.17)  | (.97)  | (.28) <sup>D</sup>  | (.06)  |
| Net asset value, end of period  | $20.66  | $19.93  | $30.90  | $20.66  |
| **Total Return** <sup>E,F</sup>  | 4.47%  | (33.33)%  | 51.31%  | 3.59%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |  |  |  |
| Expenses before reductions  | .05% <sup>I</sup>  | .05%  | .05%  | .05% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | .05% <sup>I</sup>  | .05%  | .05%  | .05% <sup>I</sup>  |
| Expenses net of all reductions  | .05% <sup>I</sup>  | .05%  | .05%  | .05% <sup>I</sup>  |
| Net investment income (loss)  | 1.16% <sup>I</sup>  | .64%  | .49%  | .78% <sup>I</sup>  |
| **Supplemental Data**  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $319648  | $274753  | $336925  | $54213  |
| Portfolio turnover rate <sup>J</sup>  | 17% <sup>I</sup>  | 51%  | 62%  | 69% <sup>I</sup>  |

---

<sup>A</sup> *For the period July 11, 2019 (commencement of operations) through June 30, 2020.*

<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 distributions per share do not sum due to rounding.*

<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).*

**Fidelity® Small Cap Value Index Fund** 

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

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| Agree Realty Corp.  | 0.6  |
| Stag Industrial, Inc.  | 0.5  |
| Southstate Corp.  | 0.5  |
| Light & Wonder, Inc. Class A  | 0.5  |
| Selective Insurance Group, Inc.  | 0.5  |
| United Bankshares, Inc., West Virginia  | 0.5  |
| Old National Bancorp, Indiana  | 0.5  |
| RBC Bearings, Inc.  | 0.5  |
| Helmerich & Payne, Inc.  | 0.4  |
| Valley National Bancorp  | 0.4  |
|  | 4.9  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  | &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  |
| Financials  | 28.8  |
| Industrials  | 13.2  |
| Real Estate  | 10.7  |
| Health Care  | 10.4  |
| Consumer Discretionary  | 10.0  |
| Energy  | 6.2  |
| Information Technology  | 5.5  |
| Utilities  | 5.3  |
| Materials  | 4.1  |
| Communication Services  | 2.9  |
| Consumer Staples  | 2.7  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88354_7.jpg)  |
| *Foreign investments - 6.1%*  |
| *Futures - 0.2%*  |

---

**Fidelity® Small Cap Value Index Fund**

**Schedule of Investments December 31, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Common Stocks - 99.8%**  | &nbsp;&nbsp; **Common Stocks - 99.8%**  | &nbsp;&nbsp; **Common Stocks - 99.8%**  |
|  | Shares  | Value ($) <br>|
| COMMUNICATION SERVICES - 2.9%  |  |  |
| Diversified Telecommunication Services - 0.5%  |  |  |
|  Anterix, Inc. (a)  | 9971  | 320767  |
|  ATN International, Inc.  | 8252  | 373898  |
|  Bandwidth, Inc. (a)  | 14004  | 321392  |
|  Cogent Communications Group, Inc.  | 14636  | 835423  |
|  Consolidated Communications Holdings, Inc. (a)  | 49664  | 177797  |
|  EchoStar Holding Corp. Class A (a)(b)  | 25154  | 419569  |
|  Globalstar, Inc. (a)(b)  | 82150  | 109260  |
|  IDT Corp. Class B (a)  | 3404  | 95891  |
|  Liberty Latin America Ltd.:  |  |  |
|  Class A (a)  | 28829  | 217082  |
|  Class C (a)  | 108655  | 825778  |
|  Radius Global Infrastructure, Inc. (a)  | 57545  | 680182  |
|  |  | 4377039  |
| Entertainment - 0.3%  |  |  |
|  Chicken Soup For The Soul Entertainment, Inc. (a)  | 1  | 5  |
|  Cinemark Holdings, Inc. (a)(b)  | 17083  | 147939  |
|  IMAX Corp. (a)  | 13887  | 203583  |
|  Lions Gate Entertainment Corp.:  |  |  |
|  Class A (a)  | 37701  | 215273  |
|  Class B (a)  | 92286  | 501113  |
|  Madison Square Garden Entertainment Corp. (a)(b)  | 19562  | 879703  |
|  Marcus Corp. (b)  | 17707  | 254804  |
|  Playstudios, Inc. Class A (a)  | 30324  | 117657  |
|  Reservoir Media, Inc. (a)  | 1145  | 6836  |
|  Skillz, Inc. (a)(b)  | 233300  | 118166  |
|  |  | 2445079  |
| Interactive Media & Services - 0.6%  |  |  |
|  Bumble, Inc. (a)  | 64496  | 1357641  |
|  Cars.com, Inc. (a)  | 43011  | 592261  |
|  DHI Group, Inc. (a)  | 5035  | 26635  |
|  Eventbrite, Inc. (a)  | 7061  | 41377  |
|  fuboTV, Inc. (a)(b)  | 140088  | 243753  |
|  Outbrain, Inc. (a)(b)  | 27118  | 98167  |
|  QuinStreet, Inc. (a)  | 35817  | 513974  |
|  The Arena Group Holdings, Inc.  | 2181  | 23140  |
|  TrueCar, Inc. (a)  | 64891  | 162876  |
|  Vinco Ventures, Inc. (a)(b)  | 72417  | 33601  |
|  Ziff Davis, Inc. (a)  | 27679  | 2189409  |
|  |  | 5282834  |
| Media - 1.2%  |  |  |
|  Advantage Solutions, Inc. Class A (a)(b)  | 61049  | 126982  |
|  AMC Networks, Inc. Class A (a)  | 22765  | 356728  |
|  Audacy, Inc. Class A (a)  | 86817  | 19543  |
|  Boston Omaha Corp. (a)(b)  | 15372  | 407358  |
|  Cardlytics, Inc. (a)(b)  | 23870  | 137969  |
|  Clear Channel Outdoor Holdings, Inc. (a)  | 274975  | 288724  |
|  Cumulus Media, Inc. (a)  | 12798  | 79476  |
|  Daily Journal Corp. (a)  | 901  | 225710  |
|  E.W. Scripps Co. Class A (a)  | 43912  | 579199  |
|  Entravision Communication Corp. Class A  | 12027  | 57730  |
|  Gannett Co., Inc. (a)(b)  | 109203  | 221682  |
|  Gray Television, Inc.  | 34278  | 383571  |
|  iHeartMedia, Inc. (a)  | 90503  | 554783  |
|  Innovid Corp. (a)(b)  | 6415  | 10970  |
|  Integral Ad Science Holding Corp. (a)  | 19305  | 169691  |
|  John Wiley & Sons, Inc. Class A  | 1902  | 76194  |
|  Loyalty Ventures, Inc. (a)  | 10601  | 25548  |
|  Magnite, Inc. (a)  | 99187  | 1050390  |
|  PubMatic, Inc. (a)(b)  | 3017  | 38648  |
|  Scholastic Corp.  | 22308  | 880274  |
|  Stagwell, Inc. (a)(b)  | 51790  | 321616  |
|  TEGNA, Inc.  | 166635  | 3530996  |
|  Thryv Holdings, Inc. (a)  | 14218  | 270142  |
|  Urban One, Inc.:  |  |  |
|  Class A (a)  | 3702  | 16844  |
|  Class D (non-vtg.) (a)  | 10989  | 41319  |
|  WideOpenWest, Inc. (a)  | 16943  | 154351  |
|  |  | 10026438  |
| Wireless Telecommunication Services - 0.3%  |  |  |
|  Gogo, Inc. (a)(b)  | 34157  | 504157  |
|  KORE Group Holdings, Inc. (a)  | 31152  | 39252  |
|  Shenandoah Telecommunications Co.  | 36349  | 577222  |
|  Telephone & Data Systems, Inc.  | 75438  | 791345  |
|  U.S. Cellular Corp. (a)  | 10872  | 226681  |
|  |  | 2138657  |
|  TOTAL COMMUNICATION SERVICES  |  | 24270047  |
| CONSUMER DISCRETIONARY - 10.0%  |  |  |
| Auto Components - 1.1%  |  |  |
|  Adient PLC (a)  | 70962  | 2461672  |
|  American Axle & Manufacturing Holdings, Inc. (a)  | 80055  | 626030  |
|  Dana, Inc.  | 96424  | 1458895  |
|  Modine Manufacturing Co. (a)  | 37168  | 738156  |
|  Motorcar Parts of America, Inc. (a)  | 14396  | 170737  |
|  Patrick Industries, Inc.  | 14488  | 877973  |
|  Solid Power, Inc. (a)(b)  | 59641  | 151488  |
|  Standard Motor Products, Inc.  | 15113  | 525932  |
|  Stoneridge, Inc. (a)  | 16613  | 358176  |
|  The Goodyear Tire & Rubber Co. (a)  | 209759  | 2129054  |
|  |  | 9498113  |
| Automobiles - 0.2%  |  |  |
|  Cenntro Electric Group Ltd. (a)(b)  | 139000  | 61160  |
|  Faraday Future Intelligent Electric, Inc. (a)(b)  | 71308  | 20701  |
|  Lordstown Motors Corp. Class A (a)(b)  | 130955  | 149289  |
|  Winnebago Industries, Inc.  | 22349  | 1177792  |
|  Workhorse Group, Inc. (a)(b)  | 7615  | 11575  |
|  |  | 1420517  |
| Distributors - 0.0%  |  |  |
|  Weyco Group, Inc.  | 4513  | 95495  |
| Diversified Consumer Services - 1.0%  |  |  |
|  2U, Inc. (a)  | 56909  | 356819  |
|  Adtalem Global Education, Inc. (a)  | 33556  | 1191238  |
|  American Public Education, Inc. (a)  | 13902  | 170856  |
|  European Wax Center, Inc. (b)  | 1377  | 17144  |
|  Frontdoor, Inc. (a)  | 61898  | 1287478  |
|  Graham Holdings Co.  | 2757  | 1665807  |
|  Laureate Education, Inc. Class A  | 100542  | 967214  |
|  Perdoceo Education Corp. (a)  | 50452  | 701283  |
|  Rover Group, Inc. Class A (a)  | 3682  | 13513  |
|  Strategic Education, Inc.  | 16986  | 1330344  |
|  The Beachbody Co., Inc. (a)  | 66243  | 34844  |
|  Vivint Smart Home, Inc. Class A (a)  | 52976  | 630414  |
|  WW International, Inc. (a)(b)  | 40054  | 154608  |
|  |  | 8521562  |
| Hotels, Restaurants & Leisure - 1.6%  |  |  |
|  Bally's Corp. (a)  | 26909  | 521496  |
|  Biglari Holdings, Inc. Class B (a)  | 557  | 77312  |
|  BJ's Restaurants, Inc. (a)  | 17048  | 449726  |
|  Bloomin' Brands, Inc.  | 17848  | 359102  |
|  Bluegreen Vacations Holding Corp. Class A  | 7643  | 190769  |
|  Bowlero Corp. Class A (a)  | 22246  | 299876  |
|  Brinker International, Inc. (a)  | 3411  | 108845  |
|  Century Casinos, Inc. (a)  | 3600  | 25308  |
|  Chuy's Holdings, Inc. (a)  | 13517  | 382531  |
|  Denny's Corp. (a)  | 11788  | 108567  |
|  Dine Brands Global, Inc.  | 1428  | 92249  |
|  El Pollo Loco Holdings, Inc.  | 14463  | 144051  |
|  Everi Holdings, Inc. (a)  | 29447  | 422564  |
|  First Watch Restaurant Group, Inc. (a)  | 7408  | 100230  |
|  Full House Resorts, Inc. (a)  | 18258  | 137300  |
|  Inspirato, Inc. (a)  | 15698  | 18681  |
|  Inspired Entertainment, Inc. (a)  | 5080  | 64364  |
|  International Game Technology PLC  | 56942  | 1291445  |
|  Jack in the Box, Inc.  | 13677  | 933182  |
|  Krispy Kreme, Inc. (b)  | 39513  | 407774  |
|  Life Time Group Holdings, Inc. (a)(b)  | 31577  | 377661  |
|  Light & Wonder, Inc. Class A (a)  | 70600  | 4137160  |
|  Lindblad Expeditions Holdings (a)(b)  | 23002  | 177115  |
|  Papa John's International, Inc.  | 6807  | 560284  |
|  RCI Hospitality Holdings, Inc.  | 490  | 45663  |
|  Red Rock Resorts, Inc.  | 20644  | 825966  |
|  SeaWorld Entertainment, Inc. (a)  | 14804  | 792162  |
|  Vacasa, Inc. Class A (a)(b)  | 86490  | 108977  |
|  Xponential Fitness, Inc. (a)(b)  | 9200  | 210956  |
|  |  | 13371316  |
| Household Durables - 1.7%  |  |  |
|  Aterian, Inc. (a)  | 45704  | 35206  |
|  Beazer Homes U.S.A., Inc. (a)  | 22068  | 281588  |
|  Century Communities, Inc.  | 19672  | 983797  |
|  Ethan Allen Interiors, Inc. (b)  | 16982  | 448664  |
|  GoPro, Inc. Class A (a)  | 96616  | 481148  |
|  Green Brick Partners, Inc. (a)  | 14914  | 361366  |
|  iRobot Corp. (a)(b)  | 2375  | 114309  |
|  KB Home  | 47362  | 1508480  |
|  La-Z-Boy, Inc.  | 32250  | 735945  |
|  Landsea Homes Corp. (a)  | 7102  | 37001  |
|  Legacy Housing Corp. (a)  | 6490  | 123050  |
|  LGI Homes, Inc. (a)  | 14320  | 1326032  |
|  Lifetime Brands, Inc.  | 9469  | 71870  |
|  M.D.C. Holdings, Inc.  | 31762  | 1003679  |
|  M/I Homes, Inc. (a)  | 17289  | 798406  |
|  Meritage Homes Corp. (a)  | 25363  | 2338469  |
|  Purple Innovation, Inc. (a)(b)  | 38866  | 186168  |
|  Snap One Holdings Corp. (a)  | 13255  | 98220  |
|  Taylor Morrison Home Corp. (a)  | 68507  | 2079187  |
|  Traeger, Inc. (a)(b)  | 24364  | 68706  |
|  TRI Pointe Homes, Inc. (a)  | 69117  | 1284885  |
|  Tupperware Brands Corp. (a)  | 33393  | 138247  |
|  Universal Electronics, Inc. (a)  | 9010  | 187498  |
|  Vuzix Corp. (a)(b)  | 5574  | 20289  |
|  Weber, Inc. (b)  | 20035  | 161282  |
|  |  | 14873492  |
| Internet & Direct Marketing Retail - 0.4%  |  |  |
|  1-800-FLOWERS.com, Inc. Class A (a)(b)  | 19975  | 190961  |
|  1stDibs.com, Inc. (a)  | 17371  | 88245  |
|  a.k.a. Brands Holding Corp. (a)(b)  | 7629  | 9689  |
|  BARK, Inc. (a)  | 88204  | 131424  |
|  Boxed, Inc. Class A (a)(b)  | 42420  | 8268  |
|  ContextLogic, Inc. (a)  | 429371  | 209404  |
|  Duluth Holdings, Inc. (a)(b)  | 5279  | 32624  |
|  Groupon, Inc. (a)(b)  | 14775  | 126770  |
|  Lands' End, Inc. (a)(b)  | 11385  | 86412  |
|  Liquidity Services, Inc. (a)  | 9141  | 128522  |
|  Overstock.com, Inc. (a)(b)  | 31976  | 619055  |
|  PetMed Express, Inc. (b)  | 2703  | 47843  |
|  Porch Group, Inc. Class A (a)(b)  | 60975  | 114633  |
|  Poshmark, Inc. (a)  | 35093  | 627463  |
|  Quotient Technology, Inc. (a)  | 59557  | 204281  |
|  Qurate Retail, Inc. Series A (a)  | 262781  | 428333  |
|  RumbleON, Inc. Class B (a)  | 7873  | 50938  |
|  Stitch Fix, Inc. (a)(b)  | 37070  | 115288  |
|  The RealReal, Inc. (a)(b)  | 54731  | 68414  |
|  thredUP, Inc. (a)(b)  | 37301  | 48864  |
|  Vivid Seats, Inc. Class A (a)(b)  | 14077  | 102762  |
|  |  | 3440193  |
| Leisure Products - 0.5%  |  |  |
|  Acushnet Holdings Corp. (b)  | 17912  | 760544  |
|  AMMO, Inc. (a)(b)  | 65998  | 114177  |
|  Clarus Corp.  | 3223  | 25268  |
|  Johnson Outdoors, Inc. Class A  | 3976  | 262893  |
|  Smith & Wesson Brands, Inc. (b)  | 31677  | 274956  |
|  Solo Brands, Inc. Class A (a)  | 16554  | 61581  |
|  Sturm, Ruger & Co., Inc.  | 1237  | 62617  |
|  Topgolf Callaway Brands Corp. (a)(b)  | 104595  | 2065751  |
|  Vista Outdoor, Inc. (a)  | 41787  | 1018349  |
|  |  | 4646136  |
| Multiline Retail - 0.0%  |  |  |
|  Big Lots, Inc. (b)  | 21342  | 313727  |
|  Franchise Group, Inc.  | 1267  | 30180  |
|  |  | 343907  |
| Specialty Retail - 3.2%  |  |  |
|  Abercrombie & Fitch Co. Class A (a)  | 36489  | 835963  |
|  Academy Sports & Outdoors, Inc.  | 57990  | 3046795  |
|  America's Car Mart, Inc. (a)  | 4393  | 317438  |
|  American Eagle Outfitters, Inc.  | 115304  | 1609644  |
|  Asbury Automotive Group, Inc. (a)  | 11764  | 2108697  |
|  Bed Bath & Beyond, Inc. (a)(b)  | 15783  | 39615  |
|  Big 5 Sporting Goods Corp. (b)  | 15986  | 141156  |
|  Build-A-Bear Workshop, Inc.  | 2773  | 66108  |
|  Chico's FAS, Inc. (a)  | 25205  | 124009  |
|  Citi Trends, Inc. (a)  | 5714  | 151307  |
|  Conn's, Inc. (a)(b)  | 9800  | 67424  |
|  Designer Brands, Inc. Class A  | 10272  | 100460  |
|  Destination XL Group, Inc. (a)  | 20294  | 136985  |
|  EVgo, Inc. Class A (a)(b)  | 44564  | 199201  |
|  Express, Inc. (a)(b)  | 48154  | 49117  |
|  Foot Locker, Inc.  | 60334  | 2280022  |
|  Genesco, Inc. (a)  | 9374  | 431391  |
|  Group 1 Automotive, Inc.  | 10565  | 1905609  |
|  GrowGeneration Corp. (a)(b)  | 42594  | 166968  |
|  Haverty Furniture Companies, Inc. (b)  | 10896  | 325790  |
|  Hibbett, Inc.  | 2002  | 136576  |
|  JOANN, Inc. (b)  | 8356  | 23815  |
|  LL Flooring Holdings, Inc. (a)  | 21407  | 120307  |
|  MarineMax, Inc. (a)  | 14660  | 457685  |
|  Monro, Inc. (b)  | 23412  | 1058222  |
|  National Vision Holdings, Inc. (a)(b)  | 55097  | 2135560  |
|  OneWater Marine, Inc. Class A (a)(b)  | 7679  | 219619  |
|  Party City Holdco, Inc. (a)(b)  | 51128  | 18687  |
|  Sally Beauty Holdings, Inc. (a)  | 5610  | 70237  |
|  Shoe Carnival, Inc.  | 12900  | 308439  |
|  Signet Jewelers Ltd.  | 34250  | 2329000  |
|  Sleep Number Corp. (a)(b)  | 8779  | 228078  |
|  Sonic Automotive, Inc. Class A (sub. vtg.)  | 13486  | 664455  |
|  Sportsman's Warehouse Holdings, Inc. (a)  | 28764  | 270669  |
|  The Aaron's Co., Inc.  | 22616  | 270261  |
|  The Buckle, Inc.  | 1683  | 76324  |
|  The Cato Corp. Class A (sub. vtg.)  | 13425  | 125255  |
|  The Children's Place, Inc. (a)(b)  | 3307  | 120441  |
|  The Container Store Group, Inc. (a)(b)  | 24010  | 103483  |
|  The ODP Corp. (a)  | 29947  | 1363786  |
|  Tile Shop Holdings, Inc.  | 23064  | 101020  |
|  Tilly's, Inc.  | 16834  | 152348  |
|  Torrid Holdings, Inc. (a)(b)  | 4202  | 12438  |
|  TravelCenters of America LLC (a)  | 9477  | 424380  |
|  Urban Outfitters, Inc. (a)(b)  | 47885  | 1142057  |
|  Volta, Inc. (a)(b)  | 90333  | 32104  |
|  Winmark Corp.  | 2107  | 496894  |
|  Zumiez, Inc. (a)(b)  | 11674  | 253793  |
|  |  | 26819632  |
| Textiles, Apparel & Luxury Goods - 0.3%  |  |  |
|  Allbirds, Inc. Class A (a)(b)  | 52707  | 127551  |
|  Ermenegildo Zegna Holditalia SpA  | 34945  | 365874  |
|  Fossil Group, Inc. (a)  | 35021  | 150941  |
|  G-III Apparel Group Ltd. (a)  | 32281  | 442573  |
|  Movado Group, Inc.  | 11561  | 372842  |
|  Oxford Industries, Inc.  | 3507  | 326782  |
|  PLBY Group, Inc. (a)(b)  | 30761  | 84593  |
|  PLBY Group, Inc. rights 1/17/23 (a)  | 23581  | 0  |
|  Rocky Brands, Inc.  | 4785  | 113022  |
|  Superior Group of Companies, Inc.  | 8843  | 88961  |
|  Unifi, Inc. (a)  | 10490  | 90319  |
|  |  | 2163458  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 85193821  |
| CONSUMER STAPLES - 2.7%  |  |  |
| Beverages - 0.2%  |  |  |
|  Primo Water Corp.  | 117774  | 1830208  |
|  Vintage Wine Estates, Inc. (a)(b)  | 21118  | 68845  |
|  |  | 1899053  |
| Food & Staples Retailing - 0.7%  |  |  |
|  Andersons, Inc.  | 24016  | 840320  |
|  Chefs' Warehouse Holdings (a)  | 7510  | 249933  |
|  HF Foods Group, Inc. (a)  | 26990  | 109579  |
|  Ingles Markets, Inc. Class A  | 10626  | 1024984  |
|  Natural Grocers by Vitamin Cottage, Inc.  | 789  | 7211  |
|  PriceSmart, Inc.  | 6853  | 416525  |
|  Rite Aid Corp. (a)(b)  | 22209  | 74178  |
|  SpartanNash Co.  | 26121  | 789899  |
|  United Natural Foods, Inc. (a)  | 40408  | 1564194  |
|  Village Super Market, Inc. Class A  | 6298  | 146680  |
|  Weis Markets, Inc.  | 12327  | 1014389  |
|  |  | 6237892  |
| Food Products - 1.0%  |  |  |
|  Alico, Inc.  | 4674  | 111568  |
|  AppHarvest, Inc. (a)(b)  | 56349  | 31972  |
|  B&G Foods, Inc. Class A  | 53028  | 591262  |
|  Benson Hill, Inc. (a)  | 64798  | 165235  |
|  Cal-Maine Foods, Inc.  | 2276  | 123928  |
|  Fresh Del Monte Produce, Inc.  | 22852  | 598494  |
|  Hostess Brands, Inc. Class A (a)  | 99777  | 2238996  |
|  John B. Sanfilippo & Son, Inc.  | 2584  | 210131  |
|  Lancaster Colony Corp.  | 2253  | 444517  |
|  Lifecore Biomedical (a)  | 19369  | 125511  |
|  Mission Produce, Inc. (a)  | 26620  | 309324  |
|  Seneca Foods Corp. Class A (a)  | 3797  | 231427  |
|  Sovos Brands, Inc. (a)  | 8830  | 126887  |
|  SunOpta, Inc. (a)  | 4991  | 42124  |
|  Tattooed Chef, Inc. (a)(b)  | 2074  | 2551  |
|  The Hain Celestial Group, Inc. (a)  | 67092  | 1085549  |
|  Tootsie Roll Industries, Inc.  | 1734  | 73816  |
|  TreeHouse Foods, Inc. (a)  | 38030  | 1877921  |
|  Utz Brands, Inc. Class A  | 6564  | 104105  |
|  Whole Earth Brands, Inc. Class A (a)  | 30556  | 124363  |
|  |  | 8619681  |
| Household Products - 0.1%  |  |  |
|  Central Garden & Pet Co. (a)  | 8136  | 304693  |
|  Central Garden & Pet Co. Class A (non-vtg.) (a)  | 15873  | 568253  |
|  |  | 872946  |
| Personal Products - 0.4%  |  |  |
|  Edgewell Personal Care Co.  | 38524  | 1484715  |
|  Herbalife Nutrition Ltd. (a)  | 24780  | 368726  |
|  Nature's Sunshine Products, Inc. (a)  | 10136  | 84332  |
|  Nu Skin Enterprises, Inc. Class A  | 21683  | 914155  |
|  The Beauty Health Co. (a)(b)  | 7793  | 70916  |
|  The Honest Co., Inc. (a)  | 49131  | 147884  |
|  |  | 3070728  |
| Tobacco - 0.3%  |  |  |
|  Universal Corp.  | 18041  | 952745  |
|  Vector Group Ltd.  | 92294  | 1094607  |
|  |  | 2047352  |
|  TOTAL CONSUMER STAPLES  |  | 22747652  |
| ENERGY - 6.2%  |  |  |
| Energy Equipment & Services - 1.9%  |  |  |
|  Archrock, Inc.  | 100933  | 906378  |
|  Borr Drilling Ltd. (a)  | 82172  | 408395  |
|  Bristow Group, Inc. (a)  | 17525  | 475453  |
|  Diamond Offshore Drilling, Inc. (a)  | 75816  | 788486  |
|  DMC Global, Inc. (a)  | 10579  | 205656  |
|  Dril-Quip, Inc. (a)  | 25151  | 683353  |
|  Expro Group Holdings NV (a)  | 58114  | 1053607  |
|  Helix Energy Solutions Group, Inc. (a)  | 107047  | 790007  |
|  Helmerich & Payne, Inc.  | 76829  | 3808414  |
|  Nabors Industries Ltd. (a)  | 829  | 128387  |
|  Newpark Resources, Inc. (a)  | 63959  | 265430  |
|  Noble Corp. PLC (a)  | 51676  | 1948702  |
|  Oceaneering International, Inc. (a)  | 6916  | 120961  |
|  Oil States International, Inc. (a)  | 47296  | 352828  |
|  Patterson-UTI Energy, Inc.  | 51875  | 873575  |
|  ProFrac Holding Corp. (b)  | 9566  | 241063  |
|  ProPetro Holding Corp. (a)  | 65512  | 679359  |
|  Select Energy Services, Inc. Class A  | 53571  | 494996  |
|  Tidewater, Inc. (a)  | 34781  | 1281680  |
|  U.S. Silica Holdings, Inc. (a)  | 47156  | 589450  |
|  |  | 16096180  |
| Oil, Gas & Consumable Fuels - 4.3%  |  |  |
|  Aemetis, Inc. (a)(b)  | 21973  | 87013  |
|  Alto Ingredients, Inc. (a)  | 53736  | 154760  |
|  Amplify Energy Corp. (a)  | 6118  | 53777  |
|  Ardmore Shipping Corp. (a)  | 30647  | 441623  |
|  Berry Corp.  | 47335  | 378680  |
|  California Resources Corp.  | 55389  | 2409975  |
|  Callon Petroleum Co. (a)  | 6189  | 229550  |
|  Centrus Energy Corp. Class A (a)(b)  | 8042  | 261204  |
|  Chord Energy Corp.  | 12616  | 1725995  |
|  Chord Energy Corp.:  |  |  |
|  warrants 9/1/24 (a)  | 810  | 16516  |
|  warrants 9/1/25 (a)  | 405  | 7367  |
|  Civitas Resources, Inc.  | 55156  | 3195187  |
|  Clean Energy Fuels Corp. (a)  | 127092  | 660878  |
|  CNX Resources Corp. (a)  | 126149  | 2124349  |
|  CONSOL Energy, Inc.  | 1481  | 96265  |
|  DHT Holdings, Inc.  | 102372  | 909063  |
|  Dorian LPG Ltd.  | 23064  | 437063  |
|  Energy Fuels, Inc. (a)(b)  | 20238  | 125678  |
|  Equitrans Midstream Corp.  | 234151  | 1568812  |
|  Excelerate Energy, Inc. (b)  | 13842  | 346742  |
|  FLEX LNG Ltd. (b)  | 21367  | 698487  |
|  Frontline PLC (NY Shares)  | 93224  | 1131739  |
|  Gevo, Inc. (a)(b)  | 148118  | 281424  |
|  Golar LNG Ltd. (a)  | 71245  | 1623674  |
|  Green Plains, Inc. (a)(b)  | 40232  | 1227076  |
|  International Seaways, Inc.  | 36400  | 1347528  |
|  Kinetik Holdings, Inc. (b)  | 11263  | 372580  |
|  Murphy Oil Corp.  | 62044  | 2668512  |
|  NACCO Industries, Inc. Class A  | 3077  | 116926  |
|  National Energy Services Reunited Corp. (a)  | 28281  | 196270  |
|  Nextdecade Corp. (a)(b)  | 3602  | 17794  |
|  Nordic American Tanker Shipping Ltd.  | 153768  | 470530  |
|  Northern Oil & Gas, Inc.  | 7486  | 230719  |
|  PBF Energy, Inc. Class A  | 56755  | 2314469  |
|  Peabody Energy Corp. (a)(b)  | 88055  | 2326413  |
|  Permian Resource Corp. Class A (b)  | 135018  | 1269169  |
|  Rex American Resources Corp. (a)  | 11949  | 380695  |
|  Riley Exploration Permian, Inc.  | 2903  | 85435  |
|  Ring Energy, Inc. (a)(b)  | 41859  | 102973  |
|  Scorpio Tankers, Inc.  | 35168  | 1890983  |
|  SFL Corp. Ltd.  | 86123  | 794054  |
|  Teekay Corp. (a)  | 51197  | 232434  |
|  Teekay Tankers Ltd. (a)  | 17124  | 527590  |
|  Ur-Energy, Inc. (a)  | 15662  | 18011  |
|  Vertex Energy, Inc. (a)(b)  | 4702  | 29152  |
|  W&T Offshore, Inc. (a)  | 12206  | 68109  |
|  World Fuel Services Corp.  | 45867  | 1253545  |
|  |  | 36906788  |
|  TOTAL ENERGY  |  | 53002968  |
| FINANCIALS - 28.8%  |  |  |
| Banks - 18.3%  |  |  |
|  1st Source Corp.  | 12104  | 642601  |
|  ACNB Corp.  | 6250  | 248813  |
|  Amalgamated Financial Corp.  | 13268  | 305695  |
|  Amerant Bancorp, Inc. Class A  | 20810  | 558540  |
|  American National Bankshares, Inc.  | 7837  | 289420  |
|  Ameris Bancorp  | 49446  | 2330884  |
|  Arrow Financial Corp.  | 10720  | 363408  |
|  Associated Banc-Corp.  | 111441  | 2573173  |
|  Atlantic Union Bankshares Corp.  | 55939  | 1965696  |
|  Banc of California, Inc.  | 39441  | 628295  |
|  BancFirst Corp.  | 5870  | 517617  |
|  Bancorp, Inc., Delaware (a)  | 16835  | 477777  |
|  Bank First National Corp.  | 5812  | 539470  |
|  Bank of Marin Bancorp  | 11817  | 388543  |
|  BankUnited, Inc.  | 58114  | 1974133  |
|  Bankwell Financial Group, Inc.  | 4252  | 125136  |
|  Banner Corp.  | 25529  | 1613433  |
|  Bar Harbor Bankshares  | 11003  | 352536  |
|  BayCom Corp.  | 8424  | 159888  |
|  BCB Bancorp, Inc.  | 10807  | 194418  |
|  Berkshire Hills Bancorp, Inc.  | 32390  | 968461  |
|  Blue Ridge Bankshares, Inc.  | 12690  | 158498  |
|  Brookline Bancorp, Inc., Delaware  | 56232  | 795683  |
|  Business First Bancshares, Inc.  | 17552  | 388601  |
|  Byline Bancorp, Inc.  | 18472  | 424302  |
|  Cadence Bank  | 127584  | 3146221  |
|  Cambridge Bancorp  | 5147  | 427510  |
|  Camden National Corp.  | 10731  | 447375  |
|  Capital Bancorp, Inc.  | 6845  | 161131  |
|  Capital City Bank Group, Inc.  | 10171  | 330558  |
|  Capstar Financial Holdings, Inc.  | 15360  | 271258  |
|  Carter Bankshares, Inc. (a)  | 17970  | 298122  |
|  Cathay General Bancorp  | 53766  | 2193115  |
|  Central Pacific Financial Corp.  | 19896  | 403491  |
|  Citizens & Northern Corp.  | 11412  | 260878  |
|  City Holding Co.  | 11025  | 1026317  |
|  Civista Bancshares, Inc.  | 11657  | 256571  |
|  CNB Financial Corp., Pennsylvania  | 15022  | 357373  |
|  Colony Bankcorp, Inc.  | 12187  | 154653  |
|  Columbia Banking Systems, Inc. (b)  | 58867  | 1773663  |
|  Community Bank System, Inc.  | 39911  | 2512397  |
|  Community Trust Bancorp, Inc.  | 11764  | 540321  |
|  ConnectOne Bancorp, Inc.  | 27873  | 674805  |
|  CrossFirst Bankshares, Inc. (a)  | 33637  | 417435  |
|  Customers Bancorp, Inc. (a)  | 22889  | 648674  |
|  CVB Financial Corp.  | 99654  | 2566091  |
|  Dime Community Bancshares, Inc.  | 24475  | 779039  |
|  Eagle Bancorp, Inc.  | 23674  | 1043313  |
|  Eastern Bankshares, Inc.  | 92424  | 1594314  |
|  Enterprise Bancorp, Inc.  | 6954  | 245476  |
|  Enterprise Financial Services Corp.  | 26342  | 1289704  |
|  Equity Bancshares, Inc.  | 11428  | 373353  |
|  Esquire Financial Holdings, Inc.  | 785  | 33959  |
|  Farmers & Merchants Bancorp, Inc.  | 6452  | 175365  |
|  Farmers National Banc Corp.  | 26119  | 368800  |
|  FB Financial Corp.  | 26814  | 969058  |
|  Financial Institutions, Inc.  | 11404  | 277801  |
|  First Bancorp, North Carolina  | 26452  | 1133204  |
|  First Bancorp, Puerto Rico  | 126072  | 1603636  |
|  First Bancshares, Inc.  | 15711  | 502909  |
|  First Bank Hamilton New Jersey  | 11823  | 162684  |
|  First Busey Corp.  | 38687  | 956343  |
|  First Business Finance Services, Inc.  | 6026  | 220250  |
|  First Commonwealth Financial Corp.  | 69724  | 974044  |
|  First Community Bankshares, Inc.  | 11896  | 403274  |
|  First Financial Bancorp, Ohio  | 69554  | 1685293  |
|  First Financial Corp., Indiana  | 8282  | 381635  |
|  First Foundation, Inc.  | 38344  | 549470  |
|  First Guaranty Bancshares, Inc.  | 4127  | 96778  |
|  First Internet Bancorp  | 6422  | 155926  |
|  First Interstate Bancsystem, Inc.  | 66825  | 2582786  |
|  First Merchants Corp.  | 42751  | 1757494  |
|  First Mid-Illinois Bancshares, Inc.  | 13880  | 445270  |
|  First of Long Island Corp.  | 16632  | 299376  |
|  First Western Financial, Inc. (a)  | 5860  | 164959  |
|  Five Star Bancorp  | 6192  | 168670  |
|  Flushing Financial Corp.  | 21288  | 412561  |
|  Fulton Financial Corp.  | 121125  | 2038534  |
|  FVCBankcorp, Inc. (a)  | 8515  | 162381  |
|  German American Bancorp, Inc.  | 20810  | 776213  |
|  Glacier Bancorp, Inc.  | 72291  | 3572621  |
|  Great Southern Bancorp, Inc.  | 6964  | 414288  |
|  Guaranty Bancshares, Inc. Texas  | 6114  | 211789  |
|  Hancock Whitney Corp.  | 64418  | 3117187  |
|  Hanmi Financial Corp.  | 22757  | 563236  |
|  HarborOne Bancorp, Inc.  | 32837  | 456434  |
|  HBT Financial, Inc.  | 7714  | 150963  |
|  Heartland Financial U.S.A., Inc.  | 30676  | 1430115  |
|  Heritage Commerce Corp.  | 44156  | 574028  |
|  Heritage Financial Corp., Washington  | 25900  | 793576  |
|  Hilltop Holdings, Inc.  | 37225  | 1117122  |
|  Home Bancshares, Inc.  | 140492  | 3201813  |
|  HomeStreet, Inc.  | 13380  | 369020  |
|  HomeTrust Bancshares, Inc.  | 8662  | 209361  |
|  Hope Bancorp, Inc.  | 86508  | 1108167  |
|  Horizon Bancorp, Inc. Indiana  | 30250  | 456170  |
|  Independent Bank Corp.  | 14992  | 358609  |
|  Independent Bank Corp.  | 34250  | 2891728  |
|  Independent Bank Group, Inc.  | 26732  | 1606059  |
|  International Bancshares Corp.  | 40027  | 1831636  |
|  John Marshall Bankcorp, Inc. (b)  | 8642  | 248717  |
|  Lakeland Bancorp, Inc.  | 46578  | 820239  |
|  Lakeland Financial Corp.  | 1512  | 110331  |
|  Live Oak Bancshares, Inc.  | 5110  | 154322  |
|  Macatawa Bank Corp.  | 19659  | 216839  |
|  Mercantile Bank Corp.  | 11621  | 389071  |
|  Metrocity Bankshares, Inc.  | 10634  | 230013  |
|  Metropolitan Bank Holding Corp. (a)  | 7179  | 421192  |
|  Mid Penn Bancorp, Inc.  | 10812  | 324036  |
|  Midland States Bancorp, Inc.  | 15925  | 423924  |
|  MidWestOne Financial Group, Inc.  | 10563  | 335375  |
|  MVB Financial Corp.  | 7633  | 168079  |
|  National Bank Holdings Corp.  | 20337  | 855578  |
|  NBT Bancorp, Inc.  | 31234  | 1356180  |
|  Nicolet Bankshares, Inc. (a)  | 8195  | 653879  |
|  Northeast Bank  | 4869  | 204985  |
|  Northwest Bancshares, Inc. (b)  | 90723  | 1268308  |
|  OceanFirst Financial Corp.  | 43296  | 920040  |
|  OFG Bancorp  | 34793  | 958895  |
|  Old National Bancorp, Indiana  | 219247  | 3942061  |
|  Old Second Bancorp, Inc.  | 31861  | 511050  |
|  Origin Bancorp, Inc.  | 16850  | 618395  |
|  Orrstown Financial Services, Inc.  | 7625  | 176595  |
|  Pacific Premier Bancorp, Inc.  | 70017  | 2209737  |
|  Park National Corp. (b)  | 10719  | 1508699  |
|  Parke Bancorp, Inc.  | 7599  | 157603  |
|  Pathward Financial, Inc.  | 15594  | 671322  |
|  PCB Bancorp  | 8606  | 152240  |
|  PCSB Financial Corp.  | 9484  | 180575  |
|  Peapack-Gladstone Financial Corp.  | 12864  | 478798  |
|  Peoples Bancorp, Inc.  | 20857  | 589210  |
|  Peoples Financial Services Corp.  | 5297  | 274596  |
|  Preferred Bank, Los Angeles  | 9963  | 743439  |
|  Premier Financial Corp.  | 26616  | 717834  |
|  Primis Financial Corp.  | 16493  | 195442  |
|  Professional Holdings Corp. (A Shares) (a)  | 9044  | 250881  |
|  QCR Holdings, Inc.  | 11860  | 588730  |
|  RBB Bancorp  | 10943  | 228162  |
|  Red River Bancshares, Inc.  | 3310  | 169009  |
|  Renasant Corp.  | 40874  | 1536454  |
|  Republic Bancorp, Inc., Kentucky Class A  | 6562  | 268517  |
|  Republic First Bancorp, Inc. (a)(b)  | 41779  | 89825  |
|  S&T Bancorp, Inc.  | 29174  | 997167  |
|  Sandy Spring Bancorp, Inc.  | 32623  | 1149308  |
|  Seacoast Banking Corp., Florida  | 45196  | 1409663  |
|  Shore Bancshares, Inc.  | 13387  | 233335  |
|  Sierra Bancorp  | 10270  | 218135  |
|  Silvergate Capital Corp. (a)(b)  | 4912  | 85469  |
|  Simmons First National Corp. Class A  | 90836  | 1960241  |
|  SmartFinancial, Inc.  | 11728  | 322520  |
|  South Plains Financial, Inc.  | 7284  | 200529  |
|  Southern First Bancshares, Inc. (a)  | 5731  | 262193  |
|  Southside Bancshares, Inc.  | 22916  | 824747  |
|  Southstate Corp.  | 56056  | 4280436  |
|  Stellar Bancorp, Inc.  | 33583  | 989355  |
|  Stock Yards Bancorp, Inc.  | 3389  | 220217  |
|  Summit Financial Group, Inc.  | 8435  | 209947  |
|  Texas Capital Bancshares, Inc. (a)  | 37374  | 2254026  |
|  The Bank of NT Butterfield & Son Ltd.  | 34923  | 1041055  |
|  The First Bancorp, Inc.  | 7287  | 218173  |
|  Third Coast Bancshares, Inc. (a)  | 8908  | 164174  |
|  Tompkins Financial Corp.  | 10352  | 803108  |
|  TowneBank  | 50298  | 1551190  |
|  Trico Bancshares  | 23300  | 1188067  |
|  Triumph Bancorp, Inc. (a)  | 11052  | 540111  |
|  Trustmark Corp.  | 45749  | 1597098  |
|  UMB Financial Corp.  | 32908  | 2748476  |
|  United Bankshares, Inc., West Virginia  | 97593  | 3951541  |
|  United Community Bank, Inc.  | 79451  | 2685444  |
|  Unity Bancorp, Inc.  | 5296  | 144740  |
|  Univest Corp. of Pennsylvania  | 21643  | 565532  |
|  USCB Financial Holdings, Inc. (a)  | 8140  | 99308  |
|  Valley National Bancorp  | 321930  | 3641028  |
|  Veritex Holdings, Inc.  | 33747  | 947616  |
|  Washington Federal, Inc.  | 48406  | 1624021  |
|  Washington Trust Bancorp, Inc.  | 12825  | 605084  |
|  WesBanco, Inc.  | 42792  | 1582448  |
|  West Bancorp., Inc.  | 9865  | 252051  |
|  Westamerica Bancorp.  | 14601  | 861605  |
|  |  | 155819109  |
| Capital Markets - 1.0%  |  |  |
|  Artisan Partners Asset Management, Inc.  | 15555  | 461984  |
|  Assetmark Financial Holdings, Inc. (a)  | 16192  | 372416  |
|  Associated Capital Group, Inc.  | 1134  | 47617  |
|  Bakkt Holdings, Inc. Class A (a)(b)  | 43266  | 51487  |
|  BGC Partners, Inc. Class A  | 236047  | 889897  |
|  BrightSphere Investment Group, Inc.  | 1797  | 36982  |
|  Cowen Group, Inc. Class A  | 20053  | 774447  |
|  Donnelley Financial Solutions, Inc. (a)  | 17705  | 684298  |
|  GCM Grosvenor, Inc. Class A  | 4177  | 31787  |
|  MarketWise, Inc. Class A (a)  | 9899  | 16630  |
|  Moelis & Co. Class A  | 23815  | 913782  |
|  Oppenheimer Holdings, Inc. Class A (non-vtg.)  | 5942  | 251525  |
|  Perella Weinberg Partners Class A  | 2156  | 21129  |
|  Piper Jaffray Companies  | 12994  | 1691689  |
|  Sculptor Capital Management, Inc. Class A  | 9768  | 84591  |
|  Silvercrest Asset Management Group Class A  | 488  | 9160  |
|  StoneX Group, Inc. (a)  | 11667  | 1111865  |
|  Value Line, Inc.  | 64  | 3256  |
|  Victory Capital Holdings, Inc.  | 8655  | 232214  |
|  Virtus Investment Partners, Inc.  | 4635  | 887324  |
|  |  | 8574080  |
| Consumer Finance - 1.2%  |  |  |
|  Atlanticus Holdings Corp. (a)(b)  | 1142  | 29920  |
|  Bread Financial Holdings, Inc.  | 37401  | 1408522  |
|  Consumer Portfolio Services, Inc. (a)(b)  | 7038  | 62286  |
|  CURO Group Holdings Corp.  | 3483  | 12365  |
|  Encore Capital Group, Inc. (a)(b)  | 17315  | 830081  |
|  Enova International, Inc. (a)  | 23039  | 884006  |
|  EZCORP, Inc. (non-vtg.) Class A (a)(b)  | 37270  | 303751  |
|  FirstCash Holdings, Inc.  | 14105  | 1225866  |
|  Green Dot Corp. Class A (a)  | 31502  | 498362  |
|  LendingClub Corp. (a)  | 74025  | 651420  |
|  MoneyLion, Inc. (a)  | 100684  | 62424  |
|  Navient Corp.  | 79544  | 1308499  |
|  Nelnet, Inc. Class A  | 10908  | 989901  |
|  Oportun Financial Corp. (a)  | 20698  | 114046  |
|  OppFi, Inc. Class A (a)(b)  | 10337  | 21191  |
|  PRA Group, Inc. (a)  | 28798  | 972796  |
|  PROG Holdings, Inc. (a)  | 31553  | 532930  |
|  Regional Management Corp.  | 5716  | 160505  |
|  Sunlight Financial Holdings, Inc. Class A (a)(b)  | 17998  | 23217  |
|  World Acceptance Corp. (a)(b)  | 907  | 59808  |
|  |  | 10151896  |
| Diversified Financial Services - 0.6%  |  |  |
|  A-Mark Precious Metals, Inc.  | 13770  | 478232  |
|  Alerus Financial Corp.  | 11524  | 269085  |
|  Banco Latinoamericano de Comercio Exterior SA Series E  | 20584  | 333461  |
|  Cannae Holdings, Inc. (a)  | 52057  | 1074977  |
|  Compass Diversified Holdings  | 46458  | 846929  |
|  Jackson Financial, Inc.  | 55933  | 1945909  |
|  SWK Holdings Corp. (a)(b)  | 2735  | 48245  |
|  |  | 4996838  |
| Insurance - 2.8%  |  |  |
|  AMBAC Financial Group, Inc. (a)  | 33088  | 577055  |
|  American Equity Investment Life Holding Co.  | 52948  | 2415488  |
|  Amerisafe, Inc.  | 14335  | 744990  |
|  Argo Group International Holdings, Ltd.  | 23817  | 615669  |
|  Bright Health Group, Inc. (a)(b)  | 145769  | 94735  |
|  CNO Financial Group, Inc.  | 84812  | 1937954  |
|  Crawford & Co. Class A  | 11439  | 63601  |
|  Donegal Group, Inc. Class A  | 11655  | 165501  |
|  eHealth, Inc. (a)  | 13017  | 63002  |
|  Employers Holdings, Inc.  | 20366  | 878386  |
|  Enstar Group Ltd. (a)  | 8399  | 1940505  |
|  Genworth Financial, Inc. Class A (a)  | 369823  | 1956364  |
|  Goosehead Insurance (a)  | 1724  | 59202  |
|  Greenlight Capital Re, Ltd. (a)  | 19463  | 158623  |
|  Hippo Holdings, Inc. (a)(b)  | 12745  | 173332  |
|  Horace Mann Educators Corp.  | 30726  | 1148231  |
|  Investors Title Co.  | 836  | 123352  |
|  James River Group Holdings Ltd.  | 27580  | 576698  |
|  Lemonade, Inc. (a)(b)  | 35250  | 482220  |
|  MBIA, Inc. (a)  | 36044  | 463165  |
|  Mercury General Corp.  | 20072  | 686462  |
|  National Western Life Group, Inc.  | 1693  | 475733  |
|  NI Holdings, Inc. (a)  | 6311  | 83747  |
|  Oscar Health, Inc. (a)  | 89449  | 220045  |
|  ProAssurance Corp.  | 40382  | 705474  |
|  Root, Inc. (a)(b)  | 5494  | 24668  |
|  Safety Insurance Group, Inc.  | 10632  | 895852  |
|  Selective Insurance Group, Inc.  | 44635  | 3955107  |
|  Selectquote, Inc. (a)  | 100038  | 67216  |
|  Siriuspoint Ltd. (a)  | 63572  | 375075  |
|  Stewart Information Services Corp.  | 20048  | 856651  |
|  Tiptree, Inc.  | 18702  | 258836  |
|  Trean Insurance Group, Inc. (a)  | 17008  | 102048  |
|  United Fire Group, Inc.  | 15935  | 435982  |
|  Universal Insurance Holdings, Inc.  | 15860  | 167957  |
|  |  | 23948926  |
| Mortgage Real Estate Investment Trusts - 2.4%  |  |  |
|  Angel Oak Mortgage, Inc. (b)  | 9065  | 42877  |
|  Apollo Commercial Real Estate Finance, Inc.  | 106140  | 1142066  |
|  Arbor Realty Trust, Inc.  | 124329  | 1639900  |
|  Ares Commercial Real Estate Corp.  | 39566  | 407134  |
|  Armour Residential REIT, Inc.  | 100357  | 565010  |
|  Blackstone Mortgage Trust, Inc.  | 128208  | 2714163  |
|  BrightSpire Capital, Inc.  | 71925  | 448093  |
|  Broadmark Realty Capital, Inc.  | 99150  | 352974  |
|  Chimera Investment Corp.  | 175663  | 966147  |
|  Claros Mortgage Trust, Inc.  | 69031  | 1015446  |
|  Dynex Capital, Inc.  | 34801  | 442669  |
|  Ellington Financial LLC  | 44254  | 547422  |
|  Franklin BSP Realty Trust, Inc.  | 62636  | 808004  |
|  Granite Point Mortgage Trust, Inc.  | 40082  | 214840  |
|  Hannon Armstrong Sustainable Infrastructure Capital, Inc.  | 60987  | 1767403  |
|  Invesco Mortgage Capital, Inc.  | 26773  | 340820  |
|  KKR Real Estate Finance Trust, Inc.  | 43585  | 608447  |
|  Ladder Capital Corp. Class A  | 86699  | 870458  |
|  MFA Financial, Inc.  | 77626  | 764616  |
|  New York Mortgage Trust, Inc.  | 280934  | 719191  |
|  Nexpoint Real Estate Finance, Inc.  | 6227  | 98947  |
|  Orchid Island Capital, Inc.  | 25381  | 266501  |
|  PennyMac Mortgage Investment Trust  | 54431  | 674400  |
|  Ready Capital Corp.  | 54452  | 606595  |
|  Redwood Trust, Inc.  | 86041  | 581637  |
|  TPG RE Finance Trust, Inc.  | 52492  | 356421  |
|  Two Harbors Investment Corp.  | 65193  | 1028094  |
|  |  | 19990275  |
| Thrifts & Mortgage Finance - 2.5%  |  |  |
|  Axos Financial, Inc. (a)  | 38638  | 1476744  |
|  Blue Foundry Bancorp (a)  | 19418  | 249521  |
|  Bridgewater Bancshares, Inc. (a)  | 12028  | 213377  |
|  Capitol Federal Financial, Inc.  | 97458  | 843012  |
|  Columbia Financial, Inc. (a)  | 16964  | 366762  |
|  Enact Holdings, Inc.  | 22519  | 543158  |
|  Essent Group Ltd.  | 78791  | 3063394  |
|  Federal Agricultural Mortgage Corp. Class C (non-vtg.)  | 6791  | 765414  |
|  Finance of America Companies, Inc. (a)(b)  | 27894  | 35425  |
|  Hingham Institution for Savings  | 1021  | 281755  |
|  Home Bancorp, Inc.  | 5590  | 223768  |
|  Home Point Capital, Inc.  | 5956  | 8160  |
|  Kearny Financial Corp.  | 44695  | 453654  |
|  Luther Burbank Corp.  | 11155  | 123932  |
|  Merchants Bancorp  | 11969  | 291086  |
|  Mr. Cooper Group, Inc. (a)  | 51809  | 2079095  |
|  NMI Holdings, Inc. (a)  | 57122  | 1193850  |
|  Northfield Bancorp, Inc.  | 32201  | 506522  |
|  PennyMac Financial Services, Inc.  | 19974  | 1131727  |
|  Pioneer Bancorp, Inc. (a)  | 8719  | 99397  |
|  Provident Bancorp, Inc.  | 10713  | 77991  |
|  Provident Financial Services, Inc.  | 54584  | 1165914  |
|  Radian Group, Inc.  | 117704  | 2244615  |
|  Southern Missouri Bancorp, Inc.  | 5974  | 273788  |
|  Sterling Bancorp, Inc. (a)(b)  | 12813  | 78031  |
|  Trustco Bank Corp., New York  | 14138  | 531447  |
|  Velocity Financial, Inc. (a)(b)  | 5982  | 57726  |
|  Walker & Dunlop, Inc.  | 7033  | 551950  |
|  Waterstone Financial, Inc.  | 14127  | 243549  |
|  WSFS Financial Corp.  | 45797  | 2076436  |
|  |  | 21251200  |
|  TOTAL FINANCIALS  |  | 244732324  |
| HEALTH CARE - 10.4%  |  |  |
| Biotechnology - 5.6%  |  |  |
|  2seventy bio, Inc. (a)  | 28213  | 264356  |
|  4D Molecular Therapeutics, Inc. (a)  | 22486  | 499414  |
|  Absci Corp. (a)(b)  | 38703  | 81276  |
|  Adicet Bio, Inc. (a)  | 22544  | 201543  |
|  ADMA Biologics, Inc. (a)  | 77842  | 302027  |
|  Aerovate Therapeutics, Inc. (a)(b)  | 6933  | 203137  |
|  Affimed NV (a)  | 5553  | 6886  |
|  Agios Pharmaceuticals, Inc. (a)(b)  | 40910  | 1148753  |
|  Akero Therapeutics, Inc. (a)  | 24256  | 1329229  |
|  Allogene Therapeutics, Inc. (a)(b)  | 59929  | 376953  |
|  Allovir, Inc. (a)(b)  | 22993  | 117954  |
|  Alpine Immune Sciences, Inc. (a)(b)  | 9332  | 68590  |
|  ALX Oncology Holdings, Inc. (a)  | 15939  | 179633  |
|  AnaptysBio, Inc. (a)(b)  | 15077  | 467236  |
|  Anika Therapeutics, Inc. (a)  | 10837  | 320775  |
|  Arbutus Biopharma Corp. (a)(b)  | 39741  | 92597  |
|  Arcellx, Inc.  | 22144  | 686021  |
|  Arcturus Therapeutics Holdings, Inc. (a)  | 1425  | 24168  |
|  Arcus Biosciences, Inc. (a)(b)  | 38474  | 795642  |
|  Atara Biotherapeutics, Inc. (a)  | 62709  | 205686  |
|  Avidity Biosciences, Inc. (a)  | 40111  | 890063  |
|  BioCryst Pharmaceuticals, Inc. (a)(b)  | 42840  | 491803  |
|  Biohaven Ltd. (a)  | 18043  | 250437  |
|  BioXcel Therapeutics, Inc. (a)(b)  | 14399  | 309291  |
|  bluebird bio, Inc. (a)(b)  | 62300  | 431116  |
|  BridgeBio Pharma, Inc. (a)(b)  | 29791  | 227007  |
|  C4 Therapeutics, Inc. (a)(b)  | 31258  | 184422  |
|  Caribou Biosciences, Inc. (a)  | 42218  | 265129  |
|  Celldex Therapeutics, Inc. (a)  | 27064  | 1206242  |
|  Century Therapeutics, Inc. (a)(b)  | 14894  | 76406  |
|  Chimerix, Inc. (a)  | 21119  | 39281  |
|  Chinook Therapeutics, Inc. (a)  | 38018  | 996072  |
|  Chinook Therapeutics, Inc. rights (a)(c)  | 488  | 0  |
|  Cogent Biosciences, Inc. (a)  | 47789  | 552441  |
|  Crinetics Pharmaceuticals, Inc. (a)  | 33761  | 617826  |
|  CTI BioPharma Corp. (a)(b)  | 60713  | 364885  |
|  Cullinan Oncology, Inc. (a)(b)  | 22593  | 238356  |
|  Cytokinetics, Inc. (a)  | 5845  | 267818  |
|  Day One Biopharmaceuticals, Inc. (a)  | 20645  | 444280  |
|  Deciphera Pharmaceuticals, Inc. (a)  | 24408  | 400047  |
|  Design Therapeutics, Inc. (a)(b)  | 25606  | 262718  |
|  Dyne Therapeutics, Inc. (a)  | 23582  | 273315  |
|  Editas Medicine, Inc. (a)(b)  | 52072  | 461879  |
|  Eiger Biopharmaceuticals, Inc. (a)  | 3042  | 3590  |
|  Emergent BioSolutions, Inc. (a)  | 37538  | 443324  |
|  Enanta Pharmaceuticals, Inc. (a)  | 13137  | 611133  |
|  Enochian Biosciences, Inc. (a)(b)  | 14285  | 14714  |
|  EQRx, Inc. (a)(b)  | 151417  | 372486  |
|  Erasca, Inc. (a)(b)  | 48243  | 207927  |
|  FibroGen, Inc. (a)  | 7270  | 116465  |
|  Gelesis Holdings, Inc. Class A (a)(b)  | 9196  | 2671  |
|  Generation Bio Co. (a)  | 35688  | 140254  |
|  Geron Corp. (a)(b)  | 83438  | 201920  |
|  HilleVax, Inc.  | 10446  | 174762  |
|  Icosavax, Inc. (a)  | 16678  | 132423  |
|  Ideaya Biosciences, Inc. (a)(b)  | 33244  | 604043  |
|  IGM Biosciences, Inc. (a)  | 1858  | 31605  |
|  Imago BioSciences, Inc. (a)  | 8074  | 290260  |
|  ImmunityBio, Inc. (a)(b)  | 13727  | 69596  |
|  ImmunoGen, Inc. (a)  | 81799  | 405723  |
|  Immunovant, Inc. (a)  | 33310  | 591253  |
|  Inovio Pharmaceuticals, Inc. (a)(b)  | 184324  | 287545  |
|  Instil Bio, Inc. (a)  | 52024  | 32775  |
|  Intellia Therapeutics, Inc. (a)  | 22003  | 767685  |
|  Invivyd, Inc. (a)  | 38752  | 58128  |
|  Iovance Biotherapeutics, Inc. (a)  | 113097  | 722690  |
|  iTeos Therapeutics, Inc. (a)  | 17546  | 342673  |
|  Janux Therapeutics, Inc. (a)  | 12728  | 167628  |
|  Jounce Therapeutics, Inc. (a)  | 30334  | 33671  |
|  Kalvista Pharmaceuticals, Inc. (a)  | 18266  | 123478  |
|  Keros Therapeutics, Inc. (a)  | 706  | 33902  |
|  Kezar Life Sciences, Inc. (a)(b)  | 39162  | 275700  |
|  Kiniksa Pharmaceuticals Ltd. (a)  | 1160  | 17377  |
|  Kinnate Biopharma, Inc. (a)  | 21557  | 131498  |
|  Kodiak Sciences, Inc. (a)  | 24747  | 177189  |
|  Kronos Bio, Inc. (a)(b)  | 29788  | 48257  |
|  Krystal Biotech, Inc. (a)(b)  | 10658  | 844327  |
|  Kura Oncology, Inc. (a)  | 48764  | 605161  |
|  Kymera Therapeutics, Inc. (a)(b)  | 28356  | 707766  |
|  Lexicon Pharmaceuticals, Inc. (a)  | 38518  | 73569  |
|  Lyell Immunopharma, Inc. (a)(b)  | 130046  | 451260  |
|  Macrogenics, Inc. (a)  | 44935  | 301514  |
|  MannKind Corp. (a)(b)  | 170293  | 897444  |
|  MeiraGTx Holdings PLC (a)  | 20753  | 135310  |
|  Mersana Therapeutics, Inc. (a)  | 69510  | 407329  |
|  MiMedx Group, Inc. (a)  | 83969  | 233434  |
|  Monte Rosa Therapeutics, Inc. (a)(b)  | 22101  | 168189  |
|  Morphic Holding, Inc. (a)  | 2819  | 75408  |
|  Myriad Genetics, Inc. (a)  | 59578  | 864477  |
|  Nkarta, Inc. (a)(b)  | 24484  | 146659  |
|  Nurix Therapeutics, Inc. (a)(b)  | 34913  | 383345  |
|  Nuvalent, Inc. Class A (a)  | 15081  | 449112  |
|  Omniab, Inc. (c)  | 3625  | 11310  |
|  Omniab, Inc. (c)  | 3625  | 10694  |
|  Pardes Biosciences, Inc. (a)  | 24480  | 41371  |
|  PepGen, Inc.  | 8994  | 120250  |
|  PMV Pharmaceuticals, Inc. (a)(b)  | 27393  | 238319  |
|  Point Biopharma Global, Inc. (a)(b)  | 3892  | 28373  |
|  Praxis Precision Medicines, Inc. (a)(b)  | 27123  | 64553  |
|  Precigen, Inc. (a)(b)  | 11638  | 17690  |
|  Prime Medicine, Inc. (b)  | 4428  | 82272  |
|  Protagonist Therapeutics, Inc. (a)  | 34652  | 378053  |
|  PTC Therapeutics, Inc. (a)  | 12858  | 490790  |
|  Rallybio Corp. (a)(b)  | 2979  | 19572  |
|  RAPT Therapeutics, Inc. (a)  | 6076  | 120305  |
|  Recursion Pharmaceuticals, Inc. (a)(b)  | 93044  | 717369  |
|  REGENXBIO, Inc. (a)  | 30117  | 683054  |
|  Relay Therapeutics, Inc. (a)(b)  | 58622  | 875813  |
|  Replimune Group, Inc. (a)  | 30463  | 828594  |
|  Revolution Medicines, Inc. (a)(b)  | 48439  | 1153817  |
|  Rocket Pharmaceuticals, Inc. (a)  | 40285  | 788377  |
|  Sage Therapeutics, Inc. (a)  | 38891  | 1483303  |
|  Sana Biotechnology, Inc. (a)(b)  | 66136  | 261237  |
|  Sangamo Therapeutics, Inc. (a)  | 93567  | 293800  |
|  Sorrento Therapeutics, Inc. (a)(b)  | 291325  | 258114  |
|  SpringWorks Therapeutics, Inc. (a)(b)  | 21763  | 566056  |
|  Stoke Therapeutics, Inc. (a)  | 16623  | 153430  |
|  Sutro Biopharma, Inc. (a)  | 40143  | 324355  |
|  Syndax Pharmaceuticals, Inc. (a)  | 30518  | 776683  |
|  Talaris Therapeutics, Inc. (a)(b)  | 16433  | 16762  |
|  Tango Therapeutics, Inc. (a)  | 35268  | 255693  |
|  Tenaya Therapeutics, Inc. (a)  | 21297  | 42807  |
|  Travere Therapeutics, Inc. (a)  | 4211  | 88557  |
|  Twist Bioscience Corp. (a)  | 12878  | 306625  |
|  Tyra Biosciences, Inc. (a)(b)  | 9951  | 75628  |
|  Vanda Pharmaceuticals, Inc. (a)  | 41243  | 304786  |
|  Vaxart, Inc. (a)(b)  | 75489  | 72537  |
|  VBI Vaccines, Inc. (a)  | 143800  | 56240  |
|  Vera Therapeutics, Inc. (a)  | 931  | 18015  |
|  Veracyte, Inc. (a)  | 53533  | 1270338  |
|  Verve Therapeutics, Inc. (a)(b)  | 29717  | 575024  |
|  Vir Biotechnology, Inc. (a)  | 54202  | 1371853  |
|  Viridian Therapeutics, Inc. (a)(b)  | 7591  | 221733  |
|  VistaGen Therapeutics, Inc. (a)(b)  | 37412  | 3853  |
|  Xencor, Inc. (a)  | 43049  | 1120996  |
|  Zentalis Pharmaceuticals, Inc. (a)  | 1827  | 36796  |
|  |  | 47627156  |
| Health Care Equipment & Supplies - 1.0%  |  |  |
|  Alphatec Holdings, Inc. (a)(b)  | 5522  | 68197  |
|  Angiodynamics, Inc. (a)  | 27772  | 382420  |
|  Artivion, Inc. (a)  | 4321  | 52371  |
|  Atricure, Inc. (a)  | 11914  | 528743  |
|  Avanos Medical, Inc. (a)  | 34717  | 939442  |
|  Bioventus, Inc. (a)(b)  | 23867  | 62293  |
|  Butterfly Network, Inc. Class A (a)(b)  | 98752  | 242930  |
|  Cardiovascular Systems, Inc. (a)  | 13910  | 189454  |
|  Cue Health, Inc. (a)  | 80883  | 167428  |
|  Embecta Corp.  | 5854  | 148048  |
|  Figs, Inc. Class A (a)(b)  | 14184  | 95458  |
|  Inari Medical, Inc. (a)  | 3192  | 202884  |
|  Inogen, Inc. (a)  | 16199  | 319282  |
|  Integer Holdings Corp. (a)  | 24619  | 1685417  |
|  LivaNova PLC (a)  | 9551  | 530463  |
|  Merit Medical Systems, Inc. (a)  | 5875  | 414893  |
|  Nano-X Imaging Ltd. (a)(b)  | 31531  | 232699  |
|  Neogen Corp. (a)  | 13064  | 198965  |
|  OraSure Technologies, Inc. (a)  | 54287  | 261663  |
|  Orthofix International NV (a)  | 14583  | 299389  |
|  RxSight, Inc. (a)  | 944  | 11960  |
|  Seaspine Holdings Corp. (a)  | 26598  | 222093  |
|  Sight Sciences, Inc. (a)(b)  | 14746  | 180049  |
|  Tactile Systems Technology, Inc. (a)  | 9585  | 110036  |
|  Tenon Medical, Inc. (b)  | 354  | 559  |
|  Utah Medical Products, Inc.  | 217  | 21815  |
|  Varex Imaging Corp. (a)(b)  | 29003  | 588761  |
|  ViewRay, Inc. (a)  | 12384  | 55480  |
|  Zimvie, Inc. (a)(b)  | 15388  | 143724  |
|  |  | 8356916  |
| Health Care Providers & Services - 1.4%  |  |  |
|  1Life Healthcare, Inc. (a)  | 134865  | 2253594  |
|  23andMe Holding Co. Class A (a)(b)  | 111669  | 241205  |
|  Accolade, Inc. (a)  | 49388  | 384733  |
|  AdaptHealth Corp. (a)  | 54114  | 1040071  |
|  Addus HomeCare Corp. (a)  | 7041  | 700509  |
|  ATI Physical Therapy, Inc. (a)(b)  | 53620  | 16354  |
|  Aveanna Healthcare Holdings, Inc. (a)  | 31335  | 24441  |
|  Brookdale Senior Living, Inc. (a)  | 138594  | 378362  |
|  CareMax, Inc. Class A (a)  | 43415  | 158465  |
|  Castle Biosciences, Inc. (a)  | 18423  | 433677  |
|  Community Health Systems, Inc. (a)  | 93400  | 403488  |
|  Cross Country Healthcare, Inc. (a)  | 23240  | 617487  |
|  Fulgent Genetics, Inc. (a)  | 15707  | 467754  |
|  GeneDx Holdings Corp. Class A (a)  | 116268  | 30672  |
|  Hims & Hers Health, Inc. (a)(b)  | 13913  | 89182  |
|  Innovage Holding Corp. (a)(b)  | 12767  | 91667  |
|  Invitae Corp. (a)(b)  | 181873  | 338284  |
|  LifeStance Health Group, Inc. (a)  | 51031  | 252093  |
|  Modivcare, Inc. (a)  | 6537  | 586565  |
|  National Healthcare Corp.  | 9388  | 558586  |
|  Opko Health, Inc. (a)(b)  | 301268  | 376585  |
|  Owens & Minor, Inc.  | 48863  | 954294  |
|  P3 Health Partners, Inc. Class A (a)(b)  | 6737  | 12396  |
|  Patterson Companies, Inc.  | 13821  | 387403  |
|  Pediatrix Medical Group, Inc. (a)  | 61294  | 910829  |
|  PetIQ, Inc. Class A (a)  | 4192  | 38650  |
|  Select Medical Holdings Corp.  | 11752  | 291802  |
|  Surgery Partners, Inc. (a)  | 4360  | 121470  |
|  |  | 12160618  |
| Health Care Technology - 0.6%  |  |  |
|  Allscripts Healthcare Solutions, Inc. (a)  | 80492  | 1419879  |
|  American Well Corp. (a)  | 172374  | 487818  |
|  Computer Programs & Systems, Inc. (a)  | 10434  | 284013  |
|  Health Catalyst, Inc. (a)  | 41212  | 438084  |
|  HealthStream, Inc. (a)  | 16956  | 421187  |
|  MultiPlan Corp. Class A (a)(b)  | 284281  | 326923  |
|  Nextgen Healthcare, Inc. (a)  | 21854  | 410418  |
|  Pear Therapeutics, Inc. Class A (a)(b)  | 29632  | 34966  |
|  Phreesia, Inc. (a)  | 19532  | 632056  |
|  Sharecare, Inc. Class A (a)  | 223549  | 357678  |
|  |  | 4813022  |
| Life Sciences Tools & Services - 0.7%  |  |  |
|  AbCellera Biologics, Inc. (a)(b)  | 88871  | 900263  |
|  Adaptive Biotechnologies Corp. (a)  | 79445  | 606960  |
|  Alpha Teknova, Inc. (a)  | 4723  | 26638  |
|  Berkeley Lights, Inc. (a)  | 42019  | 112611  |
|  BioLife Solutions, Inc. (a)  | 23382  | 425552  |
|  BioNano Genomics, Inc. (a)(b)  | 223171  | 325830  |
|  CryoPort, Inc. (a)  | 6052  | 105002  |
|  Inotiv, Inc. (a)(b)  | 13090  | 64665  |
|  MaxCyte, Inc. (a)  | 65396  | 357062  |
|  Nanostring Technologies, Inc. (a)  | 3668  | 29234  |
|  Nautilus Biotechnology, Inc. (a)  | 36143  | 65057  |
|  NeoGenomics, Inc. (a)  | 94243  | 870805  |
|  OmniAb, Inc. (a)  | 50262  | 180943  |
|  Pacific Biosciences of California, Inc. (a)(b)  | 168820  | 1380948  |
|  Quanterix Corp. (a)  | 21958  | 304118  |
|  Quantum-Si, Inc. (a)(b)  | 67505  | 123534  |
|  Science 37 Holdings, Inc. (a)(b)  | 5235  | 2174  |
|  Seer, Inc. (a)  | 38354  | 222453  |
|  Singular Genomics Systems, Inc. (a)  | 41926  | 84271  |
|  SomaLogic, Inc. Class A (a)  | 97123  | 243779  |
|  |  | 6431899  |
| Pharmaceuticals - 1.1%  |  |  |
|  Amylyx Pharmaceuticals, Inc.  | 30350  | 1121433  |
|  AN2 Therapeutics, Inc. (b)  | 6649  | 63365  |
|  ANI Pharmaceuticals, Inc. (a)  | 9502  | 382265  |
|  Atea Pharmaceuticals, Inc. (a)  | 56852  | 273458  |
|  Athira Pharma, Inc. (a)  | 25139  | 79691  |
|  Cara Therapeutics, Inc. (a)  | 33721  | 362164  |
|  CinCor Pharma, Inc.  | 18458  | 226849  |
|  DICE Therapeutics, Inc. (a)  | 26501  | 826831  |
|  Edgewise Therapeutics, Inc. (a)  | 28250  | 252555  |
|  Eyepoint Pharmaceuticals, Inc. (a)(b)  | 10256  | 35896  |
|  Fulcrum Therapeutics, Inc. (a)(b)  | 32358  | 235566  |
|  Ligand Pharmaceuticals, Inc. Class B (a)  | 9949  | 664593  |
|  Liquidia Technologies, Inc. (a)  | 13257  | 84447  |
|  Nektar Therapeutics (a)  | 136454  | 308386  |
|  NGM Biopharmaceuticals, Inc. (a)  | 12211  | 61299  |
|  Nuvation Bio, Inc. (a)  | 86253  | 165606  |
|  Phibro Animal Health Corp. Class A  | 947  | 12699  |
|  Prestige Brands Holdings, Inc. (a)  | 37225  | 2330285  |
|  Provention Bio, Inc. (a)(b)  | 6802  | 71897  |
|  Reata Pharmaceuticals, Inc. (a)(b)  | 3475  | 132015  |
|  Relmada Therapeutics, Inc. (a)  | 5397  | 18836  |
|  Supernus Pharmaceuticals, Inc. (a)  | 37058  | 1321859  |
|  Tarsus Pharmaceuticals, Inc. (a)  | 13658  | 200226  |
|  Theravance Biopharma, Inc. (a)  | 5360  | 60139  |
|  Theseus Pharmaceuticals, Inc. (a)(b)  | 12856  | 64023  |
|  Third Harmonics Bio, Inc. (b)  | 5396  | 23203  |
|  Tricida, Inc. (a)(b)  | 19187  | 2934  |
|  Zogenix, Inc. rights (a)(c)  | 35444  | 63799  |
|  |  | 9446319  |
|  TOTAL HEALTH CARE  |  | 88835930  |
| INDUSTRIALS - 13.2%  |  |  |
| Aerospace & Defense - 1.4%  |  |  |
|  AAR Corp. (a)  | 25354  | 1138395  |
|  Aerojet Rocketdyne Holdings, Inc. (a)  | 14744  | 824632  |
|  AerSale Corp. (a)  | 15516  | 251670  |
|  Archer Aviation, Inc. Class A (a)(b)  | 108004  | 201967  |
|  Astra Space, Inc. Class A (a)(b)  | 115608  | 50151  |
|  Astronics Corp. (a)  | 18792  | 193558  |
|  Ducommun, Inc. (a)  | 8244  | 411870  |
|  Kaman Corp.  | 21076  | 469995  |
|  Kratos Defense & Security Solutions, Inc. (a)  | 92761  | 957294  |
|  Maxar Technologies, Inc.  | 54996  | 2845493  |
|  Momentus, Inc. Class A (a)(b)  | 26821  | 20918  |
|  Moog, Inc. Class A  | 17817  | 1563620  |
|  National Presto Industries, Inc.  | 3836  | 262613  |
|  Park Aerospace Corp.  | 14678  | 196832  |
|  Parsons Corp. (a)  | 25133  | 1162401  |
|  Redwire Corp. (a)(b)  | 11907  | 23576  |
|  Terran Orbital Corp. Class A (a)(b)  | 30495  | 48182  |
|  Triumph Group, Inc. (a)  | 48036  | 505339  |
|  V2X, Inc. (a)  | 9045  | 373468  |
|  Virgin Galactic Holdings, Inc. (a)(b)  | 94503  | 328870  |
|  |  | 11830844  |
| Air Freight & Logistics - 0.6%  |  |  |
|  Air Transport Services Group, Inc. (a)  | 26924  | 699486  |
|  Atlas Air Worldwide Holdings, Inc. (a)  | 20953  | 2112062  |
|  Hub Group, Inc. Class A (a)  | 24130  | 1918094  |
|  Radiant Logistics, Inc. (a)  | 20799  | 105867  |
|  |  | 4835509  |
| Airlines - 0.4%  |  |  |
|  Allegiant Travel Co. (a)  | 6643  | 451658  |
|  Blade Air Mobility, Inc. (a)(b)  | 42216  | 151133  |
|  Hawaiian Holdings, Inc. (a)  | 38039  | 390280  |
|  Joby Aviation, Inc. (a)(b)  | 17268  | 57848  |
|  SkyWest, Inc. (a)  | 37264  | 615229  |
|  Spirit Airlines, Inc. (a)  | 81463  | 1586899  |
|  Wheels Up Experience, Inc. Class A (a)  | 120029  | 123630  |
|  |  | 3376677  |
| Building Products - 0.6%  |  |  |
|  American Woodmark Corp. (a)  | 11701  | 571711  |
|  Caesarstone Sdot-Yam Ltd.  | 16645  | 95043  |
|  Gibraltar Industries, Inc. (a)  | 23308  | 1069371  |
|  Griffon Corp.  | 16960  | 606998  |
|  Jeld-Wen Holding, Inc. (a)  | 39462  | 380808  |
|  Quanex Building Products Corp.  | 24903  | 589703  |
|  Resideo Technologies, Inc. (a)  | 108140  | 1778903  |
|  UFP Industries, Inc.  | 5548  | 439679  |
|  View, Inc. Class A (a)(b)  | 84229  | 81273  |
|  |  | 5613489  |
| Commercial Services & Supplies - 1.7%  |  |  |
|  ABM Industries, Inc.  | 49602  | 2203321  |
|  ACCO Brands Corp.  | 68623  | 383603  |
|  ACV Auctions, Inc. Class A (a)  | 45226  | 371305  |
|  Brady Corp. Class A  | 7702  | 362764  |
|  BrightView Holdings, Inc. (a)  | 32921  | 226826  |
|  CompX International, Inc. Class A  | 1299  | 24006  |
|  CoreCivic, Inc. (a)  | 85339  | 986519  |
|  Deluxe Corp.  | 32475  | 551426  |
|  Ennis, Inc.  | 19167  | 424741  |
|  Harsco Corp. (a)  | 58964  | 370884  |
|  Healthcare Services Group, Inc.  | 28805  | 345660  |
|  Heritage-Crystal Clean, Inc. (a)  | 11708  | 380276  |
|  Interface, Inc.  | 8040  | 79355  |
|  KAR Auction Services, Inc. (a)  | 80721  | 1053409  |
|  Kimball International, Inc. Class B  | 26968  | 175292  |
|  Li-Cycle Holdings Corp. (a)(b)  | 63438  | 301965  |
|  Matthews International Corp. Class A  | 22430  | 682769  |
|  Millerknoll, Inc.  | 56812  | 1193620  |
|  NL Industries, Inc.  | 6313  | 42992  |
|  Quad/Graphics, Inc. (a)  | 24051  | 98128  |
|  Steelcase, Inc. Class A  | 64963  | 459288  |
|  The GEO Group, Inc. (a)(b)  | 88486  | 968922  |
|  UniFirst Corp.  | 11198  | 2161102  |
|  Viad Corp. (a)  | 15273  | 372508  |
|  VSE Corp.  | 7919  | 371243  |
|  |  | 14591924  |
| Construction & Engineering - 1.0%  |  |  |
|  API Group Corp. (a)  | 154649  | 2908948  |
|  Arcosa, Inc.  | 36206  | 1967434  |
|  Argan, Inc.  | 9882  | 364448  |
|  Concrete Pumping Holdings, Inc. (a)  | 19804  | 115853  |
|  Fluor Corp. (a)  | 9319  | 322997  |
|  Granite Construction, Inc.  | 33056  | 1159274  |
|  Great Lakes Dredge & Dock Corp. (a)  | 36681  | 218252  |
|  IES Holdings, Inc. (a)  | 2107  | 74946  |
|  Northwest Pipe Co. (a)  | 5902  | 198897  |
|  Primoris Services Corp.  | 37536  | 823540  |
|  Sterling Construction Co., Inc. (a)  | 3515  | 115292  |
|  Tutor Perini Corp. (a)  | 31392  | 237010  |
|  |  | 8506891  |
| Electrical Equipment - 0.7%  |  |  |
|  Allied Motion Technologies, Inc.  | 861  | 29971  |
|  AZZ, Inc.  | 18422  | 740564  |
|  Encore Wire Corp.  | 13240  | 1821294  |
|  EnerSys  | 27015  | 1994788  |
|  ESS Tech, Inc. Class A (a)(b)  | 5662  | 13759  |
|  FuelCell Energy, Inc. (a)(b)  | 83507  | 232149  |
|  NuScale Power Corp. (a)(b)  | 23326  | 239325  |
|  Powell Industries, Inc.  | 6908  | 243023  |
|  Preformed Line Products Co.  | 1858  | 154753  |
|  Stem, Inc. (a)(b)  | 5665  | 50645  |
|  Thermon Group Holdings, Inc. (a)  | 24928  | 500554  |
|  |  | 6020825  |
| Industrial Conglomerates - 0.0%  |  |  |
|  Brookfield Business Corp. Class A  | 2277  | 42785  |
| Machinery - 3.6%  |  |  |
|  3D Systems Corp. (a)  | 95048  | 703355  |
|  Alamo Group, Inc.  | 1138  | 161141  |
|  Albany International Corp. Class A  | 18735  | 1847084  |
|  Altra Industrial Motion Corp.  | 48619  | 2904985  |
|  Astec Industries, Inc.  | 17158  | 697644  |
|  Barnes Group, Inc.  | 36578  | 1494211  |
|  CIRCOR International, Inc. (a)  | 9964  | 238737  |
|  Columbus McKinnon Corp. (NY Shares)  | 21027  | 682747  |
|  Desktop Metal, Inc. (a)(b)  | 199098  | 270773  |
|  EnPro Industries, Inc.  | 15554  | 1690564  |
|  ESCO Technologies, Inc.  | 17505  | 1532388  |
|  Fathom Digital Manufacturing Corp. (a)  | 7605  | 10039  |
|  Gorman-Rupp Co.  | 14054  | 360063  |
|  Hillenbrand, Inc.  | 25876  | 1104129  |
|  Hillman Solutions Corp. Class A (a)  | 100891  | 727424  |
|  Hydrofarm Holdings Group, Inc. (a)(b)  | 33165  | 51406  |
|  Hyliion Holdings Corp. Class A (a)(b)  | 101974  | 238619  |
|  Hyster-Yale Materials Handling, Inc. Class A  | 8094  | 204859  |
|  Kennametal, Inc.  | 60781  | 1462391  |
|  Luxfer Holdings PLC sponsored  | 12223  | 167700  |
|  Manitowoc Co., Inc. (a)  | 25840  | 236694  |
|  Markforged Holding Corp. (a)  | 74080  | 85933  |
|  Microvast Holdings, Inc. (a)(b)  | 51200  | 78336  |
|  Miller Industries, Inc.  | 7939  | 211654  |
|  Mueller Industries, Inc.  | 26782  | 1580138  |
|  Nikola Corp. (a)(b)  | 17011  | 36744  |
|  Proterra, Inc. Class A (a)(b)  | 91164  | 343688  |
|  Proto Labs, Inc. (a)  | 17089  | 436282  |
|  RBC Bearings, Inc. (a)  | 18257  | 3822103  |
|  REV Group, Inc.  | 24476  | 308887  |
|  SPX Technologies, Inc. (a)  | 32725  | 2148396  |
|  Standex International Corp.  | 8964  | 918003  |
|  Tennant Co.  | 7707  | 474520  |
|  Terex Corp.  | 25294  | 1080560  |
|  The Greenbrier Companies, Inc.  | 23856  | 799892  |
|  Trinity Industries, Inc.  | 52141  | 1541809  |
|  Wabash National Corp.  | 4631  | 104661  |
|  |  | 30758559  |
| Marine - 0.5%  |  |  |
|  Costamare, Inc.  | 39696  | 368379  |
|  Eagle Bulk Shipping, Inc. (b)  | 10065  | 502646  |
|  Eneti, Inc.  | 16436  | 165182  |
|  Genco Shipping & Trading Ltd.  | 27487  | 422200  |
|  Golden Ocean Group Ltd. (b)  | 91942  | 798976  |
|  Matson, Inc.  | 27935  | 1746217  |
|  Safe Bulkers, Inc. (b)  | 53520  | 155743  |
|  |  | 4159343  |
| Professional Services - 0.7%  |  |  |
|  Alight, Inc. Class A (a)  | 253823  | 2121960  |
|  Atlas Technical Consultants, Inc. (a)(b)  | 4043  | 20821  |
|  Barrett Business Services, Inc.  | 490  | 45707  |
|  First Advantage Corp. (a)  | 40661  | 528593  |
|  Heidrick & Struggles International, Inc.  | 14625  | 409061  |
|  Huron Consulting Group, Inc. (a)  | 5942  | 431389  |
|  ICF International, Inc.  | 4105  | 406600  |
|  Kelly Services, Inc. Class A (non-vtg.)  | 25193  | 425762  |
|  Planet Labs PBC Class A (a)(b)  | 14787  | 64323  |
|  Resources Connection, Inc.  | 24139  | 443675  |
|  Skillsoft Corp. (a)(b)  | 60972  | 79264  |
|  Spire Global, Inc. (a)  | 93979  | 90220  |
|  Sterling Check Corp. (a)(b)  | 1194  | 18471  |
|  TrueBlue, Inc. (a)  | 24154  | 472935  |
|  Willdan Group, Inc. (a)  | 7801  | 139248  |
|  |  | 5698029  |
| Road & Rail - 0.4%  |  |  |
|  ArcBest Corp.  | 12354  | 865274  |
|  Bird Global, Inc. Class A (a)(b)  | 123771  | 22304  |
|  Covenant Transport Group, Inc. Class A  | 7018  | 242612  |
|  Heartland Express, Inc.  | 35044  | 537575  |
|  Marten Transport Ltd.  | 11078  | 219123  |
|  TuSimple Holdings, Inc. (a)(b)  | 103777  | 170194  |
|  Universal Logistics Holdings, Inc.  | 1312  | 43873  |
|  Werner Enterprises, Inc.  | 41589  | 1674373  |
|  |  | 3775328  |
| Trading Companies & Distributors - 1.6%  |  |  |
|  Alta Equipment Group, Inc.  | 12591  | 166075  |
|  Beacon Roofing Supply, Inc. (a)  | 11519  | 608088  |
|  BlueLinx Corp. (a)  | 6567  | 466979  |
|  Boise Cascade Co.  | 23369  | 1604749  |
|  Custom Truck One Source, Inc. Class A (a)  | 31580  | 199586  |
|  Distribution Solutions Group I (a)  | 426  | 15702  |
|  DXP Enterprises, Inc. (a)  | 11468  | 315943  |
|  GATX Corp.  | 24793  | 2636488  |
|  Global Industrial Co.  | 2719  | 63978  |
|  NOW, Inc. (a)  | 82426  | 1046810  |
|  Rush Enterprises, Inc.:  |  |  |
|  Class A  | 32536  | 1700982  |
|  Class B  | 3503  | 197114  |
|  Textainer Group Holdings Ltd.  | 28004  | 868404  |
|  Titan Machinery, Inc. (a)  | 15178  | 603022  |
|  Triton International Ltd.  | 43576  | 2997157  |
|  |  | 13491077  |
|  TOTAL INDUSTRIALS  |  | 112701280  |
| INFORMATION TECHNOLOGY - 5.5%  |  |  |
| Communications Equipment - 0.5%  |  |  |
|  ADTRAN Holdings, Inc.  | 5367  | 100846  |
|  Aviat Networks, Inc. (a)  | 8329  | 259782  |
|  Calix, Inc. (a)  | 9184  | 628461  |
|  Comtech Telecommunications Corp.  | 19334  | 234715  |
|  Digi International, Inc. (a)  | 16932  | 618865  |
|  Inseego Corp. (a)(b)  | 49814  | 41968  |
|  NETGEAR, Inc. (a)  | 21331  | 386304  |
|  NetScout Systems, Inc. (a)  | 51605  | 1677679  |
|  Ribbon Communications, Inc. (a)  | 53655  | 149697  |
|  |  | 4098317  |
| Electronic Equipment & Components - 2.0%  |  |  |
|  908 Devices, Inc. (a)(b)  | 12688  | 96683  |
|  Aeva Technologies, Inc. (a)  | 67002  | 91123  |
|  Akoustis Technologies, Inc. (a)(b)  | 2041  | 5756  |
|  Belden, Inc.  | 14805  | 1064480  |
|  Benchmark Electronics, Inc.  | 26217  | 699732  |
|  Cepton, Inc. (a)  | 6309  | 8012  |
|  ePlus, Inc. (a)  | 4547  | 201341  |
|  Evolv Technologies Holdings, Inc. (a)  | 62291  | 161334  |
|  FARO Technologies, Inc. (a)  | 12963  | 381242  |
|  Insight Enterprises, Inc. (a)  | 3675  | 368492  |
|  Itron, Inc. (a)  | 30980  | 1569137  |
|  Kimball Electronics, Inc. (a)  | 18059  | 407953  |
|  Knowles Corp. (a)  | 67149  | 1102587  |
|  Methode Electronics, Inc. Class A  | 27089  | 1201939  |
|  Mirion Technologies, Inc. Class A (a)(b)  | 102700  | 678847  |
|  nLIGHT, Inc. (a)  | 33093  | 335563  |
|  OSI Systems, Inc. (a)  | 10707  | 851421  |
|  Ouster, Inc. (a)(b)  | 108195  | 93372  |
|  Par Technology Corp. (a)(b)  | 12349  | 321938  |
|  PC Connection, Inc.  | 8452  | 396399  |
|  Plexus Corp. (a)  | 3005  | 309305  |
|  Sanmina Corp. (a)  | 42634  | 2442502  |
|  ScanSource, Inc. (a)  | 18942  | 553485  |
|  TTM Technologies, Inc. (a)  | 75697  | 1141511  |
|  Velodyne Lidar, Inc. (a)  | 155020  | 114513  |
|  Vishay Intertechnology, Inc.  | 97069  | 2093778  |
|  Vishay Precision Group, Inc. (a)  | 9350  | 361378  |
|  |  | 17053823  |
| IT Services - 0.8%  |  |  |
|  AvidXchange Holdings, Inc. (a)  | 11900  | 118286  |
|  Brightcove, Inc. (a)  | 9850  | 51516  |
|  Cantaloupe, Inc. (a)  | 17184  | 74750  |
|  Cass Information Systems, Inc.  | 8394  | 384613  |
|  Conduent, Inc. (a)  | 127288  | 515516  |
|  Edgio, Inc. (a)  | 7854  | 8875  |
|  Fastly, Inc. Class A (a)  | 85131  | 697223  |
|  Hackett Group, Inc.  | 2105  | 42879  |
|  Information Services Group, Inc.  | 14831  | 68223  |
|  Maximus, Inc.  | 2519  | 184718  |
|  MoneyGram International, Inc. (a)  | 70168  | 764130  |
|  Paysafe Ltd. (a)  | 21046  | 292329  |
|  PFSweb, Inc. (a)  | 12427  | 76426  |
|  Rackspace Technology, Inc. (a)(b)  | 42457  | 125248  |
|  Repay Holdings Corp. (a)  | 65708  | 528949  |
|  Sabre Corp. (a)  | 193684  | 1196967  |
|  Squarespace, Inc. Class A (a)  | 17042  | 377821  |
|  StoneCo Ltd. Class A (a)  | 99441  | 938723  |
|  Unisys Corp. (a)  | 12867  | 65750  |
|  |  | 6512942  |
| Semiconductors & Semiconductor Equipment - 0.7%  |  |  |
|  ACM Research, Inc.  | 31319  | 241469  |
|  Alpha & Omega Semiconductor Ltd. (a)  | 3691  | 105452  |
|  Amkor Technology, Inc.  | 60452  | 1449639  |
|  AXT, Inc. (a)  | 30592  | 133993  |
|  Cohu, Inc. (a)  | 35139  | 1126205  |
|  Diodes, Inc. (a)  | 9055  | 689448  |
|  Ichor Holdings Ltd. (a)  | 21049  | 564534  |
|  Impinj, Inc. (a)  | 1474  | 160931  |
|  Photronics, Inc. (a)  | 12371  | 208204  |
|  Rambus, Inc. (a)  | 12797  | 458389  |
|  Rigetti Computing, Inc. Class A (a)(b)  | 58271  | 42491  |
|  Ultra Clean Holdings, Inc. (a)  | 22283  | 738681  |
|  Veeco Instruments, Inc. (a)(b)  | 7822  | 145333  |
|  |  | 6064769  |
| Software - 1.3%  |  |  |
|  A10 Networks, Inc.  | 9819  | 163290  |
|  Adeia, Inc.  | 75294  | 713787  |
|  American Software, Inc. Class A  | 6284  | 92249  |
|  Applied Digital Corp. (b)  | 30451  | 56030  |
|  Avaya Holdings Corp. (a)(b)  | 64352  | 12613  |
|  Benefitfocus, Inc. (a)  | 5971  | 62457  |
|  Blackbaud, Inc. (a)  | 1823  | 107302  |
|  Blend Labs, Inc. (a)  | 141595  | 203897  |
|  C3.ai, Inc. (a)(b)  | 35859  | 401262  |
|  Cerence, Inc. (a)  | 29497  | 546579  |
|  Cipher Mining, Inc. (a)(b)  | 26947  | 15090  |
|  Cleanspark, Inc. (a)(b)  | 33720  | 68789  |
|  Consensus Cloud Solutions, Inc. (a)  | 7376  | 396534  |
|  Cvent Holding Corp. (a)  | 34327  | 185366  |
|  Digimarc Corp. (a)(b)  | 596  | 11020  |
|  E2open Parent Holdings, Inc. (a)(b)  | 149389  | 876913  |
|  Ebix, Inc. (b)  | 15666  | 312693  |
|  eGain Communications Corp. (a)  | 9184  | 82932  |
|  EverCommerce, Inc. (a)  | 15397  | 114554  |
|  ForgeRock, Inc. (a)  | 7879  | 179405  |
|  Greenidge Generation Holdings, Inc. (a)(b)  | 9161  | 2648  |
|  Instructure Holdings, Inc. (a)(b)  | 11079  | 259692  |
|  InterDigital, Inc.  | 13920  | 688762  |
|  Kaleyra, Inc. (a)(b)  | 23721  | 17912  |
|  Latch, Inc. (a)  | 81619  | 57941  |
|  Liveramp Holdings, Inc. (a)  | 49555  | 1161569  |
|  Livevox Holdings, Inc. (a)(b)  | 17236  | 51191  |
|  Marathon Digital Holdings, Inc. (a)(b)  | 88403  | 302338  |
|  Matterport, Inc. (a)  | 46218  | 129410  |
|  MicroStrategy, Inc. Class A (a)(b)  | 2884  | 408288  |
|  Mitek Systems, Inc. (a)  | 2306  | 22345  |
|  N-able, Inc. (a)  | 6353  | 65309  |
|  Olo, Inc. (a)(b)  | 67591  | 422444  |
|  ON24, Inc. (a)  | 30956  | 267150  |
|  Onespan, Inc. (a)  | 19053  | 213203  |
|  PowerSchool Holdings, Inc. (a)  | 22381  | 516553  |
|  PROS Holdings, Inc. (a)  | 10781  | 261547  |
|  Riot Blockchain, Inc. (a)(b)  | 119077  | 403671  |
|  Sapiens International Corp. NV  | 6688  | 123594  |
|  SecureWorks Corp. (a)  | 7704  | 49229  |
|  SolarWinds, Inc. (a)  | 35878  | 335818  |
|  Sumo Logic, Inc. (a)  | 30437  | 246540  |
|  TeraWulf, Inc. (a)(b)  | 9977  | 6641  |
|  Upland Software, Inc. (a)  | 22025  | 157038  |
|  Verint Systems, Inc. (a)  | 4258  | 154480  |
|  Xperi, Inc. (a)  | 33688  | 290054  |
|  |  | 11218129  |
| Technology Hardware, Storage & Peripherals - 0.2%  |  |  |
|  Avid Technology, Inc. (a)  | 9775  | 259917  |
|  CompoSecure, Inc. (a)(b)  | 779  | 3825  |
|  Corsair Gaming, Inc. (a)(b)  | 12558  | 170412  |
|  Diebold Nixdorf, Inc. (a)(b)  | 13740  | 19511  |
|  Eastman Kodak Co. (a)(b)  | 42190  | 128680  |
|  IonQ, Inc. (a)(b)  | 76898  | 265298  |
|  Turtle Beach Corp. (a)  | 2675  | 19180  |
|  Xerox Holdings Corp.  | 85685  | 1251001  |
|  |  | 2117824  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 47065804  |
| MATERIALS - 4.1%  |  |  |
| Chemicals - 1.4%  |  |  |
|  AdvanSix, Inc.  | 13225  | 502815  |
|  American Vanguard Corp.  | 2687  | 58335  |
|  Amyris, Inc. (a)(b)  | 132783  | 203158  |
|  Avient Corp.  | 18080  | 610381  |
|  Chase Corp.  | 4273  | 368589  |
|  Danimer Scientific, Inc. (a)(b)  | 66955  | 119849  |
|  Ecovyst, Inc. (a)  | 54254  | 480690  |
|  FutureFuel Corp.  | 19217  | 156234  |
|  H.B. Fuller Co.  | 5429  | 388825  |
|  Hawkins, Inc.  | 5673  | 218978  |
|  Innospec, Inc.  | 2817  | 289757  |
|  Intrepid Potash, Inc. (a)  | 8294  | 239448  |
|  Koppers Holdings, Inc.  | 15239  | 429740  |
|  Mativ, Inc.  | 38070  | 795663  |
|  Minerals Technologies, Inc.  | 24205  | 1469728  |
|  Origin Materials, Inc. Class A (a)(b)  | 30121  | 138858  |
|  Perimeter Solutions SA (a)  | 87935  | 803726  |
|  PureCycle Technologies, Inc. (a)(b)  | 16641  | 112493  |
|  Quaker Houghton  | 3455  | 576640  |
|  Rayonier Advanced Materials, Inc. (a)  | 46098  | 442541  |
|  Sensient Technologies Corp.  | 1757  | 128120  |
|  Stepan Co.  | 14381  | 1531001  |
|  Tredegar Corp.  | 20518  | 209694  |
|  Trinseo PLC  | 26212  | 595275  |
|  Tronox Holdings PLC  | 87412  | 1198419  |
|  Valhi, Inc.  | 1811  | 39842  |
|  |  | 12108799  |
| Construction Materials - 0.3%  |  |  |
|  Summit Materials, Inc.  | 88887  | 2523502  |
|  United States Lime & Minerals, Inc.  | 355  | 49970  |
|  |  | 2573472  |
| Containers & Packaging - 0.4%  |  |  |
|  Cryptyde, Inc. (a)  | 6882  | 1319  |
|  Greif, Inc.:  |  |  |
|  Class A  | 15962  | 1070412  |
|  Class B  | 3375  | 264026  |
|  O-I Glass, Inc. (a)  | 22077  | 365816  |
|  Pactiv Evergreen, Inc.  | 32443  | 368552  |
|  Ranpak Holdings Corp. (A Shares) (a)  | 32217  | 185892  |
|  TriMas Corp.  | 31398  | 870981  |
|  |  | 3126998  |
| Metals & Mining - 1.8%  |  |  |
|  Arconic Corp. (a)  | 75875  | 1605515  |
|  Carpenter Technology Corp.  | 35695  | 1318573  |
|  Coeur d'Alene Mines Corp. (a)  | 208696  | 701219  |
|  Commercial Metals Co.  | 72538  | 3503585  |
|  Constellium NV (a)  | 44062  | 521253  |
|  Haynes International, Inc.  | 9113  | 416373  |
|  Hecla Mining Co.  | 413657  | 2299933  |
|  Hycroft Mining Holding Corp. (a)(b)  | 17585  | 9357  |
|  Ivanhoe Electric, Inc. (a)  | 5626  | 68356  |
|  Materion Corp.  | 946  | 82784  |
|  Novagold Resources, Inc. (a)  | 9433  | 56409  |
|  Olympic Steel, Inc.  | 7227  | 242683  |
|  Piedmont Lithium, Inc. (a)(b)  | 9350  | 411587  |
|  PolyMet Mining Corp. (a)  | 21941  | 58144  |
|  Ryerson Holding Corp.  | 13749  | 416045  |
|  Schnitzer Steel Industries, Inc. Class A  | 17267  | 529234  |
|  SunCoke Energy, Inc.  | 62395  | 538469  |
|  TimkenSteel Corp. (a)  | 33168  | 602663  |
|  Warrior Metropolitan Coal, Inc.  | 34415  | 1192136  |
|  Worthington Industries, Inc.  | 23486  | 1167489  |
|  |  | 15741807  |
| Paper & Forest Products - 0.2%  |  |  |
|  Clearwater Paper Corp. (a)  | 12551  | 474553  |
|  Glatfelter Corp.  | 32927  | 91537  |
|  Resolute Forest Products, Inc. (a)  | 34345  | 741509  |
|  Sylvamo Corp.  | 1653  | 80319  |
|  |  | 1387918  |
|  TOTAL MATERIALS  |  | 34938994  |
| REAL ESTATE - 10.7%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 10.2%  |  |  |
|  Acadia Realty Trust (SBI)  | 69564  | 998243  |
|  Agree Realty Corp.  | 65498  | 4645770  |
|  Alexander & Baldwin, Inc.  | 54312  | 1017264  |
|  American Assets Trust, Inc.  | 36917  | 978301  |
|  Apartment Investment & Management Co. Class A  | 111864  | 796472  |
|  Apple Hospitality (REIT), Inc.  | 160883  | 2538734  |
|  Armada Hoffler Properties, Inc.  | 50517  | 580946  |
|  Ashford Hospitality Trust, Inc. (a)  | 25792  | 115290  |
|  Bluerock Homes Trust, Inc. (a)  | 1821  | 38806  |
|  Braemar Hotels & Resorts, Inc.  | 50785  | 208726  |
|  Brandywine Realty Trust (SBI)  | 127222  | 782415  |
|  Broadstone Net Lease, Inc.  | 129427  | 2098012  |
|  BRT Apartments Corp.  | 8962  | 176014  |
|  CareTrust (REIT), Inc.  | 66594  | 1237317  |
|  CBL & Associates Properties, Inc.  | 16770  | 387052  |
|  Centerspace  | 11292  | 662502  |
|  Chatham Lodging Trust  | 35748  | 438628  |
|  City Office REIT, Inc.  | 29208  | 244763  |
|  Clipper Realty, Inc.  | 1079  | 6906  |
|  Community Healthcare Trust, Inc.  | 7302  | 261412  |
|  Corporate Office Properties Trust (SBI)  | 74289  | 1927057  |
|  CTO Realty Growth, Inc.  | 13525  | 247237  |
|  DiamondRock Hospitality Co.  | 156754  | 1283815  |
|  Diversified Healthcare Trust (SBI)  | 175508  | 113519  |
|  Easterly Government Properties, Inc.  | 68223  | 973542  |
|  Elme Communities (SBI)  | 65336  | 1162981  |
|  Empire State Realty Trust, Inc.  | 99712  | 672059  |
|  Equity Commonwealth  | 78411  | 1957923  |
|  Essential Properties Realty Trust, Inc.  | 95386  | 2238709  |
|  Farmland Partners, Inc.  | 37449  | 466615  |
|  Four Corners Property Trust, Inc.  | 56854  | 1474224  |
|  Franklin Street Properties Corp.  | 74801  | 204207  |
|  Getty Realty Corp.  | 31565  | 1068475  |
|  Gladstone Commercial Corp.  | 2462  | 45547  |
|  Gladstone Land Corp.  | 11029  | 202382  |
|  Global Medical REIT, Inc.  | 45898  | 435113  |
|  Global Net Lease, Inc.  | 77929  | 979568  |
|  Hersha Hospitality Trust  | 22174  | 188922  |
|  Independence Realty Trust, Inc.  | 167925  | 2831216  |
|  Indus Realty Trust, Inc.  | 3999  | 253897  |
|  Industrial Logistics Properties Trust  | 45976  | 150342  |
|  InvenTrust Properties Corp.  | 50784  | 1202057  |
|  iStar Financial, Inc.  | 52019  | 396905  |
|  Kite Realty Group Trust  | 162886  | 3428750  |
|  LTC Properties, Inc.  | 29893  | 1062098  |
|  LXP Industrial Trust (REIT)  | 203517  | 2039240  |
|  National Health Investors, Inc.  | 31241  | 1631405  |
|  Necessity Retail (REIT), Inc./The  | 100205  | 594216  |
|  NETSTREIT Corp.  | 41289  | 756827  |
|  NexPoint Residential Trust, Inc.  | 1020  | 44390  |
|  Office Properties Income Trust  | 36018  | 480840  |
|  One Liberty Properties, Inc.  | 12183  | 270706  |
|  Orion Office (REIT), Inc.  | 42509  | 363027  |
|  Paramount Group, Inc.  | 140128  | 832360  |
|  Pebblebrook Hotel Trust  | 97042  | 1299392  |
|  Physicians Realty Trust  | 170538  | 2467685  |
|  Piedmont Office Realty Trust, Inc. Class A  | 92058  | 844172  |
|  Plymouth Industrial REIT, Inc.  | 28342  | 543600  |
|  Postal Realty Trust, Inc.  | 5869  | 85277  |
|  Potlatch Corp.  | 53990  | 2375020  |
|  Retail Opportunity Investments Corp.  | 90130  | 1354654  |
|  RLJ Lodging Trust  | 119848  | 1269190  |
|  RPT Realty  | 63428  | 636817  |
|  Ryman Hospitality Properties, Inc.  | 40237  | 3290582  |
|  Sabra Health Care REIT, Inc.  | 172632  | 2145816  |
|  Safehold, Inc.  | 7653  | 219029  |
|  Saul Centers, Inc.  | 917  | 37304  |
|  Service Properties Trust  | 123018  | 896801  |
|  SITE Centers Corp.  | 145607  | 1988992  |
|  Stag Industrial, Inc.  | 134962  | 4360622  |
|  Summit Hotel Properties, Inc.  | 78595  | 567456  |
|  Sunstone Hotel Investors, Inc.  | 158575  | 1531835  |
|  Terreno Realty Corp.  | 55615  | 3162825  |
|  The Macerich Co.  | 160974  | 1812567  |
|  UMH Properties, Inc.  | 6849  | 110269  |
|  Uniti Group, Inc.  | 177853  | 983527  |
|  Urban Edge Properties  | 85477  | 1204371  |
|  Urstadt Biddle Properties, Inc. Class A  | 22160  | 419932  |
|  Veris Residential, Inc. (a)  | 64505  | 1027565  |
|  Whitestone REIT Class B  | 34928  | 336706  |
|  Xenia Hotels & Resorts, Inc.  | 85472  | 1126521  |
|  |  | 86292271  |
| Real Estate Management & Development - 0.5%  |  |  |
|  American Realty Investments, Inc. (a)(b)  | 1098  | 28164  |
|  Anywhere Real Estate, Inc. (a)  | 80413  | 513839  |
|  Digitalbridge Group, Inc.  | 12055  | 131882  |
|  Doma Holdings, Inc. Class A (a)(b)  | 96753  | 43819  |
|  Douglas Elliman, Inc.  | 52315  | 212922  |
|  Forestar Group, Inc. (a)  | 10188  | 156997  |
|  FRP Holdings, Inc. (a)  | 5070  | 273070  |
|  Kennedy-Wilson Holdings, Inc.  | 88194  | 1387292  |
|  Newmark Group, Inc.  | 93840  | 747905  |
|  RE/MAX Holdings, Inc.  | 13208  | 246197  |
|  Stratus Properties, Inc.  | 4457  | 85976  |
|  Tejon Ranch Co. (a)  | 15536  | 292698  |
|  The RMR Group, Inc.  | 4312  | 121814  |
|  Transcontinental Realty Investors, Inc. (a)  | 931  | 41132  |
|  |  | 4283707  |
|  TOTAL REAL ESTATE  |  | 90575978  |
| UTILITIES - 5.3%  |  |  |
| Electric Utilities - 1.3%  |  |  |
|  Allete, Inc.  | 42857  | 2764705  |
|  MGE Energy, Inc.  | 15642  | 1101197  |
|  Otter Tail Corp.  | 17033  | 1000007  |
|  PNM Resources, Inc.  | 63942  | 3119730  |
|  Portland General Electric Co.  | 66907  | 3278443  |
|  Via Renewables, Inc. Class A, (b)  | 1358  | 6939  |
|  |  | 11271021  |
| Gas Utilities - 2.0%  |  |  |
|  Chesapeake Utilities Corp.  | 5738  | 678117  |
|  New Jersey Resources Corp.  | 66249  | 3287275  |
|  Northwest Natural Holding Co.  | 25942  | 1234580  |
|  ONE Gas, Inc.  | 40216  | 3045156  |
|  South Jersey Industries, Inc.  | 91943  | 3266735  |
|  Southwest Gas Corp.  | 45556  | 2819005  |
|  Spire, Inc.  | 38129  | 2625563  |
|  |  | 16956431  |
| Independent Power and Renewable Electricity Producers - 0.3%  |  |  |
|  Altus Power, Inc. Class A (a)  | 21601  | 140839  |
|  Ormat Technologies, Inc. (b)  | 16204  | 1401322  |
|  Sunnova Energy International, Inc. (a)(b)  | 74213  | 1336576  |
|  |  | 2878737  |
| Multi-Utilities - 1.1%  |  |  |
|  Avista Corp.  | 55157  | 2445661  |
|  Black Hills Corp.  | 48595  | 3418172  |
|  NorthWestern Energy Corp.  | 43381  | 2574229  |
|  Unitil Corp.  | 11926  | 612519  |
|  |  | 9050581  |
| Water Utilities - 0.6%  |  |  |
|  American States Water Co.  | 14475  | 1339661  |
|  Artesian Resources Corp. Class A  | 2119  | 124131  |
|  California Water Service Group  | 30043  | 1821808  |
|  SJW Group  | 20205  | 1640444  |
|  |  | 4926044  |
|  TOTAL UTILITIES  |  | 45082814  |
| <br> **TOTAL COMMON STOCKS** <br> (Cost $883,674,973)  |  | <br> **849147612**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  |
|  | Principal <br> Amount (d) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 1.23% 1/26/23 <br>(Cost $99,916) <br>| 100000  | **99752**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 7.0%**  | &nbsp;&nbsp; **Money Market Funds - 7.0%**  | &nbsp;&nbsp; **Money Market Funds - 7.0%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Securities Lending Cash Central Fund 4.37% (e)(f) <br>(Cost $59,471,598) <br>| 59465652  | **59471598**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 106.8%** <br> (Cost $943,246,487) <br>| <br>**908718962**  |
| **NET OTHER ASSETS (LIABILITIES) - (6.8)%**  | **(57679564)**  |
| **NET ASSETS - 100.0%**  | **851039398**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Equity Index Contracts  |  |  |  |  |  |
| CME E-mini Russell 2000 Index Contracts (United States)  | 22  | Mar 2023  | 1947990  | 4974  | 4974  |
| The notional amount of futures purchased as a percentage of Net Assets is 0.2%  | The notional amount of futures purchased as a percentage of Net Assets is 0.2%  | The notional amount of futures purchased as a percentage of Net Assets is 0.2%  | The notional amount of futures purchased as a percentage of Net Assets is 0.2%  | The notional amount of futures purchased as a percentage of Net Assets is 0.2%  | The notional amount of futures purchased as a percentage of Net Assets is 0.2%  |

---

**Legend**

(a) Non-income producing

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

(c) Level 3 security

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

(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 are available on the SEC's website or upon request.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.37%  | 2780205  | 88449400  | 91229605  | 34928  | -  | -  | -  | 0.0%  |
|  Fidelity Securities Lending Cash Central Fund 4.37%  | 66426259  | 138892166  | 145846827  | 664131  | -  | -  | 59471598  | 0.2%  |
| Total  | 69206464  | 227341566  | 237076432  | 699059  | -  | -  | 59471598  |  |

---

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>**  |  |  |  |  |
|  **Equities:**  |  |  |  |  |
| Communication Services  | 24270047  | 24270047  | -  | -  |
| Consumer Discretionary  | 85193821  | 85193821  | -  | -  |
| Consumer Staples  | 22747652  | 22747652  | -  | -  |
| Energy  | 53002968  | 53002968  | -  | -  |
| Financials  | 244732324  | 244732324  | -  | -  |
| Health Care  | 88835930  | 88750127  | -  | 85803  |
| Industrials  | 112701280  | 112701280  | -  | -  |
| Information Technology  | 47065804  | 47065804  | -  | -  |
| Materials  | 34938994  | 34938994  | -  | -  |
| Real Estate  | 90575978  | 90575978  | -  | -  |
| Utilities  | 45082814  | 45082814  | -  | -  |
|  U.S. Government and Government Agency Obligations  | 99752  | -  | 99752  | -  |
|  Money Market Funds  | 59471598  | 59471598  | -  | -  |
| **Total Investments in Securities:**  | 908718962  | 908533407  | 99752  | 85803  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 4974  | 4974  | -  | -  |
| Total Assets  | 4974  | 4974  | -  | -  |
| **Total Derivative Instruments:**  | 4974  | 4974  | -  | -  |

---

**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 ($)**  | **Liability ($)**  |
| **Equity Risk**  |  |  |
| Futures Contracts (a)  | 4974  | 0  |
| **Total Equity Risk**  | 4974  | 0  |
| **Total Value of Derivatives**  | 4974  | 0  |

---

(a)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).

**Fidelity® Small Cap Value Index Fund**

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $56,828,028) - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $883,774,889)  | $849247364  |  |
|  Fidelity Central Funds (cost $59,471,598)  | 59471598  |  |
|  Total Investment in Securities (cost $943,246,487)  |  | $908718962  |
|  Segregated cash with brokers for derivative instruments  |  | 56056  |
| Receivable for investments sold  |  | 3069224  |
|  Receivable for fund shares sold  |  | 1110580  |
|  Dividends receivable  |  | 1597927  |
|  Distributions receivable from Fidelity Central Funds  |  | 70363  |
| **Total assets**  |  | 914623112  |
| **Liabilities**  |  |  |
|  Payable to custodian bank  | 2924255  |  |
|  Payable for investments purchased  | 32773  |  |
|  Payable for fund shares redeemed  | 1108373  |  |
|  Accrued management fee  | 36173  |  |
|  Payable for daily variation margin on futures contracts  | 10541  |  |
|  Collateral on securities loaned  | 59471599  |  |
| **Total Liabilities**  |  | 63583714  |
| **Net Assets**  |  | $851039398  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $906025791  |
|  Total accumulated earnings (loss)  |  | (54986393)  |
|  **Net Assets**  |  | $851039398  |
|  **Net Asset Value** , offering price and redemption price per share ($851,039,398 ÷ 39,693,816 shares)  |  | $21.44  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends  |  | $9896179  |
| Interest  |  | 1363  |
| Income from Fidelity Central Funds (including $664,131 from security lending)  |  | 699059  |
| **Total Income**  |  | 10596601  |
|  **Expenses**  |  |  |
| Management fee  | $212192  |  |
| Independent trustees' fees and expenses  | 1441  |  |
| Interest  | 2659  |  |
| Total expenses before reductions  | 216292  |  |
| Expense reductions  | (96)  |  |
| Total expenses after reductions  |  | 216196  |
| **Net Investment income (loss)**  |  | 10380405  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (6602878)  |  |
| Futures contracts  | (279260)  |  |
| Total net realized gain (loss)  |  | (6882138)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | 22769418  |  |
| Futures contracts  | (44274)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | 22725144  |
| **Net gain (loss)**  |  | 15843006  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $26223411  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  | **Year ended** <br> **June 30, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $10380405  | $14699224  |
| &nbsp;&nbsp; Net realized gain (loss)  | (6882138) <br>| 11017013 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | 22725144  | (182137893) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 26223411 <br>| (156421656) <br>|
| Distributions to shareholders  | (30079235) <br>| (66728802) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 159808400  | 594179184  |
| Reinvestment of distributions  | 24216686 <br>| 53788479 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (137612726)  | (352842926)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 46412360 <br>| 295124737 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 42556536 <br>| 71974279 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 808482862  | 736508583 <br>|
| &nbsp;&nbsp; End of period  | $851039398  | $808482862  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 7156776  | 23457218  |
| Issued in reinvestment of distributions  | 1074926 <br>| 2127287 <br>|
| &nbsp;&nbsp; Redeemed  | (6219948)  | (14038483)  |
| &nbsp;&nbsp; Net increase (decrease)  | 2011754  | 11546022  |

---

**Financial Highlights** 

 **Fidelity® Small Cap Value Index Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $21.46  | $28.18  | $16.52  | $20.00  |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .27  | .44  | .37  | .37  |
| Net realized and unrealized gain (loss)  | .50  | (4.69)  | 11.59  | (3.72)  |
| Total from investment operations  | .77  | (4.25)  | 11.96  | (3.35)  |
| Distributions from net investment income  | (.42)  | (.44) <sup>D</sup>  | (.30)  | (.12)  |
| Distributions from net realized gain  | (.38)  | (2.03) <sup>D</sup>  | -  | (.02)  |
| Total distributions  | (.79) <sup>E</sup>  | (2.47)  | (.30)  | (.13) <sup>E</sup>  |
| Net asset value, end of period  | $21.44  | $21.46  | $28.18  | $16.52  |
| **Total Return** <sup>F,G</sup>  | 3.44%  | (16.30)%  | 73.10%  | (16.89)%  |
| **Ratios to Average Net Assets** <sup>C,H,I</sup>  |  |  |  |  |
| Expenses before reductions  | .05% <sup>J</sup>  | .05%  | .05%  | .05% <sup>J</sup>  |
| Expenses net of fee waivers, if any  | .05% <sup>J</sup>  | .05%  | .05%  | .05% <sup>J</sup>  |
| Expenses net of all reductions  | .05% <sup>J</sup>  | .05%  | .05%  | .05% <sup>J</sup>  |
| Net investment income (loss)  | 2.44% <sup>J</sup>  | 1.77%  | 1.56%  | 2.24% <sup>J</sup>  |
| **Supplemental Data**  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $851039  | $808483  | $736509  | $139586  |
| Portfolio turnover rate <sup>K</sup>  | 14% <sup>J</sup>  | 38%  | 60%  | 74% <sup>J</sup>  |

---

<sup>A</sup> *For the period July 11, 2019 (commencement of operations) through June 30, 2020.*

<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 distributions per share do not sum due to rounding.*

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

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

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

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

**Notes to Financial Statements** **(Unaudited)**

For the period ended December 31, 2022

**1. Organization.**

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

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

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <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.**

Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies* . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated each Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, each Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages each Fund's fair valuation practices and maintains the fair valuation policies and procedures. Each Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value each Fund's investments by major category are as follows:

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.

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

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 each Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and for certain Funds 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 Funds are 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 Funds represent a return of capital or capital gain. The Funds determine 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.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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

Distributions are declared and recorded 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, passive foreign investment companies (PFIC), partnerships, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Tax cost**  | **Gross unrealized appreciation**  | **Gross unrealized depreciation**  | **Net unrealized appreciation (depreciation)**  |
| **Fidelity Mid Cap Growth Index Fund**  | $535324902  | $93915222  | $(84696238)  | $9218984  |
| **Fidelity Mid Cap Value Index Fund**  | 717566302  | 162632058  | (63407450)  | 99224608  |
| **Fidelity Small Cap Growth Index Fund**  | 382544446  | 50433045  | (79787070)  | (29354025)  |
| **Fidelity Small Cap Value Index Fund**  | 959805684  | 112567547  | (163649295)  | (51081748)  |

---

Certain of the Funds elected to defer to the next fiscal year capital losses recognized during the period November 1, 2021 to June 30, 2022. Loss deferrals were as follows:

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| | |
|:---|:---|
|  | <br> **Capital losses**  |
| **Fidelity Mid Cap Growth Index Fund**  | $(75954808)  |
| **Fidelity Small Cap Growth Index Fund**  | (47253203)  |

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**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** Each Fund's investment objectives allow for various types of derivative instruments, including futures 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 and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

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

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

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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. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.

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

**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 stock market.

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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Fidelity Mid Cap Growth Index Fund**  | 89950093  | 44874505  |
| **Fidelity Mid Cap Value Index Fund**  | 62815815  | 92588687  |
| **Fidelity Small Cap Growth Index Fund**  | 77298422  | 27884211  |
| **Fidelity Small Cap Value Index Fund**  | 102380686  | 60817569  |

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**6. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Funds with investment management related services for which each Fund pays a monthly management fee. The management fee is based on the annual rates of each Fund's average net assets as noted in the table below. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

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| | |
|:---|:---|
|  | **% of Average Net Assets**  |
| **Fidelity Mid Cap Growth Index Fund**  | .05%  |
| **Fidelity Mid Cap Value Index Fund**  | .05%  |
| **Fidelity Small Cap Growth Index Fund**  | .05%  |
| **Fidelity Small Cap Value Index Fund**  | .05%  |

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**Sub-Adviser.** Geode Capital Management, LLC (Geode), serves as sub-adviser for the Funds. Geode provides discretionary investment advisory services to the Funds and is paid by the investment adviser for providing these services.

**Interfund Lending Program.** Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), each Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing each Fund to borrow from, or lend money to, other participating affiliated funds. At period end, Fidelity Mid Cap Growth Index Fund, Fidelity Small Cap Growth Index Fund and Fidelity Small Cap Value Index Fund had no interfund loans outstanding. Any open loans, including accrued interest, at period end are presented as Notes payable to affiliates in the Statement of Assets and Liabilities. Activity in this program during the period for which loans were outstanding was as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Borrower or Lender**  | **Average Loan Balance**  | **Weighted Average Interest Rate**  | **Interest Expense**  |
| **Fidelity Mid Cap Growth Index Fund**  | Borrower  | $5325500  | 2.87%  | $2550  |
| **Fidelity Mid Cap Value Index Fund**  | Borrower  | $5933913  | 3.19%  | $10014  |
| **Fidelity Small Cap Growth Index Fund**  | Borrower  | $16423000  | 4.07%  | $1854  |
| **Fidelity Small Cap Value Index Fund**  | Borrower  | $10080000  | 3.17%  | $2659  |

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**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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. 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:

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| | | | |
|:---|:---|:---|:---|
|  | **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 Mid Cap Growth Index Fund**  | $8352  | $282  | $10611  |
| **Fidelity Mid Cap Value Index Fund**  | $19359  | $37959  | $683  |
| **Fidelity Small Cap Growth Index Fund**  | $45076  | $44756  | $944557  |
| **Fidelity Small Cap Value Index Fund**  | $68053  | $42976  | $529058  |

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**9. Bank Borrowings.**

Each Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. Each Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:

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| | | | |
|:---|:---|:---|:---|
|  | **Average Loan Balance**  | **Weighted Average Interest Rate**  | **Interest Expense**  |
| **Fidelity Mid Cap Growth Index Fund**  | $903000  | 2.08%  | $52  |

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**10. Expense Reductions.** 

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

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| | |
|:---|:---|
|  | **Custodian credits**  |
| **Fidelity Mid Cap Growth Index Fund**  | $79  |
| **Fidelity Mid Cap Value Index Fund**  | 175  |
| **Fidelity Small Cap Growth Index Fund**  | 328  |
| **Fidelity Small Cap Value Index Fund**  | 96  |

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**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, certain otherwise unaffiliated shareholders were owners of record of more than 50% of the outstanding shares as follows:

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| | | |
|:---|:---|:---|
| **Fund**  | **Number ofUnaffiliated Shareholders**  | **Unaffiliated Shareholders %**  |
| Fidelity Mid Cap Value Index Fund  | 1  | 59%  |

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**12. 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.

**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.

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **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® Mid Cap Growth Index Fund**  | .05%  |  |  |  |
| **Actual**  |  | $1000  | $1062.20  | $.26  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.95  | $.26  |
| **Fidelity® Mid Cap Value Index Fund**  | .05%  |  |  |  |
| **Actual**  |  | $1000  | $1050.20  | $.26  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.95  | $.26  |
| **Fidelity® Small Cap Growth Index Fund**  | .05%  |  |  |  |
| **Actual**  |  | $1000  | $1044.70  | $.26  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.95  | $.26  |
| **Fidelity® Small Cap Value Index Fund**  | .05%  |  |  |  |
| **Actual**  |  | $1000  | $1034.40  | $.26  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.95  | $.26  |

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

*B 5% return per year before expenses*

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

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

**Fidelity Mid Cap Growth Index Fund** 

**Fidelity Mid Cap Value Index Fund** 

**Fidelity Small Cap Growth Index Fund** 

**Fidelity Small Cap Value 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 agreement (Sub-Advisory Agreement) for each fund with Geode Capital Management, LLC (Geode) (together, the Advisory Contracts). FMR and Geode are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

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

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

In considering whether to renew the Advisory Contracts for each 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 each 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 each fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that each 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 that fund, which is part of the Fidelity family of funds.

**Nature, Extent, and Quality of Services Provided.** The Board considered staffing as it relates to the funds, including the backgrounds of investment personnel of Fidelity and Geode, and also considered the funds' investment objectives, strategies, and related investment philosophies. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups and with senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of each fund. The Board also considered the steps Fidelity and Geode 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.

The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by Geode with respect to the funds and monitoring and overseeing the performance and investment capabilities of Geode. The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of Geode.

The Board also considered the nature, extent and quality of services provided by Geode. The Trustees noted that under the Sub-Advisory Agreement, subject to oversight by Fidelity, Geode is responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement each fund's investment strategy. In addition, the Trustees noted that Geode is responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.

<u>Resources Dedicated to Investment Management and Support Services</u> . The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode'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 and Geode'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 and Geode's investment professionals have sufficient access to 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. Additionally, in its deliberations, the Board considered Fidelity's and Geode'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 by FMR's affiliates under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each 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, each 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 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 each 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 each fund for different time periods, measured against the securities market index the fund seeks to track. The Board also periodically considers each fund's tracking error versus its benchmark index.

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

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

**Competitiveness of Management Fee and Total Expense Ratio** . The Board considered each 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 comparisons of management fees and total expense ratios by broadening the competitive group used for such comparisons.

<u>Management Fee</u> . The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the charts 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 a 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 funds' actual TMG %s and the number of funds in the Total Mapped Group are in the charts 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 a fund's management fee rate ranked, is also included in the charts and was considered by the Board.

**Fidelity Mid Cap Growth Index Fund**![](img88354_8.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.

**Fidelity Mid Cap Value Index Fund**![](img88354_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.

**Fidelity Small Cap Growth Index Fund**![](img88354_10.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.

**Fidelity Small Cap Value Index Fund**![](img88354_11.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.

At its September 2022 meeting, the Board also approved an amendment to the Fidelity Small Cap Value Fund's sub-advisory agreement with Geode (effective October 1, 2022) that reduced the sub-advisory fee rate that FMR pays to Geode.

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

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

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

**Costs of the Services and Profitability** . The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and servicing each 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 each 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 each fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of Geode's relationship with each fund.

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 and sub-advisory fee arrangements are fair and reasonable and that each fund's Advisory Contracts should be renewed.

![](img88354_2.jpg) <br>

1.9896343.103 C06-SANN-0323

**Fidelity® Municipal Bond Index Fund**

**Semi-Annual Report**

**December 31, 2022**

![](img88353_1.jpg)

![](img88353_2.jpg)

**Contents**

---

| |
|:---|
| **[Investment Summary](#Sec_InvestmentSummary3469)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments3469)** |
| **[Financial Statements](#Sec_FinancialStatements3469)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[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.*

**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)**  |
| California  | 18.8  |
| New York  | 14.2  |
| Texas  | 9.9  |
| Illinois  | 5.0  |
| Florida  | 4.4  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  | &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  |
| General Obligations  | 32.9%  |
| Transportation  | 15.4%  |
| Special Tax  | 11.1%  |
| Health Care  | 8.5%  |
| Water & Sewer  | 7.8%  |
| Education  | 6.6%  |
| Escrowed/Pre-Refunded  | 5.2%  |
| Others\* (Individually Less Than 5%)  | 12.5%  |
|  | 100.0%  |
| *\*Includes net other assets*  |  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Quality Diversification (% of Fund's net assets)**  |
| ![](img88353_5.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 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Bonds - 97.4%**  | &nbsp;&nbsp; **Municipal Bonds - 97.4%**  | &nbsp;&nbsp; **Municipal Bonds - 97.4%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Alabama - 1.5%  |  |  |
|  Alabama Fed. Aid Hwy. Fin. Auth.:  |  |  |
|  Series 2015, 3.1% 9/1/29 (Pre-Refunded to 9/1/24 @ 100)  | 70000  | 70225  |
|  Series 2017 A, 4% 6/1/37 (Pre-Refunded to 9/1/27 @ 100)  | 25000  | 26525  |
|  Series 2017 B, 5% 9/1/26 (Escrowed to Maturity)  | 75000  | 81420  |
|  Alabama Pub. School & College Auth. Rev. Series 2020 A:  |  |  |
|  4% 11/1/40  | 100000  | 97557  |
|  5% 11/1/39  | 320000  | 355925  |
|  Alabama State Corrections Institution Fin. Auth. Series 2022 A, 5.25% 7/1/47  | 150000  | 161930  |
|  Birmingham Jefferson Civic Ctr. Auth. Series 2018 B, 4% 7/1/48  | 30000  | 27024  |
|  Birmingham Spl. Care Facilities Fin. Auth. Series 2015, 5% 6/1/25  | 150000  | 157121  |
|  Birmingham Wtrwks. Board:  |  |  |
|  Series 2016 B, 5% 1/1/30 (Pre-Refunded to 1/1/27 @ 100)  | 135000  | 146963  |
|  Series 2016, 3% 1/1/43 (Pre-Refunded to 1/1/27 @ 100)  | 5000  | 5061  |
|  Black Belt Energy Gas District Bonds Series 2019 A, 4%, tender 12/1/25 (b)  | 560000  | 553828  |
|  Decatur Wtr. & Swr. Rev. Series 2021 A, 2.125% 2/15/51  | 35000  | 19711  |
|  Infirmary Health Systems Spl. Care Facilities Fing. Auth. Rev. Series 2016 A, 3% 2/1/30  | 40000  | 37839  |
|  Mobile Wtr. & Swr. Commissioners Wtr. & Swr. Rev. Series 2014, 5% 1/1/29  | 50000  | 50000  |
|  Southeast Alabama Gas Supply District Bonds Series 2018 A, 4%, tender 4/1/24 (b)  | 50000  | 49922  |
|  Tuscaloosa County Board of Ed. Series 2017, 5% 2/1/43 (Pre-Refunded to 2/1/27 @ 100)  | 45000  | 49156  |
|  UAB Medicine Fin. Auth. Rev.:  |  |  |
|  Series 2016 B:  |  |  |
|  3.625% 9/1/41 <br>| 195000  | 175934  |
|  5% 9/1/34 <br>| 130000  | 137465  |
|  Series 2017 B1, 3.25% 9/1/31  | 5000  | 4887  |
|  Univ. of Alabama At Birmingham Series 2019 B, 3% 10/1/41  | 50000  | 40263  |
|  Univ. of Alabama Gen. Rev. Series 2017 B, 3% 7/1/35  | 10000  | 9182  |
|  TOTAL ALABAMA  |  | 2257938  |
| Alaska - 0.2%  |  |  |
|  Alaska Gen. Oblig.:  |  |  |
|  Series 2013 B, 5% 8/1/23  | 100000  | 100156  |
|  Series 2015 B, 5% 8/1/27  | 50000  | 52841  |
|  Alaska Hsg. Fin. Corp. Series 2017 A, 5% 12/1/30  | 75000  | 80831  |
|  TOTAL ALASKA  |  | 233828  |
| Arizona - 1.0%  |  |  |
|  Arizona Health Facilities Auth. Rev. (Scottsdale Lincoln Hospitals Proj.) Series 2014 A, 5% 12/1/26  | 35000  | 36153  |
|  Arizona Indl. Dev. Auth. Student Hsg. Rev. (North Carolina Central Univ. Proj.) Series 2019 A, 5% 6/1/58  | 65000  | 68137  |
|  Arizona State Univ. Revs. Series 2019 B, 4% 7/1/49  | 15000  | 14013  |
|  Maricopa County Indl. Dev. Auth. Series 2021 A, 4% 9/1/51  | 135000  | 120248  |
|  Maricopa County Rev. Series 2016 A, 5% 1/1/38  | 40000  | 41809  |
|  Maricopa County Spl. Health Care District Gen. Oblig. Series 2018 C, 4% 7/1/38  | 55000  | 54504  |
|  Mesa Util. Sys. Rev. Series 2020, 4% 7/1/43  | 180000  | 176316  |
|  Phoenix Civic Impt. Board Arpt. Rev.:  |  |  |
|  Series 2015 A, 5% 7/1/45  | 175000  | 177166  |
|  Series 2017 D, 5% 7/1/25  | 15000  | 15812  |
|  Phoenix Civic Impt. Corp. District Rev. Series 2005 B, 5.5% 7/1/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 75000  | 90791  |
|  Phoenix Civic Impt. Corp. Excise Tax Rev. Series 2015 A, 5% 7/1/31  | 25000  | 26385  |
|  Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev.:  |  |  |
|  (Arizona Salt River Proj.) Series A, 5% 1/1/31  | 45000  | 49059  |
|  Series 2016 A, 5% 1/1/27  | 50000  | 54609  |
|  Series 2017 A:  |  |  |
|  5% 1/1/28 <br>| 100000  | 111253  |
|  5% 1/1/33 <br>| 50000  | 55196  |
|  Series 2019 A, 4% 1/1/41  | 175000  | 175725  |
|  Series A:  |  |  |
|  5% 1/1/31 <br>| 40000  | 44409  |
|  5% 1/1/36 <br>| 40000  | 42948  |
|  Salt Verde Finl. Corp. Sr. Gas Rev.:  |  |  |
|  Series 2007 1:  |  |  |
|  5% 12/1/32 <br>| 50000  | 52247  |
|  5.25% 12/1/24 <br>| 10000  | 10206  |
|  5.25% 12/1/26 <br>| 15000  | 15564  |
|  Series 2007, 5.25% 12/1/23  | 20000  | 20177  |
|  Univ. of Arizona Univ. Revs.:  |  |  |
|  Series 2016 B, 5% 6/1/42  | 45000  | 46691  |
|  Series 2020 A, 4% 8/1/44  | 100000  | 95188  |
|  TOTAL ARIZONA  |  | 1594606  |
| Arkansas - 0.1%  |  |  |
|  Fort Smith Wtr. & Swr. Rev. Series 2018, 5% 10/1/34  | 110000  | 119292  |
|  Pulaski County Pub. Facilities Board Series 2014, 5% 12/1/39 (Pre-Refunded to 12/1/24 @ 100)  | 35000  | 36403  |
|  TOTAL ARKANSAS  |  | 155695  |
| California - 18.8%  |  |  |
|  Anaheim Elementary School District Series 2016, 3% 8/1/46  | 50000  | 38324  |
|  Anaheim Pub. Fing. Auth. Lease Rev.:  |  |  |
|  (Anaheim Pub. Impts. Proj.) Series 1997 C, 0% 9/1/36 (Escrowed to Maturity)  | 170000  | 104735  |
|  Series 1997 C, 0% 9/1/28 (Assured Guaranty Muni. Corp. Insured)  | 95000  | 78306  |
|  Antelope Valley Cmnty. College District Series B, 3% 8/1/50  | 55000  | 40798  |
|  Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2017 G, 2%, tender 4/1/24 (b) <br>| 50000  | 48907  |
|  Series 2018 A, 2.625%, tender 4/1/26 (b) <br>| 130000  | 127392  |
|  Series A, 2.95%, tender 4/1/26 (b) <br>| 120000  | 118709  |
|  Series 2017 S7:  |  |  |
|  4% 4/1/34 <br>| 95000  | 98701  |
|  4% 4/1/38 <br>| 75000  | 75340  |
|  4% 4/1/47 <br>| 5000  | 4863  |
|  Series F1, 5% 4/1/54 (Pre-Refunded to 4/1/24 @ 100)  | 70000  | 71900  |
|  Brea Redev. Agcy. Series 2003, 0% 8/1/29 (AMBAC Insured)  | 105000  | 83741  |
|  California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Bonds Series 2022 A1, 4%, tender 8/1/28 (b)  | 670000  | 666534  |
|  California Dept. of Wtr. Resources:  |  |  |
|  Series AV, 4% 12/1/31  | 40000  | 41767  |
|  Series BA, 5% 12/1/32  | 65000  | 74301  |
|  California Edl. Facilities Auth. Rev.:  |  |  |
|  (Loyola Marymount Univ. Proj.) Series 2001 A, 0% 10/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 165000  | 129793  |
|  Series 2001 A:  |  |  |
|  0% 10/1/30 <br>| 70000  | 52912  |
|  0% 10/1/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 15000  | 9391  |
|  Series 2018 B, 5% 10/1/43  | 100000  | 104828  |
|  Series T1, 5% 3/15/39  | 30000  | 35135  |
|  Series U6, 5% 5/1/45  | 35000  | 40194  |
|  California Gen. Oblig.:  |  |  |
|  Series 2012, 4% 9/1/37  | 215000  | 215050  |
|  Series 2013:  |  |  |
|  5% 9/1/26 <br>| 75000  | 76083  |
|  5% 9/1/27 <br>| 55000  | 55791  |
|  5% 11/1/30 <br>| 25000  | 25449  |
|  Series 2014:  |  |  |
|  5% 10/1/23 <br>| 35000  | 35551  |
|  5% 11/1/23 <br>| 50000  | 50890  |
|  5% 10/1/28 <br>| 30000  | 31278  |
|  Series 2015:  |  |  |
|  5% 8/1/23 <br>| 25000  | 25308  |
|  5% 8/1/26 <br>| 75000  | 78746  |
|  5% 8/1/26 <br>| 65000  | 69004  |
|  5% 9/1/26 <br>| 20000  | 21270  |
|  5% 9/1/28 <br>| 50000  | 53042  |
|  5% 8/1/29 <br>| 20000  | 21152  |
|  5% 8/1/30 <br>| 170000  | 177250  |
|  5% 8/1/45 <br>| 40000  | 41535  |
|  5.25% 8/1/30 <br>| 95000  | 100700  |
|  Series 2016:  |  |  |
|  3% 9/1/33 <br>| 120000  | 115853  |
|  4% 9/1/28 <br>| 110000  | 115123  |
|  4% 9/1/34 <br>| 300000  | 308713  |
|  4% 9/1/35 <br>| 50000  | 51090  |
|  4% 9/1/36 <br>| 200000  | 202987  |
|  5% 9/1/24 <br>| 45000  | 46727  |
|  5% 9/1/26 <br>| 160000  | 173814  |
|  5% 8/1/27 <br>| 45000  | 48792  |
|  5% 9/1/30 <br>| 15000  | 16233  |
|  5% 9/1/32 <br>| 50000  | 53989  |
|  5% 9/1/45 <br>| 10000  | 10469  |
|  Series 2017 A, 5% 8/1/26  | 80000  | 86759  |
|  Series 2017:  |  |  |
|  3.5% 8/1/27 <br>| 25000  | 25510  |
|  4% 8/1/37 <br>| 25000  | 25377  |
|  5% 11/1/25 <br>| 175000  | 186894  |
|  5% 11/1/27 <br>| 75000  | 83393  |
|  5% 11/1/27 <br>| 65000  | 72274  |
|  5% 11/1/31 <br>| 100000  | 110947  |
|  5% 8/1/33 <br>| 100000  | 107650  |
|  Series 2018, 5% 10/1/48  | 100000  | 106705  |
|  Series 2019:  |  |  |
|  3% 10/1/33 <br>| 70000  | 66751  |
|  3% 10/1/34 <br>| 50000  | 46951  |
|  4% 4/1/25 <br>| 45000  | 46362  |
|  5% 4/1/25 <br>| 105000  | 110602  |
|  5% 10/1/25 <br>| 175000  | 186525  |
|  5% 4/1/26 <br>| 295000  | 317705  |
|  5% 4/1/27 <br>| 10000  | 10992  |
|  5% 4/1/29 <br>| 140000  | 159430  |
|  5% 4/1/30 <br>| 100000  | 113833  |
|  5% 4/1/35 <br>| 5000  | 5115  |
|  5% 4/1/36 <br>| 75000  | 76638  |
|  Series 2020:  |  |  |
|  2% 11/1/36 <br>| 60000  | 45640  |
|  3% 3/1/28 <br>| 50000  | 49947  |
|  3% 11/1/35 <br>| 250000  | 229795  |
|  4% 3/1/28 <br>| 40000  | 42589  |
|  4% 3/1/29 <br>| 175000  | 187893  |
|  4% 3/1/50 <br>| 40000  | 38374  |
|  5% 11/1/27 <br>| 50000  | 55595  |
|  5% 3/1/32 <br>| 50000  | 57596  |
|  5% 3/1/32 <br>| 50000  | 57596  |
|  5% 3/1/35 <br>| 220000  | 247751  |
|  Series 2021:  |  |  |
|  4% 12/1/24 <br>| 100000  | 102270  |
|  5% 12/1/26 <br>| 310000  | 338492  |
|  5% 12/1/31 <br>| 265000  | 314224  |
|  California Health Facilities Fing. Auth. Rev.:  |  |  |
|  Bonds (Providence St. Jospeh Health) Series 2016 B3, 2%, tender 10/1/25 (b)  | 150000  | 146393  |
|  Series 2013 A, 4% 3/1/43  | 35000  | 32380  |
|  Series 2015, 5% 11/15/26  | 50000  | 53268  |
|  Series 2016 A:  |  |  |
|  3% 10/1/41 <br>| 50000  | 38831  |
|  3.25% 11/15/36 (Pre-Refunded to 11/15/25 @ 100) <br>| 110000  | 112105  |
|  Series 2016 B:  |  |  |
|  5% 11/15/46 <br>| 15000  | 15284  |
|  5% 11/15/46 (Pre-Refunded to 11/15/26 @ 100) <br>| 10000  | 10944  |
|  Series 2017 A:  |  |  |
|  5% 11/15/26 <br>| 275000  | 299790  |
|  5% 11/1/27 <br>| 20000  | 22219  |
|  Series 2017 A2, 5% 11/1/47  | 70000  | 79348  |
|  Series 2018 A:  |  |  |
|  4% 11/15/42 <br>| 65000  | 63080  |
|  5% 11/15/26 <br>| 35000  | 37793  |
|  5% 11/15/33 <br>| 25000  | 26925  |
|  California Infrastructure & Econ. Dev. Bank Rev. Series 2003 A, 5% 7/1/29 (Pre-Refunded to 1/1/28 @ 100)  | 165000  | 183176  |
|  California Infrastructure and Econ. Dev. Bank Rev.:  |  |  |
|  Series 2016:  |  |  |
|  5% 10/1/26 <br>| 15000  | 16207  |
|  5% 10/1/29 <br>| 25000  | 26989  |
|  Series 2018, 5% 10/1/26  | 25000  | 27308  |
|  California Muni. Fin. Auth. Rev.:  |  |  |
|  (LINXS APM Proj.) Series 2018 A:  |  |  |
|  5% 12/31/28 (c) <br>| 60000  | 63033  |
|  5% 12/31/47 (c) <br>| 100000  | 99799  |
|  Series 2018 A, 3.25% 12/31/32 (Assured Guaranty Muni. Corp. Insured) (c)  | 20000  | 18536  |
|  California Pub. Works Board Lease Rev. (Various Cap. Projs.) Series 2020 B, 4% 3/1/45  | 175000  | 169058  |
|  California State Univ. Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 11/1/27 <br>| 20000  | 21371  |
|  5% 11/1/33 <br>| 105000  | 111547  |
|  5% 11/1/43 <br>| 40000  | 41513  |
|  Series 2016 A:  |  |  |
|  3.125% 11/1/36 <br>| 50000  | 46363  |
|  5% 11/1/26 <br>| 45000  | 48604  |
|  5% 11/1/45 <br>| 125000  | 129838  |
|  Series 2017 A, 5% 11/1/25  | 100000  | 106853  |
|  California Statewide Cmntys. Dev. Auth. Series 2017, 5% 5/15/42  | 100000  | 100188  |
|  California Statewide Cmntys. Dev. Auth. Hosp. Rev. Series 2018:  |  |  |
|  4.375% 1/1/48  | 40000  | 37362  |
|  5% 1/1/32  | 20000  | 21186  |
|  California Statewide Cmntys. Dev. Auth. Rev.:  |  |  |
|  Bonds Series 2004 J, 5%, tender 11/1/29 (b)  | 25000  | 28357  |
|  Series 2015, 5% 11/1/43 (Pre-Refunded to 11/1/24 @ 100)  | 85000  | 88439  |
|  Series 2017 A, 5% 4/1/47  | 55000  | 56487  |
|  Series 2018 A, 3.5% 3/1/38  | 125000  | 115628  |
|  Carlsbad Unified School District Series 2011 C, 0% 8/1/35 (d)  | 180000  | 194099  |
|  Cerritos Cmnty. College District Series 2019 C, 3% 8/1/44  | 25000  | 19852  |
|  Chaffey Unified High School District Series 2019 D, 4% 8/1/49  | 20000  | 19373  |
|  Chino Valley Unified School District Series 2017 A, 5.25% 8/1/47  | 25000  | 26472  |
|  Coast Cmnty. College District Series 2013 A, 5% 8/1/38 (Pre-Refunded to 8/1/23 @ 100)  | 90000  | 91114  |
|  Compton Unified School District Series 2019 B, 3% 6/1/49  | 10000  | 7279  |
|  Concord Ctfs. of Prtn. (2021 Cap. Impt. Proj.) Series 2021, 2.125% 4/1/41  | 445000  | 294225  |
|  Contra Costa Cmnty. College District Series 2014 A, 4% 8/1/39  | 145000  | 145005  |
|  Downey Unified School District Series 2019 B, 3.625% 8/1/42  | 280000  | 251655  |
|  East Bay Muni. Util. District Wastewtr. Sys. Rev.:  |  |  |
|  Series 2015 A, 5% 6/1/37  | 65000  | 68366  |
|  Series 2017 B, 5% 6/1/27  | 5000  | 5530  |
|  El Camino Cmnty. College District Series 2012 C:  |  |  |
|  0% 8/1/34  | 165000  | 109935  |
|  0% 8/1/38  | 65000  | 34921  |
|  Elk Grove Unified School Distr. Ctfs. of Prtn. (Cap. Facilities Proj.) Series 2016, 3% 2/1/35  | 60000  | 55603  |
|  Foothill-De Anza Cmnty. College District Series 2003 B, 0% 8/1/25  | 5000  | 4650  |
|  Foothill/Eastern Trans. Corridor Agcy. Toll Road Rev.:  |  |  |
|  Series 1995 A:  |  |  |
|  0% 1/1/24 (Escrowed to Maturity) <br>| 105000  | 102075  |
|  0% 1/1/27 (Escrowed to Maturity) <br>| 40000  | 35803  |
|  0% 1/1/29 (Escrowed to Maturity) <br>| 20000  | 16915  |
|  Series 2013 A:  |  |  |
|  0% 1/15/24 (Assured Guaranty Muni. Corp. Insured) <br>| 40000  | 38716  |
|  5% 1/15/42 (Assured Guaranty Muni. Corp. Insured) <br>| 85000  | 86807  |
|  6% 1/15/49 (Pre-Refunded to 1/15/24 @ 100) <br>| 40000  | 41300  |
|  6% 1/15/53 (Pre-Refunded to 1/15/24 @ 100) <br>| 10000  | 10325  |
|  Series 2013 B1, 3.95% 1/15/53 (b)  | 80000  | 70934  |
|  Fremont Union High School District, Santa Clara Series 2019 A, 4% 8/1/46  | 30000  | 29461  |
|  Fresno Unified School District Series 2016 A, 4% 8/1/41  | 150000  | 148078  |
|  Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:  |  |  |
|  Series 2013 A, 5% 6/1/30 (Pre-Refunded to 6/1/23 @ 100)  | 40000  | 40347  |
|  Series 2015 A:  |  |  |
|  4% 6/1/31 (Pre-Refunded to 6/1/25 @ 100) <br>| 100000  | 103501  |
|  5% 6/1/35 (Pre-Refunded to 6/1/25 @ 100) <br>| 20000  | 21165  |
|  5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) <br>| 10000  | 10582  |
|  5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) <br>| 10000  | 10582  |
|  5% 6/1/45 (Pre-Refunded to 6/1/25 @ 100) <br>| 140000  | 148153  |
|  Grossmont Union High School District:  |  |  |
|  Series 2008, 0% 8/1/30  | 10000  | 7731  |
|  Series 2016 B, 3% 8/1/45  | 20000  | 15305  |
|  Hayward Unified School District Gen. Oblig. Series 2019 A, 4% 8/1/48  | 200000  | 190168  |
|  Imperial Irrigation District Elec. Rev. Series 2016 B1, 5% 11/1/46  | 140000  | 147451  |
|  Kaweah Delta Health Care District Series 2015 B, 4% 6/1/45  | 155000  | 118039  |
|  Long Beach Bond Fin. Auth. Natural Gas Purchase Rev. Series 2007 A, 5% 11/15/35  | 25000  | 26198  |
|  Long Beach Unified School District:  |  |  |
|  Series 2012, 5% 8/1/29  | 105000  | 105147  |
|  Series 2016, 3% 8/1/32  | 35000  | 34329  |
|  Series B, 0% 8/1/35  | 150000  | 91696  |
|  Los Angeles Cmnty. College District:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 8/1/28 (Pre-Refunded to 8/1/24 @ 100) <br>| 170000  | 176381  |
|  5% 8/1/31 (Pre-Refunded to 8/1/24 @ 100) <br>| 170000  | 176381  |
|  Series 2017 J, 5% 8/1/28  | 30000  | 33271  |
|  Series A, 5% 8/1/30 (Pre-Refunded to 8/1/24 @ 100)  | 30000  | 31126  |
|  Series F, 5% 8/1/24 (Pre-Refunded to 8/1/23 @ 100)  | 35000  | 35433  |
|  Series G, 5% 8/1/27 (Pre-Refunded to 8/1/24 @ 100)  | 10000  | 10375  |
|  Series K, 4% 8/1/35  | 20000  | 20575  |
|  Los Angeles County Metropolitan Trans. Auth. Sales Tax Rev.:  |  |  |
|  Series 2019 A, 5% 7/1/44  | 45000  | 48213  |
|  Series 2021 A:  |  |  |
|  5% 6/1/30 <br>| 200000  | 234118  |
|  5% 7/1/44 <br>| 190000  | 209059  |
|  Los Angeles Dept. Arpt. Rev.:  |  |  |
|  Series 2015, 5% 5/15/32  | 200000  | 210210  |
|  Series 2018 C, 5% 5/15/37 (c)  | 75000  | 77573  |
|  Series 2018 D:  |  |  |
|  5% 5/15/31 (c) <br>| 80000  | 85873  |
|  5% 5/15/34 (c) <br>| 120000  | 127409  |
|  Series 2022 I, 5% 5/15/42  | 285000  | 314790  |
|  Series A, 5% 5/15/36 (c)  | 50000  | 52478  |
|  Series B:  |  |  |
|  5% 5/15/34 (c) <br>| 10000  | 10625  |
|  5% 5/15/48 <br>| 65000  | 70336  |
|  Series C, 5% 5/15/33 (c)  | 90000  | 94844  |
|  Series D, 5% 5/15/26 (c)  | 65000  | 68272  |
|  Los Angeles Dept. of Wtr. & Pwr. Rev.:  |  |  |
|  Series 2013 A, 5% 7/1/23  | 10000  | 10000  |
|  Series 2014 C, 5% 7/1/29  | 40000  | 41464  |
|  Series 2014 D, 5% 7/1/44  | 45000  | 45982  |
|  Series 2015 A, 3.25% 7/1/31  | 100000  | 100219  |
|  Series 2016 A:  |  |  |
|  5% 7/1/40 <br>| 125000  | 129291  |
|  5% 7/1/46 <br>| 70000  | 72335  |
|  Series 2017 A, 5% 7/1/28  | 5000  | 5481  |
|  Series 2020 A, 5% 7/1/27  | 135000  | 149562  |
|  Series A, 5% 7/1/31  | 15000  | 16750  |
|  Series B:  |  |  |
|  5% 7/1/29 <br>| 50000  | 51222  |
|  5% 7/1/30 <br>| 40000  | 40385  |
|  5% 7/1/30 <br>| 55000  | 62651  |
|  5% 7/1/40 <br>| 190000  | 209091  |
|  Series C, 5% 7/1/37  | 25000  | 27540  |
|  Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev.:  |  |  |
|  Series 2014 A, 5% 7/1/44  | 25000  | 25560  |
|  Series 2016 B, 5% 7/1/29  | 50000  | 53701  |
|  Series 2022 B:  |  |  |
|  4% 7/1/49 <br>| 140000  | 134813  |
|  5% 7/1/28 <br>| 430000  | 486629  |
|  Series A:  |  |  |
|  5% 7/1/33 <br>| 25000  | 27837  |
|  5% 7/1/33 <br>| 20000  | 21861  |
|  Series B, 5% 7/1/25  | 25000  | 25247  |
|  Los Angeles Muni. Impt. Corp. Lease Rev. Series 2016 B, 4% 11/1/37  | 490000  | 492065  |
|  Los Angeles Solid Waste Resources Rev. Series 2018 A, 5% 2/1/30  | 115000  | 127324  |
|  Los Angeles Unified School District:  |  |  |
|  Series 2014 C, 5% 7/1/24  | 40000  | 41345  |
|  Series 2016 A, 5% 7/1/40  | 30000  | 31177  |
|  Series 2017 A, 5% 7/1/26  | 175000  | 189583  |
|  Series 2018 B1:  |  |  |
|  5% 7/1/23 <br>| 95000  | 95988  |
|  5% 7/1/33 <br>| 125000  | 137888  |
|  5.25% 7/1/42 <br>| 50000  | 53383  |
|  Series 2019 A, 5% 7/1/28  | 130000  | 146337  |
|  Series 2020 C, 5% 7/1/30  | 60000  | 69982  |
|  Series 2020, 5% 7/1/25  | 10000  | 10604  |
|  Series 2021 A, 5% 7/1/25  | 75000  | 79527  |
|  Series A:  |  |  |
|  5% 7/1/24 <br>| 5000  | 5168  |
|  5% 7/1/29 <br>| 5000  | 5732  |
|  5% 7/1/30 <br>| 50000  | 57297  |
|  Series B, 5% 7/1/25  | 90000  | 95433  |
|  Series C, 5% 7/1/28  | 55000  | 56792  |
|  Marin Healthcare District Series 2017 A:  |  |  |
|  3% 8/1/37  | 70000  | 61934  |
|  4% 8/1/47  | 135000  | 129114  |
|  Metropolitan Wtr. District of Southern California Wtr. Rev. Series 2020 A, 5% 10/1/33  | 55000  | 63306  |
|  Montebello Unified School District Series A, 5% 8/1/41  | 50000  | 52461  |
|  MSR Energy Auth. Gas Rev.:  |  |  |
|  Series 2009 A, 6.125% 11/1/29  | 55000  | 60870  |
|  Series 2009 B, 6.5% 11/1/39  | 25000  | 29911  |
|  Newport Mesa Unified School District:  |  |  |
|  Series 2011, 0% 8/1/36  | 230000  | 137760  |
|  Series 2017, 0% 8/1/39  | 95000  | 48591  |
|  North Orange County Cmnty. College District Rev. Series 2016 A, 3% 8/1/40  | 15000  | 12619  |
|  Norwalk-Mirada Unified School District Series 2005 B, 0% 8/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 70000  | 58182  |
|  Orange County Wtr. District Rev.:  |  |  |
|  Series 2017 A, 5% 8/15/29  | 75000  | 82344  |
|  Series 2019 C, 5% 8/15/32  | 150000  | 172010  |
|  Orange County Wtr. District Rev. Ctfs. of Prtn. Series 2003 B, 5% 8/15/28 (Escrowed to Maturity)  | 120000  | 129814  |
|  Palo Alto Unified School District Gen. Oblig. Series 2008 2, 0% 8/1/33  | 35000  | 24533  |
|  Palomar Cmnty. College District Series 2010 B, 0% 8/1/45 (d)  | 50000  | 42478  |
|  Palomar Pomerado Health Series 2009 A, 0% 8/1/28 (Assured Guaranty Corp. Insured)  | 200000  | 164964  |
|  Port of Oakland Rev. Series 2017 E, 5% 11/1/26  | 30000  | 32112  |
|  Poway Unified School District Series 2011, 0% 8/1/46  | 190000  | 59361  |
|  Riverside Cmnty. College District Series 2019, 3% 8/1/36  | 200000  | 180414  |
|  Riverside County Pub. Fing. Auth. (Cap. Facilities Proj.) Series 2015:  |  |  |
|  4.125% 11/1/40 (Pre-Refunded to 11/1/25 @ 100)  | 100000  | 104341  |
|  5.25% 11/1/45 (Pre-Refunded to 11/1/25 @ 100)  | 180000  | 193301  |
|  Sacramento City Fing. Auth. Rev. Series 2005 A:  |  |  |
|  0% 12/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 80000  | 63107  |
|  0% 12/1/34 (FGIC Insured)  | 100000  | 63219  |
|  Sacramento Muni. Util. District Elec. Rev. Series 2020 H, 5% 8/15/39  | 70000  | 77772  |
|  Sacramento TOT Rev. Series A, 5% 6/1/43  | 55000  | 57709  |
|  San Bernardino Cmnty. College District:  |  |  |
|  Series 2019 A, 3% 8/1/41 (Pre-Refunded to 8/16/27 @ 100)  | 375000  | 380006  |
|  Series B, 0% 8/1/48  | 5000  | 1586  |
|  San Diego Cmnty. College District:  |  |  |
|  Series 2013, 0% 8/1/41 (Pre-Refunded to 8/1/23 @ 57.571) (d)  | 180000  | 101660  |
|  Series 2016, 5% 8/1/41 (Pre-Refunded to 8/1/26 @ 100)  | 5000  | 5421  |
|  San Diego County Reg'l. Arpt. Auth. Arpt. Rev. Series 2017 A, 5% 7/1/47  | 50000  | 51675  |
|  San Diego County Wtr. Auth. Fing. Agcy. Wtr. Rev. Series 2022 A, 5% 5/1/47  | 140000  | 154653  |
|  San Diego Pub. Facilities Fing. Auth. Wtr. Rev. Series 2018 A:  |  |  |
|  5% 8/1/33  | 170000  | 189751  |
|  5.25% 8/1/47  | 30000  | 32504  |
|  San Diego Redev. Agcy. Series 2016 A, 5% 9/1/23  | 50000  | 50673  |
|  San Diego Unified School District:  |  |  |
|  (Election of 1998 Proj.) Series 2005 E2, 5.5% 7/1/26 (Assured Guaranty Muni. Corp. Insured)  | 80000  | 88194  |
|  Series 1998 G1:  |  |  |
|  5.25% 7/1/27 <br>| 5000  | 5597  |
|  5.25% 7/1/28 (Assured Guaranty Muni. Corp. Insured) <br>| 25000  | 28598  |
|  5.25% 7/1/28 (Escrowed to Maturity) <br>| 5000  | 5662  |
|  Series 2008 E, 0% 7/1/49  | 125000  | 38385  |
|  Series 2009 1, 0% 7/1/30  | 50000  | 39397  |
|  Series 2017 K2, 0% 7/1/31  | 430000  | 321565  |
|  Series A, 0% 7/1/31  | 15000  | 11352  |
|  Series C, 0% 7/1/43  | 10000  | 4142  |
|  Series G, 0% 7/1/37 (Pre-Refunded to 1/1/24 @ 47.757)  | 130000  | 60290  |
|  Series R1, 0% 7/1/30  | 35000  | 27578  |
|  Series R4, 5% 7/1/28  | 70000  | 74369  |
|  Series R5, 5% 7/1/26  | 50000  | 54201  |
|  San Francisco Bay Area Rapid Transit District Sales Tax Rev. Series 2019 A, 3% 7/1/44  | 5000  | 3956  |
|  San Francisco Bay Area Rapid Transit Fing. Auth.:  |  |  |
|  Series 2017 A1, 4% 8/1/42  | 10000  | 9945  |
|  Series 2019 B1, 3% 8/1/49  | 200000  | 150820  |
|  Series A1, 5% 8/1/47  | 80000  | 84634  |
|  San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:  |  |  |
|  Series 2016 A, 5% 5/1/26  | 25000  | 26888  |
|  Series 2017 A, 5% 5/1/47 (c)  | 40000  | 40424  |
|  Series 2017 D:  |  |  |
|  5% 5/1/24 (c) <br>| 35000  | 35725  |
|  5% 5/1/25 (c) <br>| 105000  | 108843  |
|  Series 2019 A, 5% 5/1/49 (c)  | 25000  | 25314  |
|  Series 2019 D:  |  |  |
|  5% 5/1/26 <br>| 135000  | 145198  |
|  5% 5/1/34 <br>| 325000  | 363179  |
|  5% 5/1/39 <br>| 30000  | 32327  |
|  Series 2019 E, 5% 5/1/34 (c)  | 175000  | 185792  |
|  Series 2020 A, 4% 5/1/39 (c)  | 15000  | 14095  |
|  San Francisco City & County Ctfs. of Prtn. (49 South Van Ness Proj.) Series 2019 A, 4% 4/1/41  | 30000  | 29609  |
|  San Francisco Muni. Trans. Agcy. Series 2017, 4% 3/1/42  | 135000  | 132866  |
|  San Francisco Pub. Utils. Commission Wtr. Rev.:  |  |  |
|  Series 2015 A, 5% 11/1/29  | 15000  | 15834  |
|  Series 2020 A, 5% 11/1/50  | 85000  | 91007  |
|  San Joaquin Hills Trans. Corridor Agcy. Toll Road Rev.:  |  |  |
|  Series 1993:  |  |  |
|  0% 1/1/25 (Escrowed to Maturity) <br>| 200000  | 189474  |
|  0% 1/1/26 (Escrowed to Maturity) <br>| 30000  | 27687  |
|  0% 1/1/28 (Escrowed to Maturity) <br>| 35000  | 30520  |
|  0% 1/1/28 (Escrowed to Maturity) <br>| 200000  | 174402  |
|  Series 1997 A, 0% 1/15/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 30000  | 20720  |
|  Series 2014 A, 5% 1/15/44 (Pre-Refunded to 1/15/25 @ 100)  | 95000  | 99513  |
|  Series A, 0% 1/15/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 90000  | 65321  |
|  San Jose Int. Arpt. Rev. Series 2017 B, 5% 3/1/42  | 20000  | 20750  |
|  San Mateo County Cmnty. College District Series 2006 B:  |  |  |
|  0% 9/1/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 130000  | 90637  |
|  0% 9/1/35 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 200000  | 126032  |
|  San Mateo Foster City (Clean Wtr. Prog.) Series 2019, 5% 8/1/49  | 15000  | 16150  |
|  San Mateo Unified School District Series 2011 A, 0% 9/1/41 (d)  | 50000  | 46552  |
|  Santa Clara County Fing. Auth. Lease Rev.:  |  |  |
|  (Multiple Facilities Proj.) Series Q, 3% 5/15/37  | 200000  | 171632  |
|  Series 2019 A, 3.125% 5/1/47  | 225000  | 173127  |
|  Santa Clara Unified School District Series 2019, 4% 7/1/48  | 35000  | 34220  |
|  Santa Clara Valley Wtr. District Wtr. Util. Rev. Series 2016 A, 5% 6/1/33  | 75000  | 80010  |
|  Saugus Union School District Series 2020 C, 2.375% 8/1/44  | 150000  | 103035  |
|  Sequoia Union High School District Series 2016, 3% 7/1/31  | 145000  | 145052  |
|  Sierra Joint Cmnty. College District Series 2021 B, 2% 8/1/46  | 100000  | 60876  |
|  Solano Cmnty. College District Series A, 0% 8/1/41 (Pre-Refunded to 8/1/28 @ 100) (d)  | 40000  | 43207  |
|  Sonoma County Jr. College District Rev.:  |  |  |
|  Series 2019 B, 3% 8/1/36  | 200000  | 179171  |
|  Series B, 3% 8/1/41  | 5000  | 4066  |
|  Southern California Pub. Pwr. Auth. Rev. Series A, 5.25% 11/1/26  | 30000  | 31659  |
|  Southwestern Cmnty. College District Gen. Oblig. Series 2021 C, 2.375% 8/1/46  | 100000  | 64176  |
|  Sweetwater Union High School District Series 2016, 4% 8/1/42  | 350000  | 343753  |
|  Turlock Irrigation District Rev. Series 2016, 5% 1/1/46  | 205000  | 215272  |
|  Twin Rivers Unified School District Series 2016, 0% 8/1/41 (Assured Guaranty Muni. Corp. Insured)  | 135000  | 57671  |
|  Univ. of California Revs.:  |  |  |
|  Series 2015 AO, 5% 5/15/40  | 125000  | 129715  |
|  Series 2016, 5% 5/15/35  | 135000  | 144113  |
|  Series 2017 M, 5% 5/15/32  | 75000  | 82238  |
|  Series 2018 O:  |  |  |
|  4% 5/15/48 <br>| 165000  | 159238  |
|  5% 5/15/58 <br>| 105000  | 110411  |
|  Series 2021 Q, 5% 5/15/35  | 160000  | 184032  |
|  Series AF, 5% 5/15/24  | 55000  | 55422  |
|  Series AM, 5.25% 5/15/37  | 10000  | 10281  |
|  Series AO, 5% 5/15/23  | 15000  | 15117  |
|  Series AY, 5% 5/15/28  | 20000  | 22103  |
|  Series I:  |  |  |
|  5% 5/15/25 <br>| 50000  | 52856  |
|  5% 5/15/28 <br>| 40000  | 42315  |
|  Series M, 5% 5/15/36  | 80000  | 86068  |
|  Series O, 4% 5/15/29  | 25000  | 26758  |
|  Upland Gen. Oblig. Ctfs. of Prtn. Series 2017, 5% 1/1/47  | 80000  | 81255  |
|  Upper Santa Clara Valley Joint Powers Auth. Series 2020 A, 4% 8/1/50  | 85000  | 81439  |
|  West Contra Costa Unified School District Series C1:  |  |  |
|  0% 8/1/27 (Assured Guaranty Corp. Insured)  | 15000  | 13031  |
|  0% 8/1/28  | 60000  | 50310  |
|  West Hollywood Pub. Fing. Auth. Series 2016, 3% 4/1/41  | 140000  | 116162  |
|  Westminster Redev. Agcy. Series 2016, 3% 11/1/41  | 125000  | 99943  |
|  William S. Hart Union High School District Series 2009 A, 0% 8/1/33  | 50000  | 33796  |
|  Yuba Cmnty. College District Series 2016 A:  |  |  |
|  3% 8/1/36  | 165000  | 147977  |
|  3% 8/1/37  | 35000  | 30849  |
|  TOTAL CALIFORNIA  |  | 28694368  |
| Colorado - 1.8%  |  |  |
|  Colorado Ctfs. of Prtn.:  |  |  |
|  Series 2020 A, 3% 12/15/36  | 105000  | 92181  |
|  Series 2021 A, 4% 12/15/38  | 285000  | 282184  |
|  Colorado Health Facilities Auth. Rev. Bonds:  |  |  |
|  (Bethesda Proj.) Series 2018 B, 5% 9/15/53  | 90000  | 74925  |
|  Series 2016 B, 5% 11/15/30  | 150000  | 160808  |
|  Series 2018 A, 4% 11/15/48  | 100000  | 90802  |
|  Series 2019 A, 5% 11/1/29  | 35000  | 39010  |
|  Series 2019 A1:  |  |  |
|  4% 8/1/37 <br>| 75000  | 69868  |
|  4% 8/1/39 <br>| 85000  | 77320  |
|  4% 8/1/44 <br>| 55000  | 47414  |
|  5% 8/1/26 <br>| 60000  | 63238  |
|  Colorado Reg'l. Trans. District Ctfs. of Prtn. Series 2013 A, 5% 6/1/25  | 25000  | 25186  |
|  Colorado Springs Utils. Rev. Series 2018 A2, 5% 11/15/48  | 25000  | 26709  |
|  Denver City & County Arpt. Rev.:  |  |  |
|  Series 2017 A, 5% 11/15/28 (c)  | 30000  | 31850  |
|  Series 2018 A:  |  |  |
|  5% 12/1/25 (c) <br>| 115000  | 120129  |
|  5% 12/1/36 (c) <br>| 60000  | 65369  |
|  Series 2018 B, 3.5% 12/1/35  | 15000  | 14426  |
|  Series 2019 C, 5% 11/15/31  | 30000  | 34067  |
|  Series 2022 A, 5% 11/15/41 (c)  | 245000  | 255022  |
|  Series 2022 D, 5% 11/15/42 (c)  | 165000  | 171360  |
|  Denver City & County Board Wtr. Rev. Series 2022 A, 5% 12/15/45  | 165000  | 183157  |
|  Denver Convention Ctr. Hotel Auth.:  |  |  |
|  Series 2016, 5% 12/1/23  | 50000  | 50293  |
|  Series 2017, 5% 12/1/26  | 50000  | 51543  |
|  E-470 Pub. Hwy. Auth. Rev.:  |  |  |
|  Series 2000 B:  |  |  |
|  0% 9/1/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 25000  | 19257  |
|  0% 9/1/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 20000  | 14790  |
|  0% 9/1/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 25000  | 17705  |
|  Series 2006 B, 0% 9/1/37 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 100000  | 49423  |
|  Metropolitan Wastewtr. Reclamation District Series 2020 A, 2% 4/1/39  | 100000  | 72191  |
|  Park Creek Metropolitan District Series 2015 A, 5% 12/1/45  | 445000  | 454194  |
|  Univ. of Colorado Enterprise Sys. Rev.:  |  |  |
|  Series 2014 A, 5% 6/1/28 (Pre-Refunded to 6/1/24 @ 100)  | 5000  | 5147  |
|  Series 2016 B1, 2.75% 6/1/30  | 85000  | 82871  |
|  TOTAL COLORADO  |  | 2742439  |
| Connecticut - 1.4%  |  |  |
|  Connecticut Gen. Oblig.:  |  |  |
|  Series 2014 C, 5% 6/15/24  | 15000  | 15473  |
|  Series 2015 B, 3.375% 6/15/29  | 25000  | 25177  |
|  Series 2016 A, 5% 3/15/26  | 30000  | 32145  |
|  Series 2017 A, 5% 4/15/27  | 25000  | 27290  |
|  Series 2018 D, 5% 4/15/27  | 105000  | 114617  |
|  Series 2019 A, 5% 4/15/27  | 25000  | 27290  |
|  Series 2020 C, 4% 6/1/31  | 30000  | 31984  |
|  Series 2021 B:  |  |  |
|  3% 6/1/29 <br>| 90000  | 89633  |
|  3% 6/1/40 <br>| 100000  | 82819  |
|  4% 6/1/31 <br>| 65000  | 69810  |
|  Series A, 5% 3/15/28  | 35000  | 36725  |
|  Series B, 5% 1/15/24  | 50000  | 51093  |
|  Series D:  |  |  |
|  4% 8/15/31 <br>| 15000  | 15509  |
|  5% 4/15/26 <br>| 25000  | 26832  |
|  Series E:  |  |  |
|  3.375% 10/15/36 <br>| 30000  | 28579  |
|  5% 9/15/25 <br>| 30000  | 31829  |
|  5% 10/15/25 <br>| 30000  | 31889  |
|  Connecticut Health & Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2016 A, 2%, tender 7/1/26 (b)  | 225000  | 213193  |
|  Series 2019 A:  |  |  |
|  4% 7/1/34 <br>| 30000  | 29192  |
|  5% 7/1/33 <br>| 135000  | 141285  |
|  Series 2020 A, 5% 7/1/30  | 50000  | 54530  |
|  Connecticut Hsg. Fin. Auth.:  |  |  |
|  Series 2017 D1, 3.2% 11/15/32  | 15000  | 14502  |
|  Series 2018 A, 3.5% 5/15/33  | 5000  | 4988  |
|  Series 2020 C1, 2.05% 5/15/37  | 75000  | 57936  |
|  Series B1, 3.45% 11/15/41  | 5000  | 4436  |
|  Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:  |  |  |
|  Series 2015 A, 5% 5/1/26  | 150000  | 161380  |
|  Series 2015 B, 5% 8/1/26  | 110000  | 116437  |
|  Series 2016 A, 5% 9/1/31  | 5000  | 5375  |
|  Series 2018 A, 5% 1/1/27  | 35000  | 38088  |
|  Series 2018 B, 5% 10/1/28  | 120000  | 134821  |
|  Series 2021 A, 4% 5/1/37  | 35000  | 35182  |
|  Series A:  |  |  |
|  4% 9/1/35 <br>| 145000  | 146962  |
|  5% 9/1/30 <br>| 60000  | 64563  |
|  Series B:  |  |  |
|  5% 10/1/33 <br>| 10000  | 11093  |
|  5% 10/1/36 <br>| 85000  | 92525  |
|  Univ. of Connecticut Gen. Oblig. Series 2018 A, 5% 4/15/29  | 25000  | 27593  |
|  TOTAL CONNECTICUT  |  | 2092775  |
| Delaware - 0.3%  |  |  |
|  Delaware Gen. Oblig.:  |  |  |
|  Series 2009 C, 5% 10/1/25  | 225000  | 239633  |
|  Series 2017, 3.25% 3/1/37  | 4000  | 3790  |
|  Delaware Health Facilities Auth. Rev. Series 2020 A:  |  |  |
|  4% 10/1/49  | 155000  | 142694  |
|  5% 10/1/32  | 15000  | 16599  |
|  Delaware Trans. Auth. Series 2015, 4% 6/1/45  | 50000  | 48446  |
|  TOTAL DELAWARE  |  | 451162  |
| District Of Columbia - 1.7%  |  |  |
|  District of Columbia Gen. Oblig.:  |  |  |
|  Series 2013 A, 5% 6/1/26  | 65000  | 65538  |
|  Series 2016 A:  |  |  |
|  4% 6/1/36 <br>| 400000  | 403680  |
|  5% 6/1/32 <br>| 40000  | 42824  |
|  Series 2017 A, 5% 6/1/29  | 45000  | 49432  |
|  Series 2017 D:  |  |  |
|  5% 6/1/28 <br>| 100000  | 109872  |
|  5% 6/1/42 <br>| 35000  | 36964  |
|  Series 2019 A:  |  |  |
|  5% 10/15/31 <br>| 80000  | 90954  |
|  5% 10/15/44 <br>| 15000  | 16042  |
|  Series 2021 D, 5% 2/1/31  | 60000  | 69891  |
|  District of Columbia Hosp. Rev. Series 2015, 5% 7/15/24  | 115000  | 117825  |
|  District of Columbia Income Tax Rev. Series 2019 C:  |  |  |
|  5% 10/1/29  | 180000  | 206527  |
|  5% 10/1/33  | 205000  | 230684  |
|  District of Columbia Rev. Series 2020, 5% 12/1/27  | 180000  | 198803  |
|  District of Columbia Univ. Rev. Series 2017, 5% 4/1/31  | 25000  | 26618  |
|  District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev.:  |  |  |
|  Series 2014 C:  |  |  |
|  5% 10/1/27 <br>| 20000  | 20775  |
|  5% 10/1/28 <br>| 50000  | 51895  |
|  Series 2019 A, 5% 10/1/44  | 130000  | 138816  |
|  Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev.:  |  |  |
|  (Dulles Metrorail and Cap. Impt. Proj.) Series 2019 B:  |  |  |
|  3% 10/1/50 (Assured Guaranty Muni. Corp. Insured) <br>| 20000  | 14288  |
|  4% 10/1/53 <br>| 45000  | 38130  |
|  Series 2009 B:  |  |  |
|  0% 10/1/25 (Assured Guaranty Corp. Insured) <br>| 5000  | 4558  |
|  0% 10/1/31 (Assured Guaranty Corp. Insured) <br>| 35000  | 24888  |
|  0% 10/1/34 (Assured Guaranty Corp. Insured) <br>| 70000  | 42582  |
|  0% 10/1/36 (Assured Guaranty Corp. Insured) <br>| 20000  | 10888  |
|  Series 2019 218, 4% 10/1/44  | 100000  | 89054  |
|  Metropolitan Washington DC Arpts. Auth. Sys. Rev.:  |  |  |
|  Series 2014 A:  |  |  |
|  5% 10/1/28 (c) <br>| 40000  | 40925  |
|  5% 10/1/44 (c) <br>| 105000  | 105448  |
|  Series 2018 A, 5% 10/1/27 (c)  | 65000  | 69190  |
|  Series 2021 A, 4% 10/1/41 (c)  | 205000  | 190098  |
|  Washington D.C. Metropolitan Transit Auth. Rev.:  |  |  |
|  Series 2017 A1, 5% 7/1/29  | 10000  | 10887  |
|  Series 2017 B, 5% 7/1/42  | 70000  | 73259  |
|  TOTAL DISTRICT OF COLUMBIA  |  | 2591335  |
| Florida - 4.4%  |  |  |
|  Brevard County Health Facilities Auth. Health Care Facilities Rev. (Health First, Inc. Proj.) Series 2014, 4% 4/1/36  | 180000  | 173579  |
|  Broward County Arpt. Sys. Rev.:  |  |  |
|  Series 2015 A, 5% 10/1/33 (c)  | 35000  | 36048  |
|  Series 2019 A, 5% 10/1/49 (c)  | 100000  | 101324  |
|  Broward County Port Facilities Rev. Series 2019 B, 4% 9/1/38 (c)  | 75000  | 73074  |
|  Broward County Wtr. & Swr. Util. Rev. Series 2019 A, 4% 10/1/43  | 200000  | 190324  |
|  Central Florida Expressway Auth. Sr. Lien Rev.:  |  |  |
|  Series 2016 B:  |  |  |
|  3% 7/1/37 (Assured Guaranty Muni. Corp. Insured) <br>| 50000  | 44984  |
|  4% 7/1/40 <br>| 20000  | 19414  |
|  Series 2017, 3.375% 7/1/42  | 70000  | 60391  |
|  Series 2019 B, 5% 7/1/44  | 125000  | 131374  |
|  Series 2021, 5% 7/1/26 (Assured Guaranty Muni. Corp. Insured)  | 265000  | 285059  |
|  Florida Board of Ed. Lottery Rev. Series 2016 B, 5% 7/1/26  | 65000  | 70281  |
|  Florida Board of Ed. Pub. Ed. Cap. Outlay:  |  |  |
|  Series 2015 E, 5% 6/1/24  | 20000  | 20676  |
|  Series 2018 A, 4% 6/1/37  | 55000  | 55689  |
|  Series 2018 B, 4% 6/1/48  | 160000  | 156438  |
|  Series 2019 D, 4% 6/1/30  | 35000  | 37371  |
|  Series C:  |  |  |
|  4% 6/1/28 <br>| 30000  | 30188  |
|  5% 6/1/25 <br>| 90000  | 95025  |
|  Series D, 4% 6/1/32  | 25000  | 25874  |
|  Florida Dept. of Trans. Tpk. Rev.:  |  |  |
|  Series 2016 B, 2.625% 7/1/27  | 60000  | 59913  |
|  Series 2021 B, 2% 7/1/43  | 155000  | 97550  |
|  Series 2021 C, 3% 7/1/51  | 185000  | 131267  |
|  Florida Dev. Fin. Corp. Healthcare Facility Rev. Series 2021, 5% 11/15/26  | 100000  | 106133  |
|  Florida Higher Edl. Facilities Fing. Auth. (Nova Southeastern Univ. Proj.) Series 2016, 5% 4/1/35  | 40000  | 40939  |
|  Gainesville Utils. Sys. Rev. Series 2021 A1, 5% 10/1/46  | 100000  | 105200  |
|  Greater Orlando Aviation Auth. Arpt. Facilities Rev. Series 2017 A, 5% 10/1/30 (Pre-Refunded to 10/1/27 @ 100) (c)  | 30000  | 32562  |
|  Hillsborough County Cap. Impt. Series 2019:  |  |  |
|  3.125% 8/1/46  | 50000  | 39843  |
|  3.25% 8/1/49  | 10000  | 7996  |
|  Hillsborough County Indl. Dev. (Tampa Gen. Hosp. Proj.) Series 2012 A:  |  |  |
|  3.5% 10/1/28 (Pre-Refunded to 10/1/23 @ 100)  | 50000  | 50146  |
|  5% 10/1/28 (Pre-Refunded to 10/1/23 @ 100)  | 25000  | 25351  |
|  Hillsborough County School Board Ctfs. of Prtn. Series 2020 A, 5% 7/1/29  | 75000  | 84071  |
|  Jacksonville Elec. Auth. Elec. Sys. Rev. Series 2017 B3, 5% 10/1/27  | 125000  | 137121  |
|  Jacksonville Spl. Rev.:  |  |  |
|  Series 2013 A, 5% 10/1/40  | 75000  | 75667  |
|  Series 2013 C, 5.25% 10/1/30  | 150000  | 152411  |
|  Series 2014, 5% 10/1/28  | 65000  | 67249  |
|  Series 2019 A:  |  |  |
|  5% 10/1/24 <br>| 85000  | 88250  |
|  5% 10/1/27 <br>| 80000  | 87832  |
|  5% 10/1/29 <br>| 25000  | 28370  |
|  5% 10/1/32 <br>| 60000  | 67282  |
|  5% 10/1/34 <br>| 100000  | 111098  |
|  Jacksonville Trans. Auth. Series 2015, 5% 8/1/35  | 150000  | 156845  |
|  JEA Wtr. & Swr. Sys. Rev. Series 2017 A, 4% 10/1/34  | 15000  | 15433  |
|  Lakeland Hosp. Sys. Rev. Series 2016, 3% 11/15/32  | 10000  | 9293  |
|  Miami Beach Health Facilities Auth. Hosp. Rev. Series 2014 A, 5% 11/15/39  | 25000  | 25146  |
|  Miami Beach Wtr. & Swr. Rev. Series 2017, 5% 9/1/47  | 115000  | 119520  |
|  Miami-Dade County Series 2021 B2, 4% 10/1/43  | 345000  | 332201  |
|  Miami-Dade County Aviation Rev.:  |  |  |
|  Series 2016 A, 5% 10/1/41  | 20000  | 20463  |
|  Series 2020 A, 4% 10/1/39  | 130000  | 124831  |
|  Miami-Dade County Cap. Asset Acquisition:  |  |  |
|  Series 2009:  |  |  |
|  0% 10/1/44 <br>| 155000  | 52440  |
|  0% 10/1/46 <br>| 10000  | 3018  |
|  0% 10/1/47 <br>| 50000  | 14265  |
|  Series 2016:  |  |  |
|  0% 10/1/31 <br>| 5000  | 3620  |
|  0% 10/1/32 <br>| 15000  | 10378  |
|  5% 10/1/26 <br>| 145000  | 155267  |
|  Miami-Dade County Edl. Facilities Rev. Series 2015 A, 4% 4/1/45  | 100000  | 93423  |
|  Miami-Dade County Gen. Oblig.:  |  |  |
|  (Bldg. Better Cmntys. Prog.):  |  |  |
|  Series 2013 A, 5% 7/1/26 <br>| 55000  | 57965  |
|  Series 2015 B, 5% 7/1/27 <br>| 40000  | 41131  |
|  Series 2015 D, 3% 7/1/39  | 10000  | 8573  |
|  Miami-Dade County School Board Ctfs. of Prtn. Series 2015 A, 5% 5/1/26  | 100000  | 104161  |
|  Miami-Dade County Sports Facilities Series C, 0% 10/1/48 (Assured Guaranty Corp. Insured)  | 15000  | 4279  |
|  Miami-Dade County Transit Sales Surtax Rev. Series 2019, 5% 7/1/31  | 20000  | 22558  |
|  Miami-Dade County Wtr. & Swr. Rev.:  |  |  |
|  Series 2017 A, 4% 10/1/39  | 75000  | 72796  |
|  Series 2017 B, 3.125% 10/1/39  | 5000  | 4313  |
|  Series 2019 B, 3% 10/1/49  | 10000  | 7442  |
|  Series 2019, 5% 10/1/46  | 165000  | 171835  |
|  North Broward Hosp. District Rev. Series 2017 B, 5% 1/1/32  | 10000  | 10477  |
|  North Miami Beach Wtr. Rev. Series 2020 A, 5% 8/1/44  | 60000  | 64587  |
|  Orange County Health Facilities Auth. Series 2016:  |  |  |
|  4% 10/1/45  | 65000  | 60748  |
|  5% 8/1/47  | 170000  | 176493  |
|  Orange County Tourist Dev. Tax Rev.:  |  |  |
|  Series 2016 A, 4% 10/1/34  | 20000  | 20348  |
|  Series 2016 B, 4% 10/1/36  | 30000  | 30181  |
|  Orlando Utils. Commission Util. Sys. Rev. Series 2018 A, 5% 10/1/34  | 5000  | 5462  |
|  Palm Beach County Health Facilities Series 2016, 5% 11/15/32  | 25000  | 25164  |
|  Palm Beach County Pub. Impt. Rev. (Professional Sports Franchise Facility Proj.) Series 2015 D:  |  |  |
|  5% 12/1/40 (Pre-Refunded to 12/1/25 @ 100)  | 40000  | 42676  |
|  5% 12/1/45 (Pre-Refunded to 12/1/25 @ 100)  | 100000  | 106690  |
|  Putnam County Dev. Auth. Poll. Cont. Rev. (Seminole Elec. Coop., Inc. Proj.) Series 2018 A, 5% 3/15/42  | 90000  | 96183  |
|  South Broward Hosp. District Rev.:  |  |  |
|  Series 2017, 5% 5/1/28  | 55000  | 59676  |
|  Series 2021 A, 2.375% 5/1/45  | 375000  | 249913  |
|  South Miami Health Facilities Auth. Hosp. Rev. Series 2017, 5% 8/15/23  | 75000  | 75897  |
|  Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2020 A:  |  |  |
|  4% 10/1/38  | 100000  | 102480  |
|  5% 10/1/54  | 260000  | 275828  |
|  Tampa Health Sys. Rev. Series 2016 A, 4% 11/15/46  | 140000  | 127798  |
|  Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 A, 0% 9/1/53  | 5000  | 1054  |
|  Volusia County Edl. Facilities Auth. Rev. (Stetson Univ., Inc. Proj.) Series 2015, 5% 6/1/45  | 305000  | 308783  |
|  TOTAL FLORIDA  |  | 6674998  |
| Georgia - 1.6%  |  |  |
|  Atlanta Arpt. Rev. Series 2019 B, 4% 7/1/49 (c)  | 125000  | 108798  |
|  Atlanta Wtr. & Wastewtr. Rev.:  |  |  |
|  Series 2013 B, 5.25% 11/1/30 (Pre-Refunded to 11/1/23 @ 100)  | 100000  | 101933  |
|  Series 2015:  |  |  |
|  5% 11/1/28 <br>| 25000  | 26249  |
|  5% 11/1/29 <br>| 5000  | 5247  |
|  5% 11/1/35 (Pre-Refunded to 5/1/25 @ 100) <br>| 30000  | 31552  |
|  5% 11/1/40 <br>| 40000  | 41294  |
|  5% 11/1/43 (Pre-Refunded to 5/1/25 @ 100) <br>| 25000  | 26293  |
|  Series 2018 C, 4% 11/1/37  | 15000  | 15084  |
|  Brookhaven Dev. Auth. Rev. Series 2019 A:  |  |  |
|  4% 7/1/49  | 105000  | 97042  |
|  5% 7/1/26  | 20000  | 21542  |
|  Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2017 D, 4.125% 11/1/45  | 20000  | 17052  |
|  Fulton County Dev. Auth. Rev. Series 2019, 5% 6/15/44  | 20000  | 21577  |
|  Gainesville & Hall County Hosp. Auth. Rev.:  |  |  |
|  (Northeast Georgia Health Sys., Inc. Proj.) Series 2020 A, 5% 2/15/31  | 50000  | 54081  |
|  (Northeast Georgia Healthcare Sys., Inc. Proj.) Series 2014 A, 4% 8/15/46 (Pre-Refunded to 2/15/25 @ 100)  | 55000  | 56450  |
|  Georgia Gen. Oblig.:  |  |  |
|  Series 2015 A, 3% 2/1/30  | 20000  | 19793  |
|  Series 2016 F, 5% 1/1/26  | 25000  | 26768  |
|  Series 2017 A, 5% 2/1/25  | 190000  | 199162  |
|  Series 2018 A:  |  |  |
|  3% 7/1/33 <br>| 25000  | 24266  |
|  4% 7/1/34 <br>| 155000  | 161761  |
|  5% 7/1/27 <br>| 5000  | 5517  |
|  Series 2021 A, 4% 7/1/35  | 105000  | 110539  |
|  Georgia Hsg. & Fin. Auth.:  |  |  |
|  Series 2015 A, 3.95% 12/1/43  | 50000  | 48751  |
|  Series 2017 C, 3.75% 6/1/48  | 110000  | 105522  |
|  Georgia Muni. Elec. Auth. Pwr. Rev. Series 2018 HH, 4.125% 1/1/49 (Assured Guaranty Muni. Corp. Insured)  | 65000  | 60751  |
|  Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 3.75% 4/1/47  | 275000  | 232450  |
|  Gwinnett County School District Gen. Oblig. Series 2019, 5% 2/1/39  | 100000  | 109540  |
|  Hosp. Auth. of Savannah Auth. Rev. Series 2019 A, 3.125% 7/1/44  | 110000  | 84199  |
|  Main Street Natural Gas, Inc. Series 2019 A, 4% 5/15/39  | 100000  | 90406  |
|  Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev.:  |  |  |
|  Series 2007 A, 5.25% 7/1/27  | 65000  | 72085  |
|  Series 2019 A, 3.125% 7/1/46  | 25000  | 19764  |
|  Paulding County Wtr. & Sew Rev. Series 2016, 3% 12/1/48  | 20000  | 14895  |
|  Private Colleges & Univs. Auth. Rev. Series 2020 B:  |  |  |
|  4% 9/1/41  | 195000  | 191035  |
|  5% 9/1/30  | 100000  | 116433  |
|  Richmond County Hosp. Auth.:  |  |  |
|  (Univ. Health Svcs., Inc. Projs.) Series 2016, 5% 1/1/27  | 105000  | 111461  |
|  (Univ. Health Svcs., Inc. Proj.) Series 2016, 4% 1/1/35  | 70000  | 70550  |
|  TOTAL GEORGIA  |  | 2499842  |
| Hawaii - 0.8%  |  |  |
|  Hawaii Arpts. Sys. Rev.:  |  |  |
|  Series 2020 A, 4% 7/1/35 (c)  | 80000  | 77450  |
|  Series 2020 D, 4% 7/1/39  | 100000  | 97683  |
|  Hawaii Dept. of Budget & Fin. Spl. Purp. Rev. Series 2015 A, 4% 7/1/40  | 35000  | 33529  |
|  Hawaii Gen. Oblig.:  |  |  |
|  Series 2015 EY, 5% 10/1/26  | 130000  | 138206  |
|  Series 2016 FG, 5% 10/1/30  | 30000  | 32434  |
|  Series FT:  |  |  |
|  5% 1/1/27 <br>| 50000  | 54450  |
|  5% 1/1/32 <br>| 65000  | 71878  |
|  Series FW, 3.5% 1/1/38  | 35000  | 33696  |
|  Honolulu City & County Gen. Oblig.:  |  |  |
|  Series 2015 C, 3% 10/1/28  | 135000  | 136185  |
|  Series A, 5% 10/1/39  | 100000  | 104234  |
|  Honolulu City and County Wastewtr. Sys.:  |  |  |
|  Series 2016 B, 4% 7/1/33  | 235000  | 242051  |
|  Series 2018 A, 3.375% 7/1/42  | 40000  | 34288  |
|  Series 2019 A, 4% 7/1/37  | 100000  | 101608  |
|  TOTAL HAWAII  |  | 1157692  |
| Idaho - 0.1%  |  |  |
|  Idaho Health Facilities Auth. Rev.:  |  |  |
|  (St. Luke's Health Sys. Proj.) Series 2018 A, 5% 3/1/27  | 25000  | 26581  |
|  Series 2015 ID:  |  |  |
|  5.5% 12/1/27 <br>| 60000  | 63815  |
|  5.5% 12/1/29 <br>| 20000  | 21213  |
|  Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series 2021 A, 4% 7/15/38  | 105000  | 104712  |
|  TOTAL IDAHO  |  | 216321  |
| Illinois - 5.0%  |  |  |
|  Chicago Board of Ed. Series 2016, 5.75% 4/1/35  | 100000  | 104602  |
|  Chicago Gen. Oblig.:  |  |  |
|  Series 1999:  |  |  |
|  0% 1/1/31 <br>| 40000  | 28651  |
|  0% 1/1/33 <br>| 50000  | 32440  |
|  Series 2002 B, 5% 1/1/26  | 15000  | 15243  |
|  Series 2007 E, 5.5% 1/1/35  | 45000  | 45771  |
|  Series 2008 C:  |  |  |
|  0% 1/1/26 <br>| 85000  | 75524  |
|  0% 1/1/30 <br>| 85000  | 63070  |
|  Series 2014 A, 5.25% 1/1/30  | 30000  | 30174  |
|  Series 2015 A:  |  |  |
|  5% 1/1/26 <br>| 15000  | 15243  |
|  5.5% 1/1/33 <br>| 20000  | 20400  |
|  Series 2015 C, 5% 1/1/27  | 195000  | 199122  |
|  Series 2019 A, 5% 1/1/40  | 15000  | 14873  |
|  Chicago Midway Arpt. Rev.:  |  |  |
|  Series 2014 A, 5% 1/1/26 (c)  | 65000  | 65847  |
|  Series 2014 B, 5% 1/1/27  | 5000  | 5080  |
|  Chicago O'Hare Int'l. Arpt. Rev.:  |  |  |
|  Series 2013 A, 5% 1/1/26 (Pre-Refunded to 1/1/23 @ 100) (c)  | 75000  | 75000  |
|  Series 2013 B, 5% 1/1/26 (Pre-Refunded to 1/1/23 @ 100)  | 55000  | 55000  |
|  Series 2013 D:  |  |  |
|  5% 1/1/44 (Pre-Refunded to 1/1/23 @ 100) <br>| 15000  | 15000  |
|  5.25% 1/1/33 (Pre-Refunded to 1/1/23 @ 100) <br>| 100000  | 100000  |
|  Series 2015 B:  |  |  |
|  5% 1/1/28 <br>| 45000  | 46760  |
|  5% 1/1/33 <br>| 105000  | 108604  |
|  Series 2015 D, 5% 1/1/46  | 110000  | 110974  |
|  Series 2016 C, 5% 1/1/37  | 100000  | 103331  |
|  Series 2016 D, 5.25% 1/1/42  | 250000  | 258062  |
|  Series 2017 A, 5% 1/1/30  | 125000  | 134710  |
|  Series 2017 B, 5% 1/1/33  | 30000  | 32000  |
|  Series 2018 B:  |  |  |
|  5% 1/1/37 <br>| 45000  | 47841  |
|  5% 1/1/38 <br>| 20000  | 21134  |
|  5% 1/1/48 <br>| 10000  | 10211  |
|  Series 2020 B, 5% 1/1/29  | 60000  | 66655  |
|  Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017, 5% 6/1/25  | 30000  | 31098  |
|  Chicago Wtr. Rev. Series 2000, 5% 11/1/30  | 15000  | 15597  |
|  Cook County Cmnty. College District Series 2013, 5.25% 12/1/30  | 40000  | 40143  |
|  Cook County Gen. Oblig. Series 2018, 5% 11/15/34  | 100000  | 103741  |
|  Illinois Fin. Auth.:  |  |  |
|  (Bradley Univ. Proj.) Series 2021 A, 4% 8/1/43  | 80000  | 69067  |
|  Series 2015, 4.125% 5/1/45  | 125000  | 122238  |
|  Series 2020 A, 3% 5/15/50  | 80000  | 54168  |
|  Illinois Fin. Auth. Rev.:  |  |  |
|  Series 2014 A, 5% 10/1/30  | 105000  | 108435  |
|  Series 2015 A, 4% 11/15/39  | 250000  | 228015  |
|  Series 2016:  |  |  |
|  3.25% 5/15/39 <br>| 160000  | 132015  |
|  3.25% 11/15/45 <br>| 15000  | 11706  |
|  4% 1/1/25 <br>| 145000  | 148085  |
|  4% 7/1/30 <br>| 60000  | 61832  |
|  4% 12/1/31 <br>| 25000  | 25066  |
|  4% 12/1/40 <br>| 210000  | 181319  |
|  Series 2017 A, 5% 8/1/42  | 105000  | 104466  |
|  Series 2017, 5% 8/15/26  | 135000  | 144734  |
|  Series 2018 A:  |  |  |
|  5% 10/1/41 <br>| 25000  | 26667  |
|  5% 10/1/48 <br>| 20000  | 21145  |
|  Illinois Gen. Oblig.:  |  |  |
|  Series 2012 A:  |  |  |
|  4% 1/1/29 <br>| 70000  | 68683  |
|  4% 1/1/30 <br>| 35000  | 34062  |
|  Series 2013:  |  |  |
|  5% 7/1/23 <br>| 15000  | 15098  |
|  5.25% 7/1/31 <br>| 85000  | 85269  |
|  Series 2014:  |  |  |
|  5% 4/1/27 <br>| 55000  | 55550  |
|  5% 5/1/30 <br>| 230000  | 231478  |
|  Series 2016 June:  |  |  |
|  3.5% 6/1/30 <br>| 210000  | 196888  |
|  3.5% 6/1/31 <br>| 70000  | 64817  |
|  Series 2016:  |  |  |
|  4% 1/1/31 <br>| 70000  | 67535  |
|  5% 2/1/27 <br>| 140000  | 144468  |
|  5% 11/1/36 <br>| 100000  | 100235  |
|  Series 2017 A, 4.5% 12/1/41  | 35000  | 31661  |
|  Series 2017 B, 5% 12/1/24  | 65000  | 66264  |
|  Series 2017 C, 5% 11/1/29  | 10000  | 10245  |
|  Series 2017 D:  |  |  |
|  3.25% 11/1/26 <br>| 40000  | 38779  |
|  5% 11/1/26 <br>| 190000  | 195850  |
|  5% 11/1/28 <br>| 140000  | 143975  |
|  Series 2018 A, 5% 10/1/24  | 120000  | 122215  |
|  Series 2018 B, 5% 10/1/24  | 20000  | 20369  |
|  Series 2019 B, 5% 9/1/25  | 30000  | 30725  |
|  Series 2020 D, 5% 10/1/25  | 50000  | 51231  |
|  Series 2021 A:  |  |  |
|  5% 3/1/27 <br>| 50000  | 51605  |
|  5% 3/1/30 <br>| 160000  | 165137  |
|  Series November 2016, 4.125% 11/1/31  | 40000  | 38548  |
|  Illinois Hsg. Dev. Auth. Rev. Series 2018 A, 4.125% 10/1/38  | 15000  | 14662  |
|  Illinois Sales Tax Rev.:  |  |  |
|  Series 2013:  |  |  |
|  5% 6/15/23 <br>| 140000  | 140943  |
|  5% 6/15/24 <br>| 20000  | 20113  |
|  5% 6/15/25 <br>| 5000  | 5029  |
|  Series 2016 A, 3% 6/15/33  | 25000  | 22097  |
|  Series 2016 C, 4% 6/15/23  | 75000  | 75175  |
|  Series 2016 D, 3% 6/15/31  | 35000  | 31903  |
|  Series 2021 A, 4% 6/15/30  | 60000  | 61767  |
|  Illinois Toll Hwy. Auth. Toll Hwy. Rev.:  |  |  |
|  Series 2014 B, 5% 1/1/37  | 25000  | 25391  |
|  Series 2014 C, 5% 1/1/30  | 100000  | 104205  |
|  Series 2015 A, 5% 1/1/40  | 25000  | 25608  |
|  Series 2016 A, 5% 12/1/31  | 50000  | 52847  |
|  Series 2017 A, 5% 1/1/36  | 50000  | 53153  |
|  Series 2019 C, 5% 1/1/31  | 120000  | 135686  |
|  Series A, 5% 1/1/45  | 145000  | 152812  |
|  Series B:  |  |  |
|  5% 1/1/27 <br>| 25000  | 27126  |
|  5% 1/1/30 <br>| 50000  | 56894  |
|  Series C, 5% 1/1/30  | 95000  | 108811  |
|  Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016, 5% 2/1/31  | 65000  | 68534  |
|  Metropolitan Pier & Exposition:  |  |  |
|  (McCormick Place Expansion Proj.):  |  |  |
|  Series 2002 A, 0% 6/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 35000  | 18587  |
|  Series 2010 B1, 0% 6/15/47 (Assured Guaranty Muni. Corp. Insured) <br>| 600000  | 178366  |
|  Series A: <br>|  |  |
|  0% 6/15/37 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 170000  | 84933  |
|  0% 6/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 90000  | 42293  |
|  0% 12/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 10000  | 4586  |
|  Series 1998 A, 5.5% 12/15/23  | 25000  | 25317  |
|  Series 2002 A:  |  |  |
|  0% 12/15/26 <br>| 95000  | 82151  |
|  0% 6/15/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 20000  | 13410  |
|  0% 12/15/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 20000  | 11667  |
|  Series 2002:  |  |  |
|  0% 12/15/23 <br>| 30000  | 28973  |
|  0% 12/15/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 30000  | 20724  |
|  Series 2017 B, 0% 12/15/56 (Assured Guaranty Muni. Corp. Insured)  | 15000  | 2710  |
|  Northern Illinois Muni. Pwr. Agcy. Rev. (Prarie State Proj.) Series 2016 A, 5% 12/1/29  | 45000  | 48578  |
|  Sales Tax Securitization Corp. Series 2017 A, 5% 1/1/28  | 50000  | 53662  |
|  Springfield Elec. Rev. Series 2015:  |  |  |
|  4% 3/1/40 (Assured Guaranty Muni. Corp. Insured)  | 35000  | 33879  |
|  5% 3/1/31  | 60000  | 61877  |
|  5% 3/1/32  | 115000  | 118307  |
|  TOTAL ILLINOIS  |  | 7574322  |
| Indiana - 1.0%  |  |  |
|  Carmel Local Pub. Impt. Bond Bank Series 2016, 5% 7/15/30  | 45000  | 48316  |
|  Hanover Middle School Bldg. Corp. Series 2020, 2% 7/15/34  | 200000  | 163471  |
|  Indiana Bond Bank Series 2008 B, 0% 6/1/32 (Assured Guaranty Muni. Corp. Insured)  | 70000  | 49466  |
|  Indiana Fin. Auth. Health Sys. Rev. Series 2017, 5% 11/1/32  | 70000  | 75359  |
|  Indiana Fin. Auth. Hwy. Rev. Series 2016 C, 5% 12/1/25  | 35000  | 37352  |
|  Indiana Fin. Auth. Rev.:  |  |  |
|  Series 2012 C, 5% 2/1/32 (Pre-Refunded to 2/1/23 @ 100)  | 60000  | 60088  |
|  Series 2019 E:  |  |  |
|  5% 2/1/36 <br>| 25000  | 27605  |
|  5% 2/1/40 <br>| 65000  | 70531  |
|  Series 2021 B, 5% 2/1/41  | 150000  | 165797  |
|  Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.) Series 2021 A, 3% 10/1/40  | 45000  | 37335  |
|  Indiana Health & Edl. Facilities Fing. Auth. Rev. Series 2006 B, 5% 11/15/46  | 100000  | 101291  |
|  Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev.:  |  |  |
|  Series 2014 A:  |  |  |
|  5% 1/1/30 <br>| 100000  | 103636  |
|  5% 1/1/31 <br>| 65000  | 67300  |
|  Series 2016 C, 5% 1/1/39  | 230000  | 241299  |
|  Indianapolis Local Pub. Impt.:  |  |  |
|  (Courthouse and Jail Proj.) Series 2019 A:  |  |  |
|  5% 2/1/33 <br>| 100000  | 111608  |
|  5% 2/1/54 <br>| 25000  | 25988  |
|  (Pilot Infrastructure Prog.) Series 2017 C, 5% 1/1/33  | 40000  | 43786  |
|  Indianapolis Local Pub. Impt. Bond Bank Series E, 0% 2/1/28 (AMBAC Insured)  | 5000  | 4234  |
|  Indianapolis Wtr. Sys. Rev. Series 2018 A, 5% 10/1/30  | 55000  | 61072  |
|  TOTAL INDIANA  |  | 1495534  |
| Iowa - 0.4%  |  |  |
|  Iowa Fin. Auth. Health Care Facilities Rev. Series 2013, 5% 7/1/33 (Pre-Refunded to 7/1/23 @ 100)  | 55000  | 55532  |
|  Iowa Fin. Auth. Rev.:  |  |  |
|  Series 2017, 5% 8/1/37  | 115000  | 123128  |
|  Series 2020 A, 5% 8/1/36  | 105000  | 117534  |
|  Iowa Fin. Auth. Single Family Mtg. (Mtg.-Backed Securities Prog.) Series 2019 A, 4% 7/1/47  | 75000  | 75236  |
|  Iowa Spl. Oblig. Series 2019, 5% 6/1/33  | 30000  | 33904  |
|  Tobacco Settlement Auth. Tobacco Settlement Rev. Series 2021 A2, 4% 6/1/40  | 215000  | 193673  |
|  TOTAL IOWA  |  | 599007  |
| Kansas - 0.0%  |  |  |
|  Johnson & Miami County Unified School District Series 2016 B, 3% 9/1/37  | 30000  | 26359  |
|  Univ. of Kansas Hosp. Auth. Health Facilities Rev. Series 2019 A, 4% 9/1/48  | 50000  | 47291  |
|  TOTAL KANSAS  |  | 73650  |
| Kentucky - 0.5%  |  |  |
|  Carroll County Envir. Facilities Rev. Series 2008 A, 2% 2/1/32 (c)  | 365000  | 294300  |
|  Econ. Dev. Fin. Auth. Lousiville Arena Proj. Rev. Series A2, 0% 12/1/23 (Escrowed to Maturity)  | 60000  | 58372  |
|  Kentucky Asset/Liability Commission Agcy. Fund Rev. Series 2014 A, 5% 9/1/26  | 135000  | 139202  |
|  Kentucky Eco Dev. Fin. Auth. Health Rev. Series 2000 B, 0% 10/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 100000  | 87359  |
|  Kentucky Muni. Pwr. Agcy. Pwr. Sys. Rev. (Prarie State Proj.) Series 2015 A:  |  |  |
|  5% 9/1/23  | 5000  | 5058  |
|  5% 9/1/42  | 5000  | 5057  |
|  Kentucky State Property & Buildings Commission Rev. Series B, 5% 11/1/28  | 30000  | 32146  |
|  Kentucky, Inc. Pub. Energy Series 2019 C, 4% 8/1/27  | 50000  | 49300  |
|  Louisville & Jefferson County Series 2016 A, 3% 10/1/37  | 95000  | 79358  |
|  Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. Series 2017 A, 3.25% 5/15/46  | 100000  | 80013  |
|  TOTAL KENTUCKY  |  | 830165  |
| Louisiana - 0.5%  |  |  |
|  Jefferson Sales Tax District Series 2019 B, 4% 12/1/42 (Assured Guaranty Muni. Corp. Insured)  | 5000  | 4865  |
|  Louisiana Gen. Oblig.:  |  |  |
|  Series 2014 D1, 3% 12/1/29  | 40000  | 39644  |
|  Series 2017 A, 5% 4/1/25  | 25000  | 26278  |
|  Louisiana Local Govt. Envir. Facilities and Cmnty. Dev. Auth. (Woman's Hosp. Foundation Proj.) Series 2017 A, 4% 10/1/41  | 50000  | 48320  |
|  Louisiana Pub. Facilities Auth. Hosp. Rev.:  |  |  |
|  (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 3.75% 7/1/47  | 30000  | 25258  |
|  Bonds (Louisiana Children's Med. Ctr. Proj.) Series 2015 A3, 5%, tender 6/1/23 (b)  | 50000  | 50255  |
|  Louisiana Pub. Facilities Auth. Rev.:  |  |  |
|  (Hurricane Recovery Prog.) Series 2014, 5% 6/1/24  | 50000  | 51445  |
|  (Loyola Univ. Proj.) Series 2017, 0% 10/1/46 (d)  | 35000  | 32893  |
|  Louisiana Stadium and Exposition District Series 2013 A, 5% 7/1/27  | 100000  | 100635  |
|  New Orleans Aviation Board Series 2018 A, 4% 10/1/43 (Assured Guaranty Muni. Corp. Insured)  | 150000  | 135916  |
|  New Orleans Wtr. Series 2015, 5% 12/1/40 (Pre-Refunded to 12/1/25 @ 100)  | 25000  | 26564  |
|  State of Louisiana Grant Anticipation Rev.:  |  |  |
|  Series 2019 A, 5% 9/1/29  | 30000  | 33629  |
|  Series 2021, 5% 9/1/33  | 100000  | 114675  |
|  TOTAL LOUISIANA  |  | 690377  |
| Maryland - 1.5%  |  |  |
|  Baltimore County Gen. Oblig. Series 2019, 4% 3/1/35  | 40000  | 41556  |
|  Maryland Dept. of Trans.:  |  |  |
|  Series 2016, 4% 11/1/29  | 85000  | 86918  |
|  Series 2018, 3% 5/1/31  | 40000  | 39210  |
|  Series 2021 B, 4% 8/1/51 (c)  | 100000  | 86132  |
|  Maryland Gen. Oblig.:  |  |  |
|  Series 2017 B, 5% 8/1/25  | 30000  | 31797  |
|  Series 2019 1, 5% 3/15/31  | 70000  | 79609  |
|  Series 2019, 5% 3/15/30  | 50000  | 56902  |
|  Series 2020 A:  |  |  |
|  5% 8/1/29 <br>| 150000  | 171913  |
|  5% 8/1/35 <br>| 55000  | 62474  |
|  Series 2021 2A, 5% 8/1/28  | 120000  | 135090  |
|  Series 2021 A, 5% 8/1/32  | 75000  | 88431  |
|  Series A, 5% 3/15/30  | 30000  | 33517  |
|  Series C, 5% 8/1/24  | 5000  | 5177  |
|  Maryland Health & Higher Edl. Series 2021 A, 2.5% 7/1/51  | 90000  | 55350  |
|  Maryland Health & Higher Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2015, 4% 7/1/35 (Pre-Refunded to 7/1/25 @ 100)  | 100000  | 103292  |
|  Series 2017 A, 4% 5/15/47  | 55000  | 49959  |
|  Series 2017 MD, 4% 12/1/46  | 15000  | 13723  |
|  Maryland Stadium Auth. Built to Learn Rev. Series 2021:  |  |  |
|  2.75% 6/1/51  | 190000  | 126871  |
|  4% 6/1/37  | 115000  | 113738  |
|  Maryland Trans. Auth. Passenger Facility Charge Rev. Series 2012 B, 2.625% 6/1/27 (c)  | 40000  | 37867  |
|  Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2021 A:  |  |  |
|  2.25% 7/1/39  | 65000  | 47332  |
|  3% 7/1/47  | 145000  | 110149  |
|  Montgomery County Gen. Oblig.:  |  |  |
|  Series 2014 A, 5% 11/1/29 (Pre-Refunded to 11/1/24 @ 100)  | 85000  | 88470  |
|  Series 2015 B, 3% 12/1/29  | 70000  | 69682  |
|  Series 2020 B, 4% 11/1/31  | 100000  | 110044  |
|  Univ. of Maryland Sys. Auxiliary Facility & Tuition Rev. Series 2021 A, 4% 4/1/47  | 290000  | 279330  |
|  Washington Metropolitan Area Transit Auth. Series 2021 A, 5% 7/15/46  | 150000  | 160752  |
|  Washington Suburban San. District Series 2016 2:  |  |  |
|  4% 6/1/42  | 10000  | 9852  |
|  5% 6/1/34  | 65000  | 69661  |
|  TOTAL MARYLAND  |  | 2364798  |
| Massachusetts - 3.6%  |  |  |
|  Boston Gen. Oblig. Series A, 5% 4/1/26  | 40000  | 43040  |
|  Massachusetts Bay Trans. Auth. Sales Tax Rev.:  |  |  |
|  Series 2005 A, 5% 7/1/25  | 55000  | 58156  |
|  Series 2007, 5.25% 7/1/28  | 40000  | 45449  |
|  Series A, 5.25% 7/1/28  | 20000  | 22724  |
|  Series B, 5% 7/1/33  | 5000  | 5275  |
|  Series C, 5.5% 7/1/23  | 65000  | 65821  |
|  Massachusetts Commonwealth Trans. Fund Rev.:  |  |  |
|  (Rail Enhancement & Accelerated Bridge Prog.):  |  |  |
|  Series 2017 A, 5% 6/1/47 <br>| 20000  | 20929  |
|  Series 2018 A, 5% 6/1/48 <br>| 130000  | 137022  |
|  (Rail Enhancement Prog.) Series 2021 A, 3% 6/1/50  | 185000  | 136786  |
|  Series 2015 A, 3.25% 6/1/35  | 150000  | 144432  |
|  Massachusetts Dev. Fin. Agcy. Rev.:  |  |  |
|  Series 2016 I, 3% 7/1/32  | 25000  | 23697  |
|  Series 2018 L, 4% 7/1/44  | 165000  | 161333  |
|  Series BB1, 4% 10/1/46  | 25000  | 23652  |
|  Series C, 3% 10/1/45 (Assured Guaranty Muni. Corp. Insured)  | 10000  | 7501  |
|  Series D, 4% 7/1/45  | 25000  | 21400  |
|  Series F, 5% 8/15/24  | 110000  | 112937  |
|  Massachusetts Edl. Fing. Auth. Rev. Series 2015 A, 5% 1/1/26 (c)  | 60000  | 61643  |
|  Massachusetts Fed. Hwy. (Accelerated Bridge Prog.):  |  |  |
|  Series 2017 A, 5% 6/15/25  | 1145000  | 1183113  |
|  Series A, 5% 6/15/25  | 5000  | 5166  |
|  Massachusetts Gen. Oblig.:  |  |  |
|  Series 2004 C, 5.5% 12/1/24  | 130000  | 136880  |
|  Series 2015 A, 5% 7/1/26  | 130000  | 140562  |
|  Series 2016 B:  |  |  |
|  4% 7/1/33 <br>| 75000  | 77509  |
|  5% 7/1/27 <br>| 5000  | 5504  |
|  Series 2016 G:  |  |  |
|  3% 9/1/46 <br>| 10000  | 7620  |
|  4% 9/1/32 <br>| 75000  | 77804  |
|  Series 2017 A:  |  |  |
|  5% 4/1/35 <br>| 100000  | 107718  |
|  5% 4/1/47 <br>| 155000  | 161387  |
|  Series 2017 E, 5% 11/1/24  | 60000  | 62493  |
|  Series 2017 F:  |  |  |
|  5% 11/1/41 <br>| 200000  | 211277  |
|  5% 11/1/44 <br>| 20000  | 21005  |
|  Series 2018 C, 5% 9/1/30  | 150000  | 174536  |
|  Series 2018 E, 5% 9/1/25  | 100000  | 106191  |
|  Series 2019 A, 5% 1/1/49  | 70000  | 73824  |
|  Series 2019 C, 5% 5/1/41  | 25000  | 26800  |
|  Series 2019 G:  |  |  |
|  5% 9/1/29 <br>| 150000  | 171666  |
|  5% 9/1/32 <br>| 75000  | 77536  |
|  Series 2021 B, 3% 4/1/47  | 140000  | 105540  |
|  Series 2021 C, 5% 9/1/29  | 50000  | 57222  |
|  Series A:  |  |  |
|  5% 3/1/29 <br>| 175000  | 198569  |
|  5% 7/1/29 <br>| 70000  | 75403  |
|  5% 7/1/31 <br>| 45000  | 48428  |
|  Series B:  |  |  |
|  2% 3/1/34 <br>| 70000  | 56965  |
|  5% 7/1/26 <br>| 40000  | 43250  |
|  5% 7/1/27 <br>| 20000  | 22014  |
|  Series C, 5% 5/1/30  | 35000  | 40504  |
|  Series D, 5% 7/1/26  | 40000  | 43250  |
|  Series E:  |  |  |
|  5% 11/1/23 <br>| 60000  | 61053  |
|  5% 11/1/26 <br>| 20000  | 21770  |
|  Series F, 5% 11/1/40  | 15000  | 15918  |
|  Series G, 5% 9/1/33  | 55000  | 56771  |
|  Massachusetts Health & Edl. Facilities Auth. Rev. Series 2008 M2, 5.5% 6/1/35  | 65000  | 78247  |
|  Massachusetts Hsg. Fin. Agcy. Multi-Family Rev. Series A, 4.5% 12/1/48 (c)  | 20000  | 18577  |
|  Massachusetts Port Auth. Rev. Series 2019 B, 3% 7/1/49  | 70000  | 52282  |
|  Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev.:  |  |  |
|  Series 2015 D, 4.75% 8/15/32 (Pre-Refunded to 8/15/25 @ 100)  | 185000  | 194407  |
|  Series 2016 B, 5% 11/15/46  | 30000  | 31117  |
|  Series A, 5% 8/15/45  | 50000  | 53866  |
|  Series C, 5% 11/15/34  | 35000  | 37451  |
|  Massachusetts Spl. Oblig. Dedicated Tax Rev. Series 2005, 5.5% 1/1/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 10000  | 11516  |
|  Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev.:  |  |  |
|  Series 2007 B, 5.25% 8/1/30 (Assured Guaranty Muni. Corp. Insured)  | 145000  | 170423  |
|  Series 2020 B, 5% 8/1/43  | 140000  | 152910  |
|  TOTAL MASSACHUSETTS  |  | 5567841  |
| Michigan - 1.9%  |  |  |
|  Detroit School District School Bldg. and Site Impt. Series 2005 A, 5.25% 5/1/29 (Assured Guaranty Muni. Corp. Insured)  | 180000  | 204627  |
|  Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2016 C, 5% 7/1/36  | 15000  | 15691  |
|  Great Lakes Wtr. Auth. Wtr. Supply Sys. Rev.:  |  |  |
|  Series 2016 C, 5% 7/1/33  | 50000  | 52927  |
|  Series 2018 A, 5% 7/1/27  | 65000  | 70626  |
|  Lincoln Consolidated School District Series 2016 A, 5% 5/1/40 (Assured Guaranty Muni. Corp. Insured)  | 330000  | 348878  |
|  Michigan Bldg. Auth. Rev.:  |  |  |
|  (Facilities Prog.):  |  |  |
|  Series 1A, 5.25% 10/15/47 <br>| 15000  | 15185  |
|  Series I: <br>|  |  |
|  5% 4/15/26 <br>| 40000  | 42346  |
|  5% 10/15/28 <br>| 25000  | 26954  |
|  5% 10/15/30 <br>| 15000  | 16154  |
|  Series 2016 I, 5% 4/15/36  | 115000  | 121470  |
|  Michigan Fin. Auth. Rev.:  |  |  |
|  (Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018, 4% 11/1/48  | 10000  | 9157  |
|  (Detroit Wtr. and Sewerage Dept. Sewage Disp. Sys. Rev. Rfdg. Local Proj.) Series 2014 C, 5% 7/1/28 (Assured Guaranty Muni. Corp. Insured)  | 20000  | 20640  |
|  (Detroit Wtr. And Sewerage Dept. Wtr. Supply Sys. Rev. Rfdg. Local Proj.) Series 2014 D, 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured)  | 20000  | 20577  |
|  Series 2014 C3, 5% 7/1/29 (Assured Guaranty Muni. Corp. Insured)  | 70000  | 72125  |
|  Series 2014 D2, 5% 7/1/28 (Assured Guaranty Muni. Corp. Insured)  | 175000  | 180597  |
|  Series 2014, 5% 7/1/26 (Assured Guaranty Muni. Corp. Insured)  | 30000  | 30959  |
|  Series 2016:  |  |  |
|  3% 11/15/33 <br>| 240000  | 223163  |
|  3.25% 11/15/42 <br>| 25000  | 19946  |
|  4% 11/15/46 <br>| 50000  | 45681  |
|  5% 11/15/23 <br>| 55000  | 55769  |
|  Series 2018 B, 5% 10/1/28  | 130000  | 146277  |
|  Series 2019 A:  |  |  |
|  4% 2/15/47 <br>| 40000  | 36610  |
|  5% 2/15/34 <br>| 55000  | 59643  |
|  Michigan Hosp. Fin. Auth. Rev. (Trinity Health Proj.) Series 2008 C, 5% 12/1/27  | 35000  | 38403  |
|  Michigan Hsg. Dev. Auth. Rental Hsg. Rev.:  |  |  |
|  Series 2018 A, 4.05% 10/1/48  | 100000  | 91151  |
|  Series 2020 A1, 2.7% 10/1/45  | 160000  | 117597  |
|  Michigan Hsg. Dev. Auth. Single Family Mtg. Rev.:  |  |  |
|  Series 2019 B, 3.1% 12/1/44  | 210000  | 164649  |
|  Series B, 3.1% 12/1/31  | 50000  | 47683  |
|  Michigan Strategic Fund Ltd. Oblig. Rev. (I-75 Impt. Proj.) Series 2018:  |  |  |
|  5% 12/31/26 (c)  | 35000  | 36063  |
|  5% 6/30/28 (c)  | 15000  | 15535  |
|  5% 12/31/28 (c)  | 55000  | 57115  |
|  5% 6/30/29 (c)  | 60000  | 62198  |
|  5% 6/30/31 (c)  | 70000  | 72455  |
|  5% 12/31/31 (c)  | 20000  | 20680  |
|  Michigan Trunk Line Fund Rev. Series 2020 B, 4% 11/15/37  | 25000  | 25040  |
|  Muskegon City Pub. Schools Series 2021 II, 5% 5/1/51  | 60000  | 63827  |
|  Univ. of Michigan Rev. Series 2015, 5% 4/1/32 (Pre-Refunded to 4/1/26 @ 100)  | 125000  | 134298  |
|  Wayne County Arpt. Auth. Rev.:  |  |  |
|  Series 2018 A, 5% 12/1/34  | 50000  | 54533  |
|  Series 2021 B, 5% 12/1/35 (c)  | 50000  | 53447  |
|  TOTAL MICHIGAN  |  | 2890676  |
| Minnesota - 1.4%  |  |  |
|  Apple Valley Sr. Living (Minnesota Sr. Living LLC Proj.) Series 2016 A, 4.25% 1/1/37  | 30000  | 22234  |
|  Forest Lake Independent School District No. 831 Gen. Oblig. (MN SD Cr. Enhancement Prog.) Series 2016 A, 3.25% 2/1/46  | 200000  | 171667  |
|  Hennepin County Gen. Oblig.:  |  |  |
|  Series 2019 B, 5% 12/15/29  | 120000  | 135819  |
|  Series 2020 C, 5% 12/15/35  | 250000  | 281918  |
|  Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev. Series 2019 A, 5% 1/1/49  | 35000  | 35765  |
|  Minnesota Gen. Oblig.:  |  |  |
|  Series 2015 A, 5% 8/1/28  | 110000  | 116446  |
|  Series 2015 B, 2.95% 8/1/27  | 40000  | 40277  |
|  Series 2017 A, 5% 10/1/28  | 25000  | 27724  |
|  Series 2018 B, 3.25% 8/1/36  | 5000  | 4781  |
|  Series 2019 B, 5% 8/1/27  | 100000  | 110470  |
|  Series 2020 A, 5% 8/1/33  | 100000  | 115524  |
|  Series 2021 A:  |  |  |
|  4% 9/1/39 <br>| 455000  | 470266  |
|  5% 9/1/29 <br>| 125000  | 143466  |
|  Minnesota Hsg. Fin. Agcy.:  |  |  |
|  Series 2019 F, 3.75% 1/1/50  | 115000  | 114496  |
|  Series 2021 F, 3% 7/1/52  | 195000  | 188800  |
|  Owatonna Independent School District 761 (Minnesota School District Cr. Enhancement Prog.) Series 2020 A, 2.125% 2/1/40  | 145000  | 101774  |
|  Saint Cloud Health Care Rev. Series 2019, 5% 5/1/48  | 15000  | 15315  |
|  TOTAL MINNESOTA  |  | 2096742  |
| Mississippi - 0.3%  |  |  |
|  Mississippi Dev. Bank Spl. Oblig.:  |  |  |
|  (Madison County, Mississippi Hwy. Rfdg. Proj.) Series 2013 C, 5% 1/1/27  | 15000  | 16088  |
|  (Mississippi Dept. of Corrections Walnut Grove Correctional Facility Rfdg. Bonds Proj.) Series 2016 A:  |  |  |
|  5% 8/1/26 <br>| 65000  | 69298  |
|  5% 8/1/27 <br>| 50000  | 54155  |
|  Mississippi Gen. Oblig. Series 2017 A, 5% 10/1/30  | 65000  | 71676  |
|  Mississippi State Gaming Tax Rev. Series 2019 A:  |  |  |
|  5% 10/15/23  | 150000  | 152021  |
|  5% 10/15/28  | 25000  | 27474  |
|  TOTAL MISSISSIPPI  |  | 390712  |
| Missouri - 0.5%  |  |  |
|  Bi-State Dev. Agcy. Series 2019, 4% 10/1/48  | 180000  | 163754  |
|  Kansas City Indl. Dev. Auth. (Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2020 A, 5% 3/1/57 (Assured Guaranty Muni. Corp. Insured) (c)  | 65000  | 65720  |
|  Missouri Board of Pub. Buildings Spl. Oblig. Series 2014 A, 3% 10/1/29  | 30000  | 29959  |
|  Missouri Envir. Impt. & Energy Resources Auth. Wtr. Poll. Cont. & Drinking Wtr. Rev. Series 2013 A, 5% 7/1/23  | 35000  | 35356  |
|  Missouri Health & Edl. Facilities Rev.:  |  |  |
|  Series 2014 A, 5% 6/1/29 (Pre-Refunded to 6/1/24 @ 100)  | 55000  | 56382  |
|  Series 2016, 5% 11/15/28  | 10000  | 10597  |
|  Series 2017 C, 3.625% 11/15/47  | 25000  | 21285  |
|  Series 2019 A, 4% 2/15/49  | 140000  | 128989  |
|  Missouri Hsg. Dev. Commission Single Family Mtg. Rev. (First Place Homeownership Ln. Prog.) Series B, 3.35% 11/1/49  | 30000  | 26296  |
|  Missouri Joint Muni. Elec. Util. Commission Pwr. Proj. Rev.:  |  |  |
|  (IATAN 2 Proj.) Series 2014 A, 5% 1/1/28  | 45000  | 45714  |
|  (Prarie State Proj.) Series 2016 A, 4% 12/1/36  | 40000  | 40276  |
|  Saint Louis Arpt. Rev. Series 2017 A, 5% 7/1/23 (Assured Guaranty Muni. Corp. Insured)  | 50000  | 50466  |
|  Springfield Pub. Util. Rev. Series 2015, 4% 8/1/31  | 50000  | 51164  |
|  TOTAL MISSOURI  |  | 725958  |
| Montana - 0.2%  |  |  |
|  Montana Facility Fin. Auth. Rev.:  |  |  |
|  Series 2016, 5% 2/15/28  | 65000  | 68517  |
|  Series 2019 A:  |  |  |
|  4% 1/1/36 <br>| 110000  | 112028  |
|  5% 1/1/30 <br>| 150000  | 170987  |
|  TOTAL MONTANA  |  | 351532  |
| Nebraska - 0.3%  |  |  |
|  Central Plains Energy Proj. Rev. Series 2017 A, 5% 9/1/36  | 225000  | 235953  |
|  Sarpy County Hosp. Auth. #1 Health Facilities Rev. Series 2016, 4% 5/15/51  | 140000  | 132108  |
|  The Board of Regents of The Univ. of Nebraska Series 2016 A, 3% 7/1/39 (Pre-Refunded to 7/1/26 @ 100)  | 45000  | 45562  |
|  Univ. of Nebraska Facilities Corp. Series 2021 A, 4% 7/15/62  | 85000  | 77119  |
|  TOTAL NEBRASKA  |  | 490742  |
| Nevada - 0.5%  |  |  |
|  Clark County Arpt. Rev. Series 2019 B, 5% 7/1/42  | 40000  | 42594  |
|  Clark County Fuel Tax:  |  |  |
|  Series 2016 A, 5% 11/1/25  | 130000  | 138213  |
|  Series 2016 B, 5% 11/1/27  | 50000  | 54293  |
|  Series 2019 A:  |  |  |
|  5% 12/1/24 <br>| 45000  | 46957  |
|  5% 12/1/28 <br>| 40000  | 45072  |
|  Series 2019:  |  |  |
|  3% 6/1/38 <br>| 65000  | 56949  |
|  5% 6/1/25 <br>| 25000  | 26336  |
|  Clark County Hwy. Impt. Rev. Series 2017, 5% 7/1/30  | 10000  | 10918  |
|  Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev. Series 2019 E, 5% 7/1/24  | 140000  | 144456  |
|  Clark County School District Series 2019 A, 3% 6/15/39 (Assured Guaranty Muni. Corp. Insured)  | 20000  | 16336  |
|  Clark County Wtr. Reclamation District Series 2016, 3% 7/1/30  | 75000  | 74867  |
|  Las Vegas Convention & Visitors Auth.:  |  |  |
|  Series 2018 B, 4% 7/1/49  | 45000  | 40106  |
|  Series 2018 C, 4% 7/1/48  | 50000  | 45192  |
|  Washoe County School District Series 2017 C, 3.125% 10/1/40 (Assured Guaranty Muni. Corp. Insured)  | 50000  | 42421  |
|  TOTAL NEVADA  |  | 784710  |
| New Jersey - 4.1%  |  |  |
|  Edison Township Gen. Oblig. Series 2021, 2% 3/15/37  | 100000  | 73384  |
|  New Jersey Bldg. Auth. State Bldg. Rev. Series 2016 A, 5% 6/15/29 (Pre-Refunded to 6/15/26 @ 100)  | 225000  | 242364  |
|  New Jersey Econ. Dev. Auth.:  |  |  |
|  Series A:  |  |  |
|  4% 11/1/37 <br>| 40000  | 37933  |
|  5% 11/1/31 <br>| 35000  | 38090  |
|  Series UU:  |  |  |
|  5% 6/15/40 <br>| 10000  | 10053  |
|  5% 6/15/40 (Pre-Refunded to 6/15/24 @ 100) <br>| 5000  | 5154  |
|  New Jersey Econ. Dev. Auth. Lease Rev. (State House Proj.) Series 2017 B, 5% 6/15/26  | 15000  | 15878  |
|  New Jersey Econ. Dev. Auth. Natural Gas Facilities Rev. (New Jersey Natural Gas Co. Proj.) Series 2011 C, 3% 8/1/41 (c)  | 110000  | 82163  |
|  New Jersey Econ. Dev. Auth. Rev.:  |  |  |
|  (New Jersey Transit Corp. Projs.) Series 2017, 4% 11/1/25  | 30000  | 30649  |
|  Series 2005 N1, 5.5% 9/1/23  | 35000  | 35488  |
|  Series 2013 NN:  |  |  |
|  4% 3/1/29 (Pre-Refunded to 3/1/23 @ 100) <br>| 20000  | 20027  |
|  5% 3/1/26 <br>| 15000  | 15041  |
|  5% 3/1/30 (Pre-Refunded to 3/1/23 @ 100) <br>| 100000  | 100290  |
|  5% 3/1/31 (Pre-Refunded to 3/1/23 @ 100) <br>| 40000  | 40116  |
|  Series 2013, 5% 3/1/24  | 10000  | 10027  |
|  Series 2014 PP, 4% 6/15/30 (Pre-Refunded to 6/15/24 @ 100)  | 20000  | 20349  |
|  Series 2014 UU, 5% 6/15/30 (Pre-Refunded to 6/15/24 @ 100)  | 40000  | 41233  |
|  Series 2015 XX, 4% 6/15/24  | 10000  | 10112  |
|  Series 2016 AAA, 5% 6/15/41  | 55000  | 55880  |
|  Series 2018 EE, 5% 6/15/33  | 80000  | 85542  |
|  Series NN, 5% 3/1/28 (Pre-Refunded to 3/1/23 @ 100)  | 70000  | 70203  |
|  Series PP, 5% 6/15/30 (Pre-Refunded to 6/15/24 @ 100)  | 5000  | 5158  |
|  Series UU, 4% 6/15/32 (Pre-Refunded to 6/15/24 @ 100)  | 5000  | 5084  |
|  Series WW:  |  |  |
|  5% 6/15/37 <br>| 30000  | 30544  |
|  5.25% 6/15/28 <br>| 30000  | 31311  |
|  Series XX, 4.375% 6/15/27  | 60000  | 61420  |
|  New Jersey Econ. Dev. Auth. Wtr. Facilities Rev. Bonds (New Jersey American Wtr. Co., Inc. Proj.) Series 2019 B, 2.05%, tender 12/3/29 (b)  | 75000  | 65724  |
|  New Jersey Edl. Facility:  |  |  |
|  Series 2014 A:  |  |  |
|  5% 9/1/25 <br>| 45000  | 46300  |
|  5% 9/1/26 <br>| 135000  | 138902  |
|  Series 2014:  |  |  |
|  5% 6/15/23 <br>| 125000  | 125893  |
|  5% 6/15/24 <br>| 5000  | 5126  |
|  5% 6/15/28 <br>| 50000  | 51138  |
|  Series A, 4% 7/1/47  | 40000  | 34928  |
|  New Jersey Gen. Oblig.:  |  |  |
|  Series 2013, 4% 6/1/27  | 20000  | 20089  |
|  Series 2014, 4% 6/1/34  | 10000  | 10151  |
|  Series 2016, 5% 6/1/24  | 25000  | 25733  |
|  Series 2020 A, 3% 6/1/32  | 90000  | 86691  |
|  Series 2021, 2% 6/1/37  | 105000  | 77053  |
|  New Jersey Health Care Facilities Fing. Auth. Rev.:  |  |  |
|  (Hosp. Asset Transformation Prog.) Series 2017:  |  |  |
|  5% 10/1/23 <br>| 5000  | 5065  |
|  5% 10/1/26 <br>| 135000  | 142841  |
|  5% 10/1/27 <br>| 15000  | 16021  |
|  (Inspira Health Proj.) Series 2017 A, 5% 7/1/42  | 40000  | 40722  |
|  Series 2016:  |  |  |
|  3% 7/1/32 <br>| 25000  | 21903  |
|  3.125% 7/1/33 <br>| 150000  | 132072  |
|  Series 2017 A, 4% 7/1/52  | 125000  | 115729  |
|  New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.:  |  |  |
|  Series 2014 1B, 5% 12/1/44 (c)  | 50000  | 50028  |
|  Series 2019 A, 5% 12/1/27  | 35000  | 38068  |
|  Series 2019 B, 3.25% 12/1/39 (c)  | 85000  | 79252  |
|  New Jersey Tobacco Settlement Fing. Corp. Series 2018 A:  |  |  |
|  4% 6/1/37  | 30000  | 28088  |
|  5% 6/1/29  | 130000  | 136576  |
|  New Jersey Tpk. Auth. Tpk. Rev.:  |  |  |
|  Series 2004 C2, 5.5% 1/1/25 (AMBAC Insured)  | 25000  | 26327  |
|  Series 2005 A, 5.25% 1/1/26 (Assured Guaranty Muni. Corp. Insured)  | 30000  | 32184  |
|  Series 2012 B, 5% 1/1/28 (Pre-Refunded to 1/1/23 @ 100)  | 45000  | 45000  |
|  Series 2014 A:  |  |  |
|  4% 1/1/35 <br>| 110000  | 110845  |
|  5% 1/1/27 <br>| 50000  | 51554  |
|  5% 1/1/29 <br>| 45000  | 46452  |
|  Series 2015 E, 5% 1/1/45  | 240000  | 244691  |
|  Series 2016 A, 5% 1/1/33  | 50000  | 52977  |
|  Series 2017 A, 5% 1/1/35  | 110000  | 117458  |
|  Series 2017 B, 4% 1/1/35  | 30000  | 30727  |
|  Series 2017 E:  |  |  |
|  5% 1/1/29 <br>| 15000  | 16560  |
|  5% 1/1/31 <br>| 155000  | 170863  |
|  New Jersey Trans. Trust Fund Auth.:  |  |  |
|  Series 2006 C:  |  |  |
|  0% 12/15/24 (AMBAC Insured) <br>| 30000  | 28105  |
|  0% 12/15/25 <br>| 60000  | 54320  |
|  0% 12/15/29 (Assured Guaranty Muni. Corp. Insured) <br>| 45000  | 35040  |
|  0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) <br>| 40000  | 27145  |
|  Series 2008 A:  |  |  |
|  0% 12/15/23 <br>| 45000  | 43508  |
|  0% 12/15/37 <br>| 45000  | 22110  |
|  0% 12/15/38 <br>| 35000  | 16100  |
|  Series 2010 A:  |  |  |
|  0% 12/15/25 <br>| 40000  | 36014  |
|  0% 12/15/27 <br>| 30000  | 24936  |
|  0% 12/15/29 <br>| 20000  | 15248  |
|  0% 12/15/32 <br>| 65000  | 42756  |
|  0% 12/15/33 <br>| 15000  | 9356  |
|  Series 2010 A3, 0% 12/15/34  | 140000  | 82530  |
|  Series 2010 D, 5% 12/15/24  | 135000  | 139757  |
|  Series 2013 AA, 5% 6/15/27  | 30000  | 30236  |
|  Series 2015 AA:  |  |  |
|  4.625% 6/15/30 <br>| 165000  | 168939  |
|  5.25% 6/15/31 <br>| 135000  | 140404  |
|  5.25% 6/15/32 <br>| 70000  | 72704  |
|  Series 2016 A, 5% 6/15/30  | 25000  | 26310  |
|  Series 2016 A2, 5% 6/15/23  | 25000  | 25189  |
|  Series 2018 A:  |  |  |
|  5% 12/15/24 <br>| 55000  | 56938  |
|  5% 12/15/34 <br>| 250000  | 264836  |
|  Series 2021 A, 5% 6/15/30  | 305000  | 336096  |
|  Series 2022 CC, 5% 6/15/48  | 230000  | 233738  |
|  Series A:  |  |  |
|  0% 12/15/26 <br>| 90000  | 77887  |
|  0% 12/15/31 <br>| 30000  | 20743  |
|  5% 6/15/30 <br>| 50000  | 52620  |
|  Series A1, 4.1% 6/15/31  | 15000  | 15269  |
|  Series AA:  |  |  |
|  4% 6/15/36 <br>| 20000  | 19467  |
|  5% 6/15/23 <br>| 45000  | 45321  |
|  5% 6/15/44 <br>| 10000  | 10014  |
|  5.25% 6/15/27 <br>| 20000  | 20910  |
|  Series BB, 5% 6/15/33  | 75000  | 80195  |
|  Series C, 5.25% 6/15/32  | 65000  | 66891  |
|  South Jersey Port Corp. Rev. (New Jersey Gen. Oblig. Proj.) Series 2017 B, 5% 1/1/37 (c)  | 25000  | 25406  |
|  South Jersey Trans. Auth. Trans. Sys. Rev. Series 2014 A, 5% 11/1/39  | 230000  | 226486  |
|  TOTAL NEW JERSEY  |  | 6206748  |
| New Mexico - 0.2%  |  |  |
|  New Mexico Hosp. Equip. Ln. Council Rev. Series 2015 A, 4.125% 8/1/44 (Pre-Refunded to 8/1/25 @ 100)  | 40000  | 41287  |
|  New Mexico Mtg. Fin. Auth. Series 2019 F:  |  |  |
|  3.05% 7/1/44  | 100000  | 83733  |
|  3.5% 7/1/50  | 60000  | 59330  |
|  New Mexico Severance Tax Rev. Series 2018 A:  |  |  |
|  5% 7/1/23  | 30000  | 30302  |
|  5% 7/1/25  | 65000  | 68665  |
|  TOTAL NEW MEXICO  |  | 283317  |
| New York - 14.2%  |  |  |
|  Battery Park City Auth. Rev. Series 2019 A, 5% 11/1/49  | 190000  | 204214  |
|  Brookhaven Gen. Oblig. Series 2020 C, 5% 1/15/27  | 115000  | 125697  |
|  Brooklyn Arena Local Dev. Corp. Series 2016 A, 3% 7/15/43 (Assured Guaranty Muni. Corp. Insured)  | 25000  | 18745  |
|  Dorm. Auth. New York Univ. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  4% 7/1/43 <br>| 165000  | 147173  |
|  4% 7/1/43 <br>| 100000  | 95704  |
|  5% 7/1/29 <br>| 60000  | 64459  |
|  5% 7/1/37 <br>| 100000  | 102279  |
|  Series 2017 A:  |  |  |
|  5% 7/1/24 <br>| 30000  | 30999  |
|  5% 10/1/29 <br>| 15000  | 16419  |
|  5% 10/1/47 <br>| 30000  | 34201  |
|  Series 2018 B, 5% 10/1/38  | 45000  | 48926  |
|  Dutchess County Local Dev. Corp. Rev. Series 2016 B:  |  |  |
|  3% 7/1/29  | 150000  | 140154  |
|  4% 7/1/41  | 40000  | 34979  |
|  Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A:  |  |  |
|  4% 2/15/36  | 120000  | 120685  |
|  4% 2/15/44  | 35000  | 32326  |
|  5% 2/15/30  | 55000  | 59972  |
|  5% 2/15/39  | 40000  | 42490  |
|  Liberty Dev. Corp. Rev.:  |  |  |
|  Series 2005, 5.25% 10/1/35  | 115000  | 126327  |
|  Series 2007, 5.5% 10/1/37  | 25000  | 27695  |
|  Long Island Pwr. Auth. Elec. Sys. Rev.:  |  |  |
|  Series 2000, 0% 6/1/29 (Assured Guaranty Muni. Corp. Insured)  | 90000  | 73529  |
|  Series 2016 B, 5% 9/1/46  | 40000  | 41272  |
|  Series 2017:  |  |  |
|  5% 9/1/23 <br>| 65000  | 65828  |
|  5% 9/1/47 <br>| 30000  | 30999  |
|  Series 2018, 5% 9/1/35  | 20000  | 21729  |
|  Series 2019 A, 5% 9/1/26  | 150000  | 162240  |
|  Series 2020 A, 5% 9/1/30  | 120000  | 138370  |
|  Monroe County Indl. Dev. Corp.:  |  |  |
|  (Univ. of Rochester Proj.) Series 2020 A, 5% 7/1/25  | 30000  | 31603  |
|  Series 2015 A, 5% 7/1/27  | 105000  | 110453  |
|  New York City Gen. Oblig.:  |  |  |
|  Series 2008 J9, 5% 8/1/26  | 250000  | 270320  |
|  Series 2008 L6, 5% 4/1/31  | 50000  | 56351  |
|  Series 2014 I, 4% 3/1/39  | 410000  | 407526  |
|  Series 2016 A, 5% 8/1/26  | 150000  | 158368  |
|  Series 2016, 3% 8/1/34  | 25000  | 23644  |
|  Series 2017 B1, 4% 10/1/40  | 260000  | 252200  |
|  Series 2017, 5% 8/1/27  | 25000  | 27436  |
|  Series 2018 1, 5% 8/1/28  | 10000  | 10959  |
|  Series 2018 B-1, 3.25% 10/1/42  | 55000  | 47434  |
|  Series 2018 E1, 5% 3/1/31  | 240000  | 265845  |
|  Series 2019 E, 5% 8/1/25  | 30000  | 31743  |
|  Series 2020 A, 4% 8/1/44  | 20000  | 18957  |
|  Series 2020 A1, 5% 8/1/35  | 120000  | 131801  |
|  Series 2020 C, 5% 8/1/26  | 200000  | 216256  |
|  Series 2021 C, 5% 8/1/29  | 260000  | 294953  |
|  Series A, 5.25% 8/1/25  | 15000  | 15196  |
|  Series B1, 5% 10/1/32  | 70000  | 79180  |
|  Series D:  |  |  |
|  4% 12/1/41 <br>| 50000  | 48056  |
|  4% 3/1/42 <br>| 125000  | 119664  |
|  Series E, 5% 8/1/26  | 75000  | 81096  |
|  Series F, 5% 8/1/24  | 60000  | 60777  |
|  Series J, 5% 8/1/24  | 50000  | 51751  |
|  New York City Hsg. Dev. Corp.:  |  |  |
|  Bonds Series H, 2.95%, tender 2/1/26 (b)  | 15000  | 14826  |
|  Series 2016 I1A, 3.95% 11/1/36  | 70000  | 67461  |
|  Series B1 2013, 5.25% 7/1/32 (Pre-Refunded to 7/3/23 @ 100)  | 50000  | 50563  |
|  New York City Hsg. Dev. Corp. Multifamily Hsg.:  |  |  |
|  Bonds Series D2, 0.7%, tender 11/1/24 (b)  | 70000  | 65621  |
|  Series 2019 E1, 3.25% 11/1/49  | 35000  | 26616  |
|  Series 2020 D1B, 2.4% 11/1/50  | 75000  | 46346  |
|  Series 2021 A1, 2.05% 11/1/33  | 135000  | 107891  |
|  Series 2021 C1, 2.25% 11/1/41  | 110000  | 74088  |
|  Series 2021 G, 2.15% 11/1/36  | 125000  | 93385  |
|  Series 2021 K1, 2.45% 11/1/41  | 160000  | 115317  |
|  Series E1, 3.45% 5/1/59  | 10000  | 7476  |
|  New York City Indl. Dev. Agcy. Rev. Series 2009 A:  |  |  |
|  0% 3/1/27  | 90000  | 77441  |
|  0% 3/1/37  | 50000  | 26293  |
|  0% 3/1/39 (Assured Guaranty Corp. Insured)  | 10000  | 4709  |
|  0% 3/1/44  | 45000  | 15967  |
|  0% 3/1/45 (Assured Guaranty Corp. Insured)  | 25000  | 8389  |
|  New York City Muni. Wtr. Fin. Auth.:  |  |  |
|  Series 2013 DD:  |  |  |
|  4% 6/15/38 <br>| 65000  | 63975  |
|  5% 6/15/38 <br>| 35000  | 35186  |
|  Series 2015 HH, 5% 6/15/29  | 65000  | 68565  |
|  Series 2016 BB, 5% 6/15/46  | 40000  | 41281  |
|  Series 2017 DD, 5.25% 6/15/47  | 60000  | 63124  |
|  Series 2017 EE, 5% 6/15/36  | 60000  | 63975  |
|  Series 2018 AA, 5% 6/15/37  | 5000  | 5308  |
|  Series 2018 DD1, 5% 6/15/48  | 15000  | 15618  |
|  Series 2018 FF, 5% 6/15/40  | 135000  | 143340  |
|  Series 2019 A, 5% 6/15/29  | 175000  | 200120  |
|  Series 2019 AA, 5% 6/15/27  | 150000  | 165296  |
|  Series 2019 DD, 5.25% 6/15/49  | 65000  | 69213  |
|  Series 2020 CC1:  |  |  |
|  4% 6/15/39 <br>| 100000  | 97802  |
|  4% 6/15/49 <br>| 35000  | 32479  |
|  Series 2020 FF, 5% 6/15/41  | 190000  | 203751  |
|  Series 2022 CC1, 4% 6/15/52  | 150000  | 137728  |
|  Series BB, 5% 6/15/49  | 180000  | 190409  |
|  Series CC:  |  |  |
|  4% 6/15/42 <br>| 90000  | 86225  |
|  5% 6/15/30 <br>| 25000  | 28797  |
|  Series DD:  |  |  |
|  5% 6/15/25 <br>| 75000  | 76452  |
|  5% 6/15/36 <br>| 95000  | 97096  |
|  Series EE, 5% 6/15/32  | 10000  | 10655  |
|  Series FF, 4% 6/15/37  | 80000  | 79207  |
|  New York City Transitional Fin. Auth. Bldg. Aid Rev.:  |  |  |
|  Series 2015 S1, 5% 7/15/43  | 230000  | 234935  |
|  Series 2018 S 4A, 5% 7/15/34  | 5000  | 5470  |
|  Series 2018 S2, 5% 7/15/24 (Escrowed to Maturity)  | 70000  | 72413  |
|  Series 2018 S3, 3.625% 7/15/47  | 155000  | 139513  |
|  Series 2018 S4, 5% 7/15/31  | 30000  | 33424  |
|  Series 2023 S 1A, 5% 7/15/28  | 400000  | 449276  |
|  Series S1:  |  |  |
|  5% 7/15/26 <br>| 50000  | 53354  |
|  5% 7/15/27 <br>| 15000  | 15653  |
|  5% 7/15/29 <br>| 60000  | 62491  |
|  5% 7/15/35 <br>| 35000  | 37825  |
|  New York City Transitional Fin. Auth. Rev.:  |  |  |
|  Series 2014 B1:  |  |  |
|  5% 11/1/24 <br>| 75000  | 77277  |
|  5% 11/1/36 <br>| 485000  | 495368  |
|  Series 2014 D1, 5% 2/1/38  | 170000  | 172527  |
|  Series 2014, 5% 11/1/25  | 30000  | 30818  |
|  Series 2015 A, 5% 8/1/29  | 100000  | 103142  |
|  Series 2015 E1, 5% 2/1/41  | 500000  | 513792  |
|  Series 2016 A, 5% 5/1/40  | 15000  | 15713  |
|  Series 2016 B1, 5% 11/1/35  | 105000  | 110375  |
|  Series 2017 C, 5% 11/1/24  | 135000  | 140610  |
|  Series 2017 F:  |  |  |
|  3% 5/1/34 <br>| 50000  | 46831  |
|  4% 5/1/37 <br>| 80000  | 78954  |
|  Series 2018 A, 5% 8/1/38  | 55000  | 58389  |
|  Series 2018 B, 5% 8/1/45  | 50000  | 52178  |
|  Series 2018 B1, 5% 8/1/29  | 150000  | 164883  |
|  Series 2019 C, 4% 11/1/37  | 30000  | 29598  |
|  Series 2019 C1, 4% 11/1/36  | 50000  | 50191  |
|  Series 2020 C1, 5% 5/1/41  | 100000  | 107830  |
|  Series 2021 B1, 3% 8/1/48  | 340000  | 249095  |
|  Series 2021 C1, 4% 5/1/38  | 100000  | 97652  |
|  Series 2021 F1, 5% 11/1/32  | 170000  | 197859  |
|  Series 2022 C1, 5% 2/1/37  | 100000  | 111316  |
|  Series A, 4% 11/1/35  | 80000  | 80963  |
|  Series A1, 5% 8/1/24  | 50000  | 51767  |
|  Series B:  |  |  |
|  4% 8/1/38 <br>| 100000  | 97627  |
|  4% 8/1/39 <br>| 20000  | 19441  |
|  Series B1, 5% 11/1/28  | 30000  | 31811  |
|  Series C:  |  |  |
|  3.25% 11/1/43 <br>| 140000  | 118336  |
|  4% 2/1/27 <br>| 70000  | 73664  |
|  5% 11/1/26 <br>| 40000  | 43480  |
|  Series C1:  |  |  |
|  4% 5/1/40 <br>| 10000  | 9665  |
|  4% 5/1/44 <br>| 30000  | 28201  |
|  New York City Trust Cultural Resources Rev. Series 2016 1E:  |  |  |
|  4% 4/1/27  | 15000  | 15647  |
|  4% 4/1/28  | 75000  | 78164  |
|  New York Convention Ctr. Dev. Corp. Rev. Series 2016 B:  |  |  |
|  0% 11/15/32  | 90000  | 59370  |
|  0% 11/15/36  | 100000  | 52278  |
|  0% 11/15/38  | 75000  | 34695  |
|  0% 11/15/44  | 75000  | 24065  |
|  New York Dorm. Auth. Personal Income Tax Rev. Series 2016 D, 5% 2/15/26  | 115000  | 123376  |
|  New York Dorm. Auth. Rev.:  |  |  |
|  Series 1:  |  |  |
|  3% 7/1/34 <br>| 105000  | 97302  |
|  5% 7/1/30 <br>| 20000  | 22549  |
|  Series 2014 A, 5.5% 1/1/39 (Pre-Refunded to 7/1/24 @ 100)  | 20000  | 20800  |
|  Series 2015 A:  |  |  |
|  4.125% 5/1/42 <br>| 50000  | 48468  |
|  5% 5/1/33 <br>| 40000  | 41214  |
|  5% 7/1/40 <br>| 235000  | 238760  |
|  Series 2018 A:  |  |  |
|  4% 8/1/38 <br>| 60000  | 52539  |
|  5% 8/1/25 <br>| 100000  | 102297  |
|  Series 2019 A, 5% 7/1/27  | 20000  | 22032  |
|  Series 2019 C, 4% 7/1/49  | 45000  | 41889  |
|  Series 2020 A, 4% 7/1/50  | 130000  | 122925  |
|  Series 2020 A2, 5% 7/1/31  | 25000  | 28896  |
|  Series 2020, 3% 2/1/50  | 55000  | 41736  |
|  Series 2021 A, 5% 7/1/26  | 100000  | 106402  |
|  Series 2021 B, 3% 7/1/45  | 100000  | 75977  |
|  New York Dorm. Auth. Sales Tax Rev.:  |  |  |
|  Series 2016 A, 5% 3/15/29  | 80000  | 86681  |
|  Series 2017 A:  |  |  |
|  5% 3/15/43 <br>| 75000  | 78552  |
|  5% 3/15/44 <br>| 210000  | 219536  |
|  Series 2018, 5% 3/15/48  | 75000  | 78540  |
|  New York Envir. Facilities Corp. Clean Wtr. & Drinking Wtr. (New York City Muni. Wtr. Fin. Auth. Proj.):  |  |  |
|  Series 2017 A, 3.5% 6/15/36  | 10000  | 9766  |
|  Series 2018 A, 5% 6/15/30  | 50000  | 55933  |
|  Series 2019 B, 5% 6/15/31  | 25000  | 28401  |
|  New York Liberty Dev. Corp.:  |  |  |
|  (Bank of America Tower at One Bryant Park Proj.) Series 2019 2, 2.625% 9/15/69  | 150000  | 133692  |
|  Series 2021 1WTC, 2.75% 2/15/44  | 240000  | 171316  |
|  New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.:  |  |  |
|  Series 2012 A:  |  |  |
|  0% 11/15/32 <br>| 225000  | 152792  |
|  3% 11/15/28 <br>| 190000  | 189994  |
|  Series 2016 A:  |  |  |
|  5% 11/15/26 <br>| 90000  | 97311  |
|  5.25% 11/15/28 <br>| 150000  | 162981  |
|  New York Metropolitan Trans. Auth. Rev.:  |  |  |
|  Series 2012 C, 4% 11/15/33  | 65000  | 65013  |
|  Series 2012 F, 5% 11/15/25  | 5000  | 5002  |
|  Series 2012 H, 3% 11/15/28  | 30000  | 29999  |
|  Series 2013 C, 5% 11/15/38  | 75000  | 75062  |
|  Series 2014 A1:  |  |  |
|  5% 11/15/31 (Pre-Refunded to 11/15/23 @ 100) <br>| 50000  | 50906  |
|  5.25% 11/15/39 <br>| 105000  | 105398  |
|  Series 2015 B, 4% 11/15/45  | 250000  | 211143  |
|  Series 2015 C, 5% 11/15/34  | 80000  | 81175  |
|  Series 2015 F, 3.25% 11/15/31  | 35000  | 31883  |
|  Series 2016 C1, 4% 11/15/46  | 120000  | 100357  |
|  Series 2016 C2A, 3% 11/15/38  | 25000  | 19429  |
|  Series 2016 D:  |  |  |
|  3% 11/15/32 <br>| 50000  | 43914  |
|  5% 11/15/27 <br>| 10000  | 10388  |
|  Series 2017 A2, 5% 11/15/24  | 100000  | 102630  |
|  Series 2017 B, 5% 11/15/23  | 145000  | 146871  |
|  Series 2017 C1:  |  |  |
|  4% 11/15/34 <br>| 55000  | 51575  |
|  4% 11/15/35 <br>| 160000  | 147207  |
|  5% 11/15/24 <br>| 20000  | 20526  |
|  5% 11/15/25 <br>| 45000  | 46602  |
|  5% 11/15/28 <br>| 25000  | 25950  |
|  Series 2017 D:  |  |  |
|  4% 11/15/42 <br>| 85000  | 73613  |
|  5% 11/15/27 <br>| 100000  | 105000  |
|  Series 2018 B:  |  |  |
|  5% 11/15/25 <br>| 35000  | 36285  |
|  5% 11/15/27 <br>| 20000  | 21000  |
|  Series 2019 B, 4% 11/15/49 (Assured Guaranty Muni. Corp. Insured)  | 40000  | 35814  |
|  New York St Mtg. Agcy. Homeowner Series 191, 3.45% 10/1/30  | 115000  | 114393  |
|  New York State Dorm. Auth.:  |  |  |
|  Series 2017 A, 5% 2/15/27 (Escrowed to Maturity)  | 110000  | 120971  |
|  Series 2017 B:  |  |  |
|  5% 2/15/39 <br>| 15000  | 15757  |
|  5% 2/15/43 <br>| 50000  | 52111  |
|  Series 2018 A, 5% 3/15/32  | 50000  | 55846  |
|  Series 2019 A:  |  |  |
|  5% 3/15/39 <br>| 100000  | 106815  |
|  5% 3/15/40 <br>| 90000  | 95676  |
|  Series 2019 D, 3% 2/15/49  | 120000  | 91029  |
|  Series 2020 A, 3% 3/15/49  | 105000  | 79617  |
|  Series 2022 A, 4% 3/15/39  | 220000  | 214450  |
|  New York State Envir. Facilities Corp. Rev.:  |  |  |
|  (2010 Master Fing. Prog.) Series 2014 B, 5% 11/15/39  | 5000  | 5127  |
|  Series 2019 A, 5% 2/15/49  | 30000  | 31858  |
|  New York State Gen. Oblig. Series 2013 A, 3.5% 3/1/43  | 40000  | 35596  |
|  New York State Hsg. Fin. Agcy. Rev.:  |  |  |
|  Series 2019 N, 3.05% 11/1/52  | 55000  | 39105  |
|  Series 2019 R, 3.15% 11/1/54  | 25000  | 17970  |
|  Series 2021 G, 2.4% 11/1/41  | 210000  | 149418  |
|  Series L, 3.45% 11/1/42  | 25000  | 21109  |
|  New York State Mtg. Agcy. Homeowner Mtg.:  |  |  |
|  Series 2019 220, 2.4% 10/1/34  | 225000  | 186853  |
|  Series 2020 225, 2.3% 10/1/40  | 155000  | 108832  |
|  Series 220, 2.85% 10/1/44  | 25000  | 18090  |
|  New York State Mtg. Agcy. Rev. Series 48, 3.45% 10/1/33  | 5000  | 4784  |
|  New York State Urban Dev. Corp. Series 2020 A:  |  |  |
|  4% 3/15/45  | 65000  | 60730  |
|  4% 3/15/49  | 85000  | 77801  |
|  New York State Urban Eev Corp. Series 2019 A, 4% 3/15/46  | 75000  | 69838  |
|  New York Thruway Auth. Gen. Rev.:  |  |  |
|  Series 2014 J, 5% 1/1/33  | 100000  | 101705  |
|  Series 2014 K:  |  |  |
|  5% 1/1/23 <br>| 60000  | 60000  |
|  5% 1/1/26 <br>| 80000  | 83445  |
|  Series 2016 A, 5% 1/1/51  | 30000  | 30651  |
|  Series 2019 B, 3% 1/1/46  | 50000  | 37829  |
|  Series 2020 N, 4% 1/1/47  | 200000  | 185087  |
|  Series K:  |  |  |
|  5% 1/1/28 <br>| 10000  | 10421  |
|  5% 1/1/29 <br>| 90000  | 93751  |
|  Series L, 5% 1/1/34  | 70000  | 76511  |
|  New York Trans. Dev. Corp.:  |  |  |
|  (Delta Air Lines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/30 (c)  | 30000  | 30570  |
|  (LaGuardia Arpt. Term. B Redev. Proj.) Series 2016 A:  |  |  |
|  4% 7/1/41 (c) <br>| 30000  | 25090  |
|  4% 1/1/51 (Assured Guaranty Muni. Corp. Insured) (c) <br>| 30000  | 24018  |
|  (Term. 4 JFK Int'l. Arpt. Proj.) Series 2020 A:  |  |  |
|  4% 12/1/40 (c) <br>| 50000  | 45197  |
|  5% 12/1/25 (c) <br>| 105000  | 108680  |
|  New York Urban Dev. Corp. Rev.:  |  |  |
|  Series 2013 A1, 5% 3/15/29  | 40000  | 40121  |
|  Series 2016 A, 5% 3/15/26  | 20000  | 21506  |
|  Series 2019 A:  |  |  |
|  5% 3/15/42 <br>| 15000  | 15850  |
|  5% 3/15/44 <br>| 25000  | 26316  |
|  Series A2, 5.5% 3/15/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 60000  | 61895  |
|  Onondaga County Trust for Cultural Resources Rev. Series 2019:  |  |  |
|  5% 12/1/39  | 25000  | 27450  |
|  5% 12/1/40  | 160000  | 174963  |
|  Oyster Bay Gen. Oblig. Series 2018, 5% 2/15/23  | 5000  | 5010  |
|  Port Auth. of New York & New Jersey Series 2022 234, 5% 8/1/39 (c)  | 180000  | 189855  |
|  Suffolk County Gen. Oblig. Series 2015 C:  |  |  |
|  5% 5/1/23  | 20000  | 20118  |
|  5% 5/1/27  | 15000  | 15360  |
|  Suffolk County Wtr. Auth. Wtrwks. Rev. Series 2018 A, 4% 6/1/41  | 45000  | 45585  |
|  Tobacco Settlement Asset Securitization Corp. Series 2017 A, 5% 6/1/32  | 75000  | 77183  |
|  Triborough Bridge & Tunnel Auth. Series 2021 C3, 4% 5/15/51  | 540000  | 494733  |
|  Triborough Bridge & Tunnel Auth. Revs.:  |  |  |
|  Series 2008 B3, 5% 11/15/37  | 40000  | 41732  |
|  Series 2013 A:  |  |  |
|  0% 11/15/30 <br>| 105000  | 78285  |
|  0% 11/15/32 <br>| 35000  | 23814  |
|  Series 2013 B, 4% 11/15/23  | 50000  | 50473  |
|  Series 2016 A:  |  |  |
|  5% 11/15/31 <br>| 100000  | 106872  |
|  5% 11/15/41 <br>| 25000  | 25984  |
|  Series 2017 A, 5% 11/15/26  | 50000  | 54449  |
|  Series 2017 B:  |  |  |
|  5% 11/15/25 <br>| 80000  | 85357  |
|  5% 11/15/36 <br>| 90000  | 96192  |
|  Series 2018 C, 5% 11/15/37  | 25000  | 26764  |
|  Series 2019 A, 5% 11/15/49  | 45000  | 47461  |
|  Series 2021 A, 5% 11/1/25  | 140000  | 148963  |
|  Util. Debt Securitization Auth.:  |  |  |
|  Series 2015, 3% 12/15/32  | 80000  | 80032  |
|  Series 2017:  |  |  |
|  5% 12/15/38 <br>| 25000  | 26997  |
|  5% 12/15/41 <br>| 50000  | 53422  |
|  Westchester County Local Dev. Co. (Westchester Obligated Group Proj.) Series 2016, 3.75% 11/1/37  | 45000  | 36585  |
|  TOTAL NEW YORK  |  | 21606354  |
| New York And New Jersey - 1.0%  |  |  |
|  Port Auth. of New York & New Jersey:  |  |  |
|  Series 188, 5% 5/1/23 (c)  | 75000  | 75305  |
|  Series 189, 5% 5/1/30  | 20000  | 20905  |
|  Series 194:  |  |  |
|  5% 10/15/25 <br>| 25000  | 26602  |
|  5% 10/15/30 <br>| 35000  | 36915  |
|  5% 10/15/32 <br>| 55000  | 57888  |
|  5% 10/15/35 <br>| 100000  | 104924  |
|  5.25% 10/15/55 <br>| 50000  | 51779  |
|  Series 198, 5% 11/15/46  | 15000  | 15709  |
|  Series 2012 171, 4% 1/15/42  | 205000  | 197038  |
|  Series 2014 185, 5% 9/1/25 (c)  | 120000  | 122854  |
|  Series 2014, 3% 7/15/28 (c)  | 50000  | 49200  |
|  Series 2015 189, 5% 5/1/45  | 140000  | 143890  |
|  Series 2018 209, 5% 7/15/34  | 70000  | 77258  |
|  Series 2019 217, 5% 11/1/30  | 100000  | 114389  |
|  Series 202, 5% 10/15/30 (c)  | 20000  | 21241  |
|  Series 2020 222, 5% 7/15/31  | 75000  | 86403  |
|  Series 2021 223, 5% 7/15/31 (c)  | 55000  | 61121  |
|  Series 207, 5% 9/15/26 (c)  | 185000  | 195495  |
|  Series 209, 5% 7/15/31  | 30000  | 33440  |
|  TOTAL NEW YORK AND NEW JERSEY  |  | 1492356  |
| North Carolina - 1.1%  |  |  |
|  Charlotte Int'l. Arpt. Rev. Series 2021 A, 4% 7/1/41  | 150000  | 146515  |
|  Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Bonds Series 2021 B, 5%, tender 12/2/24 (b)  | 150000  | 155568  |
|  Greensboro Combined Enterprise Sys. Rev. Series 2017 A, 4% 6/1/47  | 95000  | 91773  |
|  Mecklenburg County Gen. Oblig.:  |  |  |
|  Series 2017 A, 3% 4/1/37  | 50000  | 44903  |
|  Series 2019, 4% 3/1/34  | 210000  | 220753  |
|  North Carolina Gen. Oblig.:  |  |  |
|  Series 2013 D, 4% 6/1/23  | 70000  | 70306  |
|  Series 2016 A, 5% 6/1/27  | 70000  | 75566  |
|  North Carolina Grant Anticipation Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 3/1/27 <br>| 30000  | 31399  |
|  5% 3/1/28 <br>| 50000  | 52326  |
|  Series 2019:  |  |  |
|  5% 3/1/31 <br>| 45000  | 50628  |
|  5% 3/1/33 <br>| 75000  | 83974  |
|  5% 3/1/34 <br>| 40000  | 44633  |
|  North Carolina Ltd. Oblig.:  |  |  |
|  Series 2019 A, 5% 5/1/25  | 30000  | 31579  |
|  Series 2020 B:  |  |  |
|  5% 5/1/24 <br>| 100000  | 102913  |
|  5% 5/1/29 <br>| 20000  | 22734  |
|  North Carolina Med. Care Commission Health Care Facilities Rev.:  |  |  |
|  Series 2016 A, 5% 6/1/28  | 65000  | 70854  |
|  Series 2020 A, 4% 10/1/45  | 55000  | 44671  |
|  North Carolina Tpk. Auth. Triangle Expressway Sys.:  |  |  |
|  Series 2009 B, 0% 1/1/37 (Assured Guaranty Corp. Insured)  | 150000  | 79479  |
|  Series 2018, 5% 1/1/31  | 85000  | 90986  |
|  Union County Enterprise Systems Rev. Series 2021, 3% 6/1/37  | 80000  | 69949  |
|  Wake County:  |  |  |
|  Series 2019 A, 3% 3/1/36  | 50000  | 46141  |
|  Series 2022 A, 5% 2/1/31  | 100000  | 117515  |
|  TOTAL NORTH CAROLINA  |  | 1745165  |
| North Dakota - 0.1%  |  |  |
|  North Dakota Hsg. Fin. Agcy. Series 2021 A, 2.25% 7/1/41  | 50000  | 35565  |
|  Univ. of North Dakota Series 2018 A, 4% 4/1/57  | 195000  | 167448  |
|  TOTAL NORTH DAKOTA  |  | 203013  |
| Ohio - 2.0%  |  |  |
|  Akron Bath Copley Hosp. District Rev. Series 2013, 5% 11/15/38 (Pre-Refunded to 5/15/23 @ 100)  | 65000  | 65444  |
|  American Muni. Pwr., Inc. Rev. Series 2015 A, 5% 2/15/27  | 5000  | 5104  |
|  Buckeye Tobacco Settlement Fing. Auth. Series 2020 A2, 5% 6/1/34  | 240000  | 253201  |
|  Chillicothe Hosp. Facilities Rev. Series 2017, 5% 12/1/37  | 100000  | 101861  |
|  Cleveland Income Tax Rev. Series 2017 B1, 5% 10/1/28  | 115000  | 127457  |
|  Cleveland Pub. Pwr. Sys. Rev. Series B2, 0% 11/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 55000  | 27122  |
|  Columbus Gen. Oblig.:  |  |  |
|  Series 2016 A, 4% 8/15/27  | 45000  | 46569  |
|  Series 2018 A, 5% 4/1/30  | 120000  | 135092  |
|  Cuyahoga County Hosp. Rev. Series 2017, 5% 2/15/52  | 55000  | 53806  |
|  Franklin County Convention Facilities Auth. (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019, 5% 12/1/44  | 130000  | 128504  |
|  Franklin County Ohio Sales Tax R Series 2018, 5% 6/1/48  | 30000  | 31906  |
|  Franklin County Rev. Series 2017 OH:  |  |  |
|  4% 12/1/46  | 70000  | 64042  |
|  5% 12/1/46  | 65000  | 65663  |
|  Gahanna-Jefferson School District Series 2021, 2% 12/1/50 (Assured Guaranty Muni. Corp. Insured)  | 45000  | 25560  |
|  Hamilton County Sales Tax Rev. Series 2000 B, 0% 12/1/28 (AMBAC Insured)  | 235000  | 192271  |
|  Northeastern Local School District of Clark and Champaign Series 2018, 4% 12/1/55 (Assured Guaranty Muni. Corp. Insured)  | 65000  | 59384  |
|  Ohio Gen. Oblig.:  |  |  |
|  Series 2015 A, 5% 9/15/26  | 20000  | 21678  |
|  Series 2015 C:  |  |  |
|  5% 11/1/28 <br>| 35000  | 36834  |
|  5% 11/1/30 <br>| 50000  | 52505  |
|  Series 2017 C, 5% 8/1/26  | 25000  | 27032  |
|  Series 2018 A, 5% 2/1/29  | 25000  | 26662  |
|  Series 2019 A, 5% 5/1/27  | 60000  | 65831  |
|  Series 2021 B, 5% 9/15/31  | 120000  | 141698  |
|  Series R, 5% 5/1/24  | 15000  | 15433  |
|  Series S, 5% 5/1/29  | 50000  | 53579  |
|  Ohio Hosp. Facilities Rev.:  |  |  |
|  Series 2017 A, 5% 1/1/33  | 40000  | 43688  |
|  Series 2021 B, 5% 1/1/28  | 100000  | 110317  |
|  Ohio Hosp. Rev. Series 2016 A, 5% 1/15/41  | 20000  | 20313  |
|  Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg.-Backed Securities Prog.) Series 2021 A, 3% 3/1/52  | 135000  | 130893  |
|  Ohio Parks & Recreation Cap. Facilities Series 2017 A, 5% 12/1/31  | 20000  | 21993  |
|  Ohio Spl. Oblig. (Trans. Bldg. Fund Proj.) Series 2015 A, 5% 4/1/29  | 40000  | 41875  |
|  Ohio Tpk. Commission Tpk. Rev.:  |  |  |
|  (Infrastructure Proj.):  |  |  |
|  Series 2005 A, 0% 2/15/43 <br>| 25000  | 9882  |
|  Series 2013 A2, 0% 2/15/37 <br>| 20000  | 11045  |
|  Series A, 0% 2/15/41 <br>| 60000  | 26458  |
|  Series A, 5% 2/15/51  | 50000  | 53122  |
|  Ohio Wtr. Dev. Auth. Poll. Cont. Facilities Rev. Series 2019 A, 5% 6/1/27  | 55000  | 60490  |
|  Ohio Wtr. Dev. Auth. Wtr. Poll. Cont. Rev.:  |  |  |
|  Series 2017 A, 5% 12/1/28  | 30000  | 33060  |
|  Series 2019 B, 3% 6/1/46  | 90000  | 71583  |
|  Series 2020 A:  |  |  |
|  5% 6/1/33 <br>| 90000  | 103621  |
|  5% 12/1/38 <br>| 185000  | 205785  |
|  5% 12/1/40 <br>| 80000  | 88232  |
|  Scioto County Hosp. Facilities Rev. Series 2016, 3.5% 2/15/38  | 285000  | 255110  |
|  Southwest Licking Local School Series 2017 A, 3.375% 11/1/47  | 10000  | 8264  |
|  TOTAL OHIO  |  | 3119969  |
| Oklahoma - 0.4%  |  |  |
|  Cleveland County Edl. Facilities Auth. (Norman Pub. Schools Proj.) Series 2019, 5% 6/1/25  | 110000  | 115353  |
|  Edmond Pub. Works Auth. Sales Tax & Util. Sys. Rev. Series 2017, 4% 7/1/47  | 145000  | 138314  |
|  Oklahoma Cap. Imp Auth. St Hwy. Series 2016, 4% 7/1/33  | 10000  | 10030  |
|  Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B, 4% 8/15/48 (Assured Guaranty Muni. Corp. Insured)  | 140000  | 130579  |
|  Oklahoma Pwr. Auth. Pwr. Supply Sys. Rev. Series 2016 A, 5% 1/1/47  | 15000  | 15513  |
|  Oklahoma Tpk. Auth. Tpk. Rev.:  |  |  |
|  Series 2017 A, 4% 1/1/47  | 35000  | 33416  |
|  Series 2017 D, 5% 1/1/26  | 65000  | 69134  |
|  Univ. of Oklahoma Gen. Rev. Series 2015 C, 5% 7/1/36  | 85000  | 88189  |
|  TOTAL OKLAHOMA  |  | 600528  |
| Oregon - 0.8%  |  |  |
|  Bend La Pine General Obligation Series 2017, 5% 6/15/26  | 10000  | 10768  |
|  Clackamas County School District No. 46:  |  |  |
|  Series 2009:  |  |  |
|  0% 6/15/33 <br>| 60000  | 39582  |
|  0% 6/15/36 <br>| 85000  | 47891  |
|  0% 6/15/39 <br>| 155000  | 74121  |
|  Series B, 0% 6/15/34  | 35000  | 21983  |
|  Deschutes & Jefferson Counties School District #2J Redmond Series 2008 B, 0% 6/15/26  | 40000  | 35826  |
|  Greater Albany School Distrct No. 8J Series 2017, 5% 6/15/27  | 15000  | 16463  |
|  Medford Hosp. Facilities Auth. Rev. (Asante Projs.) Series 2020 A:  |  |  |
|  4% 8/15/50  | 100000  | 89319  |
|  5% 8/15/45  | 50000  | 52087  |
|  Oregon Dept. of Trans. Hwy. User Tax Rev. Series 2013 A, 5% 11/15/38 (Pre-Refunded to 11/15/23 @ 100)  | 20000  | 20362  |
|  Oregon Facilities Auth. Rev. (Univ. of Portland Proj.) Series 2015 A, 5% 4/1/45  | 15000  | 15189  |
|  Oregon Gen. Oblig.:  |  |  |
|  Series 2021 A, 4% 5/1/38  | 195000  | 198744  |
|  Series A, 4% 5/1/37  | 110000  | 112644  |
|  Oregon Health and Science Univ. Spl. Rev.:  |  |  |
|  Series 2016 B, 5% 7/1/39  | 15000  | 15682  |
|  Series 2019 A, 5% 7/1/30  | 100000  | 113701  |
|  Portland Swr. Sys. Rev. Series B, 3% 10/1/28  | 110000  | 110520  |
|  Salem Hosp. Facility Auth. Rev. (Salem Health Projs.) Series 2019 A:  |  |  |
|  3% 5/15/49  | 45000  | 32061  |
|  5% 5/15/29  | 100000  | 108494  |
|  Tri-County Metropolitan Trans. District Rev. Series 2018 A, 3.25% 10/1/34  | 50000  | 47197  |
|  TOTAL OREGON  |  | 1162634  |
| Pennsylvania - 3.3%  |  |  |
|  Allegheny County Series C77, 5% 11/1/43  | 25000  | 26745  |
|  Allegheny County Arpt. Auth. Rev. Series 2021 A, 5% 1/1/51 (c)  | 390000  | 393901  |
|  Allegheny County Hosp. Dev. Auth. Rev.:  |  |  |
|  Series 2018 A:  |  |  |
|  4% 4/1/38 <br>| 5000  | 4823  |
|  5% 4/1/27 <br>| 100000  | 106723  |
|  Series 2019 A, 5% 7/15/33  | 110000  | 119785  |
|  Allegheny County Sanitation Auth. Swr. Rev. Series 2020 B, 4% 6/1/50  | 185000  | 172243  |
|  Bristol School District Series 2013, 5% 6/1/40  | 20000  | 20145  |
|  Commonwealth Fing. Auth. Tobacco Series 2018, 4% 6/1/39 (Assured Guaranty Muni. Corp. Insured)  | 60000  | 59033  |
|  Delaware County Auth. College Rev. Series 2017 A:  |  |  |
|  5% 10/1/42  | 5000  | 5241  |
|  5% 10/1/46  | 135000  | 140747  |
|  Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2018 A, 5% 1/1/32  | 30000  | 33253  |
|  Lancaster County Hosp. Auth. Health Ctr. Rev. Series 2016 A, 5% 8/15/42  | 10000  | 10346  |
|  Lehigh County Auth. Wtr. and Swr. Rev. Series 2013 A, 5% 12/1/43  | 60000  | 59859  |
|  Lehigh County Gen. Purp. Hosp. Rev. Series 2012 B, 4% 7/1/43  | 40000  | 36868  |
|  Montgomery County Higher Ed. & Health Auth. Rev. Series 2019, 4% 9/1/44  | 90000  | 81716  |
|  Northampton County Gen. Purp. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2016 A, 3.125% 8/15/35  | 35000  | 31526  |
|  Northampton County Gen. Purp. College Rev. Series 2017, 3.125% 11/1/34  | 60000  | 56537  |
|  Pennsylvania Econ. Dev. Fing. Auth.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 11/15/27 <br>| 40000  | 43572  |
|  5% 11/15/28 <br>| 90000  | 98021  |
|  Series 2020 A, 4% 4/15/50  | 25000  | 21505  |
|  Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev.:  |  |  |
|  (The Pennsylvania Rapid Bridge Replacement Proj.) Series 2015:  |  |  |
|  4.125% 12/31/38 (c) <br>| 25000  | 22639  |
|  5% 12/31/28 (c) <br>| 35000  | 35916  |
|  Series 2014 A, 5% 2/1/45  | 120000  | 120936  |
|  Pennsylvania Gen. Oblig.:  |  |  |
|  Series 2015 1:  |  |  |
|  5% 3/15/26 <br>| 55000  | 57537  |
|  5% 3/15/29 <br>| 60000  | 62781  |
|  Series 2015:  |  |  |
|  4% 8/15/34 <br>| 175000  | 177315  |
|  5% 8/15/32 <br>| 60000  | 62797  |
|  Series 2016 2, 3% 9/15/36  | 45000  | 40102  |
|  Series 2016:  |  |  |
|  5% 1/15/28 <br>| 145000  | 157292  |
|  5% 9/15/29 <br>| 100000  | 107656  |
|  Series 2018, 3.75% 3/1/39 (Assured Guaranty Muni. Corp. Insured)  | 200000  | 194142  |
|  Series 2020 1, 5% 5/1/28  | 100000  | 110790  |
|  Pennsylvania Higher Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2016 C:  |  |  |
|  3% 8/15/41 <br>| 35000  | 27534  |
|  5% 8/15/25 <br>| 90000  | 95287  |
|  Series 2021 A, 4% 7/15/46  | 210000  | 177791  |
|  Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev.:  |  |  |
|  Series 2017 123B, 3.45% 10/1/32  | 5000  | 4840  |
|  Series 2017 124A, 4% 10/1/38 (c)  | 155000  | 154310  |
|  Series 2017 125B, 3.65% 10/1/42  | 30000  | 26538  |
|  Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of the City of Harrisburg Projs.) Series 2016 A, 4% 12/1/31  | 110000  | 114043  |
|  Pennsylvania Tpk. Commission Oil Franchise Tax Rev. Series 2018 A, 5.25% 12/1/44  | 200000  | 212952  |
|  Pennsylvania Tpk. Commission Tpk. Rev.:  |  |  |
|  Series 2013 B, 0% 12/1/41 (d)  | 40000  | 34378  |
|  Series 2013 B2, 0% 12/1/37 (d)  | 100000  | 87076  |
|  Series 2013 C, 5.5% 12/1/31 (Pre-Refunded to 12/1/23 @ 100)  | 25000  | 25591  |
|  Series 2014 A, 0% 12/1/39 (d)  | 5000  | 4895  |
|  Series 2014 C, 5% 12/1/39  | 30000  | 30597  |
|  Series 2014, 5% 12/1/33  | 55000  | 57226  |
|  Series 2015 A1, 4% 12/1/41  | 60000  | 57597  |
|  Series 2016 B, 5% 6/1/27  | 160000  | 169710  |
|  Series 2017 A, 5.5% 12/1/42  | 150000  | 156566  |
|  Series 2017 A1, 5% 12/1/30  | 40000  | 44011  |
|  Series 2017 B, 5.25% 6/1/47  | 55000  | 56777  |
|  Series 2017 B2, 5% 6/1/25  | 100000  | 104628  |
|  Series 2017, 5% 12/1/40  | 50000  | 51743  |
|  Series 2019 A, 5% 12/1/35  | 35000  | 37247  |
|  Series 2019, 5% 12/1/32  | 30000  | 33168  |
|  Series 2020 B, 5% 12/1/50  | 125000  | 130972  |
|  Philadelphia Arpt. Rev. Series 2021, 5% 7/1/31 (c)  | 100000  | 109025  |
|  Philadelphia Auth. for Indl. Dev. (The Children's Hosp. of Philadelphia Proj.) Series 2017, 4% 7/1/37  | 5000  | 5026  |
|  Philadelphia Gen. Oblig.:  |  |  |
|  Series 2015 B, 5% 8/1/25  | 20000  | 21100  |
|  Series 2017 A, 5% 8/1/23  | 40000  | 40452  |
|  Philadelphia School District:  |  |  |
|  Series 2007 A, 5% 6/1/27 (FGIC Insured) (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 50000  | 53738  |
|  Series 2016 F, 5% 9/1/26  | 110000  | 117077  |
|  Series 2018 B, 4% 9/1/43  | 30000  | 28392  |
|  Series 2019 A, 5% 9/1/44  | 30000  | 31706  |
|  Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. Series B, 0% 9/1/28 (FGIC Insured)  | 20000  | 16495  |
|  Pocono Mountains Indl. Park Auth. Series 2015 A, 4% 8/15/45  | 105000  | 95591  |
|  TOTAL PENNSYLVANIA  |  | 5086571  |
| Pennsylvania, New Jersey - 0.0%  |  |  |
|  Delaware River Joint Toll Bridge Commission Pennsylvania-New Jersey Bridge Rev. Series 2017, 5% 7/1/36  | 5000  | 5370  |
| Rhode Island - 0.2%  |  |  |
|  Rhode Island & Providence Plantations:  |  |  |
|  Series 2019 C, 4% 1/15/33  | 200000  | 209216  |
|  Series C, 3% 1/15/36  | 30000  | 27521  |
|  Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016:  |  |  |
|  5% 5/15/24  | 5000  | 5074  |
|  5% 5/15/31  | 50000  | 51108  |
|  TOTAL RHODE ISLAND  |  | 292919  |
| South Carolina - 0.8%  |  |  |
|  Charleston Wtrwks. & Swr. Rev.:  |  |  |
|  Series 2022 A, 5% 1/1/47  | 130000  | 141316  |
|  Series 2022, 5% 1/1/42  | 150000  | 166619  |
|  South Carolina Jobs-Econ. Dev. Auth. (SPE Fayssoux Properties, LLC Proj.) Series 2016 A, 3% 8/15/38  | 40000  | 30166  |
|  South Carolina Ports Auth. Ports Rev. Series A, 5% 7/1/54  | 115000  | 120019  |
|  South Carolina Pub. Svc. Auth. Rev.:  |  |  |
|  Series 2013 A, 5% 12/1/38  | 160000  | 160727  |
|  Series 2013 B, 5.125% 12/1/43  | 25000  | 25104  |
|  Series 2014 A, 5.5% 12/1/54  | 25000  | 25250  |
|  Series 2014 C:  |  |  |
|  5% 12/1/29 <br>| 40000  | 41192  |
|  5% 12/1/34 <br>| 110000  | 112164  |
|  5% 12/1/36 <br>| 45000  | 45605  |
|  Series 2016 A:  |  |  |
|  3.25% 12/1/35 <br>| 15000  | 13609  |
|  5% 12/1/27 <br>| 50000  | 52698  |
|  Series 2016 B, 5% 12/1/33  | 55000  | 57565  |
|  Series 2022 A, 5% 12/1/44  | 125000  | 128708  |
|  Series A, 3% 12/1/41  | 30000  | 23373  |
|  South Carolina Trans. Infrastructure Bank Rev. Series 2017 A, 5% 10/1/38  | 85000  | 89840  |
|  TOTAL SOUTH CAROLINA  |  | 1233955  |
| Tennessee - 1.2%  |  |  |
|  Chattanooga Health Ed. & Hsg. Facility Board Rev. Series 2019 A1:  |  |  |
|  3% 8/1/39  | 20000  | 15773  |
|  3.25% 8/1/44  | 30000  | 22512  |
|  4% 8/1/38  | 100000  | 92025  |
|  Knox County Health Edl. & Hsg. Facilities:  |  |  |
|  Series 2012 A, 5% 1/1/25  | 60000  | 60051  |
|  Series 2016 A, 4% 1/1/42  | 10000  | 9600  |
|  Series 2019, 4% 11/15/43  | 55000  | 50477  |
|  Memphis Gen. Oblig. Series 2014 B, 5% 4/1/44  | 245000  | 248884  |
|  Memphis-Shelby County Econ. Dev. Series 2017 B, 5% 11/1/30  | 80000  | 85803  |
|  Metropolitan Govt. Nashville & Davidson County Wtr. & Swr. Sys. Rev. Series 2013, 5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100)  | 70000  | 70711  |
|  Metropolitan Nashville Arpt. Auth. Rev. Series 2019 A:  |  |  |
|  4% 7/1/49  | 55000  | 49924  |
|  4% 7/1/54  | 35000  | 31130  |
|  5% 7/1/44  | 65000  | 67730  |
|  Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. Series 2016 A, 5% 7/1/40  | 70000  | 71469  |
|  Tennessee Energy Acquisition Corp.:  |  |  |
|  Bonds:  |  |  |
|  (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (b) <br>| 130000  | 130210  |
|  Series 2018, 4%, tender 11/1/25 (b) <br>| 30000  | 29780  |
|  Series 2006 A:  |  |  |
|  5.25% 9/1/24 <br>| 125000  | 126897  |
|  5.25% 9/1/26 <br>| 30000  | 30980  |
|  Series 2006 C:  |  |  |
|  5% 2/1/24 <br>| 10000  | 10065  |
|  5% 2/1/27 <br>| 15000  | 15362  |
|  Tennessee Gen. Oblig.:  |  |  |
|  Series 2016 A, 5% 8/1/35  | 50000  | 53624  |
|  Series 2021 A, 5% 11/1/31  | 290000  | 345259  |
|  Tennessee Hsg. Dev. Agcy. Residential:  |  |  |
|  Series 2015 2, 3.875% 7/1/35  | 5000  | 4966  |
|  Series 2018 1, 3.85% 7/1/38  | 45000  | 44139  |
|  Series 2018 3, 3.75% 7/1/38  | 30000  | 29069  |
|  Series 2020 1A, 2.4% 1/1/44  | 15000  | 12477  |
|  Tennessee School Board Auth. Series A, 5% 11/1/42  | 105000  | 111736  |
|  TOTAL TENNESSEE  |  | 1820653  |
| Texas - 9.9%  |  |  |
|  Aldine Independent School District Series 2017 A, 5% 2/15/30  | 50000  | 54296  |
|  Alvin Independent School District Series 2019, 3.375% 2/15/40  | 120000  | 107966  |
|  Arlington Higher Ed. Fin. Corp. Series 2019 A, 3% 8/15/54  | 60000  | 42875  |
|  Austin Cmnty. College District Rev. Series 2015, 5% 8/1/31  | 1030000  | 1082164  |
|  Austin Convention Enterprises, Inc. Series 2017 A, 5% 1/1/25  | 80000  | 81099  |
|  Austin Independent School District:  |  |  |
|  Series 2017, 4% 8/1/33  | 20000  | 20729  |
|  Series 2019, 4% 8/1/35  | 25000  | 26062  |
|  Bexar County Hosp. District Series 2020, 3% 2/15/36  | 55000  | 48962  |
|  Bexar County Rev. Series 2015, 4% 8/15/51 (Pre-Refunded to 8/15/24 @ 100)  | 35000  | 35667  |
|  Brownsville Util. Sys. Rev. Series 2013A, 5% 9/1/28 (Pre-Refunded to 9/1/23 @ 100)  | 80000  | 81045  |
|  Central Reg'l. Mobility Auth.:  |  |  |
|  Series 2013, 5% 1/1/33 (Pre-Refunded to 1/1/23 @ 100)  | 80000  | 80000  |
|  Series 2016, 3.375% 1/1/41  | 20000  | 16588  |
|  City of Denton Series 2017, 4% 2/15/47  | 50000  | 47586  |
|  Cleveland Independent School District Series 2020 A, 4% 2/15/52  | 150000  | 140571  |
|  College of the Mainland Series 2019, 3.75% 8/15/49  | 20000  | 17279  |
|  Collin County Cmnty. College District Series 2018 A, 3.25% 8/15/33  | 10000  | 9964  |
|  Conroe Independent School District Series 2020 A, 2.25% 2/15/46  | 115000  | 75461  |
|  Cypress-Fairbanks Independent School District:  |  |  |
|  Series 2019, 5% 2/15/30  | 45000  | 50865  |
|  Series 2020 A, 3% 2/15/35  | 120000  | 110633  |
|  Dallas Area Rapid Transit Sales Tax Rev. Series 2016 B:  |  |  |
|  4% 12/1/36  | 200000  | 203059  |
|  4% 12/1/38  | 350000  | 346372  |
|  Dallas Fort Worth Int'l. Arpt. Rev.:  |  |  |
|  Series 2014 A, 5.25% 11/1/27 (c)  | 40000  | 40526  |
|  Series 2020 A, 5% 11/1/30  | 55000  | 63454  |
|  Series 2020 B, 5% 11/1/33  | 35000  | 39949  |
|  Dallas Gen. Oblig. Series 2013 A, 4% 2/15/32  | 5000  | 5376  |
|  Dallas Independent School District Series 2019 B, 4% 2/15/32  | 160000  | 169115  |
|  Del Valle Independent School District Series 2020, 4% 6/15/45  | 200000  | 194026  |
|  Denton Independent School District Series 2014, 5% 8/15/38 (Pre-Refunded to 8/15/24 @ 100)  | 65000  | 67206  |
|  Eagle Mountain & Saginaw Independent School District:  |  |  |
|  Series 2019, 4% 8/15/50  | 105000  | 98960  |
|  Series 2021, 3% 8/15/40  | 150000  | 121918  |
|  El Paso County Cmnty. College District Series 2016, 5% 4/1/38 (Assured Guaranty Muni. Corp. Insured)  | 70000  | 73255  |
|  El Paso County Hosp. District Series 2013, 5% 8/15/39  | 70000  | 70360  |
|  El Paso Independent School District Series 2019, 4% 8/15/38  | 385000  | 385327  |
|  Fort Bend Independent School District Series 2021 A, 2.3% 8/15/46  | 150000  | 101191  |
|  Fort Worth Independent School District Series 2016, 4% 2/15/39  | 130000  | 128684  |
|  Frisco Independent School District:  |  |  |
|  Series 2012 B, 3% 8/15/42  | 200000  | 164260  |
|  Series 2017, 4% 8/15/35  | 110000  | 112101  |
|  Grand Parkway Trans. Corp.:  |  |  |
|  Series 2013:  |  |  |
|  0% 10/1/32 (d) <br>| 40000  | 43393  |
|  0% 10/1/46 (d) <br>| 40000  | 41770  |
|  0% 10/1/48 (d) <br>| 30000  | 31325  |
|  Series 2018 A, 5% 10/1/37  | 40000  | 42708  |
|  Harris County Cultural Ed. Facilities Fin. Corp. Rev. Series 2015, 4% 12/1/45  | 75000  | 69475  |
|  Harris County Flood Cont. District:  |  |  |
|  Series 2017 A, 4% 10/1/38  | 75000  | 75807  |
|  Series 2021 A:  |  |  |
|  4% 10/1/33 <br>| 150000  | 159040  |
|  4% 10/1/46 <br>| 100000  | 96865  |
|  Harris County Gen. Oblig.:  |  |  |
|  Series 2015 B, 5% 8/15/28  | 100000  | 105279  |
|  Series 2016 A:  |  |  |
|  5% 8/15/33 <br>| 15000  | 16114  |
|  5% 8/15/35 <br>| 140000  | 149202  |
|  Harris County Hosp. District Rev. Series 2016, 3.25% 2/15/42  | 230000  | 187075  |
|  Harris County Toll Road Rev.:  |  |  |
|  Series 2018 A, 4% 8/15/48  | 40000  | 37895  |
|  Series 2019 A, 3% 8/15/44  | 120000  | 94060  |
|  Harris County-Houston Sports Auth. Rev.:  |  |  |
|  Series 2001 A, 0% 11/15/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 75000  | 42292  |
|  Series 2014 C, 5% 11/15/30  | 170000  | 174312  |
|  Series 2014:  |  |  |
|  0% 11/15/48 (Assured Guaranty Muni. Corp. Insured) <br>| 10000  | 2724  |
|  0% 11/15/49 (Assured Guaranty Muni. Corp. Insured) <br>| 25000  | 6451  |
|  Houston Arpt. Sys. Rev.:  |  |  |
|  Series 2018 D, 5% 7/1/38  | 55000  | 58302  |
|  Series 2021 A, 4% 7/1/40 (c)  | 175000  | 161967  |
|  Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2001 B:  |  |  |
|  0% 9/1/23 (AMBAC Insured)  | 60000  | 58613  |
|  0% 9/1/33 (AMBAC Insured)  | 80000  | 53154  |
|  Houston Independent School District:  |  |  |
|  Series 2013 A, 5% 2/15/24  | 35000  | 35086  |
|  Series 2016, 4% 2/15/40  | 250000  | 250604  |
|  Series 2017:  |  |  |
|  5% 2/15/23 <br>| 20000  | 20045  |
|  5% 2/15/27 <br>| 50000  | 54536  |
|  Series 2018, 5% 7/15/27  | 55000  | 60460  |
|  Houston Util. Sys. Rev.:  |  |  |
|  Series 2014 C, 5% 5/15/26  | 75000  | 77143  |
|  Series 2014 D, 5% 11/15/27  | 230000  | 239104  |
|  Series 2016 B, 5% 11/15/25  | 275000  | 292630  |
|  Series 2017 B, 5% 11/15/29  | 45000  | 49594  |
|  Series 2019 B, 4% 11/15/44  | 55000  | 52545  |
|  Humble Independent School District Series 2020 A, 2% 2/15/42  | 25000  | 16959  |
|  Klein Independent School District Series 2017, 4% 8/1/46  | 215000  | 208293  |
|  Leander Independent School District:  |  |  |
|  Series 2014 D:  |  |  |
|  0% 8/15/30 <br>| 200000  | 147238  |
|  0% 8/15/40 (Pre-Refunded to 8/15/24 @ 46.38) <br>| 25000  | 11058  |
|  0% 8/15/42 (Pre-Refunded to 8/15/24 @ 41.9852) <br>| 90000  | 35950  |
|  Series 2016 A:  |  |  |
|  0% 8/16/44 <br>| 10000  | 3815  |
|  0% 8/16/44 (Pre-Refunded to 8/16/26 @ 48.506) <br>| 5000  | 2177  |
|  Lower Colorado River Auth. Rev. (LCRA Transmission Svcs. Corp. Proj.) Series 2020, 5% 5/15/34  | 90000  | 99288  |
|  Matagorda County Navigation District No. 1 Poll. Cont. Rev. Series 2005 A, 4.4% 5/1/30 (AMBAC Insured)  | 20000  | 20534  |
|  Midland County Fresh Wtr. Supply District (City of Midland Proj.) Series 2012 A, 0% 9/15/35 (Pre-Refunded to 9/15/27 @ 68.049)  | 5000  | 2903  |
|  North East Texas Reg'l. Mobility Auth. Series 2016 B, 5% 1/1/41  | 60000  | 58256  |
|  North Texas Tollway Auth. Rev.:  |  |  |
|  Series 2008 D:  |  |  |
|  0% 1/1/30 (Assured Guaranty Corp. Insured) <br>| 35000  | 27172  |
|  0% 1/1/35 (Assured Guaranty Corp. Insured) <br>| 5000  | 3074  |
|  Series 2012 A, 0% 1/1/36 (Assured Guaranty Corp. Insured)  | 65000  | 37695  |
|  Series 2014 B, 5% 1/1/31  | 125000  | 127118  |
|  Series 2015 A, 5% 1/1/27  | 100000  | 103925  |
|  Series 2017 A, 5% 1/1/28  | 200000  | 212173  |
|  Series 2017 B, 4% 1/1/36 (Assured Guaranty Muni. Corp. Insured)  | 185000  | 188055  |
|  Series 2018:  |  |  |
|  4.25% 1/1/49 <br>| 55000  | 52465  |
|  5% 1/1/48 <br>| 20000  | 20585  |
|  Series 2021 B, 5% 1/1/31  | 100000  | 112234  |
|  Northside Independent School District:  |  |  |
|  Series 2016, 4% 6/15/35  | 400000  | 406585  |
|  Series 2019 A, 4% 8/15/36  | 120000  | 121534  |
|  Series 2019, 4% 8/15/49  | 125000  | 118768  |
|  Port of Houston Auth. Series 2021, 4% 10/1/39  | 85000  | 83508  |
|  San Antonio Elec. & Gas Sys. Rev.:  |  |  |
|  Series 2013, 5% 2/1/48 (Pre-Refunded to 2/1/23 @ 100)  | 50000  | 50074  |
|  Series 2015:  |  |  |
|  5% 2/1/27 <br>| 40000  | 42688  |
|  5% 2/1/32 <br>| 5000  | 5308  |
|  Series 2017, 5% 2/1/29  | 60000  | 65129  |
|  Series 2019:  |  |  |
|  4% 2/1/28 <br>| 10000  | 10546  |
|  5% 2/1/35 <br>| 125000  | 138249  |
|  San Antonio Gen. Oblig. Series 2015, 5% 2/1/31 (Pre-Refunded to 2/1/25 @ 100)  | 195000  | 203759  |
|  San Antonio Independent School District Series 2019, 5% 8/15/30  | 50000  | 56098  |
|  San Antonio Wtr. Sys. Rev. Series 2021 A, 4% 5/15/51  | 300000  | 281037  |
|  San Jacinto Cmnty. College District Series 2019 A, 5% 2/15/44  | 175000  | 187960  |
|  Socorro Independent School District Series 2019, 5% 8/15/38  | 50000  | 54111  |
|  Tarrant County College Series 2020, 5% 8/15/30  | 130000  | 150089  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.:  |  |  |
|  (Baylor Health Care Sys. Proj.) Series 2013 A, 4% 11/15/43 (Pre-Refunded to 5/15/23 @ 100)  | 15000  | 15054  |
|  (Baylor Scott & White Health Proj.) Series 2016 A, 4% 11/15/36  | 140000  | 140286  |
|  Temple College District Series 2021, 3% 7/1/46  | 380000  | 285431  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev. Series 2020 A, 3% 3/1/50  | 30000  | 21775  |
|  Texas Gen. Oblig.:  |  |  |
|  Series 2014 A:  |  |  |
|  5% 10/1/23 <br>| 50000  | 50768  |
|  5% 10/1/35 (Pre-Refunded to 10/1/24 @ 100) <br>| 70000  | 72713  |
|  Series 2014, 5% 4/1/44 (Pre-Refunded to 4/1/24 @ 100)  | 85000  | 87171  |
|  Series 2015 A:  |  |  |
|  5% 10/1/24 <br>| 55000  | 57122  |
|  5% 10/1/26 <br>| 100000  | 106312  |
|  Series 2016 A, 5% 4/1/30  | 50000  | 53558  |
|  Series 2017 A, 5% 10/1/33  | 50000  | 54625  |
|  Series 2017 B:  |  |  |
|  5% 10/1/29 <br>| 100000  | 110300  |
|  5% 10/1/33 <br>| 25000  | 27312  |
|  Series 2018 B, 5% 8/1/24  | 45000  | 46555  |
|  Texas Private Activity Bond Surface Trans. Corp.:  |  |  |
|  (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A, 4% 6/30/40  | 100000  | 91540  |
|  (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 A, 5% 12/31/32  | 75000  | 78987  |
|  (NTE Mobility Partners Segments 3 LLC Segment 3C Proj.) Series 2019, 5% 6/30/58 (c)  | 170000  | 162140  |
|  Texas Tpk. Auth. Central Texas Tpk. Sys. Rev. Series A, 0% 8/15/29 (AMBAC Insured)  | 35000  | 27876  |
|  Texas Trans. Commission Central Texas Tpk. Sys. Rev.:  |  |  |
|  Series 2012 A, 4% 8/15/38  | 25000  | 24128  |
|  Series 2015 C:  |  |  |
|  5% 8/15/25 <br>| 90000  | 92372  |
|  5% 8/15/29 <br>| 115000  | 117442  |
|  Texas Wtr. Dev. Board Rev.:  |  |  |
|  Series 2017 A, 5% 10/15/47  | 60000  | 62865  |
|  Series 2018 A:  |  |  |
|  4% 10/15/32 <br>| 50000  | 52450  |
|  4% 10/15/37 <br>| 40000  | 40432  |
|  Series 2018, 5% 8/1/32  | 130000  | 142601  |
|  Series 2019 A:  |  |  |
|  3% 10/15/39 <br>| 125000  | 108250  |
|  4% 10/15/49 <br>| 90000  | 85909  |
|  Series 2020:  |  |  |
|  3% 10/15/34 <br>| 130000  | 124218  |
|  5% 8/1/33 <br>| 15000  | 17229  |
|  Series 2021:  |  |  |
|  5% 8/1/26 <br>| 125000  | 135294  |
|  5% 10/15/33 <br>| 170000  | 198650  |
|  Trinity River Auth. Reg'l. Wastewtr. Sys. Rev. Series 2017, 5% 8/1/33  | 115000  | 126007  |
|  Univ. of Texas Board of Regents Sys. Rev.:  |  |  |
|  Series 2016 J:  |  |  |
|  5% 8/15/24 <br>| 60000  | 62177  |
|  5% 8/15/26 <br>| 105000  | 113848  |
|  Series 2017 B, 3.375% 8/15/44  | 40000  | 34131  |
|  Series 2019 A, 5% 8/15/31  | 85000  | 96800  |
|  Waco Edl. Fin. Corp. Rev. Series 2021, 4% 3/1/46  | 205000  | 195257  |
|  Waco Independent School District Series 2022:  |  |  |
|  3% 8/15/39  | 345000  | 301504  |
|  3% 8/15/40  | 70000  | 60489  |
|  Waller Independent School District Series 2020, 4% 2/15/50  | 100000  | 94296  |
|  West Harris County Reg'l. Wtr. Auth. Wtr. Sys. Rev. Series 2019, 3% 12/15/58  | 150000  | 101930  |
|  Williamson County Series 2022, 4% 2/15/42  | 395000  | 390775  |
|  TOTAL TEXAS  |  | 15089510  |
| Utah - 0.8%  |  |  |
|  Salt Lake City Arpt. Rev. Series 2017 A, 5% 7/1/29 (c)  | 525000  | 552563  |
|  Univ. of Utah Gen. Revs.:  |  |  |
|  Series 2017 A, 5% 8/1/29  | 45000  | 49465  |
|  Series 2017 B1, 5% 8/1/26  | 200000  | 216114  |
|  Series 2021 A1, 4% 8/1/41  | 145000  | 141069  |
|  Utah County Hosp. Rev. Series 2016 B, 5% 5/15/46  | 35000  | 36224  |
|  Utah Transit Auth. Sales Tax Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 6/15/26 (Pre-Refunded to 6/15/25 @ 100) <br>| 15000  | 15865  |
|  5% 6/15/29 (Pre-Refunded to 6/15/25 @ 100) <br>| 15000  | 15865  |
|  5% 6/15/37 (Pre-Refunded to 6/15/25 @ 100) <br>| 155000  | 163942  |
|  Series 2016, 4% 12/15/29  | 25000  | 26015  |
|  TOTAL UTAH  |  | 1217122  |
| Virginia - 1.8%  |  |  |
|  Arlington County Series 2019, 4% 6/15/35  | 5000  | 5205  |
|  Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2019, 5% 11/1/23  | 55000  | 55502  |
|  Chesterfield County Econ. Dev. Auth. Rev. (County Projs.) Series 2020 F, 2% 4/1/41  | 100000  | 67371  |
|  Commonwealth Trans. Board Grant Anticipation Rev. Series 2017 A, 5% 9/15/23  | 15000  | 15219  |
|  Fairfax County Econ. Dev. Auth.:  |  |  |
|  (Route 28 Proj.) Series 2016 A, 2.875% 4/1/35  | 15000  | 13524  |
|  Series 2016 A, 3% 4/1/36  | 155000  | 137335  |
|  Series 2016 B, 3% 4/1/36  | 100000  | 88603  |
|  Hampton Roads Trans. Accountability Commission Series 2020 A, 5.25% 7/1/60  | 25000  | 26698  |
|  Henrico County Wtr. & Swr. Rev. Series 2016, 5% 5/1/46 (Pre-Refunded to 5/1/26 @ 100)  | 170000  | 182954  |
|  Loudoun County Gen. Oblig. Series 2022 A, 4% 12/1/41  | 145000  | 147702  |
|  Lynchburg Econ. Dev. Series 2017 A, 4% 1/1/47  | 90000  | 80718  |
|  Norfolk Series 2021 A, 4% 3/1/40  | 170000  | 173249  |
|  Roanoke Econ. Dev. Authority. Bonds Series 2020 D, 5%, tender 7/1/30 (b)  | 70000  | 78098  |
|  Univ. of Virginia Gen. Rev. Series 2017 A, 5% 4/1/42  | 225000  | 240373  |
|  Virginia College Bldg. Auth. Edl. Facilities Rev.:  |  |  |
|  (21st Century Collage and Equip. Programs) Series 2021 A, 3% 2/1/36  | 55000  | 50195  |
|  (21st Century College & Equip. Programs) Series 2019 A, 5% 2/1/29  | 75000  | 84799  |
|  (21st Century College and Equip. Progs.):  |  |  |
|  Series 2015 A: <br>|  |  |
|  5% 2/1/25 <br>| 180000  | 188345  |
|  5% 2/1/28 (Pre-Refunded to 2/1/25 @ 100) <br>| 65000  | 68054  |
|  Series 2017 E, 5% 2/1/24 <br>| 5000  | 5117  |
|  Series 2019 C, 5% 2/1/30 <br>| 15000  | 16935  |
|  Series 2017 A, 5% 2/1/24  | 40000  | 40940  |
|  Virginia College Bldg. Auth. Edl. Facilities Rev. Rfdg. (Pub. Higher Ed. Fing. Prog.) Series 2016 A, 3% 9/1/26  | 55000  | 55466  |
|  Virginia Commonwealth Trans. Board Rev.:  |  |  |
|  Series 2014, 5% 5/15/26  | 125000  | 128690  |
|  Series 2016, 3% 5/15/40  | 5000  | 4136  |
|  Virginia Port Auth. Port Facilities Rev. Series 2015 A, 5% 7/1/33 (Pre-Refunded to 7/1/25 @ 100) (c)  | 5000  | 5254  |
|  Virginia Small Bus. Fing. Auth.:  |  |  |
|  (95 Express Lanes LLC Proj.) Series 2022, 4% 7/1/39 (c)  | 110000  | 99514  |
|  Series 2014, 4% 10/1/38  | 35000  | 35004  |
|  Virginia Small Bus. Fing. Auth. Health Care Facilities Rev. Series 2020, 4% 11/1/36  | 400000  | 406189  |
|  Virginia St Resources Auth. Inf Series 2016 C, 4% 11/1/36  | 195000  | 198452  |
|  TOTAL VIRGINIA  |  | 2699641  |
| Washington - 3.2%  |  |  |
|  Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Series 2016 S1:  |  |  |
|  5% 11/1/27  | 45000  | 48847  |
|  5% 11/1/33  | 155000  | 166902  |
|  5% 11/1/36  | 30000  | 31978  |
|  5% 11/1/41  | 85000  | 89632  |
|  Energy Northwest Elec. Rev.:  |  |  |
|  Series 2014 A, 4% 7/1/24  | 150000  | 152709  |
|  Series 2015 A, 5% 7/1/25  | 130000  | 137363  |
|  Series 2016 A, 5% 7/1/28  | 215000  | 231274  |
|  Series 2018 C, 5% 7/1/33  | 30000  | 33203  |
|  Series 2020 A, 5% 7/1/28  | 70000  | 78112  |
|  King County Gen. Oblig. Series 2015 E, 5% 12/1/29  | 55000  | 58648  |
|  King County Hsg. Auth. Rev. Series 2018, 3.5% 5/1/38  | 15000  | 13775  |
|  King County Lake Washington School District #414 Gen. Oblig. Series 2016, 4% 12/1/26  | 1000000  | 1038548  |
|  King County School District 210 Series 2018, 5% 12/1/30  | 80000  | 88202  |
|  Port of Seattle Rev. Series 2018 B, 5% 5/1/24 (c)  | 75000  | 76457  |
|  Seattle Muni. Lt. & Pwr. Rev.:  |  |  |
|  Series 2013, 4.125% 7/1/38  | 360000  | 360354  |
|  Series 2020 A, 5% 7/1/26  | 75000  | 80885  |
|  Spokane County School District #81 (Washington State School District Cr. Enhancement Prog.) Series 2021, 4% 12/1/28  | 155000  | 166586  |
|  Washington Biomedical Research Properties 3.2 Series 2015 A, 4% 1/1/48  | 150000  | 144433  |
|  Washington Convention Ctr. Pub. Facilities Series 2018, 4% 7/1/58  | 10000  | 8212  |
|  Washington Gen. Oblig.:  |  |  |
|  Series 2014 A, 5% 8/1/26  | 40000  | 40500  |
|  Series 2014 B, 5% 8/1/29  | 5000  | 5061  |
|  Series 2014 E, 5% 2/1/32  | 110000  | 112407  |
|  Series 2015 B, 5% 2/1/28  | 85000  | 88853  |
|  Series 2015 H:  |  |  |
|  5% 7/1/26 <br>| 30000  | 31310  |
|  5% 7/1/29 <br>| 40000  | 41699  |
|  Series 2016 A1, 5% 8/1/29  | 10000  | 10550  |
|  Series 2016 C:  |  |  |
|  5% 2/1/33 <br>| 200000  | 212081  |
|  5% 2/1/35 <br>| 20000  | 21099  |
|  Series 2016 R, 5% 7/1/24  | 125000  | 129164  |
|  Series 2017 B, 5% 8/1/29  | 150000  | 161342  |
|  Series 2018 C, 5% 8/1/28  | 55000  | 60384  |
|  Series 2018 D, 5% 8/1/28  | 30000  | 32937  |
|  Series 2020 A:  |  |  |
|  5% 1/1/26 <br>| 30000  | 32059  |
|  5% 8/1/42 <br>| 165000  | 178364  |
|  Series 2020 B, 5% 6/1/37  | 55000  | 60122  |
|  Series 2020 C, 5% 2/1/41  | 150000  | 161730  |
|  Series 2020 E, 5% 6/1/45  | 15000  | 15972  |
|  Series 2021 A, 5% 6/1/41  | 125000  | 135175  |
|  Series 2022 A, 5% 8/1/43  | 100000  | 109107  |
|  Series R, 5% 7/1/29  | 100000  | 104247  |
|  Washington Health Care Facilities Auth. Rev.:  |  |  |
|  Series 2012 A, 5% 10/1/38  | 40000  | 40557  |
|  Series 2017 B, 3.5% 8/15/38  | 60000  | 53911  |
|  Washington Higher Ed. Facilities Auth. Rev.:  |  |  |
|  (Gonzaga Univ. Proj.) Series 2019 A, 3% 4/1/49  | 65000  | 45992  |
|  (Seattle Pacific Univ. Proj.) Series 2020 A, 5% 10/1/42  | 25000  | 25178  |
|  Washington State Univ. Hsg. and Dining Sys. Rev. Series 2015, 5% 4/1/40  | 35000  | 36117  |
|  TOTAL WASHINGTON  |  | 4952038  |
| West Virginia - 0.3%  |  |  |
|  West Virginia Comm of Hwys Spl. Oblig. Series 2017 A, 5% 9/1/29  | 65000  | 70991  |
|  West Virginia Gen. Oblig. Series 2018 B, 5% 12/1/41  | 80000  | 84644  |
|  West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2016 A, 3% 6/1/33  | 30000  | 27965  |
|  West Virginia Parkways Auth. Series 2021, 4% 6/1/51  | 100000  | 89667  |
|  West Virginia Univ. Revs. (West Virginia Univ. Proj.) Series A, 4% 10/1/47  | 225000  | 211417  |
|  TOTAL WEST VIRGINIA  |  | 484684  |
| Wisconsin - 0.7%  |  |  |
|  Ashwaubenon Cmnty. Dev. Auth. Lease Rev. (Brown County Expo Ctr. Proj.) Series 2019, 0% 6/1/49  | 160000  | 45878  |
|  Pub. Fin. Auth. Hosp. Rev. (Renown Reg'l. Med. Ctr. Proj.) Series 2016 A, 3% 6/1/36  | 45000  | 39444  |
|  Pub. Fin. Auth. Lease Dev. Rev. (KU Campus Dev. Corp. Central District Dev. Proj.) Series 2016:  |  |  |
|  5% 3/1/29  | 40000  | 42304  |
|  5% 3/1/46  | 50000  | 52083  |
|  Roseman Univ. of Health (Fargo-Moorhead Metropolitan Area Flood Risk Mgmt. Proj.) Series 2021, 4% 3/31/56 (c)  | 10000  | 7520  |
|  Wisconsin Envir. Impt. Fund Rev. Series 2017, 5% 6/1/29  | 10000  | 10513  |
|  Wisconsin Gen. Oblig.:  |  |  |
|  Series 2016 2, 5% 11/1/29  | 70000  | 75427  |
|  Series 2021 B, 5% 5/1/35  | 85000  | 95168  |
|  Series 3, 5% 11/1/31  | 30000  | 32885  |
|  Series A:  |  |  |
|  4% 5/1/27 <br>| 30000  | 31272  |
|  5% 5/1/30 <br>| 125000  | 134608  |
|  5% 5/1/34 <br>| 120000  | 125487  |
|  Series D, 5% 5/1/23  | 45000  | 45300  |
|  Wisconsin Health & Edl. Facilities:  |  |  |
|  (Ascension Health Cr. Group Proj.) Series 2016 A, 5% 11/15/36  | 55000  | 56706  |
|  Series 2014 A, 5% 11/15/25  | 40000  | 41505  |
|  Series 2016 A:  |  |  |
|  3.5% 2/15/46 <br>| 95000  | 76789  |
|  4% 11/15/39 <br>| 40000  | 38963  |
|  Series 2017 A, 5% 4/1/28  | 35000  | 37777  |
|  Wisconsin Health & Edl. Facilities Auth. Sr. Living Facilities Rev. (Covenant Cmntys., Inc. Proj.) Series 2018 A1, 4.125% 7/1/53  | 135000  | 105388  |
|  Wisconsin Hsg. & Econ. Dev. Auth. Series 2017 A, 2.69% 7/1/47  | 19713  | 18609  |
|  Wisconsin St Gen. Fund Annual Appropriation Series 2017 B, 5% 5/1/36  | 25000  | 26349  |
|  TOTAL WISCONSIN  |  | 1139975  |
| Wyoming - 0.0%  |  |  |
|  Campbell County Solid Waste Facilities Rev. Series 2019 A, 3.625% 7/15/39  | 25000  | 21837  |
| <br> **TOTAL MUNICIPAL BONDS** <br> (Cost $159,531,600)  |  | <br> **148754124**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 2.2%**  | &nbsp;&nbsp; **Money Market Funds - 2.2%**  | &nbsp;&nbsp; **Money Market Funds - 2.2%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Municipal Cash Central Fund 3.72% (e)(f) <br>(Cost $3,303,995) <br>| 3303339  | **3303990**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.6%** <br> (Cost $162,835,595) <br>| <br>**152058114**  |
| **NET OTHER ASSETS (LIABILITIES) - 0.4%**  | **605493**  |
| **NET ASSETS - 100.0%**  | **152663607**  |

---

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

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

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Municipal Cash Central Fund 3.72%  | 2771978  | 38777999  | 38246000  | 19672  | -  | 13  | 3303990  | 0.1%  |
| Total  | 2771978  | 38777999  | 38246000  | 19672  | -  | 13  | 3303990  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of December 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  Municipal Securities  | 148754124  | -  | 148754124  | -  |
|  Money Market Funds  | 3303990  | 3303990  | -  | -  |
| **Total Investments in Securities:**  | 152058114  | 3303990  | 148754124  | -  |

---

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $159,531,600)  | $148754124  |  |
|  Fidelity Central Funds (cost $3,303,995)  | 3303990  |  |
|  Total Investment in Securities (cost $162,835,595)  |  | $152058114  |
|  Cash  |  | 1254863  |
|  Receivable for fund shares sold  |  | 1363315  |
|  Interest receivable  |  | 1764643  |
|  Distributions receivable from Fidelity Central Funds  |  | 11897  |
| Other receivables  |  | 107  |
| **Total assets**  |  | 156452939  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  | $3480584  |  |
|  Payable for fund shares redeemed  | 216287  |  |
|  Distributions payable  | 84055  |  |
|  Accrued management fee  | 8406  |  |
| **Total Liabilities**  |  | 3789332  |
| **Net Assets**  |  | $152663607  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $166089434  |
|  Total accumulated earnings (loss)  |  | (13425827)  |
|  **Net Assets**  |  | $152663607  |
|  **Net Asset Value** , offering price and redemption price per share ($152,663,607 ÷ 8,439,888 shares)  |  | $18.09  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Interest  |  | $1389405  |
| Income from Fidelity Central Funds  |  | 19672  |
| **Total Income**  |  | 1409077  |
|  **Expenses**  |  |  |
| Management fee  | $46243  |  |
| Independent trustees' fees and expenses  | 219  |  |
| Total expenses before reductions  | 46462  |  |
| Expense reductions  | (279)  |  |
| Total expenses after reductions  |  | 46183  |
| **Net Investment income (loss)**  |  | 1362894  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (1211241)  |  |
| Total net realized gain (loss)  |  | (1211241)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (348384)  |  |
| Fidelity Central Funds  | 13  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (348371)  |
| **Net gain (loss)**  |  | (1559612)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(196718)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  | **Year ended** <br> **June 30, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $1362894  | $1819385  |
| &nbsp;&nbsp; Net realized gain (loss)  | (1211241) <br>| (1418657) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (348371)  | (12842455) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (196718) <br>| (12441727) <br>|
| Distributions to shareholders  | (1349592) <br>| (1813504) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 75619608  | 111001374  |
| Reinvestment of distributions  | 974878 <br>| 1296085 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (47325647)  | (79887212)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 29268839 <br>| 32410247 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 27722529 <br>| 18155016 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 124941078  | 106786062 <br>|
| &nbsp;&nbsp; End of period  | $152663607  | $124941078  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 4178814  | 5718725  |
| Issued in reinvestment of distributions  | 54288 <br>| 66486 <br>|
| &nbsp;&nbsp; Redeemed  | (2644234)  | (4170931)  |
| &nbsp;&nbsp; Net increase (decrease)  | 1588868  | 1614280  |

---

**Financial Highlights** 

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $18.24  | $20.39  | $19.97  | $20.00  |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .186  | .281  | .309  | .324  |
| Net realized and unrealized gain (loss)  | (.152)  | (2.152)  | .421  | (.035)  |
| Total from investment operations  | .034  | (1.871)  | .730  | .289  |
| Distributions from net investment income  | (.184)  | (.279)  | (.310)  | (.319)  |
| Total distributions  | (.184)  | (.279)  | (.310)  | (.319)  |
| Net asset value, end of period  | $18.09  | $18.24  | $20.39  | $19.97  |
| **Total Return** <sup>D,E</sup>  | .20%  | (9.26)%  | 3.68%  | 1.46%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |  |  |  |
| Expenses before reductions  | .07% <sup>H</sup>  | .07%  | .07%  | .07% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .07% <sup>H</sup>  | .07%  | .07%  | .07% <sup>H</sup>  |
| Expenses net of all reductions  | .07% <sup>H</sup>  | .07%  | .07%  | .07% <sup>H</sup>  |
| Net investment income (loss)  | 2.05% <sup>H</sup>  | 1.43%  | 1.53%  | 1.67% <sup>H</sup>  |
| **Supplemental Data**  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $152664  | $124941  | $106786  | $60060  |
| Portfolio turnover rate <sup>I</sup>  | 29% <sup>H</sup>  | 30%  | 8%  | 76% <sup>H</sup>  |

---

<sup>A</sup> *For the period July 11, 2019 (commencement of operations) through June 30, 2020.*

<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).*

**Notes to Financial Statements** **(Unaudited)**

For the period ended December 31, 2022

**1. Organization.**

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

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

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

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

---

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

---

<sup>A</sup> *Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

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

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies* . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. 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.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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

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

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

Book-tax differences are primarily due to market disconnect, 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**  | $166263  |
| **Gross unrealized depreciation**  | <u>(10890875)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(10724612)</u>  |
| **Tax cost**  | <u>$162782726</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 prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term  | $(1016336)  |
| Long-term  | <u>(443443</u>)  |
| **Total capital loss carryforward**  | <u>$(1459779)</u>  |

---

**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 Municipal Bond Index Fund**  | 47285541  | 18790038  |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .07% of the Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Interfund 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.

**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 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.

**7. Expense Reductions.** 

Through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $164 and $115, respectively.

**8. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**9.** **Risk and Uncertainties.**

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

**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® Municipal Bond Index Fund**  | .07%  |  |  |  |
| **Actual**  |  | $1000  | $1002.00  | $.35  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.85  | $.36  |

---

*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.*

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

**Fidelity Municipal Bond Index Fund** 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

![](img88353_6.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 considered that the fund has a unitary fee that covers expenses beyond portfolio management, whereas the majority of funds within this group do not have unitary or all-inclusive fees. The Board further considered that, as discussed below, when compared to the total expenses of its load-type competitors, this fund ranks below median.

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

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

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

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

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

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

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

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

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

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

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

![](img88353_2.jpg) <br>

1.9894015.103 MBL-SANN-0323

**Fidelity® SAI Municipal Bond Index Fund**

**Semi-Annual Report**

**December 31, 2022**

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

![](img88352_1.jpg)

![](img88352_2.jpg)

**Contents**

---

| |
|:---|
| **[Investment Summary](#Sec_InvestmentSummary3470)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments3470)** |
| **[Financial Statements](#Sec_FinancialStatements3470)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[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 1-800-544-3455 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.*

**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)**  |
| California  | 18.0  |
| New York  | 15.1  |
| Texas  | 8.9  |
| Illinois  | 5.7  |
| New Jersey  | 4.2  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  | &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  |
| General Obligations  | 32.7%  |
| Transportation  | 17.2%  |
| Special Tax  | 11.0%  |
| Water & Sewer  | 10.1%  |
| Health Care  | 8.7%  |
| Electric Utilities  | 5.5%  |
| Education  | 5.3%  |
| Escrowed/Pre-Refunded  | 5.3%  |
| Others\* (Individually Less Than 5%)  | 4.2%  |
|  | 100.0%  |
| *\*Includes net other assets*  |  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Quality Diversification (% of Fund's net assets)**  |
| ![](img88352_5.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 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Bonds - 99.3%**  | &nbsp;&nbsp; **Municipal Bonds - 99.3%**  | &nbsp;&nbsp; **Municipal Bonds - 99.3%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Alabama - 0.7%  |  |  |
|  Alabama Fed. Aid Hwy. Fin. Auth.:  |  |  |
|  Series 2015, 3.1% 9/1/29 (Pre-Refunded to 9/1/24 @ 100)  | 70000  | 70225  |
|  Series 2017 A, 4% 6/1/37 (Pre-Refunded to 9/1/27 @ 100)  | 25000  | 26525  |
|  Birmingham Wtrwks. Board Series 2016, 3% 1/1/43 (Pre-Refunded to 1/1/27 @ 100)  | 30000  | 30366  |
|  Black Belt Energy Gas District Series 2019 A, 4% 6/1/25  | 180000  | 179127  |
|  Decatur Wtr. & Swr. Rev. Series 2021 A, 2.125% 2/15/51  | 90000  | 50685  |
|  Infirmary Health Systems Spl. Care Facilities Fing. Auth. Rev. Series 2016 A, 3% 2/1/30  | 60000  | 56759  |
|  Tuscaloosa County Board of Ed. Series 2017, 5% 2/1/43 (Pre-Refunded to 2/1/27 @ 100)  | 25000  | 27309  |
|  UAB Medicine Fin. Auth. Rev.:  |  |  |
|  Series 2016 B, 5% 9/1/34  | 50000  | 52871  |
|  Series 2017 B1, 3.25% 9/1/31  | 45000  | 43984  |
|  Univ. of Alabama Gen. Rev.:  |  |  |
|  Series 2012 A, 5% 7/1/24  | 20000  | 20031  |
|  Series 2017 B, 3% 7/1/35  | 30000  | 27546  |
|  TOTAL ALABAMA  |  | 585428  |
| Arizona - 1.8%  |  |  |
|  Arizona Health Facilities Auth. Rev. (Scottsdale Lincoln Hospitals Proj.) Series 2014 A, 5% 12/1/26  | 15000  | 15494  |
|  Arizona State Univ. Revs. Series 2019 B, 4% 7/1/49  | 70000  | 65396  |
|  Bullhead City Excise Taxes Series 2021, 2.7% 7/1/51  | 90000  | 60874  |
|  City of Lake Havasu Wastewtr. Sys. Rev. Series 2015 B, 4% 7/1/45 (Assured Guaranty Muni. Corp. Insured)  | 60000  | 54750  |
|  Glendale Wtr. & Swr. Rev. Series 2015, 5% 7/1/26  | 325000  | 343245  |
|  Maricopa County Rev. Series 2016 A, 5% 1/1/38  | 40000  | 41809  |
|  McAllister Academic Village LLC Rev. Series 2016, 5% 7/1/39  | 175000  | 181887  |
|  Mesa Util. Sys. Rev. Series 2016, 3% 7/1/38  | 125000  | 107999  |
|  Phoenix Civic Impt. Board Arpt. Rev.:  |  |  |
|  Series 2015 A, 5% 7/1/45  | 95000  | 96176  |
|  Series 2017 D, 5% 7/1/25  | 20000  | 21083  |
|  Series 2019 B, 5% 7/1/44 (b)  | 40000  | 40872  |
|  Phoenix Civic Impt. Corp. District Rev. Series 2005 B:  |  |  |
|  5.5% 7/1/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 25000  | 30264  |
|  5.5% 7/1/41 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 80000  | 96378  |
|  Phoenix Civic Impt. Corp. Excise Tax Rev. Series 2015 A, 5% 7/1/31  | 25000  | 26385  |
|  Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev.:  |  |  |
|  (Arizona Salt River Proj.) Series A, 5% 1/1/38  | 145000  | 154674  |
|  Series 2015 A, 5% 12/1/32  | 25000  | 26330  |
|  Series 2017 A, 5% 1/1/28  | 55000  | 61189  |
|  Salt Verde Finl. Corp. Sr. Gas Rev.:  |  |  |
|  Series 2007 1:  |  |  |
|  5% 12/1/32 <br>| 20000  | 20899  |
|  5.25% 12/1/24 <br>| 15000  | 15308  |
|  5.25% 12/1/26 <br>| 15000  | 15564  |
|  Series 2007, 5.25% 12/1/23  | 15000  | 15133  |
|  Univ. of Arizona Univ. Revs. Series 2016 B, 5% 6/1/42  | 95000  | 98570  |
|  TOTAL ARIZONA  |  | 1590279  |
| Arkansas - 0.2%  |  |  |
|  Fort Smith Wtr. & Swr. Rev. Series 2018, 5% 10/1/34  | 145000  | 157249  |
|  Pulaski County Pub. Facilities Board Series 2014, 5% 12/1/39 (Pre-Refunded to 12/1/24 @ 100)  | 35000  | 36403  |
|  TOTAL ARKANSAS  |  | 193652  |
| California - 18.0%  |  |  |
|  Alameda Corridor Trans. Auth. Rev. Series 2016 B, 3% 10/1/34 (Assured Guaranty Muni. Corp. Insured)  | 165000  | 149711  |
|  Anaheim Pub. Fing. Auth. Lease Rev.:  |  |  |
|  (Anaheim Pub. Impts. Proj.) Series 1997 C, 0% 9/1/36 (Escrowed to Maturity)  | 90000  | 55448  |
|  Series 1997 C, 0% 9/1/35 (Escrowed to Maturity)  | 45000  | 29035  |
|  Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2017 G, 2%, tender 4/1/24 (c) <br>| 50000  | 48907  |
|  Series 2018 A, 2.625%, tender 4/1/26 (c) <br>| 70000  | 68596  |
|  Series 2017 S7:  |  |  |
|  4% 4/1/34 <br>| 50000  | 51948  |
|  4% 4/1/42 <br>| 10000  | 9862  |
|  4% 4/1/47 <br>| 45000  | 43768  |
|  Series F1, 5% 4/1/54 (Pre-Refunded to 4/1/24 @ 100)  | 10000  | 10271  |
|  Series S7, 5% 4/1/24  | 5000  | 5134  |
|  Beaumont Calif Pub. Impt. Auth. W Series 2018 A, 5% 9/1/49 (Assured Guaranty Muni. Corp. Insured)  | 175000  | 185157  |
|  Berkeley Unified School District Gen. Oblig. Series E, 3.5% 8/1/45  | 100000  | 86539  |
|  California Dept. of Wtr. Resources:  |  |  |
|  Series 2014, 5% 12/1/29 (Pre-Refunded to 12/1/24 @ 100)  | 160000  | 167416  |
|  Series 2017 AX, 5% 12/1/24  | 160000  | 167507  |
|  Series 2019 A, 5% 12/1/34  | 90000  | 102115  |
|  Series AV, 4% 12/1/31  | 10000  | 10442  |
|  Series BA, 5% 12/1/32  | 5000  | 5715  |
|  California Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2001 A:  |  |  |
|  0% 10/1/30 <br>| 15000  | 11338  |
|  0% 10/1/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 25000  | 15651  |
|  Series T1, 5% 3/15/39  | 20000  | 23423  |
|  California Gen. Oblig.:  |  |  |
|  Series 2007, 5.25% 8/1/32 (Assured Guaranty Muni. Corp. Insured)  | 105000  | 125973  |
|  Series 2012, 3.5% 9/1/32  | 45000  | 45008  |
|  Series 2013:  |  |  |
|  4% 4/1/43 <br>| 40000  | 39683  |
|  5% 9/1/27 <br>| 70000  | 71007  |
|  5% 11/1/30 <br>| 15000  | 15269  |
|  Series 2014:  |  |  |
|  4% 11/1/44 <br>| 10000  | 9834  |
|  5% 11/1/24 <br>| 100000  | 104155  |
|  5% 12/1/24 <br>| 15000  | 15316  |
|  5% 10/1/28 <br>| 10000  | 10426  |
|  5% 5/1/32 <br>| 105000  | 107878  |
|  5% 8/1/35 <br>| 20000  | 20572  |
|  5% 10/1/39 <br>| 25000  | 25646  |
|  Series 2015:  |  |  |
|  3.25% 3/1/32 <br>| 100000  | 100147  |
|  4% 3/1/45 <br>| 100000  | 97872  |
|  5% 8/1/23 <br>| 25000  | 25308  |
|  5% 8/1/26 <br>| 30000  | 31498  |
|  5% 8/1/26 <br>| 20000  | 21232  |
|  5% 9/1/26 <br>| 40000  | 42540  |
|  5% 9/1/28 <br>| 50000  | 53042  |
|  5% 8/1/29 <br>| 20000  | 21152  |
|  5% 8/1/30 <br>| 50000  | 52132  |
|  5% 8/1/45 <br>| 30000  | 31151  |
|  Series 2016:  |  |  |
|  3% 9/1/33 <br>| 30000  | 28963  |
|  4% 9/1/36 <br>| 100000  | 101493  |
|  5% 9/1/23 <br>| 50000  | 50696  |
|  5% 9/1/24 <br>| 55000  | 57110  |
|  5% 9/1/25 <br>| 25000  | 26594  |
|  5% 9/1/26 <br>| 15000  | 16295  |
|  5% 9/1/30 <br>| 20000  | 21644  |
|  5% 9/1/45 <br>| 10000  | 10469  |
|  Series 2017 A, 5% 8/1/26  | 65000  | 70492  |
|  Series 2017:  |  |  |
|  4% 8/1/27 <br>| 55000  | 57548  |
|  4% 11/1/36 <br>| 20000  | 20374  |
|  4% 8/1/37 <br>| 25000  | 25377  |
|  5% 8/1/23 <br>| 40000  | 40493  |
|  5% 11/1/24 <br>| 95000  | 98948  |
|  5% 8/1/27 <br>| 30000  | 33196  |
|  5% 11/1/27 <br>| 150000  | 166785  |
|  Series 2018, 5% 10/1/39  | 110000  | 115574  |
|  Series 2019:  |  |  |
|  3% 10/1/36 <br>| 50000  | 44984  |
|  4% 4/1/25 <br>| 5000  | 5151  |
|  5% 4/1/25 <br>| 10000  | 10534  |
|  5% 4/1/27 <br>| 5000  | 5496  |
|  5% 11/1/27 <br>| 90000  | 100071  |
|  5% 4/1/28 <br>| 225000  | 251604  |
|  5% 4/1/35 <br>| 85000  | 86951  |
|  5% 4/1/37 <br>| 75000  | 76537  |
|  5% 4/1/45 <br>| 60000  | 64588  |
|  Series 2020:  |  |  |
|  3% 11/1/35 <br>| 150000  | 137877  |
|  4% 3/1/28 <br>| 60000  | 63884  |
|  5% 11/1/28 <br>| 140000  | 158248  |
|  Series 2021:  |  |  |
|  4% 10/1/37 <br>| 80000  | 81565  |
|  5% 10/1/28 <br>| 100000  | 112862  |
|  Series 2022, 5% 4/1/32  | 75000  | 89304  |
|  California Health Facilities Fing. Auth. Rev.:  |  |  |
|  Series 2013 A, 4% 3/1/43  | 40000  | 37005  |
|  Series 2013 A3, 5% 7/1/23  | 40000  | 40383  |
|  Series 2016 B:  |  |  |
|  5% 11/15/46 <br>| 15000  | 15284  |
|  5% 11/15/46 (Pre-Refunded to 11/15/26 @ 100) <br>| 10000  | 10944  |
|  Series 2017 A, 5% 11/1/27  | 30000  | 33328  |
|  Series 2018 A:  |  |  |
|  4% 11/15/42 <br>| 20000  | 19409  |
|  5% 11/15/24 <br>| 70000  | 72654  |
|  5% 11/15/33 <br>| 35000  | 37695  |
|  Series A:  |  |  |
|  4% 8/15/50 <br>| 185000  | 175473  |
|  5% 8/15/47 <br>| 15000  | 15194  |
|  California Muni. Fin. Auth. Rev. Series 2018 A, 3.25% 12/31/32 (Assured Guaranty Muni. Corp. Insured) (b)  | 30000  | 27804  |
|  California State Univ. Rev.:  |  |  |
|  Series 2013 A, 5% 11/1/26 (Pre-Refunded to 11/1/23 @ 100)  | 40000  | 40719  |
|  Series 2014 A:  |  |  |
|  5% 11/1/30 (Pre-Refunded to 11/1/24 @ 100) <br>| 95000  | 99017  |
|  5% 11/1/33 (Pre-Refunded to 11/1/24 @ 100) <br>| 100000  | 104228  |
|  Series 2015 A, 5% 11/1/26  | 15000  | 16031  |
|  Series 2016 A:  |  |  |
|  3.2% 11/1/37 <br>| 15000  | 13790  |
|  5% 11/1/26 <br>| 40000  | 43203  |
|  Series 2017 A, 5% 11/1/24  | 65000  | 67843  |
|  Series 2020 C, 3% 11/1/40  | 50000  | 41602  |
|  California Statewide Cmntys. Dev. Auth. Hosp. Rev. Series 2018:  |  |  |
|  4.375% 1/1/48  | 10000  | 9341  |
|  5% 1/1/32  | 30000  | 31778  |
|  California Statewide Cmntys. Dev. Auth. Rev.:  |  |  |
|  Series 2015, 3% 8/15/29  | 50000  | 50668  |
|  Series 2018 A, 3.5% 3/1/38  | 155000  | 143378  |
|  Chaffey Unified High School District Series 2019 D, 4% 8/1/49  | 30000  | 29059  |
|  Chino Valley Unified School District Series 2017 A, 5.25% 8/1/47  | 25000  | 26472  |
|  Coast Cmnty. College District Series 2013 A, 5% 8/1/38 (Pre-Refunded to 8/1/23 @ 100)  | 35000  | 35433  |
|  Compton Unified School District Series 2019 B, 3% 6/1/49  | 75000  | 54596  |
|  Contra Costa Cmnty. College District Series 2014 A, 4% 8/1/39  | 5000  | 5000  |
|  Corona-Norco Unified School District Series 2014, 3% 8/1/44  | 125000  | 99791  |
|  East Bay Muni. Util. District Wastewtr. Sys. Rev.:  |  |  |
|  Series 2015 A, 5% 6/1/37  | 65000  | 68366  |
|  Series 2017 B, 5% 6/1/32  | 45000  | 49678  |
|  El Camino Cmnty. College District Series 2012 C:  |  |  |
|  0% 8/1/34  | 60000  | 39976  |
|  0% 8/1/38  | 85000  | 45666  |
|  Elk Grove Unified School Distr. Ctfs. of Prtn. (Cap. Facilities Proj.) Series 2016, 3% 2/1/35  | 65000  | 60236  |
|  Foothill-De Anza Cmnty. College District Series 2003 B:  |  |  |
|  0% 8/1/25  | 75000  | 69746  |
|  0% 8/1/33  | 85000  | 59457  |
|  Foothill/Eastern Trans. Corridor Agcy. Toll Road Rev.:  |  |  |
|  Series 1995 A, 0% 1/1/29 (Escrowed to Maturity)  | 30000  | 25372  |
|  Series 2013 A:  |  |  |
|  0% 1/15/24 (Assured Guaranty Muni. Corp. Insured) <br>| 10000  | 9679  |
|  6% 1/15/49 (Pre-Refunded to 1/15/24 @ 100) <br>| 20000  | 20650  |
|  Series 2013 B1, 3.95% 1/15/53 (c)  | 65000  | 57634  |
|  Series 2021 A, 4% 1/15/46  | 15000  | 13851  |
|  Fremont Union High School District, Santa Clara:  |  |  |
|  Series 2015, 4% 8/1/44  | 45000  | 44439  |
|  Series 2019 A, 4% 8/1/46  | 30000  | 29461  |
|  Fresno Unified School District Series B, 3% 8/1/43  | 110000  | 87347  |
|  Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:  |  |  |
|  Series 2013 A, 5% 6/1/30 (Pre-Refunded to 6/1/23 @ 100)  | 40000  | 40347  |
|  Series 2015 A:  |  |  |
|  5% 6/1/35 (Pre-Refunded to 6/1/25 @ 100) <br>| 10000  | 10582  |
|  5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) <br>| 65000  | 68785  |
|  5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) <br>| 10000  | 10582  |
|  5% 6/1/45 (Pre-Refunded to 6/1/25 @ 100) <br>| 100000  | 105824  |
|  Grossmont Union High School District:  |  |  |
|  Series 2008, 0% 8/1/30  | 40000  | 30922  |
|  Series 2016 B, 3% 8/1/45  | 30000  | 22957  |
|  Hayward Unified School District Gen. Oblig. Series 2015, 4% 8/1/40 (Assured Guaranty Muni. Corp. Insured)  | 180000  | 178142  |
|  Imperial Irrigation District Elec. Rev. Series 2015 C, 5% 11/1/38  | 85000  | 89159  |
|  Kaweah Delta Health Care District Series 2015 B, 4% 6/1/45  | 100000  | 76154  |
|  Livermore Valley Joint Unified School District Series 2016, 3% 8/1/46  | 50000  | 38028  |
|  Long Beach Bond Fin. Auth. Natural Gas Purchase Rev. Series 2007 A:  |  |  |
|  5% 11/15/35  | 25000  | 26198  |
|  5.5% 11/15/37  | 30000  | 32708  |
|  Long Beach Unified School District:  |  |  |
|  Series 2016, 3% 8/1/32  | 80000  | 78466  |
|  Series B, 0% 8/1/35  | 90000  | 55018  |
|  Los Angeles Cmnty. College District:  |  |  |
|  Series 2015 A, 5% 8/1/24  | 95000  | 98536  |
|  Series 2017 J, 5% 8/1/28  | 20000  | 22181  |
|  Series A, 5% 8/1/30 (Pre-Refunded to 8/1/24 @ 100)  | 20000  | 20751  |
|  Series F, 5% 8/1/24 (Pre-Refunded to 8/1/23 @ 100)  | 35000  | 35433  |
|  Series G, 5% 8/1/27 (Pre-Refunded to 8/1/24 @ 100)  | 20000  | 20751  |
|  Series K, 4% 8/1/35  | 20000  | 20575  |
|  Los Angeles County Metropolitan Trans. Auth. Sales Tax Rev. Series 2019 A, 5% 7/1/44  | 45000  | 48213  |
|  Los Angeles Dept. Arpt. Rev.:  |  |  |
|  Series 2018 C, 5% 5/15/36 (b)  | 80000  | 83120  |
|  Series 2020 A, 5% 5/15/38  | 85000  | 93538  |
|  Series 2021 B, 5% 5/15/37  | 50000  | 56200  |
|  Series 2022 C, 4% 5/15/41 (b)  | 50000  | 46946  |
|  Series B, 5% 5/15/48  | 90000  | 97389  |
|  Series C, 5% 5/15/33 (b)  | 155000  | 163343  |
|  Series D, 5% 5/15/26 (b)  | 5000  | 5252  |
|  Los Angeles Dept. of Wtr. & Pwr. Rev.:  |  |  |
|  Series 2013 A:  |  |  |
|  5% 7/1/23 <br>| 40000  | 40000  |
|  5% 7/1/24 <br>| 50000  | 50000  |
|  Series 2014 C, 5% 7/1/29  | 65000  | 67378  |
|  Series 2014 D:  |  |  |
|  5% 7/1/35 <br>| 105000  | 108202  |
|  5% 7/1/44 <br>| 45000  | 45982  |
|  Series 2017 C, 5% 7/1/36  | 50000  | 54205  |
|  Series 2018 C, 5% 7/1/25  | 95000  | 100758  |
|  Series 2019 B, 5% 7/1/35  | 90000  | 100049  |
|  Series 2019 D, 5% 7/1/44  | 50000  | 53758  |
|  Series A, 5% 7/1/31  | 35000  | 39084  |
|  Series B:  |  |  |
|  5% 7/1/30 <br>| 25000  | 28478  |
|  5% 7/1/30 <br>| 50000  | 50481  |
|  Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev.:  |  |  |
|  Series 2014 A, 5% 7/1/44  | 25000  | 25560  |
|  Series 2020 B, 4% 7/1/29  | 115000  | 125356  |
|  Series A:  |  |  |
|  5% 7/1/33 <br>| 55000  | 60119  |
|  5% 7/1/33 <br>| 5000  | 5567  |
|  Series B:  |  |  |
|  5% 7/1/25 <br>| 20000  | 20197  |
|  5% 7/1/37 <br>| 100000  | 108992  |
|  Los Angeles Muni. Impt. Corp. Lease Rev. Series 2016 B, 4% 11/1/37  | 40000  | 40169  |
|  Los Angeles Solid Waste Resources Rev. Series 2018 A:  |  |  |
|  4% 2/1/32  | 35000  | 36557  |
|  5% 2/1/25  | 50000  | 52339  |
|  Los Angeles Unified School District:  |  |  |
|  Series 2014 C, 5% 7/1/24  | 10000  | 10336  |
|  Series 2016 A:  |  |  |
|  4% 7/1/34 <br>| 100000  | 102106  |
|  5% 7/1/29 <br>| 80000  | 84763  |
|  5% 7/1/40 <br>| 75000  | 77942  |
|  Series 2018 B1, 5% 7/1/23  | 10000  | 10104  |
|  Series 2019 A, 5% 7/1/28  | 20000  | 22513  |
|  Series 2021 A, 5% 7/1/25  | 125000  | 132545  |
|  Series A:  |  |  |
|  5% 7/1/29 <br>| 45000  | 51587  |
|  5% 7/1/30 <br>| 25000  | 28649  |
|  Series B, 5% 7/1/25  | 15000  | 15905  |
|  Los Angeles Wastewtr. Sys. Rev.:  |  |  |
|  Series 2013 A, 5% 6/1/24  | 5000  | 5047  |
|  Series 2022 A, 5% 6/1/47  | 85000  | 93751  |
|  Marin Healthcare District Series 2017 A, 3% 8/1/37  | 5000  | 4424  |
|  Metropolitan Wtr. District of Southern California Wtr. Rev.:  |  |  |
|  Series 2017 A, 2.5% 7/1/25  | 50000  | 49836  |
|  Series 2020 A, 5% 10/1/36  | 85000  | 95944  |
|  Monterey Peninsula Cmnty. College District Series 2016, 0% 8/1/30  | 20000  | 15530  |
|  MSR Energy Auth. Gas Rev. Series 2009 B, 6.5% 11/1/39  | 25000  | 29911  |
|  Newport Mesa Unified School District:  |  |  |
|  Series 2011, 0% 8/1/36  | 70000  | 41927  |
|  Series 2017, 0% 8/1/39  | 5000  | 2557  |
|  North Orange County Cmnty. College District Rev. Series 2016 A, 3% 8/1/40  | 25000  | 21032  |
|  Oakland Unified School District Alameda County Series 2019 A, 3% 8/1/40 (Assured Guaranty Muni. Corp. Insured)  | 35000  | 29032  |
|  Palo Alto Unified School District Gen. Oblig. Series 2008 2:  |  |  |
|  0% 8/1/30  | 50000  | 39497  |
|  0% 8/1/32  | 100000  | 73019  |
|  0% 8/1/33  | 15000  | 10514  |
|  Palomar Pomerado Health Series 2009 A, 0% 8/1/28 (Assured Guaranty Corp. Insured)  | 255000  | 210330  |
|  Pasadena Elec. Rev. Series 2013 A, 4.5% 6/1/40  | 15000  | 15024  |
|  Peralta Cmnty. College District Gen. Oblig. Series 2016 A, 4% 8/1/39  | 130000  | 128694  |
|  Perris Union High School District Series A, 3% 9/1/44 (Assured Guaranty Muni. Corp. Insured)  | 25000  | 19641  |
|  Port of Oakland Rev. Series 2017 E, 5% 11/1/26  | 30000  | 32112  |
|  Poway Unified School District:  |  |  |
|  Series 2011 B, 0% 8/1/34  | 50000  | 32051  |
|  Series B, 0% 8/1/41  | 190000  | 81167  |
|  Riverside County Pub. Fing. Auth. Series 2015, 5% 11/1/25 (Escrowed to Maturity)  | 255000  | 272116  |
|  Riverside Elec. Rev. Series 2019 A, 5% 10/1/26  | 50000  | 54354  |
|  Sacramento Muni. Util. District Elec. Rev. Series 2021 I, 5% 8/15/28  | 100000  | 113214  |
|  Sacramento TOT Rev. Series A, 5% 6/1/43  | 100000  | 104926  |
|  San Bernardino Cmnty. College District Series B, 0% 8/1/48  | 45000  | 14273  |
|  San Diego Cmnty. College District:  |  |  |
|  Series 2013, 0% 8/1/41 (Pre-Refunded to 8/1/23 @ 57.571) (d)  | 20000  | 11296  |
|  Series 2016, 5% 8/1/41 (Pre-Refunded to 8/1/26 @ 100)  | 5000  | 5421  |
|  San Diego County Reg'l. Arpt. Auth. Arpt. Rev.:  |  |  |
|  (Sub Lien Proj.) Series 2017 B, 5% 7/1/42 (b)  | 175000  | 178302  |
|  Series 2019 A, 5% 7/1/34  | 75000  | 83231  |
|  San Diego County Wtr. Auth. Fing. Agcy. Wtr. Rev. Series 2022 A, 5% 5/1/47  | 135000  | 149130  |
|  San Diego Pub. Facilities Fing. Auth. Swr. Rev. Series 2016 A, 5% 5/15/39  | 100000  | 106331  |
|  San Diego Pub. Facilities Fing. Auth. Wtr. Rev. Series 2018 A, 5.25% 8/1/47  | 10000  | 10835  |
|  San Diego Redev. Agcy. Series 2016 A, 5% 9/1/23  | 5000  | 5067  |
|  San Diego Unified School District:  |  |  |
|  Series 1998 G1:  |  |  |
|  5.25% 7/1/27 <br>| 10000  | 11193  |
|  5.25% 7/1/28 (Assured Guaranty Muni. Corp. Insured) <br>| 10000  | 11439  |
|  Series 2012 I, 5% 7/1/33  | 65000  | 71620  |
|  Series 2017 I, 4% 7/1/47  | 15000  | 14265  |
|  Series 2017 J, 5% 7/1/30  | 80000  | 88495  |
|  Series B, 3.25% 7/1/48  | 80000  | 63962  |
|  Series C, 0% 7/1/43  | 40000  | 16568  |
|  Series R1, 0% 7/1/30  | 35000  | 27578  |
|  San Francisco Bay Area Rapid Transit District Sales Tax Rev. Series 2019 A, 3% 7/1/44  | 50000  | 39559  |
|  San Francisco Bay Area Rapid Transit Fing. Auth.:  |  |  |
|  Series 2020 C1, 4% 8/1/30  | 125000  | 135929  |
|  Series A1, 5% 8/1/47  | 45000  | 47607  |
|  San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:  |  |  |
|  Series 2016 A, 5% 5/1/26  | 20000  | 21511  |
|  Series 2017 D, 5% 5/1/24 (b)  | 35000  | 35725  |
|  Series 2019 A, 5% 5/1/49 (b)  | 25000  | 25314  |
|  Series 2019 E, 5% 5/1/34 (b)  | 125000  | 132709  |
|  Series 2020 A, 4% 5/1/39 (b)  | 35000  | 32889  |
|  Series 2020 B, 4% 5/1/39  | 100000  | 98159  |
|  San Francisco City & County Ctfs. of Prtn. (49 South Van Ness Proj.) Series 2019 A, 4% 4/1/41  | 35000  | 34544  |
|  San Francisco County Trans. Auth. Series 2017, 3% 2/1/33  | 155000  | 148696  |
|  San Francisco Pub. Utils. Commission Wtr. Rev.:  |  |  |
|  Series 2015 A, 5% 11/1/29  | 20000  | 21111  |
|  Series 2016, 5% 11/1/24  | 110000  | 114731  |
|  Series 2020 A, 5% 11/1/50  | 30000  | 32120  |
|  San Joaquin Hills Trans. Corridor Agcy. Toll Road Rev.:  |  |  |
|  Series 1993, 0% 1/1/25 (Escrowed to Maturity)  | 100000  | 94737  |
|  Series 1997 A:  |  |  |
|  0% 1/15/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 20000  | 18636  |
|  0% 1/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 50000  | 39737  |
|  0% 1/15/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 5000  | 3453  |
|  Series 2021 A, 4% 1/15/50  | 30000  | 27357  |
|  Series A, 0% 1/15/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 90000  | 65321  |
|  San Jose Int. Arpt. Rev. Series 2017 B, 5% 3/1/42  | 25000  | 25937  |
|  San Mateo County Joint Powers Fing. Auth. (Cap. Projs.) Series 2014 A, 4% 6/15/35  | 95000  | 95826  |
|  San Mateo County Trans. District Sales Tax Rev. Series A, 3.25% 6/1/33  | 60000  | 59322  |
|  San Mateo Foster City (Clean Wtr. Prog.) Series 2019, 5% 8/1/49  | 45000  | 48449  |
|  San Mateo Unified School District Series 2011 A:  |  |  |
|  0% 9/1/33 (d)  | 50000  | 45330  |
|  0% 9/1/41 (d)  | 10000  | 9310  |
|  Santa Clara County Fing. Auth. Lease Rev.:  |  |  |
|  Series 2018 A, 3.5% 4/1/39  | 40000  | 36156  |
|  Series 2019 A, 3% 5/1/42  | 100000  | 79538  |
|  Santa Clara Unified School District Series 2019, 4% 7/1/48  | 35000  | 34220  |
|  Sequoia Union High School District Series 2016, 3% 7/1/31  | 55000  | 55020  |
|  Silicon Valley Clean Wtr. Series 2019 A, 3% 3/1/24  | 50000  | 50070  |
|  Solano Cmnty. College District Series A, 0% 8/1/41 (Pre-Refunded to 8/1/28 @ 100) (d)  | 10000  | 10802  |
|  Sonoma County Jr. College District Rev. Series B, 3% 8/1/41  | 145000  | 117922  |
|  Southern California Pub. Pwr. Auth. Rev.:  |  |  |
|  Series 2007 A, 5.25% 11/1/25  | 35000  | 36496  |
|  Series A, 5.25% 11/1/26  | 30000  | 31659  |
|  Univ. of California Revs.:  |  |  |
|  Series 2014, 5% 5/15/25  | 75000  | 77306  |
|  Series 2015 AO, 5% 5/15/25  | 70000  | 74031  |
|  Series 2016, 5% 5/15/35  | 15000  | 16013  |
|  Series 2017 AV:  |  |  |
|  5% 5/15/35 <br>| 50000  | 54232  |
|  5% 5/15/47 <br>| 110000  | 115690  |
|  Series 2017 AY, 5% 5/15/25  | 50000  | 52879  |
|  Series 2017 M, 5% 5/15/32  | 35000  | 38378  |
|  Series 2020 BE:  |  |  |
|  4% 5/15/47 <br>| 115000  | 112135  |
|  5% 5/15/43 <br>| 15000  | 16309  |
|  Series 2022 BK, 5% 5/15/32  | 115000  | 137349  |
|  Series AM, 5.25% 5/15/37  | 15000  | 15421  |
|  Series AY, 5% 5/15/28  | 30000  | 33155  |
|  Series I:  |  |  |
|  5% 5/15/23 <br>| 25000  | 25194  |
|  5% 5/15/28 <br>| 10000  | 10579  |
|  Series M, 5% 5/15/36  | 20000  | 21517  |
|  Upland Gen. Oblig. Ctfs. of Prtn. Series 2017, 4% 1/1/42  | 10000  | 9034  |
|  West Contra Costa Unified School District Series C1, 0% 8/1/27 (Assured Guaranty Corp. Insured)  | 70000  | 60811  |
|  West Hollywood Pub. Fing. Auth. Series 2016, 3% 4/1/41  | 75000  | 62230  |
|  Westminster Redev. Agcy. Series 2016:  |  |  |
|  3% 11/1/41  | 25000  | 20034  |
|  3% 11/1/45  | 75000  | 56568  |
|  William S. Hart Union High School District Series 2005 B, 0% 9/1/28 (Assured Guaranty Muni. Corp. Insured)  | 140000  | 116754  |
|  Yosemite Cmnty. College District Series 2010 D, 0% 8/1/31  | 100000  | 74627  |
|  Yuba Cmnty. College District Series 2016 A:  |  |  |
|  3% 8/1/36  | 150000  | 134524  |
|  3% 8/1/37  | 30000  | 26442  |
|  TOTAL CALIFORNIA  |  | 15762762  |
| Colorado - 1.8%  |  |  |
|  Colorado Health Facilities Auth. Rev. Bonds:  |  |  |
|  Series 2018 A, 4% 11/15/48  | 5000  | 4540  |
|  Series 2019 A, 5% 1/1/30  | 105000  | 119691  |
|  Series 2019 A1:  |  |  |
|  4% 8/1/37 <br>| 90000  | 83842  |
|  4% 8/1/44 <br>| 10000  | 8621  |
|  Series 2021 A, 4% 11/15/46  | 100000  | 91769  |
|  Colorado Reg'l. Trans. District Ctfs. of Prtn. Series 2013 A, 5% 6/1/25  | 30000  | 30224  |
|  Colorado Springs Utils. Rev. Series 2018 A2, 5% 11/15/48  | 25000  | 26709  |
|  Denver City & County Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 11/15/26 (b) <br>| 55000  | 58148  |
|  5% 11/15/28 (b) <br>| 30000  | 31850  |
|  5% 11/15/29 (b) <br>| 20000  | 21190  |
|  Series 2018 B, 3.5% 12/1/35  | 10000  | 9618  |
|  Series 2019 C, 5% 11/15/31  | 20000  | 22711  |
|  Series 2022 A, 5% 11/15/41 (b)  | 85000  | 88477  |
|  Denver City & County Board Wtr. Rev. Series 2022 A, 5% 12/15/45  | 330000  | 366314  |
|  Denver Convention Ctr. Hotel Auth. Series 2016, 5% 12/1/23  | 5000  | 5029  |
|  Denver Dedicated Tax Rev. Series 2021 A, 4% 8/1/42  | 100000  | 99156  |
|  E-470 Pub. Hwy. Auth. Rev. Series 2000 B:  |  |  |
|  0% 9/1/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 30000  | 22186  |
|  0% 9/1/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 50000  | 35410  |
|  East Grand County Co. School District # 2 Series 2022, 4% 12/1/46  | 100000  | 96970  |
|  El Paso County Co. Scd # 2 Series 2019, 5% 12/1/37  | 155000  | 168417  |
|  Pueblo County Ctfs. of Prtn. (Jail Proj.) Series 2022 A, 5% 7/1/49  | 135000  | 139569  |
|  Univ. of Colorado Enterprise Sys. Rev. Series 2016 B1, 2.75% 6/1/30  | 15000  | 14624  |
|  TOTAL COLORADO  |  | 1545065  |
| Connecticut - 1.9%  |  |  |
|  Connecticut Gen. Oblig.:  |  |  |
|  Series 2014 C, 5% 6/15/24  | 60000  | 61891  |
|  Series 2015 B:  |  |  |
|  3.375% 6/15/29 <br>| 25000  | 25177  |
|  4% 6/15/33 <br>| 110000  | 111954  |
|  Series 2016 A, 5% 3/15/26  | 15000  | 16073  |
|  Series 2019 A, 5% 4/15/27  | 15000  | 16374  |
|  Series 2020 C:  |  |  |
|  4% 6/1/30 <br>| 120000  | 128515  |
|  4% 6/1/31 <br>| 25000  | 26653  |
|  Series A:  |  |  |
|  4% 1/15/25 <br>| 60000  | 61367  |
|  5% 3/15/28 <br>| 15000  | 15739  |
|  Series C, 4% 6/15/24  | 25000  | 25436  |
|  Series D:  |  |  |
|  4% 8/15/31 <br>| 45000  | 46528  |
|  5% 4/15/26 <br>| 25000  | 26832  |
|  Series E:  |  |  |
|  3.375% 10/15/36 <br>| 20000  | 19052  |
|  5% 9/15/25 <br>| 25000  | 26525  |
|  5% 10/15/25 <br>| 20000  | 21259  |
|  Connecticut Health & Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2019 A:  |  |  |
|  4% 7/1/34 <br>| 45000  | 43789  |
|  5% 7/1/24 <br>| 230000  | 234012  |
|  5% 7/1/25 <br>| 100000  | 103220  |
|  Series R, 3.375% 7/1/37  | 10000  | 8749  |
|  Connecticut Hsg. Fin. Auth.:  |  |  |
|  Series 2015 A, 3.75% 11/15/40  | 75000  | 69311  |
|  Series 2017 D1, 3.2% 11/15/32  | 10000  | 9668  |
|  Series 2020 A1, 3.5% 11/15/45  | 190000  | 187361  |
|  Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:  |  |  |
|  Series 2014 B, 5% 9/1/23  | 55000  | 55758  |
|  Series 2015 A:  |  |  |
|  5% 8/1/28 <br>| 60000  | 63464  |
|  5% 8/1/33 <br>| 95000  | 99918  |
|  Series 2015 B, 5% 8/1/27  | 55000  | 58182  |
|  Series 2016 A, 5% 9/1/31  | 25000  | 26876  |
|  Series 2018 A, 5% 1/1/27  | 20000  | 21764  |
|  Series A, 4% 9/1/35  | 55000  | 55744  |
|  Series B, 5% 10/1/33  | 15000  | 16640  |
|  Univ. of Connecticut Gen. Oblig. Series 2018 A, 5% 4/15/29  | 25000  | 27593  |
|  TOTAL CONNECTICUT  |  | 1711424  |
| Delaware - 0.6%  |  |  |
|  Delaware Gen. Oblig.:  |  |  |
|  Series 2017, 3.25% 3/1/37  | 6000  | 5684  |
|  Series 2020 A, 5% 1/1/30  | 115000  | 133067  |
|  Delaware Health Facilities Auth. Rev. Series 2020 A:  |  |  |
|  4% 10/1/49  | 60000  | 55236  |
|  5% 10/1/32  | 65000  | 71927  |
|  Delaware River & Bay Auth. Rev. Series 2021, 4% 1/1/46  | 65000  | 62064  |
|  Delaware Trans. Auth. Trans. Sys. Rev. Series 2020, 5% 7/1/31  | 210000  | 242884  |
|  TOTAL DELAWARE  |  | 570862  |
| District Of Columbia - 1.6%  |  |  |
|  District of Columbia Gen. Oblig.:  |  |  |
|  Series 2014 D, 5% 6/1/31  | 40000  | 41240  |
|  Series 2016 A, 5% 6/1/32  | 40000  | 42824  |
|  Series 2017 A, 5% 6/1/29  | 10000  | 10985  |
|  Series 2019 A, 5% 10/15/28  | 90000  | 101803  |
|  Series 2021 D, 5% 2/1/31  | 95000  | 110661  |
|  District of Columbia Income Tax Rev.:  |  |  |
|  Series 2020 A, 4% 3/1/45  | 50000  | 48289  |
|  Series 2020 B, 5% 10/1/31  | 90000  | 105644  |
|  District of Columbia Univ. Rev. Series 2017:  |  |  |
|  5% 4/1/31  | 25000  | 26618  |
|  5% 4/1/32  | 120000  | 127575  |
|  District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev.:  |  |  |
|  Series 2014 C:  |  |  |
|  5% 10/1/27 <br>| 30000  | 31163  |
|  5% 10/1/28 <br>| 25000  | 25947  |
|  Series 2016 A, 5% 10/1/31  | 50000  | 53285  |
|  Series 2019 A, 5% 10/1/44  | 30000  | 32035  |
|  Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev.:  |  |  |
|  (Dulles Metrorail and Cap. Impt. Proj.) Series 2019 B:  |  |  |
|  3% 10/1/50 (Assured Guaranty Muni. Corp. Insured) <br>| 10000  | 7144  |
|  4% 10/1/53 <br>| 95000  | 80496  |
|  Series 2009 B:  |  |  |
|  0% 10/1/25 (Assured Guaranty Corp. Insured) <br>| 50000  | 45575  |
|  0% 10/1/30 (Assured Guaranty Corp. Insured) <br>| 65000  | 48465  |
|  0% 10/1/31 (Assured Guaranty Corp. Insured) <br>| 15000  | 10666  |
|  0% 10/1/34 (Assured Guaranty Corp. Insured) <br>| 35000  | 21291  |
|  0% 10/1/36 (Assured Guaranty Corp. Insured) <br>| 5000  | 2722  |
|  Metropolitan Washington DC Arpts. Auth. Sys. Rev.:  |  |  |
|  Series 2014 A:  |  |  |
|  5% 10/1/28 (b) <br>| 20000  | 20462  |
|  5% 10/1/29 (b) <br>| 50000  | 51108  |
|  5% 10/1/44 (b) <br>| 75000  | 75320  |
|  Series 2018 A, 5% 10/1/27 (b)  | 40000  | 42579  |
|  Series 2019 A, 5% 10/1/39 (b)  | 60000  | 62268  |
|  Washington D.C. Metropolitan Transit Auth. Rev.:  |  |  |
|  Series 2017 A1, 5% 7/1/29  | 40000  | 43549  |
|  Series 2017 B:  |  |  |
|  5% 7/1/26 <br>| 50000  | 53802  |
|  5% 7/1/42 <br>| 50000  | 52328  |
|  Series 2018, 5% 7/1/30  | 35000  | 37926  |
|  TOTAL DISTRICT OF COLUMBIA  |  | 1413770  |
| Florida - 4.1%  |  |  |
|  Alachua County Health Facilities Auth. Health Facilities Rev. Series 2019 A, 3% 12/1/46  | 15000  | 10862  |
|  Brevard County Health Facilities Auth. Health Care Facilities Rev. (Health First, Inc. Proj.) Series 2014, 4% 4/1/36  | 205000  | 197687  |
|  Broward County Arpt. Sys. Rev.:  |  |  |
|  Series 2015 A, 5% 10/1/33 (b)  | 35000  | 36048  |
|  Series 2017, 5% 10/1/47 (b)  | 70000  | 70896  |
|  Broward County Port Facilities Rev. Series 2019 B, 4% 9/1/44 (b)  | 75000  | 67377  |
|  Central Florida Expressway Auth. Sr. Lien Rev.:  |  |  |
|  Series 2016 B, 4% 7/1/40  | 5000  | 4853  |
|  Series 2017:  |  |  |
|  3.25% 7/1/39 <br>| 70000  | 62586  |
|  5% 7/1/42 <br>| 165000  | 172267  |
|  Florida Board of Ed. Pub. Ed. Cap. Outlay:  |  |  |
|  Series 2017 B, 5% 6/1/30  | 50000  | 54909  |
|  Series 2018 A, 4% 6/1/37  | 55000  | 55689  |
|  Series 2019 D, 4% 6/1/30  | 65000  | 69403  |
|  Series A, 5% 6/1/27  | 100000  | 105535  |
|  Series C:  |  |  |
|  4% 6/1/28 <br>| 20000  | 20125  |
|  5% 6/1/25 <br>| 15000  | 15837  |
|  Series D, 4% 6/1/32  | 50000  | 51747  |
|  Florida Dept. of Envir. Protection Rev. Series 2016 A, 2% 7/1/28  | 50000  | 47607  |
|  Florida Dept. of Trans. Tpk. Rev.:  |  |  |
|  Series 2019 B:  |  |  |
|  3% 7/1/43 <br>| 30000  | 23452  |
|  3% 7/1/44 <br>| 200000  | 151517  |
|  Series 2020 B, 2% 7/1/37  | 55000  | 41016  |
|  Florida Higher Edl. Facilities Fing. Auth.:  |  |  |
|  (Nova Southeastern Univ. Proj.) Series 2016, 5% 4/1/35  | 60000  | 61409  |
|  (Ringling College Proj.) Series 2017, 4% 3/1/47  | 70000  | 57644  |
|  Florida Hsg. Fin. Corp. Rev. Series 2017 1, 3.6% 7/1/37  | 25000  | 24430  |
|  Greater Orlando Aviation Auth. Arpt. Facilities Rev.:  |  |  |
|  Series 2017 A, 5% 10/1/30 (Pre-Refunded to 10/1/27 @ 100) (b)  | 30000  | 32562  |
|  Series 2019 A, 5% 10/1/27 (b)  | 10000  | 10645  |
|  Halifax Hosp. Med. Ctr. Rev.:  |  |  |
|  Series 2015, 4% 6/1/38 (Pre-Refunded to 6/1/25 @ 100)  | 25000  | 25763  |
|  Series 2016, 3.75% 6/1/41  | 5000  | 4416  |
|  Hillsborough County Indl. Dev. (Tampa Gen. Hosp. Proj.) Series 2012 A, 3.5% 10/1/28 (Pre-Refunded to 10/1/23 @ 100)  | 45000  | 45131  |
|  Jacksonville Spl. Rev.:  |  |  |
|  Series 2013 A, 5% 10/1/40  | 20000  | 20178  |
|  Series 2019 A:  |  |  |
|  5% 10/1/27 <br>| 20000  | 21958  |
|  5% 10/1/32 <br>| 10000  | 11214  |
|  JEA Wtr. & Swr. Sys. Rev. Series 2014 A, 4% 10/1/40  | 100000  | 97610  |
|  Lakeland Hosp. Sys. Rev. Series 2016, 3% 11/15/32  | 30000  | 27879  |
|  Miami Beach Series 2019, 3.25% 5/1/49  | 25000  | 19803  |
|  Miami Beach Health Facilities Auth. Hosp. Rev. Series 2014 A, 5% 11/15/39  | 15000  | 15088  |
|  Miami Beach Wtr. & Swr. Rev. Series 2017, 5% 9/1/47  | 125000  | 129913  |
|  Miami-Dade County Aviation Rev.:  |  |  |
|  Series 2014 A, 5% 10/1/33 (b)  | 85000  | 86201  |
|  Series 2020 A, 4% 10/1/39  | 70000  | 67217  |
|  Miami-Dade County Cap. Asset Acquisition:  |  |  |
|  Series 2009, 0% 10/1/41  | 20000  | 8011  |
|  Series 2016:  |  |  |
|  0% 10/1/31 <br>| 35000  | 25340  |
|  0% 10/1/32 <br>| 25000  | 17296  |
|  Miami-Dade County Edl. Facilities Rev.:  |  |  |
|  Series 2015 A, 4% 4/1/45  | 10000  | 9342  |
|  Series 2018 A, 4% 4/1/53  | 25000  | 22334  |
|  Miami-Dade County Gen. Oblig.:  |  |  |
|  (Bldg. Better Cmntys. Prog.):  |  |  |
|  Series 2013 A, 5% 7/1/26 <br>| 5000  | 5270  |
|  Series 2015 B, 5% 7/1/27 <br>| 40000  | 41131  |
|  Series 2016 A, 5% 7/1/29 <br>| 70000  | 74124  |
|  (Pub. Health Trust Prog.) Series 2019 A, 5% 7/1/43  | 10000  | 10710  |
|  Series 2015 D, 3% 7/1/39  | 5000  | 4286  |
|  Miami-Dade County Health Facilities Auth. Hosp. Rev. (Nicklaus Children's Hosp. Proj.) Series 2017, 5% 8/1/47  | 85000  | 86161  |
|  Miami-Dade County Pub. Facilities Rev. Series 2015 A, 5% 6/1/28  | 120000  | 125067  |
|  Miami-Dade County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2015 D, 5% 2/1/30  | 85000  | 89265  |
|  Series 2016 C, 5% 2/1/32  | 90000  | 94597  |
|  Miami-Dade County Sports Facilities Series C, 0% 10/1/48 (Assured Guaranty Corp. Insured)  | 60000  | 17117  |
|  Miami-Dade County Transit Sales Surtax Rev. Series 2019, 5% 7/1/31  | 25000  | 28198  |
|  Miami-Dade County Wtr. & Swr. Rev.:  |  |  |
|  Series 2017 A, 4% 10/1/39  | 35000  | 33972  |
|  Series 2017 B, 3.125% 10/1/39  | 20000  | 17253  |
|  Series 2019 B, 3% 10/1/49  | 40000  | 29769  |
|  North Broward Hosp. District Rev. Series 2017 B, 5% 1/1/32  | 50000  | 52383  |
|  Orange County Health Facilities Auth.:  |  |  |
|  Series 2016 A, 5% 10/1/44  | 35000  | 35682  |
|  Series 2016, 5% 8/1/47  | 70000  | 72674  |
|  Orange County School Board Ctfs. of Prtn. Series 2015 D, 5% 8/1/28 (Pre-Refunded to 8/1/25 @ 100)  | 50000  | 52815  |
|  Orange County Tourist Dev. Tax Rev.:  |  |  |
|  Series 2016 A, 4% 10/1/34  | 20000  | 20348  |
|  Series 2017, 5% 10/1/27  | 25000  | 27296  |
|  Orlando & Orange County Expressway Auth. Rev. Series 2013 A, 5% 7/1/35 (Pre-Refunded to 7/1/23 @ 100)  | 75000  | 75725  |
|  Palm Beach County Health Facilities Series 2016, 5% 11/15/32  | 25000  | 25164  |
|  Palm Beach County Pub. Impt. Rev. (Professional Sports Franchise Facility Proj.) Series 2015 D, 5% 12/1/40 (Pre-Refunded to 12/1/25 @ 100)  | 10000  | 10669  |
|  Port Saint Lucie Util. Rev. Series 2007, 5.25% 9/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 45000  | 49095  |
|  Putnam County Dev. Auth. Poll. Cont. Rev. (Seminole Elec. Coop., Inc. Proj.) Series 2018 A, 5% 3/15/42  | 60000  | 64122  |
|  Sarasota County Pub. Hosp. District Hosp. Rev. (Sarasota Memorial Hosp. Proj.) Series 2018, 4% 7/1/48  | 100000  | 89358  |
|  South Broward Hosp. District Rev.:  |  |  |
|  Series 2016 A, 3.5% 5/1/39  | 15000  | 13768  |
|  Series 2021 A, 2.375% 5/1/45  | 130000  | 86637  |
|  Tampa Health Sys. Rev. Series 2016 A, 4% 11/15/46  | 125000  | 114106  |
|  Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 A, 0% 9/1/53  | 195000  | 41092  |
|  TOTAL FLORIDA  |  | 3588651  |
| Georgia - 1.8%  |  |  |
|  Atlanta Arpt. Rev. Series 2019 B, 4% 7/1/49 (b)  | 50000  | 43519  |
|  Atlanta Wtr. & Wastewtr. Rev. Series 2015:  |  |  |
|  5% 11/1/28  | 40000  | 41998  |
|  5% 11/1/32  | 30000  | 31391  |
|  5% 11/1/40  | 20000  | 20647  |
|  5% 11/1/43 (Pre-Refunded to 5/1/25 @ 100)  | 50000  | 52586  |
|  Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/26  | 10000  | 10771  |
|  Dalton Whitfield County Joint Dev. Auth. Rev. Series 2017, 4% 8/15/48  | 120000  | 114398  |
|  Fulton County Dev. Auth. Rev.:  |  |  |
|  Series 2019 A, 3% 7/1/44  | 135000  | 102415  |
|  Series 2019, 5% 6/15/44  | 30000  | 32366  |
|  Fulton County Wtr. & Swr. Rev. Series 2020 A, 3% 1/1/45  | 5000  | 3856  |
|  Gainesville & Hall County Hosp. Auth. Rev.:  |  |  |
|  (Northeast Georgia Health Sys., Inc. Proj.):  |  |  |
|  Series 2017 A, 4% 2/15/42 <br>| 20000  | 18404  |
|  Series 2020 A, 5% 2/15/31 <br>| 40000  | 43265  |
|  Series 2020 A, 3% 2/15/47  | 65000  | 46664  |
|  Georgia Gen. Oblig.:  |  |  |
|  Series 2015 A, 3% 2/1/30  | 55000  | 54430  |
|  Series 2017 A:  |  |  |
|  5% 2/1/25 <br>| 75000  | 78616  |
|  5% 2/1/27 <br>| 10000  | 10944  |
|  Series 2017 C:  |  |  |
|  5% 7/1/27 <br>| 5000  | 5517  |
|  5% 7/1/30 <br>| 25000  | 27588  |
|  Series 2018 A:  |  |  |
|  3% 7/1/33 <br>| 25000  | 24266  |
|  5% 7/1/27 <br>| 20000  | 22068  |
|  5% 7/1/29 <br>| 50000  | 56213  |
|  Series 2020 A, 5% 8/1/31  | 50000  | 58230  |
|  Series 2021 A, 5% 7/1/33  | 100000  | 117566  |
|  Georgia Hsg. & Fin. Auth.:  |  |  |
|  Series 2017 C, 3.65% 12/1/42  | 15000  | 13225  |
|  Series 2020 A, 3.15% 12/1/44  | 15000  | 12184  |
|  Georgia Hsg. & Fin. Auth. Rev.:  |  |  |
|  Series 2016 A, 3.35% 12/1/41  | 20000  | 17841  |
|  Series 2017 A, 3.65% 12/1/32  | 15000  | 15069  |
|  Series 2017 B, 3.2% 12/1/32  | 20000  | 19250  |
|  Georgia Muni. Elec. Auth. Pwr. Rev.:  |  |  |
|  Series 2018 HH, 4.125% 1/1/49 (Assured Guaranty Muni. Corp. Insured)  | 110000  | 102809  |
|  Series 2021 A, 5% 1/1/56  | 80000  | 79306  |
|  Georgia Port Auth. Rev. Series 2021, 2.625% 7/1/51  | 70000  | 45721  |
|  Glynn-Brunswick Memorial Hosp. Auth. Rev. (Southeast Georgia Health Sys. Proj.) Series 2015, 5% 8/1/34  | 60000  | 60940  |
|  Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 3.75% 4/1/47  | 30000  | 25358  |
|  Gwinnett County School District Gen. Oblig. Series 2022 B, 5% 8/1/26  | 55000  | 59588  |
|  Hosp. Auth. of Savannah Auth. Rev. Series 2019 A, 3.125% 7/1/44  | 45000  | 34445  |
|  Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev.:  |  |  |
|  Series 2017 C, 3.5% 7/1/38  | 30000  | 27770  |
|  Series 2019 A, 3.125% 7/1/46  | 5000  | 3953  |
|  Series 2021 E2, 5% 7/1/24  | 25000  | 25796  |
|  Paulding County Wtr. & Sew Rev. Series 2016, 3% 12/1/48  | 15000  | 11171  |
|  Private Colleges & Univs. Auth. Rev. Series 2020 B, 5% 9/1/30  | 5000  | 5822  |
|  TOTAL GEORGIA  |  | 1577966  |
| Hawaii - 0.3%  |  |  |
|  Hawaii Arpts. Sys. Rev. Series 2020 D, 4% 7/1/39  | 10000  | 9768  |
|  Hawaii Dept. of Budget & Fin. Spl. Purp. Rev. Series 2015 A, 4% 7/1/40  | 20000  | 19159  |
|  Hawaii Gen. Oblig.:  |  |  |
|  Series 2016 FG, 5% 10/1/30  | 30000  | 32434  |
|  Series 2018 FT, 5% 1/1/28  | 100000  | 110858  |
|  Series FH, 5% 10/1/29  | 25000  | 27084  |
|  Series FW, 3.5% 1/1/38  | 5000  | 4814  |
|  Honolulu City and County Wastewtr. Sys.:  |  |  |
|  Series 2016 B, 4% 7/1/33  | 15000  | 15450  |
|  Series 2018 A, 3.375% 7/1/42  | 5000  | 4286  |
|  TOTAL HAWAII  |  | 223853  |
| Idaho - 0.1%  |  |  |
|  Idaho Health Facilities Auth. Rev.:  |  |  |
|  (St. Luke's Health Sys. Proj.) Series 2018 A:  |  |  |
|  5% 3/1/27 <br>| 25000  | 26581  |
|  5% 3/1/28 <br>| 10000  | 10744  |
|  Series 2015 ID, 5.5% 12/1/29  | 25000  | 26517  |
|  TOTAL IDAHO  |  | 63842  |
| Illinois - 5.7%  |  |  |
|  Chicago Gen. Oblig.:  |  |  |
|  Series 1999, 0% 1/1/33  | 20000  | 12976  |
|  Series 2000, 0% 1/1/29  | 55000  | 43189  |
|  Series 2002 B, 5% 1/1/26  | 30000  | 30486  |
|  Series 2007 E, 5.5% 1/1/35  | 20000  | 20343  |
|  Series 2014 A:  |  |  |
|  5.25% 1/1/30 <br>| 95000  | 95550  |
|  5.25% 1/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 75000  | 76137  |
|  Series 2015 A:  |  |  |
|  5% 1/1/26 <br>| 15000  | 15243  |
|  5.5% 1/1/33 <br>| 15000  | 15300  |
|  Series 2017 A, 5.75% 1/1/33  | 50000  | 52316  |
|  Chicago Midway Arpt. Rev.:  |  |  |
|  Series 2014 A, 5% 1/1/26 (b)  | 60000  | 60782  |
|  Series 2014 B, 5% 1/1/27  | 45000  | 45716  |
|  Chicago O'Hare Int'l. Arpt. Rev.:  |  |  |
|  Series 2013 B, 5% 1/1/26 (Pre-Refunded to 1/1/23 @ 100)  | 65000  | 65000  |
|  Series 2013 D:  |  |  |
|  5% 1/1/44 (Pre-Refunded to 1/1/23 @ 100) <br>| 60000  | 60000  |
|  5.25% 1/1/29 (Pre-Refunded to 1/1/23 @ 100) <br>| 50000  | 50000  |
|  Series 2015 A, 5% 1/1/28 (b)  | 90000  | 92239  |
|  Series 2015 B:  |  |  |
|  5% 1/1/29 <br>| 95000  | 98617  |
|  5% 1/1/31 <br>| 190000  | 197146  |
|  Series 2015 D, 4% 1/1/35  | 85000  | 85148  |
|  Series 2017 A, 5% 1/1/27  | 20000  | 21607  |
|  Series 2017 B, 5% 1/1/33  | 10000  | 10667  |
|  Series 2017 C, 5% 1/1/41  | 100000  | 102610  |
|  Series 2017 D, 5% 1/1/42 (b)  | 15000  | 15167  |
|  Series 2018 B:  |  |  |
|  5% 1/1/37 <br>| 15000  | 15947  |
|  5% 1/1/38 <br>| 100000  | 105668  |
|  Chicago Transit Auth. Series 2014, 5.25% 12/1/49  | 125000  | 126288  |
|  Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017, 5% 6/1/25  | 20000  | 20732  |
|  Chicago Wtr. Rev. Series 2000, 5% 11/1/30  | 35000  | 36394  |
|  Cook County Cmnty. College District Series 2013, 5.25% 12/1/30  | 40000  | 40143  |
|  Illinois Fin. Auth. Series 2020 A, 4% 4/1/50  | 5000  | 4658  |
|  Illinois Fin. Auth. Rev.:  |  |  |
|  Series 2015 C, 4.125% 8/15/37  | 65000  | 61597  |
|  Series 2016 C, 5% 2/15/34  | 60000  | 63688  |
|  Series 2016:  |  |  |
|  3.25% 11/15/45 <br>| 20000  | 15608  |
|  4% 1/1/25 <br>| 10000  | 10213  |
|  4% 12/1/31 <br>| 25000  | 25066  |
|  4% 12/1/35 <br>| 50000  | 49161  |
|  Series 2018 A:  |  |  |
|  5% 10/1/41 <br>| 10000  | 10667  |
|  5% 10/1/48 <br>| 30000  | 31717  |
|  Series 2019:  |  |  |
|  5% 7/1/27 <br>| 15000  | 16497  |
|  5% 1/1/31 <br>| 115000  | 129781  |
|  Illinois Gen. Oblig.:  |  |  |
|  Series 2012 A, 4.5% 1/1/37  | 65000  | 62072  |
|  Series 2013 A, 4% 4/1/31 (Assured Guaranty Muni. Corp. Insured)  | 75000  | 75018  |
|  Series 2013:  |  |  |
|  5% 7/1/23 <br>| 105000  | 105686  |
|  5.25% 7/1/31 <br>| 20000  | 20063  |
|  Series 2014, 5% 4/1/27  | 5000  | 5050  |
|  Series 2016, 5% 1/1/27  | 185000  | 189485  |
|  Series 2017 A, 4.5% 12/1/41  | 15000  | 13569  |
|  Series 2017 C, 5% 11/1/29  | 65000  | 66590  |
|  Series 2017 D:  |  |  |
|  3.25% 11/1/26 <br>| 10000  | 9695  |
|  5% 11/1/28 <br>| 60000  | 61704  |
|  Series 2018 A:  |  |  |
|  5% 10/1/24 <br>| 30000  | 30554  |
|  5% 10/1/25 <br>| 50000  | 51231  |
|  Series 2018 B:  |  |  |
|  5% 10/1/24 <br>| 30000  | 30554  |
|  5% 10/1/30 <br>| 100000  | 102422  |
|  Series 2019 A, 5% 11/1/25  | 50000  | 51253  |
|  Series 2019 B, 5% 9/1/25  | 15000  | 15363  |
|  Series 2020 D, 5% 10/1/25  | 5000  | 5123  |
|  Series 2022, 5.25% 3/1/38  | 85000  | 86478  |
|  Series November 2016, 4.125% 11/1/31  | 10000  | 9637  |
|  Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A, 4% 2/1/33  | 70000  | 70841  |
|  Illinois Sales Tax Rev.:  |  |  |
|  Series 2013, 5% 6/15/23  | 30000  | 30202  |
|  Series 2016 A:  |  |  |
|  3% 6/15/33 <br>| 25000  | 22097  |
|  3% 6/15/34 <br>| 75000  | 65198  |
|  Series 2016 D:  |  |  |
|  3% 6/15/31 <br>| 15000  | 13673  |
|  3% 6/15/32 <br>| 20000  | 17959  |
|  Illinois Toll Hwy. Auth. Toll Hwy. Rev.:  |  |  |
|  Series 2014 B, 5% 1/1/37  | 40000  | 40626  |
|  Series 2014 C, 5% 1/1/27  | 130000  | 135641  |
|  Series 2015 A, 5% 1/1/40  | 25000  | 25608  |
|  Series 2015 B, 5% 1/1/40  | 55000  | 56325  |
|  Series 2016 A, 5% 12/1/31  | 60000  | 63417  |
|  Series 2017 A, 5% 1/1/42  | 50000  | 51851  |
|  Series B:  |  |  |
|  5% 1/1/27 <br>| 35000  | 37977  |
|  5% 1/1/30 <br>| 5000  | 5689  |
|  Series C, 5% 1/1/30  | 30000  | 34362  |
|  Metropolitan Pier & Exposition:  |  |  |
|  (McCormick Place Expansion Proj.):  |  |  |
|  Series 2002 A: <br>|  |  |
|  0% 12/15/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 70000  | 50784  |
|  0% 6/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 30000  | 15931  |
|  Series 2010 B1: <br>|  |  |
|  0% 6/15/43 (Assured Guaranty Muni. Corp. Insured) <br>| 70000  | 25973  |
|  0% 6/15/45 (Assured Guaranty Muni. Corp. Insured) <br>| 345000  | 114629  |
|  Series 2002 A:  |  |  |
|  0% 6/15/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 30000  | 20115  |
|  0% 12/15/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 50000  | 31055  |
|  0% 12/15/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 10000  | 5833  |
|  Series 2002:  |  |  |
|  0% 12/15/23 <br>| 20000  | 19315  |
|  0% 12/15/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 20000  | 13816  |
|  Series 2017 B, 0% 12/15/56 (Assured Guaranty Muni. Corp. Insured)  | 50000  | 9034  |
|  Northern Illinois Muni. Pwr. Agcy. Rev. (Prarie State Proj.) Series 2016 A, 5% 12/1/28  | 25000  | 27084  |
|  Rosemont Gen. Oblig. Series 2016 A, 5% 12/1/46 (Assured Guaranty Muni. Corp. Insured)  | 335000  | 351130  |
|  Sales Tax Securitization Corp. Series 2017 A, 5% 1/1/28  | 50000  | 53662  |
|  Schaumburg Village Gen. Oblig. Series 2013 A, 4% 12/1/32  | 500000  | 502212  |
|  Springfield Elec. Rev. Series 2015, 4% 3/1/40 (Assured Guaranty Muni. Corp. Insured)  | 30000  | 29039  |
|  TOTAL ILLINOIS  |  | 4962689  |
| Indiana - 1.0%  |  |  |
|  Carmel Local Pub. Impt. Bond Bank Series 2016, 5% 7/15/30  | 10000  | 10737  |
|  Indiana Bond Bank Series 2008 B, 0% 6/1/32 (Assured Guaranty Muni. Corp. Insured)  | 70000  | 49466  |
|  Indiana Fin. Auth. Rev.:  |  |  |
|  Series 2019 E, 5% 2/1/36  | 25000  | 27605  |
|  Series 2022 B, 5% 2/1/32  | 400000  | 473179  |
|  Indiana Fin. Auth. Wastewtr. Util. Rev.:  |  |  |
|  (CWA Auth. Proj.) Series 2014 A, 5% 10/1/31  | 50000  | 51515  |
|  Series 2021 I, 5% 10/1/27  | 55000  | 60616  |
|  Indiana Univ. Lease Purchase Oblig. Series 2020 A, 4% 6/1/45  | 5000  | 4920  |
|  Indianapolis Local Pub. Impt.:  |  |  |
|  (Courthouse and Jail Proj.) Series 2019 A:  |  |  |
|  5% 2/1/33 <br>| 15000  | 16741  |
|  5% 2/1/54 <br>| 25000  | 25988  |
|  (Pilot Infrastructure Prog.) Series 2017 C, 5% 1/1/33  | 15000  | 16420  |
|  Indianapolis Local Pub. Impt. Bond Bank Series E, 0% 2/1/28 (AMBAC Insured)  | 50000  | 42342  |
|  Purdue Univ. Rev. Series 2020 EE, 5% 7/1/36  | 80000  | 90518  |
|  TOTAL INDIANA  |  | 870047  |
| Iowa - 0.2%  |  |  |
|  Iowa Fin. Auth. Health Care Facilities Rev. Series 2013, 5% 7/1/33 (Pre-Refunded to 7/1/23 @ 100)  | 10000  | 10097  |
|  Iowa Fin. Auth. Rev.:  |  |  |
|  Series 2016, 5% 8/1/26  | 30000  | 32406  |
|  Series 2017, 5% 8/1/37  | 50000  | 53534  |
|  Tobacco Settlement Auth. Tobacco Settlement Rev. Series 2021 A2, 4% 6/1/40  | 100000  | 90081  |
|  TOTAL IOWA  |  | 186118  |
| Kansas - 0.2%  |  |  |
|  Johnson & Miami County Unified School District Series 2016 B, 3% 9/1/37  | 20000  | 17573  |
|  Kansas Dept. of Trans. Hwy. Rev. Series 2015 A, 3% 9/1/24  | 50000  | 49993  |
|  Univ. of Kansas Hosp. Auth. Health Facilities Rev.:  |  |  |
|  Series 2017 A, 5% 3/1/47  | 85000  | 86480  |
|  Series 2019 A, 4% 9/1/48  | 25000  | 23646  |
|  TOTAL KANSAS  |  | 177692  |
| Kentucky - 1.2%  |  |  |
|  Carroll County Envir. Facilities Rev. Series 2008 A, 2% 2/1/32 (b)  | 280000  | 225764  |
|  Kentucky Asset/Liability Commission Agcy. Fund Rev.:  |  |  |
|  Series 2013 A, 5.25% 9/1/25  | 75000  | 75973  |
|  Series 2014 A, 5% 9/1/26  | 220000  | 226848  |
|  Series 2014 D, 5% 9/1/24  | 155000  | 160410  |
|  Kentucky Eco Dev. Fin. Auth. Health Rev. Series 2000 B, 0% 10/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 45000  | 37818  |
|  Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Series 2017 A, 5.25% 6/1/41  | 100000  | 101797  |
|  Kentucky Muni. Pwr. Agcy. Pwr. Sys. Rev. (Prarie State Proj.) Series 2015 A:  |  |  |
|  4% 9/1/39  | 75000  | 71817  |
|  5% 9/1/23  | 20000  | 20232  |
|  5% 9/1/42  | 25000  | 25287  |
|  Kentucky State Property & Buildings Commission Rev. Series B, 5% 11/1/28  | 30000  | 32146  |
|  Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. Series 2016 A, 3% 5/15/46  | 60000  | 47439  |
|  Univ. of Kentucky Gen. Rcpts Series A, 3.5% 10/1/47  | 25000  | 20689  |
|  TOTAL KENTUCKY  |  | 1046220  |
| Louisiana - 0.8%  |  |  |
|  Louisiana Gas & Fuel Tax Rev. Series 2017 C, 5% 5/1/45  | 250000  | 257875  |
|  Louisiana Gen. Oblig.:  |  |  |
|  Series 2014 D1, 3% 12/1/29  | 60000  | 59466  |
|  Series 2017 A, 5% 4/1/25  | 25000  | 26278  |
|  Series 2021 A, 5% 3/1/41  | 115000  | 126190  |
|  Louisiana Pub. Facilities Auth. Hosp. Rev.:  |  |  |
|  (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 3.75% 7/1/47  | 25000  | 21048  |
|  Bonds (Louisiana Children's Med. Ctr. Proj.) Series 2015 A3, 5%, tender 6/1/23 (c)  | 50000  | 50255  |
|  Louisiana Pub. Facilities Auth. Lease Rev. (Phase II Proj.) Series 2017, 5% 7/1/57  | 50000  | 50471  |
|  Louisiana Pub. Facilities Auth. Rev. Series 2016, 4% 5/15/41  | 20000  | 19092  |
|  New Orleans Wtr. Series 2015, 5% 12/1/40 (Pre-Refunded to 12/1/25 @ 100)  | 20000  | 21251  |
|  Shreveport Wtr. & Swr. Rev. Series 2014 B, 4% 12/1/38  | 25000  | 24573  |
|  State of Louisiana Grant Anticipation Rev. Series 2019 A, 5% 9/1/29  | 20000  | 22419  |
|  TOTAL LOUISIANA  |  | 678918  |
| Maine - 0.1%  |  |  |
|  Maine Health & Higher Edl. Facilities Auth. Rev. Series 2021 A, 4% 7/1/50 (Assured Guaranty Muni. Corp. Insured)  | 75000  | 70118  |
| Maryland - 2.1%  |  |  |
|  Anne Arundel County Gen. Oblig. Series 2021, 5% 4/1/29  | 150000  | 170910  |
|  Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev. Series C, 3% 3/1/42  | 20000  | 16720  |
|  Maryland Dept. of Trans. Series 2016, 4% 11/1/29  | 85000  | 86918  |
|  Maryland Gen. Oblig.:  |  |  |
|  Series 2015, 3% 8/1/28  | 30000  | 30006  |
|  Series 2019 1, 5% 3/15/31  | 55000  | 62550  |
|  Series 2019 A1, 5% 8/1/31  | 100000  | 112366  |
|  Series 2019, 5% 3/15/30  | 30000  | 34141  |
|  Series 2020 A, 5% 8/1/29  | 150000  | 171913  |
|  Series A, 5% 3/15/30  | 30000  | 33517  |
|  Maryland Health & Higher Edl. Series 2021 A, 2.5% 7/1/51  | 65000  | 39975  |
|  Maryland Health & Higher Edl. Facilities Auth. Rev. Series 2017 A, 4% 5/15/47  | 50000  | 45417  |
|  Maryland Stadium Auth. Built to Learn Rev. Series 2021, 2.75% 6/1/51  | 205000  | 136887  |
|  Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2021 A, 2.25% 7/1/39  | 185000  | 134715  |
|  Montgomery County Gen. Oblig. Series 2014 A, 5% 11/1/29 (Pre-Refunded to 11/1/24 @ 100)  | 85000  | 88470  |
|  Prince Georges County Gen. Oblig. Series 2018 A, 3.25% 7/15/36  | 155000  | 147969  |
|  Univ. of Maryland Sys. Auxiliary Facility & Tuition Rev. Series A, 3.25% 4/1/36  | 50000  | 46805  |
|  Washington Metropolitan Area Transit Auth. Series 2021 A, 3% 7/15/36  | 150000  | 137144  |
|  Washington Suburban San. District:  |  |  |
|  Series 2016 2, 5% 6/1/34  | 65000  | 69661  |
|  Series 2016, 3% 6/1/46  | 150000  | 119718  |
|  Series 2017, 4% 6/15/47  | 125000  | 121309  |
|  TOTAL MARYLAND  |  | 1807111  |
| Massachusetts - 2.5%  |  |  |
|  Cambridge Gen. Oblig. Series 2021, 5% 2/15/29  | 115000  | 130875  |
|  Massachusetts Bay Trans. Auth. Sales Tax Rev.:  |  |  |
|  Series 2007, 5.25% 7/1/28  | 10000  | 11362  |
|  Series 2015 A, 5% 7/1/45  | 250000  | 257852  |
|  Series A, 5.25% 7/1/28  | 30000  | 34086  |
|  Series B, 5% 7/1/33  | 85000  | 89672  |
|  Series C, 5.5% 7/1/23  | 5000  | 5063  |
|  Massachusetts Clean Wtr. Trust Series 2020, 5% 8/1/28  | 90000  | 101367  |
|  Massachusetts Commonwealth Trans. Fund Rev. (Rail Enhancement & Accelerated Bridge Prog.) Series 2017 A, 5% 6/1/47  | 145000  | 151732  |
|  Massachusetts Dev. Fin. Agcy. Rev.:  |  |  |
|  Series 2016 I, 3% 7/1/32  | 25000  | 23697  |
|  Series BB1, 4% 10/1/46  | 30000  | 28382  |
|  Series F, 5% 8/15/24  | 5000  | 5134  |
|  Massachusetts Fed. Hwy. (Accelerated Bridge Prog.):  |  |  |
|  Series 2016 A, 5% 6/15/27  | 55000  | 59308  |
|  Series A, 5% 6/15/25  | 25000  | 25832  |
|  Massachusetts Gen. Oblig.:  |  |  |
|  Series 2004 C, 5.5% 12/1/24  | 5000  | 5265  |
|  Series 2016 B, 4% 7/1/33  | 25000  | 25836  |
|  Series 2016 G, 3% 9/1/46  | 40000  | 30479  |
|  Series 2017 E, 5% 11/1/24  | 30000  | 31247  |
|  Series 2017 F, 5% 11/1/44  | 5000  | 5251  |
|  Series 2019 A:  |  |  |
|  5% 1/1/38 <br>| 60000  | 65168  |
|  5% 1/1/49 <br>| 70000  | 73824  |
|  Series 2019 C:  |  |  |
|  5% 5/1/31 <br>| 85000  | 99884  |
|  5% 5/1/41 <br>| 35000  | 37520  |
|  Series 2020 D, 5% 7/1/41  | 55000  | 59747  |
|  Series 2020 E, 5% 11/1/25  | 75000  | 79949  |
|  Series 2021 B, 3% 4/1/47  | 150000  | 113078  |
|  Series 2022 C, 5% 10/1/47  | 100000  | 108719  |
|  Series A, 5% 7/1/31  | 30000  | 32285  |
|  Series B, 5% 7/1/26  | 25000  | 27031  |
|  Series C, 5% 5/1/30  | 40000  | 46290  |
|  Series D, 5% 7/1/26  | 30000  | 32437  |
|  Series E, 5% 11/1/45  | 55000  | 59200  |
|  Massachusetts Hsg. Fin. Agcy. Hsg. Rev. Series 2019 B1, 2.75% 12/1/34  | 90000  | 79281  |
|  Massachusetts Hsg. Fin. Agcy. Multi-Family Rev. Series A, 4.5% 12/1/48 (b)  | 15000  | 13932  |
|  Massachusetts Port Auth. Rev. Series 2021 E, 5% 7/1/34 (b)  | 70000  | 75946  |
|  Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev.:  |  |  |
|  Series 2016 B, 5% 11/15/46  | 20000  | 20745  |
|  Series 2018 B, 4% 2/15/40  | 85000  | 83491  |
|  Series A, 5% 8/15/50  | 10000  | 10636  |
|  Series C, 5% 11/15/34  | 20000  | 21401  |
|  Massachusetts Spl. Oblig. Dedicated Tax Rev. Series 2005, 5.5% 1/1/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 65000  | 74854  |
|  TOTAL MASSACHUSETTS  |  | 2237858  |
| Michigan - 0.9%  |  |  |
|  Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2016 C, 5% 7/1/36  | 35000  | 36611  |
|  Great Lakes Wtr. Auth. Wtr. Supply Sys. Rev. Series 2018 A, 5% 7/1/27  | 35000  | 38029  |
|  Michigan Bldg. Auth. Rev.:  |  |  |
|  (Facilities Prog.):  |  |  |
|  Series 1A: <br>|  |  |
|  5% 10/15/33 <br>| 50000  | 50791  |
|  5.25% 10/15/47 <br>| 10000  | 10123  |
|  Series I: <br>|  |  |
|  5% 4/15/26 <br>| 10000  | 10586  |
|  5% 10/15/28 <br>| 20000  | 21563  |
|  5% 10/15/30 <br>| 35000  | 37693  |
|  Series I, 5% 4/15/38  | 50000  | 51862  |
|  Michigan Fin. Auth. Rev.:  |  |  |
|  (Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018, 5% 11/1/29  | 55000  | 61327  |
|  (Detroit Wtr. and Sewerage Dept. Sewage Disp. Sys. Rev. Rfdg. Local Proj.) Series 2014 C, 5% 7/1/28 (Assured Guaranty Muni. Corp. Insured)  | 5000  | 5160  |
|  (Detroit Wtr. And Sewerage Dept. Wtr. Supply Sys. Rev. Rfdg. Local Proj.) Series 2014 D, 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured)  | 35000  | 36011  |
|  Series 2016, 3.25% 11/15/42  | 25000  | 19946  |
|  Michigan Hosp. Fin. Auth. Rev.:  |  |  |
|  (Trinity Health Proj.) Series 2008 C:  |  |  |
|  5% 12/1/26 <br>| 70000  | 75593  |
|  5% 12/1/27 <br>| 25000  | 27431  |
|  Series 2010 F, 4% 11/15/47  | 20000  | 18245  |
|  Michigan Hsg. Dev. Auth. Rental Hsg. Rev. Series 2020 A1, 2.7% 10/1/45  | 40000  | 29399  |
|  Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series 2016 A, 3.35% 12/1/31  | 10000  | 9927  |
|  Michigan State Univ. Revs. Series 2019 B, 4% 2/15/37  | 60000  | 60504  |
|  Michigan Strategic Fund Ltd. Oblig. Rev. (I-75 Impt. Proj.) Series 2018:  |  |  |
|  5% 12/31/26 (b)  | 50000  | 51519  |
|  5% 6/30/28 (b)  | 45000  | 46605  |
|  5% 12/31/31 (b)  | 15000  | 15510  |
|  Michigan Trunk Line Fund Rev. Series 2020 B, 4% 11/15/37  | 10000  | 10016  |
|  Wayne County Arpt. Auth. Rev. Series 2021 B, 5% 12/1/35 (b)  | 100000  | 106894  |
|  TOTAL MICHIGAN  |  | 831345  |
| Minnesota - 1.1%  |  |  |
|  Hennepin County Sales Tax Rev. (Ballpark Proj.) Series 2017 A, 5% 12/15/28  | 20000  | 20408  |
|  Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev. Series 2019 A, 5% 1/1/49  | 35000  | 35765  |
|  Minnesota Gen. Oblig.:  |  |  |
|  Series 2016 A, 5% 8/1/25  | 60000  | 63655  |
|  Series 2017 A, 5% 10/1/28  | 30000  | 33269  |
|  Series 2018 B, 3.25% 8/1/36  | 55000  | 52594  |
|  Series 2019 A, 5% 8/1/28  | 70000  | 78803  |
|  Minnesota Hsg. Fin. Agcy.:  |  |  |
|  Series 2019 F, 3.75% 1/1/50  | 35000  | 34847  |
|  Series 2021 B, 4% 8/1/43  | 75000  | 72065  |
|  Series 2021 D, 2.45% 1/1/52  | 100000  | 71189  |
|  Minnesota Muni. Gas Agcy. Rev. Bonds Series 2022 A, 4%, tender 12/1/27 (Liquidity Facility Royal Bank of Canada) (c)  | 280000  | 280806  |
|  Owatonna Independent School District 761 (Minnesota School District Cr. Enhancement Prog.) Series 2020 A, 2.125% 2/1/40  | 90000  | 63170  |
|  Rochester Health Care Facilities Rev. Series 2016 B, 5% 11/15/29  | 25000  | 28508  |
|  Saint Cloud Health Care Rev.:  |  |  |
|  Series 2016 A, 3.25% 5/1/39  | 15000  | 12842  |
|  Series 2019, 5% 5/1/48  | 20000  | 20420  |
|  Virginia Independent School District #706 Series 2019 A, 3% 2/1/36  | 85000  | 79496  |
|  TOTAL MINNESOTA  |  | 947837  |
| Mississippi - 0.3%  |  |  |
|  Mississippi Dev. Bank Spl. Oblig. (Mississippi Dept. of Corrections Walnut Grove Correctional Facility Rfdg. Bonds Proj.) Series 2016 A, 5% 8/1/26  | 45000  | 47976  |
|  Mississippi Gen. Oblig. Series 2016 B:  |  |  |
|  5% 12/1/31 (Pre-Refunded to 12/1/26 @ 100)  | 75000  | 81660  |
|  5% 12/1/35 (Pre-Refunded to 12/1/26 @ 100)  | 55000  | 59884  |
|  Mississippi State Gaming Tax Rev. Series 2019 A, 5% 10/15/28  | 5000  | 5495  |
|  West Rankin Util. Auth. Rev. Series 2018, 5% 1/1/48 (Pre-Refunded to 1/1/28 @ 100)  | 100000  | 111105  |
|  TOTAL MISSISSIPPI  |  | 306120  |
| Missouri - 0.8%  |  |  |
|  Metropolitan St. Louis Swr. District Wastewtr. Sys. Rev. Series 2015 B, 5% 5/1/45 (Pre-Refunded to 5/1/25 @ 100)  | 80000  | 83953  |
|  Missouri Board of Pub. Buildings Spl. Oblig. Series 2014 A, 3% 10/1/29  | 15000  | 14980  |
|  Missouri Health & Edl. Facilities Auth. Rev. Series 2019 A, 5% 2/1/42  | 125000  | 117387  |
|  Missouri Health & Edl. Facilities Rev.:  |  |  |
|  Series 2012, 4% 11/15/42  | 85000  | 79127  |
|  Series 2014 A:  |  |  |
|  4% 6/1/32 (Pre-Refunded to 6/1/24 @ 100) <br>| 40000  | 40458  |
|  5% 6/1/29 (Pre-Refunded to 6/1/24 @ 100) <br>| 55000  | 56382  |
|  Series 2014 F, 4.25% 11/15/48  | 15000  | 14097  |
|  Series 2016, 5% 11/15/28  | 30000  | 31791  |
|  Series 2017 C:  |  |  |
|  3.625% 11/15/47 <br>| 25000  | 21285  |
|  4% 11/15/49 <br>| 55000  | 48541  |
|  Missouri Joint Muni. Elec. Util. Commission Pwr. Proj. Rev.:  |  |  |
|  (IATAN 2 Proj.) Series 2014 A, 5% 1/1/28  | 45000  | 45714  |
|  (Prarie State Proj.) Series 2016 A, 5% 12/1/40  | 150000  | 154621  |
|  Springfield Pub. Util. Rev. Series 2015, 4% 8/1/31  | 35000  | 35815  |
|  TOTAL MISSOURI  |  | 744151  |
| Montana - 0.1%  |  |  |
|  Montana Facility Fin. Auth. Series 2018 B, 4.125% 7/1/38  | 75000  | 70028  |
|  Montana Facility Fin. Auth. Rev. Series 2016, 5% 2/15/28  | 20000  | 21082  |
|  TOTAL MONTANA  |  | 91110  |
| Nebraska - 0.6%  |  |  |
|  Douglas County Hosp. Auth. #2 Health Facilities Rev. Series 2015, 4.25% 11/1/45  | 35000  | 32904  |
|  Nebraska Edl. Health Cultural & Social Svcs. Fin. Auth. Rev. Series 2019 A, 4% 1/1/49  | 85000  | 79932  |
|  Omaha Pub. Pwr. District Elec. Rev. Series 2015 B, 4% 2/1/39  | 55000  | 54673  |
|  Omaha San. Swr. Sys. Rev. Series 2014, 5% 11/15/34  | 315000  | 326190  |
|  The Board of Regents of The Univ. of Nebraska Series 2016 A, 3% 7/1/39 (Pre-Refunded to 7/1/26 @ 100)  | 5000  | 5062  |
|  Univ. of Nebraska Facilities Corp. Series 2021 A, 4% 7/15/62  | 40000  | 36291  |
|  TOTAL NEBRASKA  |  | 535052  |
| Nevada - 0.4%  |  |  |
|  Clark County Fuel Tax:  |  |  |
|  Series 2017, 3% 11/1/38  | 15000  | 13186  |
|  Series 2018 A, 5% 6/1/43  | 100000  | 106075  |
|  Series 2019 A:  |  |  |
|  5% 12/1/24 <br>| 5000  | 5217  |
|  5% 12/1/28 <br>| 15000  | 16902  |
|  Series 2019, 5% 6/1/25  | 25000  | 26336  |
|  Clark County Hwy. Impt. Rev. Series 2017, 5% 7/1/30  | 50000  | 54592  |
|  Clark County School District Series 2019 A, 3% 6/15/39 (Assured Guaranty Muni. Corp. Insured)  | 30000  | 24503  |
|  Las Vegas Redev. Agcy., Tax Increment Rev. Series 2016, 5% 6/15/40  | 100000  | 102072  |
|  Washoe County School District Series 2017 C, 3.25% 10/1/42 (Assured Guaranty Muni. Corp. Insured)  | 50000  | 41860  |
|  TOTAL NEVADA  |  | 390743  |
| New Jersey - 4.2%  |  |  |
|  New Jersey Econ. Dev. Auth.:  |  |  |
|  Series A:  |  |  |
|  4% 11/1/37 <br>| 60000  | 56900  |
|  5% 11/1/31 <br>| 20000  | 21766  |
|  Series UU:  |  |  |
|  5% 6/15/40 <br>| 30000  | 30159  |
|  5% 6/15/40 (Pre-Refunded to 6/15/24 @ 100) <br>| 5000  | 5154  |
|  New Jersey Econ. Dev. Auth. Lease Rev. (State House Proj.) Series 2017 B, 5% 6/15/26  | 20000  | 21171  |
|  New Jersey Econ. Dev. Auth. Natural Gas Facilities Rev. (New Jersey Natural Gas Co. Proj.) Series 2011 C, 3% 8/1/41 (b)  | 20000  | 14939  |
|  New Jersey Econ. Dev. Auth. Rev.:  |  |  |
|  (New Jersey Transit Corp. Projs.) Series 2017, 4% 11/1/25  | 20000  | 20432  |
|  Series 2005 N1, 5.5% 9/1/23  | 15000  | 15209  |
|  Series 2013 NN:  |  |  |
|  4% 3/1/29 (Pre-Refunded to 3/1/23 @ 100) <br>| 15000  | 15020  |
|  5% 3/1/26 <br>| 40000  | 40110  |
|  5% 3/1/31 (Pre-Refunded to 3/1/23 @ 100) <br>| 10000  | 10029  |
|  Series 2013, 5% 3/1/24  | 50000  | 50133  |
|  Series 2014 PP:  |  |  |
|  4% 6/15/30 (Pre-Refunded to 6/15/24 @ 100) <br>| 15000  | 15262  |
|  5% 6/15/27 (Pre-Refunded to 6/15/24 @ 100) <br>| 65000  | 67051  |
|  Series 2014 UU, 5% 6/15/30 (Pre-Refunded to 6/15/24 @ 100)  | 10000  | 10308  |
|  Series 2015 XX, 4% 6/15/24  | 50000  | 50559  |
|  Series 2018 EEE, 5% 6/15/48  | 95000  | 96008  |
|  Series 2019 LLL, 5% 6/15/30  | 80000  | 87671  |
|  Series B, 5% 11/1/26  | 5000  | 5322  |
|  Series NN, 5% 3/1/28 (Pre-Refunded to 3/1/23 @ 100)  | 35000  | 35101  |
|  Series UU, 4% 6/15/32 (Pre-Refunded to 6/15/24 @ 100)  | 95000  | 96591  |
|  Series WW, 5.25% 6/15/28  | 45000  | 46966  |
|  Series XX, 4.375% 6/15/27  | 15000  | 15355  |
|  New Jersey Econ. Dev. Auth. Wtr. Facilities Rev. Bonds (New Jersey American Wtr. Co., Inc. Proj.) Series 2019 B, 2.05%, tender 12/3/29 (c)  | 75000  | 65724  |
|  New Jersey Edl. Facility:  |  |  |
|  Series 2014 A:  |  |  |
|  5% 9/1/25 <br>| 10000  | 10289  |
|  5% 9/1/26 <br>| 100000  | 102890  |
|  Series 2014, 5% 6/15/24  | 70000  | 71764  |
|  Series 2015 D, 5% 7/1/25  | 65000  | 68843  |
|  Series A, 4% 7/1/47  | 40000  | 34928  |
|  New Jersey Gen. Oblig.:  |  |  |
|  Series 2013, 4% 6/1/27  | 10000  | 10045  |
|  Series 2014, 4% 6/1/34  | 15000  | 15226  |
|  Series 2016, 5% 6/1/24  | 25000  | 25733  |
|  New Jersey Health Care Facilities Fing. Auth. Rev.:  |  |  |
|  (Hosp. Asset Transformation Prog.) Series 2017:  |  |  |
|  5% 10/1/26 <br>| 90000  | 95227  |
|  5% 10/1/27 <br>| 10000  | 10681  |
|  Series 2016, 3% 7/1/32  | 25000  | 21903  |
|  Series 2017 A, 4% 7/1/52  | 25000  | 23146  |
|  New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.:  |  |  |
|  Series 2019 A, 5% 12/1/27  | 35000  | 38068  |
|  Series 2019 B, 3.25% 12/1/39 (b)  | 65000  | 60605  |
|  New Jersey Hsg. & Mtg. Fin. Agcy. Rev. Series 2018 A, 3.75% 10/1/35  | 70000  | 66364  |
|  New Jersey Sports & Exposition Auth. Contract Rev. Series 2018 A, 5% 9/1/24  | 50000  | 51540  |
|  New Jersey Tobacco Settlement Fing. Corp. Series 2018 A, 5% 6/1/29  | 30000  | 31517  |
|  New Jersey Tpk. Auth. Tpk. Rev.:  |  |  |
|  Series 2004 C2, 5.5% 1/1/25 (AMBAC Insured)  | 65000  | 68450  |
|  Series 2005 A, 5.25% 1/1/26 (Assured Guaranty Muni. Corp. Insured)  | 20000  | 21456  |
|  Series 2012 B, 5% 1/1/28 (Pre-Refunded to 1/1/23 @ 100)  | 40000  | 40000  |
|  Series 2014 A:  |  |  |
|  5% 1/1/28 <br>| 90000  | 92749  |
|  5% 1/1/29 <br>| 5000  | 5161  |
|  Series 2015 E:  |  |  |
|  5% 1/1/32 <br>| 130000  | 135429  |
|  5% 1/1/45 <br>| 160000  | 163128  |
|  Series 2016 A, 5% 1/1/33  | 30000  | 31786  |
|  Series 2017 A, 5% 1/1/33  | 70000  | 75483  |
|  Series 2017 B, 4% 1/1/35  | 5000  | 5121  |
|  Series 2017 E, 5% 1/1/29  | 10000  | 11040  |
|  New Jersey Trans. Trust Fund Auth.:  |  |  |
|  Series 2006 C:  |  |  |
|  0% 12/15/25 <br>| 20000  | 18107  |
|  0% 12/15/29 (Assured Guaranty Muni. Corp. Insured) <br>| 5000  | 3893  |
|  0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) <br>| 10000  | 6786  |
|  Series 2008 A:  |  |  |
|  0% 12/15/37 <br>| 5000  | 2457  |
|  0% 12/15/38 <br>| 65000  | 29900  |
|  Series 2009 A, 0% 12/15/33  | 90000  | 56138  |
|  Series 2010 A:  |  |  |
|  0% 12/15/25 <br>| 10000  | 9004  |
|  0% 12/15/27 <br>| 30000  | 24936  |
|  0% 12/15/32 <br>| 35000  | 23023  |
|  0% 12/15/33 <br>| 60000  | 37426  |
|  Series 2013 AA, 5% 6/15/27  | 190000  | 191493  |
|  Series 2015 AA:  |  |  |
|  5.25% 6/15/29 <br>| 45000  | 46960  |
|  5.25% 6/15/32 <br>| 5000  | 5193  |
|  Series 2016 A, 5% 6/15/30  | 25000  | 26310  |
|  Series 2016 A2, 5% 6/15/23  | 50000  | 50377  |
|  Series 2018 A:  |  |  |
|  5% 12/15/24 <br>| 20000  | 20705  |
|  5% 6/15/31 <br>| 75000  | 78753  |
|  Series 2019 AA, 4.5% 6/15/49  | 5000  | 4700  |
|  Series 2019 B, 4% 6/15/37  | 160000  | 151859  |
|  Series 2021 A:  |  |  |
|  5% 6/15/28 <br>| 85000  | 91823  |
|  5% 6/15/30 <br>| 50000  | 55098  |
|  Series A:  |  |  |
|  0% 12/15/26 <br>| 70000  | 60579  |
|  0% 12/15/31 <br>| 70000  | 48399  |
|  4% 12/15/31 <br>| 80000  | 81325  |
|  4.25% 12/15/38 <br>| 20000  | 19482  |
|  Series A1, 4.1% 6/15/31  | 55000  | 55987  |
|  Series AA:  |  |  |
|  5% 6/15/23 <br>| 5000  | 5036  |
|  5.25% 6/15/27 <br>| 30000  | 31365  |
|  Series BB1, 5% 6/15/34  | 85000  | 90315  |
|  Series C, 5.25% 6/15/32  | 35000  | 36018  |
|  TOTAL NEW JERSEY  |  | 3644959  |
| New Mexico - 0.5%  |  |  |
|  New Mexico Hosp. Equip. Ln. Council Rev.:  |  |  |
|  Series 2015 A, 4.125% 8/1/44 (Pre-Refunded to 8/1/25 @ 100)  | 210000  | 216755  |
|  Series 2019 A, 3% 8/1/48  | 10000  | 7426  |
|  New Mexico Mtg. Fin. Auth. Series 2021 D, 3% 7/1/52  | 150000  | 144628  |
|  New Mexico Severance Tax Rev. Series 2018A, 5% 7/1/24  | 60000  | 61954  |
|  TOTAL NEW MEXICO  |  | 430763  |
| New York - 15.1%  |  |  |
|  Battery Park City Auth. Rev.:  |  |  |
|  Series 2019 A, 5% 11/1/49  | 80000  | 85985  |
|  Series 2019 B:  |  |  |
|  5% 11/1/34 <br>| 190000  | 214810  |
|  5% 11/1/39 <br>| 60000  | 66008  |
|  Brooklyn Arena Local Dev. Corp. Series 2016 A, 3% 7/15/43 (Assured Guaranty Muni. Corp. Insured)  | 25000  | 18745  |
|  Dorm. Auth. New York Univ. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  4% 7/1/43 <br>| 55000  | 49058  |
|  5% 7/1/26 <br>| 65000  | 70236  |
|  5% 7/1/37 <br>| 5000  | 5114  |
|  Series 2017 1, 5% 7/1/25  | 70000  | 73860  |
|  Series 2017 A, 5% 10/1/29  | 35000  | 38311  |
|  Series 2018 B, 5% 10/1/38  | 45000  | 48926  |
|  Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A, 5% 2/15/39  | 70000  | 74357  |
|  Liberty Dev. Corp. Rev. Series 2005, 5.25% 10/1/35  | 75000  | 82387  |
|  Long Island Pwr. Auth. Elec. Sys. Rev.:  |  |  |
|  Series 1998 A, 0% 12/1/26 (Assured Guaranty Muni. Corp. Insured)  | 125000  | 111630  |
|  Series 2016 B, 5% 9/1/46  | 10000  | 10318  |
|  Series 2017:  |  |  |
|  5% 9/1/23 <br>| 55000  | 55701  |
|  5% 9/1/47 <br>| 20000  | 20666  |
|  Series 2018, 5% 9/1/35  | 30000  | 32593  |
|  Monroe County Indl. Dev. Corp. (Univ. of Rochester Proj.) Series 2020 A, 5% 7/1/25  | 70000  | 73739  |
|  Nassau County Gen. Oblig. Series 2016 A, 3.5% 1/1/37  | 130000  | 125818  |
|  New York City Gen. Oblig.:  |  |  |
|  Series 2008 J, 3% 8/1/26  | 45000  | 45540  |
|  Series 2013 F1, 3.5% 3/1/38  | 120000  | 114838  |
|  Series 2018 1, 5% 8/1/28  | 30000  | 32876  |
|  Series 2018 F1, 3.5% 4/1/46  | 135000  | 117714  |
|  Series 2019 B1, 5% 10/1/34  | 95000  | 105726  |
|  Series 2019 D, 5% 12/1/34  | 25000  | 27351  |
|  Series 2019 E, 5% 8/1/34  | 70000  | 77275  |
|  Series 2020 A1, 5% 8/1/35  | 150000  | 164751  |
|  Series 2020 D, 3% 3/1/45  | 50000  | 39409  |
|  Series 2021 A1, 4% 8/1/50  | 140000  | 129636  |
|  Series A, 5% 8/1/37  | 140000  | 147460  |
|  Series B1, 5% 10/1/32  | 55000  | 62213  |
|  Series C, 3% 8/1/29  | 50000  | 50117  |
|  Series E:  |  |  |
|  5% 8/1/25 <br>| 15000  | 15021  |
|  5% 8/1/26 <br>| 25000  | 27032  |
|  Series F, 5% 8/1/24  | 35000  | 35453  |
|  Series J, 5% 8/1/24  | 35000  | 36226  |
|  New York City Hsg. Dev. Corp.:  |  |  |
|  Bonds Series H, 2.95%, tender 2/1/26 (c)  | 60000  | 59302  |
|  Series 2016 I1A, 3.95% 11/1/36  | 10000  | 9637  |
|  Series 2017 C1, 3.65% 11/1/47  | 100000  | 81236  |
|  Series 2020 A, 2.55% 8/1/40  | 110000  | 82625  |
|  New York City Hsg. Dev. Corp. Multi-family Mtg. Rev. Series 2014, 3% 2/15/48  | 100000  | 97021  |
|  New York City Hsg. Dev. Corp. Multifamily Hsg.:  |  |  |
|  Bonds Series D2, 0.7%, tender 11/1/24 (c)  | 25000  | 23436  |
|  Series 2019 E1, 3.25% 11/1/49  | 35000  | 26616  |
|  Series 2021 G, 2.15% 11/1/36  | 95000  | 70973  |
|  Series 2021 K1, 2.45% 11/1/41  | 130000  | 93695  |
|  New York City Indl. Dev. Agcy. Rev.:  |  |  |
|  (Queens Baseball Stadium Proj.) Series 2021 A, 3% 1/1/37 (Assured Guaranty Corp. Insured) (Assured Guaranty Muni. Corp. Insured)  | 145000  | 122681  |
|  Series 2009 A:  |  |  |
|  0% 3/1/39 (Assured Guaranty Corp. Insured) <br>| 20000  | 9417  |
|  0% 3/1/44 <br>| 90000  | 31935  |
|  0% 3/1/45 (Assured Guaranty Corp. Insured) <br>| 15000  | 5033  |
|  0% 3/1/46 (Assured Guaranty Corp. Insured) <br>| 25000  | 7931  |
|  New York City Muni. Wtr. Fin. Auth.:  |  |  |
|  Series 2013 DD, 5% 6/15/38  | 65000  | 65346  |
|  Series 2015 FF, 5% 6/15/26 (Pre-Refunded to 6/15/25 @ 100)  | 300000  | 316722  |
|  Series 2015 HH, 5% 6/15/29  | 5000  | 5274  |
|  Series 2016 CC1, 4% 6/15/38  | 25000  | 24606  |
|  Series 2017 DD, 5.25% 6/15/47  | 60000  | 63124  |
|  Series 2018 AA, 5% 6/15/37  | 25000  | 26541  |
|  Series 2018 FF, 5% 6/15/40  | 210000  | 222973  |
|  Series 2020 BB, 3% 6/15/49  | 105000  | 77892  |
|  Series 2020 GG2, 5% 6/15/29  | 135000  | 149224  |
|  Series 2022 EE, 4% 6/15/45  | 120000  | 113206  |
|  Series BB, 5% 6/15/49  | 90000  | 95205  |
|  Series CC:  |  |  |
|  4% 6/15/42 <br>| 15000  | 14371  |
|  5% 6/15/30 <br>| 25000  | 28797  |
|  Series DD:  |  |  |
|  5% 6/15/25 <br>| 60000  | 61162  |
|  5% 6/15/36 <br>| 55000  | 56214  |
|  Series EE, 5% 6/15/34  | 45000  | 47777  |
|  New York City Transitional Fin. Auth. Bldg. Aid Rev.:  |  |  |
|  Series 2015 S1:  |  |  |
|  5% 7/15/26 <br>| 100000  | 104453  |
|  5% 7/15/43 <br>| 75000  | 76609  |
|  Series 2015 S2, 5% 7/15/40  | 80000  | 82482  |
|  Series 2018 S3, 3.625% 7/15/47  | 60000  | 54005  |
|  Series 2018 S4, 5% 7/15/31  | 10000  | 11141  |
|  Series 2020 S1, 3% 7/15/49  | 50000  | 38298  |
|  Series S1, 5% 7/15/27  | 55000  | 57394  |
|  Series S4, 5.25% 7/15/35  | 35000  | 38746  |
|  New York City Transitional Fin. Auth. Rev.:  |  |  |
|  Series 2014, 5% 11/1/25  | 55000  | 56500  |
|  Series 2016 A, 5% 5/1/40  | 105000  | 109992  |
|  Series 2016 E, 5% 2/1/37  | 130000  | 136523  |
|  Series 2016 E1, 5% 2/1/35  | 120000  | 126741  |
|  Series 2016 F3, 3.25% 2/1/42  | 50000  | 41563  |
|  Series 2017 B, 4% 8/1/37  | 50000  | 49339  |
|  Series 2018 A2, 5% 8/1/39  | 55000  | 58063  |
|  Series 2018 B1, 3.375% 8/1/45  | 65000  | 55381  |
|  Series 2018 C3, 4% 5/1/44  | 10000  | 9400  |
|  Series 2019 A, 5% 8/1/40  | 75000  | 79769  |
|  Series 2019 B1, 4% 11/1/43  | 50000  | 47236  |
|  Series 2019 C, 4% 11/1/37  | 70000  | 69061  |
|  Series 2021 A:  |  |  |
|  3% 11/1/37 <br>| 115000  | 98164  |
|  5% 11/1/31 <br>| 80000  | 92701  |
|  Series 2022 A1, 5% 11/1/25  | 150000  | 159814  |
|  Series 2022 F, 5% 2/1/26  | 50000  | 53538  |
|  Series A, 4% 11/1/35  | 20000  | 20241  |
|  Series B, 4% 8/1/39  | 5000  | 4860  |
|  Series B1, 5% 11/1/37  | 100000  | 104567  |
|  Series C, 3.25% 11/1/43  | 30000  | 25358  |
|  Series C1, 4% 5/1/44  | 120000  | 112805  |
|  Series E, 5% 2/1/40  | 115000  | 120668  |
|  New York City Trust Cultural Resources Rev. Series 2016 1E:  |  |  |
|  4% 4/1/26  | 50000  | 51921  |
|  4% 4/1/28  | 40000  | 41688  |
|  New York Convention Ctr. Dev. Corp. Rev. Series 2016 B:  |  |  |
|  0% 11/15/32  | 60000  | 39580  |
|  0% 11/15/38  | 105000  | 48572  |
|  0% 11/15/44  | 25000  | 8022  |
|  New York Dorm. Auth. Personal Income Tax Rev.:  |  |  |
|  Series 2013 A, 5% 2/15/43 (Pre-Refunded to 2/15/23 @ 100)  | 5000  | 5012  |
|  Series 2016 D, 5% 2/15/26  | 40000  | 42914  |
|  New York Dorm. Auth. Rev.:  |  |  |
|  Series 1:  |  |  |
|  3% 7/1/34 <br>| 25000  | 23167  |
|  5% 7/1/30 <br>| 30000  | 33823  |
|  Series 2014 A, 5.5% 1/1/39 (Pre-Refunded to 7/1/24 @ 100)  | 30000  | 31199  |
|  Series 2015 A:  |  |  |
|  3% 7/1/29 <br>| 50000  | 50426  |
|  3.75% 7/1/46 <br>| 55000  | 46156  |
|  5% 5/1/33 <br>| 35000  | 36062  |
|  Series 2018 A, 5% 8/1/29  | 105000  | 107974  |
|  Series 2019 A, 4% 7/1/45  | 30000  | 28423  |
|  Series 2019 C, 4% 7/1/49  | 30000  | 27926  |
|  Series 2020 A, 4% 7/1/50  | 95000  | 89830  |
|  Series 2020 A2, 5% 7/1/31  | 25000  | 28896  |
|  Series 2020, 3% 2/1/50  | 100000  | 75884  |
|  Series 2021 A, 5% 7/1/26  | 100000  | 106402  |
|  New York Dorm. Auth. Sales Tax Rev.:  |  |  |
|  Series 2013 A, 5% 3/15/24 (Pre-Refunded to 3/15/23 @ 100)  | 10000  | 10039  |
|  Series 2016 A, 5% 3/15/29  | 70000  | 75846  |
|  Series 2017 A:  |  |  |
|  5% 3/15/43 <br>| 75000  | 78552  |
|  5% 3/15/44 <br>| 15000  | 15681  |
|  Series 2018, 5% 3/15/48  | 25000  | 26180  |
|  New York Envir. Facilities Corp. Clean Wtr. & Drinking Wtr.:  |  |  |
|  (New York City Muni. Wtr. Fin. Auth. Proj.):  |  |  |
|  Series 2017 A, 3.5% 6/15/36 <br>| 40000  | 39065  |
|  Series 2018 A, 5% 6/15/30 <br>| 30000  | 33560  |
|  Series 2019 B, 5% 6/15/31 <br>| 25000  | 28401  |
|  Series 2016 A, 4% 6/15/46  | 40000  | 39107  |
|  Series 2017 A, 5% 6/15/25  | 70000  | 74215  |
|  New York Liberty Dev. Corp. Series 2021 1WTC, 2.75% 2/15/44  | 55000  | 39260  |
|  New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.:  |  |  |
|  Series 2012 A:  |  |  |
|  0% 11/15/32 <br>| 60000  | 40745  |
|  3% 11/15/28 <br>| 340000  | 339989  |
|  5% 11/15/25 <br>| 80000  | 80033  |
|  Series 2016 A, 5% 11/15/26  | 35000  | 37843  |
|  Series 2017 A, 5% 11/15/47  | 165000  | 170737  |
|  New York Metropolitan Trans. Auth. Rev.:  |  |  |
|  Series 2012 B, 4.25% 11/15/39  | 70000  | 70017  |
|  Series 2012 F, 5% 11/15/25  | 45000  | 45019  |
|  Series 2014 D1, 5% 11/15/33  | 170000  | 172369  |
|  Series 2015 B, 4% 11/15/45  | 50000  | 42229  |
|  Series 2015 D1, 5% 11/15/31  | 20000  | 20375  |
|  Series 2015 F, 3.25% 11/15/31  | 160000  | 145753  |
|  Series 2016 A, 5% 11/15/31  | 235000  | 240959  |
|  Series 2016 B, 5% 11/15/29  | 115000  | 119135  |
|  Series 2016 C, 4% 11/15/26  | 65000  | 65583  |
|  Series 2016 D, 5% 11/15/27  | 30000  | 31163  |
|  Series 2017 B:  |  |  |
|  5% 11/15/23 <br>| 55000  | 55710  |
|  5% 11/15/26 <br>| 95000  | 99273  |
|  Series 2017 C1:  |  |  |
|  5% 11/15/23 <br>| 75000  | 75968  |
|  5% 11/15/25 <br>| 15000  | 15534  |
|  5% 11/15/28 <br>| 35000  | 36331  |
|  Series 2017 D:  |  |  |
|  4% 11/15/42 <br>| 15000  | 12991  |
|  5% 11/15/27 <br>| 50000  | 52500  |
|  Series 2018 B:  |  |  |
|  5% 11/15/25 <br>| 15000  | 15551  |
|  5% 11/15/26 <br>| 80000  | 83599  |
|  5% 11/15/28 <br>| 50000  | 52190  |
|  New York Sales Tax Asset Receivables Corp. Series 2015 A, 5% 10/15/24 (Escrowed to Maturity)  | 265000  | 275261  |
|  New York State Dorm. Auth.:  |  |  |
|  Series 2015 B, 5% 2/15/42  | 35000  | 35992  |
|  Series 2017 A, 5% 2/15/25 (Escrowed to Maturity)  | 275000  | 288153  |
|  Series 2017 B, 5% 2/15/39  | 110000  | 115552  |
|  Series 2019 A:  |  |  |
|  5% 3/15/40 <br>| 15000  | 15946  |
|  5% 3/15/42 <br>| 100000  | 105543  |
|  Series 2022 A, 4% 3/15/39  | 280000  | 272937  |
|  New York State Envir. Facilities Corp. Rev. Series 2019 A, 5% 2/15/49  | 30000  | 31858  |
|  New York State Gen. Oblig. Series 2013 A, 3.5% 3/1/43  | 10000  | 8899  |
|  New York State Hsg. Fin. Agcy. Rev.:  |  |  |
|  Series 2019 N, 3.05% 11/1/52  | 65000  | 46215  |
|  Series 2019 R, 3.15% 11/1/54  | 5000  | 3594  |
|  Series 2020 E, 2.2% 11/1/40  | 250000  | 174494  |
|  Series L, 3.45% 11/1/42  | 15000  | 12666  |
|  New York State Mtg. Agcy. Homeowner Mtg.:  |  |  |
|  Series 2019 220, 2.4% 10/1/34  | 75000  | 62284  |
|  Series 220, 2.85% 10/1/44  | 15000  | 10854  |
|  New York State Mtg. Agcy. Rev. Series 48, 3.45% 10/1/33  | 15000  | 14352  |
|  New York State Urban Eev Corp. Series 2021 A, 3% 3/15/41  | 50000  | 41787  |
|  New York Thruway Auth. Gen. Rev.:  |  |  |
|  Series 2016 A, 5% 1/1/51  | 35000  | 35759  |
|  Series 2019 B, 4% 1/1/45 (Assured Guaranty Muni. Corp. Insured)  | 125000  | 116460  |
|  Series K:  |  |  |
|  5% 1/1/28 <br>| 40000  | 41683  |
|  5% 1/1/29 <br>| 50000  | 52084  |
|  New York Trans. Dev. Corp.:  |  |  |
|  (Delta Air Lines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/30 (b)  | 15000  | 15285  |
|  (LaGuardia Arpt. Term. B Redev. Proj.) Series 2016 A, 4% 1/1/51 (Assured Guaranty Muni. Corp. Insured) (b)  | 20000  | 16012  |
|  (Term. 4 JFK Int'l. Arpt. Proj.) Series 2020 C, 5% 12/1/30  | 100000  | 107852  |
|  (Term. 4 John F. Kennedy Int'l. Arpt. Proj.) Series 2022, 5% 12/1/32 (b)  | 80000  | 85583  |
|  (Term. one Group Assoc., L.P. Proj.) Series 2015, 5% 1/1/23 (b)  | 110000  | 110000  |
|  New York Urban Dev. Corp. Rev.:  |  |  |
|  Series 2013 A1, 5% 3/15/29  | 10000  | 10030  |
|  Series 2019 A:  |  |  |
|  5% 3/15/42 <br>| 10000  | 10567  |
|  5% 3/15/44 <br>| 25000  | 26316  |
|  Onondaga County Trust for Cultural Resources Rev. Series 2019:  |  |  |
|  5% 12/1/39  | 75000  | 82350  |
|  5% 12/1/40  | 65000  | 71079  |
|  Suffolk County Gen. Oblig. Series 2015 C:  |  |  |
|  5% 5/1/23  | 20000  | 20118  |
|  5% 5/1/27  | 10000  | 10240  |
|  Suffolk County Wtr. Auth. Wtrwks. Rev. Series 2018 A, 4% 6/1/41  | 45000  | 45585  |
|  Triborough Bridge & Tunnel Auth. Series 2021 B, 5% 5/15/56  | 80000  | 83768  |
|  Triborough Bridge & Tunnel Auth. Revs.:  |  |  |
|  Series 2002 F:  |  |  |
|  5% 11/1/27 <br>| 65000  | 72055  |
|  5% 11/1/31 <br>| 75000  | 88577  |
|  Series 2008 B3, 5% 11/15/37  | 60000  | 62598  |
|  Series 2012 B, 5% 11/15/29  | 35000  | 35049  |
|  Series 2013 A:  |  |  |
|  0% 11/15/30 <br>| 85000  | 63374  |
|  0% 11/15/32 <br>| 90000  | 61235  |
|  Series 2016 A:  |  |  |
|  5% 11/15/41 <br>| 25000  | 25984  |
|  5% 11/15/46 <br>| 50000  | 51489  |
|  Util. Debt Securitization Auth.:  |  |  |
|  Series 2015, 3% 12/15/32  | 15000  | 15006  |
|  Series 2017, 5% 12/15/41  | 50000  | 53422  |
|  Westchester County Gen. Oblig. Series 2021 A, 5% 10/15/29  | 65000  | 75109  |
|  Westchester County Local Dev. Co. (Westchester Obligated Group Proj.) Series 2016, 3.75% 11/1/37  | 30000  | 24390  |
|  TOTAL NEW YORK  |  | 13263109  |
| New York And New Jersey - 1.2%  |  |  |
|  Port Auth. of New York & New Jersey:  |  |  |
|  Series 189:  |  |  |
|  5% 5/1/27 <br>| 60000  | 62895  |
|  5% 5/1/30 <br>| 80000  | 83622  |
|  Series 194, 5% 10/15/30  | 15000  | 15821  |
|  Series 198, 5% 11/15/46  | 50000  | 52363  |
|  Series 2015 189, 5% 5/1/31  | 50000  | 52206  |
|  Series 2015 194, 5% 10/15/34  | 55000  | 57768  |
|  Series 2017 205:  |  |  |
|  5% 11/15/26 <br>| 110000  | 119577  |
|  5.25% 11/15/57 <br>| 175000  | 183436  |
|  Series 2018 209, 5% 7/15/36  | 115000  | 124757  |
|  Series 2019 213, 5% 9/1/30  | 70000  | 79852  |
|  Series 2019 217, 5% 11/1/32  | 50000  | 56886  |
|  Series 202, 5% 10/15/30 (b)  | 30000  | 31861  |
|  Series 207, 5% 9/15/26 (b)  | 5000  | 5284  |
|  Series 209, 5% 7/15/31  | 30000  | 33440  |
|  Series 211, 4% 9/1/43  | 55000  | 52623  |
|  TOTAL NEW YORK AND NEW JERSEY  |  | 1012391  |
| North Carolina - 1.0%  |  |  |
|  Charlotte Int'l. Arpt. Rev. Series 2017 A, 5% 7/1/47  | 55000  | 56661  |
|  Charlotte Wtr. & Swr. Sys. Rev. Series 2018, 4% 7/1/47  | 25000  | 24374  |
|  Mecklenburg County Gen. Oblig. Series 2018, 3.25% 3/1/34  | 65000  | 64038  |
|  North Carolina Cap. Facilities Fin. Agcy. Rev. (Duke Univ. Proj.) Series 2015 B, 5% 10/1/41 (Pre-Refunded to 10/1/25 @ 100)  | 10000  | 10601  |
|  North Carolina Gen. Oblig.:  |  |  |
|  Series 2016 A, 5% 6/1/27  | 40000  | 43181  |
|  Series 2018 A, 5% 6/1/29  | 75000  | 84230  |
|  North Carolina Grant Anticipation Rev.:  |  |  |
|  Series 2015, 5% 3/1/27  | 70000  | 73265  |
|  Series 2019:  |  |  |
|  5% 3/1/31 <br>| 5000  | 5625  |
|  5% 3/1/32 <br>| 30000  | 33663  |
|  North Carolina Ltd. Oblig.:  |  |  |
|  Series 2019 A, 5% 5/1/25  | 30000  | 31579  |
|  Series 2020 B:  |  |  |
|  5% 5/1/28 <br>| 50000  | 55841  |
|  5% 5/1/29 <br>| 35000  | 39785  |
|  North Carolina Med. Care Commission Health Care Facilities Rev. Series 2012 A, 4% 12/1/45  | 10000  | 9665  |
|  North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2018:  |  |  |
|  5% 1/1/28  | 100000  | 106097  |
|  5% 1/1/30  | 55000  | 58891  |
|  Union County Enterprise Systems Rev. Series 2021, 3% 6/1/37  | 80000  | 69949  |
|  Wake County Series 2021, 5% 3/1/31  | 85000  | 99321  |
|  TOTAL NORTH CAROLINA  |  | 866766  |
| North Dakota - 0.2%  |  |  |
|  Grand Forks Health Care Sys. Rev. Series 2021:  |  |  |
|  4% 12/1/35  | 60000  | 57515  |
|  5% 12/1/27  | 85000  | 90300  |
|  North Dakota Hsg. Fin. Agcy.:  |  |  |
|  Series 2021 A, 2.25% 7/1/41  | 50000  | 35565  |
|  Series C, 3.35% 7/1/42  | 20000  | 18535  |
|  TOTAL NORTH DAKOTA  |  | 201915  |
| Ohio - 2.9%  |  |  |
|  Akron Bath Copley Hosp. District Rev. Series 2020, 4% 11/15/37  | 5000  | 4520  |
|  Allen County Hosp. Facilities Rev.:  |  |  |
|  (Mercy Health) Series 2017 A, 5% 8/1/27  | 25000  | 27100  |
|  Series 2020 A, 5% 12/1/35  | 60000  | 65340  |
|  Chillicothe Hosp. Facilities Rev. (Adena Health Sys. Obligated Group Proj.) Series 2017, 4% 12/1/42  | 100000  | 86111  |
|  Cleveland Pub. Pwr. Sys. Rev. Series B2, 0% 11/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 45000  | 22190  |
|  Columbus Gen. Oblig.:  |  |  |
|  Series 2016 A, 4% 8/15/27  | 30000  | 31046  |
|  Series 2018 A, 5% 4/1/30  | 30000  | 33773  |
|  Cuyahoga County Hosp. Rev. Series 2017, 5% 2/15/52  | 5000  | 4891  |
|  Franklin County Ohio Sales Tax R Series 2018, 5% 6/1/48  | 30000  | 31906  |
|  Franklin County Rev. Series 2017 OH, 5% 12/1/46  | 85000  | 85867  |
|  Gahanna-Jefferson School District Series 2021, 2% 12/1/50 (Assured Guaranty Muni. Corp. Insured)  | 100000  | 56800  |
|  Hamilton County Sales Tax Rev. Series 2016 A, 5% 12/1/27  | 55000  | 60745  |
|  Hamilton County Swr. Sys. Rev. Series 2019 A, 5% 12/1/29  | 150000  | 171371  |
|  Northeast Ohio Reg'l. Swr. District Wastewtr. Rev. Series 2019, 3% 11/15/40  | 100000  | 81849  |
|  Northeastern Local School District of Clark and Champaign Series 2018, 4% 12/1/55 (Assured Guaranty Muni. Corp. Insured)  | 100000  | 91360  |
|  Ohio Gen. Oblig.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 9/1/23 <br>| 25000  | 25350  |
|  5% 9/15/26 <br>| 35000  | 37936  |
|  Series 2015 C, 5% 11/1/28  | 25000  | 26310  |
|  Series 2017 C, 5% 8/1/26  | 20000  | 21626  |
|  Series 2017 C1, 5% 9/1/28  | 60000  | 67480  |
|  Series 2018 A, 5% 2/1/29  | 15000  | 15997  |
|  Series 2021 A, 4% 3/1/38  | 55000  | 56360  |
|  Ohio Hosp. Facilities Rev. Series 2017 A:  |  |  |
|  5% 1/1/28  | 145000  | 159959  |
|  5% 1/1/33  | 40000  | 43688  |
|  Ohio Hosp. Rev.:  |  |  |
|  Series 2016 A, 5% 1/15/41  | 30000  | 30470  |
|  Series 2021 A, 3% 1/15/46  | 50000  | 36609  |
|  Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. Series 2019 A:  |  |  |
|  3.5% 9/1/34  | 5000  | 4775  |
|  4% 3/1/49  | 10000  | 9607  |
|  Ohio Parks & Recreation Cap. Facilities Series 2017 A, 5% 12/1/31  | 40000  | 43985  |
|  Ohio Spl. Oblig. (Trans. Bldg. Fund Proj.) Series 2015 A, 5% 4/1/29  | 40000  | 41875  |
|  Ohio Tpk. Commission Tpk. Rev. (Infrastructure Proj.):  |  |  |
|  Series 2005 A, 0% 2/15/43  | 30000  | 11859  |
|  Series 2013 A2, 0% 2/15/37  | 80000  | 44180  |
|  Ohio Wtr. Dev. Auth. Wtr. Poll. Cont. Rev.:  |  |  |
|  Series 2015 A, 5% 12/1/24  | 235000  | 245131  |
|  Series 2015 B, 5% 12/1/26  | 215000  | 229633  |
|  Series 2019 B, 5% 12/1/39  | 275000  | 302839  |
|  Series 2020 A, 5% 12/1/38  | 65000  | 72303  |
|  Southwest Licking Local School Series 2017 A, 3.375% 11/1/47  | 15000  | 12396  |
|  Willoughby-Eastlake City School District Series 2016, 4% 12/1/50  | 160000  | 149236  |
|  TOTAL OHIO  |  | 2544473  |
| Oklahoma - 0.5%  |  |  |
|  Oklahoma Cap. Imp Auth. St Hwy. Series 2016, 4% 7/1/33  | 40000  | 40120  |
|  Oklahoma Dev. Fin. Auth. Lease Series 2016 D, 4% 6/1/36  | 200000  | 202646  |
|  Oklahoma Pwr. Auth. Pwr. Supply Sys. Rev. Series 2016 A, 5% 1/1/47  | 10000  | 10342  |
|  Oklahoma Tpk. Auth. Tpk. Rev.:  |  |  |
|  Series 2017 C:  |  |  |
|  4% 1/1/42 <br>| 30000  | 29218  |
|  5% 1/1/47 <br>| 30000  | 31283  |
|  Series 2017 D, 5% 1/1/26  | 5000  | 5318  |
|  Series 2017 E, 4% 1/1/31  | 100000  | 103324  |
|  Univ. of Oklahoma Gen. Rev. Series 2015 C, 5% 7/1/36  | 5000  | 5188  |
|  TOTAL OKLAHOMA  |  | 427439  |
| Oregon - 0.6%  |  |  |
|  Beaverton School District Series 2022 A, 0% 6/15/39  | 200000  | 94115  |
|  Clackamas County School District No. 46:  |  |  |
|  Series 2009:  |  |  |
|  0% 6/15/32 <br>| 50000  | 34469  |
|  0% 6/15/39 <br>| 10000  | 4782  |
|  Series B, 0% 6/15/34  | 20000  | 12562  |
|  Deschutes & Jefferson Counties School District #2J Redmond Series 2008 B, 0% 6/15/26  | 10000  | 8956  |
|  Oregon Facilities Auth. Rev. (Univ. of Portland Proj.) Series 2015 A, 5% 4/1/45  | 35000  | 35442  |
|  Oregon Health and Science Univ. Spl. Rev.:  |  |  |
|  Series 2016 B, 5% 7/1/39  | 35000  | 36591  |
|  Series 2019 A, 5% 7/1/25  | 215000  | 226644  |
|  Salem Hosp. Facility Auth. Rev. (Salem Health Projs.) Series 2019 A, 3% 5/15/49  | 65000  | 46310  |
|  Sherwood School District No. 88J Washington, Clackamas, and Yamhill Counties Gen. Oblig. Series 2018 A, 0% 6/15/48  | 255000  | 73800  |
|  TOTAL OREGON  |  | 573671  |
| Pennsylvania - 3.8%  |  |  |
|  Allegheny County Series C77, 5% 11/1/43  | 25000  | 26745  |
|  Allegheny County Hosp. Dev. Auth. Rev. Series 2018 A, 4% 4/1/38  | 30000  | 28938  |
|  Bristol School District Series 2013, 5% 6/1/40  | 30000  | 30217  |
|  Butler County Hosp. Auth. Hosp. Rev. (Butler Health Sys. Proj.) Series 2015 A, 5% 7/1/35  | 70000  | 70647  |
|  Chester County Health & Ed. Facilities Auth. Health Sys. Rev. Series 2020 A, 4% 9/1/50  | 100000  | 88686  |
|  Chester County Indl. Dev. Auth. Rev. (Longwood Gardens, Inc. Proj.) Series 2021, 4% 12/1/46  | 110000  | 101221  |
|  Commonwealth Fing. Auth. Tobacco Series 2018, 4% 6/1/39 (Assured Guaranty Muni. Corp. Insured)  | 15000  | 14758  |
|  Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2018 A, 5% 1/1/32  | 10000  | 11084  |
|  Geisinger Auth. Health Sys. Rev. Series 2017 A2, 4% 2/15/39  | 100000  | 96805  |
|  Lancaster County Hosp. Auth. Health Ctr. Rev. Series 2016 A, 5% 8/15/42  | 10000  | 10346  |
|  Lehigh County Gen. Purp. Hosp. Rev. Series 2015 A, 4.125% 7/1/40  | 90000  | 86942  |
|  Monroeville Fin. Auth. UPMC Rev. Series 2022 B, 4% 2/15/40  | 105000  | 97505  |
|  Northampton County Gen. Purp. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2016 A, 3.125% 8/15/35  | 10000  | 9007  |
|  Pennsylvania Ctfs. Prtn. Series 2018 A, 4% 7/1/46  | 55000  | 50600  |
|  Pennsylvania Econ. Dev. Fing. Auth. Series 2017 A, 5% 11/15/28  | 85000  | 92575  |
|  Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev. (The Pennsylvania Rapid Bridge Replacement Proj.) Series 2015:  |  |  |
|  4.125% 12/31/38 (b)  | 20000  | 18111  |
|  5% 12/31/28 (b)  | 40000  | 41047  |
|  Pennsylvania Gen. Oblig.:  |  |  |
|  Series 2015 1, 5% 8/15/23  | 5000  | 5064  |
|  Series 2015:  |  |  |
|  4% 8/15/34 <br>| 25000  | 25331  |
|  5% 3/15/24 <br>| 70000  | 71819  |
|  5% 8/15/32 <br>| 60000  | 62797  |
|  Series 2016 2, 3% 9/15/36  | 15000  | 13367  |
|  Series 2016:  |  |  |
|  5% 9/15/23 <br>| 35000  | 35512  |
|  5% 9/15/25 <br>| 100000  | 106071  |
|  5% 9/15/27 <br>| 10000  | 10769  |
|  Series 2021, 5% 5/15/31  | 60000  | 68988  |
|  Pennsylvania Higher Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 9/1/39 <br>| 135000  | 137517  |
|  5% 9/1/45 <br>| 135000  | 135871  |
|  5.25% 9/1/50 <br>| 50000  | 50564  |
|  Series 2016 C:  |  |  |
|  3% 8/15/41 <br>| 35000  | 27534  |
|  5% 8/15/25 <br>| 55000  | 58231  |
|  Pennsylvania Hsg. Fin. Agcy. Series 2021 134A, 1.85% 4/1/36  | 100000  | 72082  |
|  Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev.:  |  |  |
|  Series 2017 123B, 3.45% 10/1/32  | 15000  | 14519  |
|  Series 2017 125B, 3.65% 10/1/42  | 20000  | 17692  |
|  Pennsylvania Pub. School Bldg. Auth. School Rev. Series 2016 A, 5% 12/1/27  | 50000  | 53403  |
|  Pennsylvania Tpk. Commission Registration Fee Rev. Series 2005 A, 5.25% 7/15/23 (Assured Guaranty Muni. Corp. Insured)  | 35000  | 35426  |
|  Pennsylvania Tpk. Commission Tpk. Rev.:  |  |  |
|  Series 2013 B, 0% 12/1/41 (d)  | 20000  | 17189  |
|  Series 2014 A, 0% 12/1/39 (d)  | 35000  | 34263  |
|  Series 2014 C, 5% 12/1/44  | 50000  | 50773  |
|  Series 2016, 5% 6/1/36  | 50000  | 52031  |
|  Series 2017 2, 5% 12/1/30  | 10000  | 10798  |
|  Series 2017 A2:  |  |  |
|  5% 12/1/24 <br>| 240000  | 249573  |
|  5% 12/1/28 <br>| 115000  | 126604  |
|  Series 2017, 5% 12/1/40  | 10000  | 10349  |
|  Series 2019 A:  |  |  |
|  4% 12/1/49 <br>| 100000  | 89643  |
|  4% 12/1/49 (Assured Guaranty Muni. Corp. Insured) <br>| 100000  | 93624  |
|  5% 12/1/34 <br>| 30000  | 33267  |
|  5% 12/1/35 <br>| 35000  | 37247  |
|  Series 2019, 5% 12/1/32  | 10000  | 11056  |
|  Philadelphia Arpt. Rev. Series 2020 A, 4% 7/1/38  | 60000  | 58717  |
|  Philadelphia Auth. for Indl. Dev.:  |  |  |
|  (The Children's Hosp. of Philadelphia Proj.) Series 2017, 4% 7/1/37  | 45000  | 45236  |
|  Series 2017 A, 4% 9/1/42  | 25000  | 23126  |
|  Philadelphia Gas Works Rev. Series 2017 15, 5% 8/1/42  | 150000  | 153682  |
|  Philadelphia Gen. Oblig.:  |  |  |
|  Series 2015 B, 5% 8/1/25  | 15000  | 15825  |
|  Series 2017 A, 5% 8/1/23  | 20000  | 20226  |
|  Philadelphia School District:  |  |  |
|  Series 2007 A, 5% 6/1/27 (FGIC Insured) (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 10000  | 10748  |
|  Series 2019 A, 5% 9/1/44  | 25000  | 26421  |
|  Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. Series B, 0% 9/1/28 (FGIC Insured)  | 15000  | 12371  |
|  Pocono Mountains Indl. Park Auth. Series 2015 A, 4% 8/15/45  | 110000  | 100143  |
|  State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.) Series 2016 A, 5% 6/1/33  | 90000  | 94668  |
|  Westmoreland County Muni. Auth. Muni. Svc. Rev. Series 2016, 3% 8/15/42  | 50000  | 40860  |
|  TOTAL PENNSYLVANIA  |  | 3296231  |
| Pennsylvania, New Jersey - 0.1%  |  |  |
|  Delaware River Joint Toll Bridge Commission Pennsylvania-New Jersey Bridge Rev. Series 2017, 5% 7/1/36  | 65000  | 69815  |
| Rhode Island - 0.2%  |  |  |
|  Rhode Island & Providence Plantations Series C, 3% 1/15/36  | 95000  | 87149  |
|  Rhode Island Gen. Oblig. Series 2021 E:  |  |  |
|  2% 8/1/38  | 70000  | 50012  |
|  2% 8/1/39  | 50000  | 34955  |
|  Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016, 5% 5/15/24  | 20000  | 20295  |
|  TOTAL RHODE ISLAND  |  | 192411  |
| South Carolina - 0.6%  |  |  |
|  Brookland-Cayce School District No. 002 Series 2016, 3% 3/1/38  | 20000  | 17345  |
|  Lexington County School District #1 Series 2019 B, 2.25% 2/1/34  | 25000  | 20974  |
|  South Carolina Jobs-Econ. Dev. Auth. (SPE Fayssoux Properties, LLC Proj.) Series 2016 A, 3% 8/15/38  | 25000  | 18854  |
|  South Carolina Pub. Svc. Auth. Rev.:  |  |  |
|  Series 2013 A, 5% 12/1/38  | 140000  | 140636  |
|  Series 2014 A, 5.5% 12/1/54  | 25000  | 25250  |
|  Series 2014 C:  |  |  |
|  5% 12/1/29 <br>| 25000  | 25745  |
|  5% 12/1/36 <br>| 25000  | 25336  |
|  Series 2015, 5% 12/1/23 (Escrowed to Maturity)  | 60000  | 61097  |
|  Series 2016 A:  |  |  |
|  3.25% 12/1/35 <br>| 10000  | 9073  |
|  5% 12/1/30 <br>| 80000  | 84140  |
|  Series A, 3% 12/1/41  | 20000  | 15582  |
|  South Carolina Trans. Infrastructure Bank Rev. Series 2017 A, 5% 10/1/38  | 45000  | 47562  |
|  TOTAL SOUTH CAROLINA  |  | 491594  |
| Tennessee - 0.8%  |  |  |
|  Chattanooga Health Ed. & Hsg. Facility Board Rev. Series 2019 A1, 3% 8/1/39  | 20000  | 15773  |
|  Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/33  | 35000  | 35068  |
|  Knox County Health Edl. & Hsg. Facilities:  |  |  |
|  Series 2012 A, 5% 1/1/25  | 30000  | 30026  |
|  Series 2016 A, 4% 1/1/42  | 15000  | 14399  |
|  Series 2019, 4% 11/15/43  | 5000  | 4589  |
|  Memphis Gen. Oblig. Series 2021:  |  |  |
|  4% 5/1/46  | 50000  | 47240  |
|  5% 5/1/30  | 80000  | 92292  |
|  Metropolitan Nashville Arpt. Auth. Rev. Series 2019 A:  |  |  |
|  4% 7/1/54  | 35000  | 31130  |
|  5% 7/1/54  | 140000  | 143566  |
|  New Memphis Arena Bldg. Auth. (City of Memphis Proj.) Series 2021, 0% 4/1/43  | 180000  | 64590  |
|  Tennessee Energy Acquisition Corp.:  |  |  |
|  Series 2006 A, 5.25% 9/1/26  | 20000  | 20653  |
|  Series 2006 B, 5.625% 9/1/26  | 50000  | 52331  |
|  Series 2006 C:  |  |  |
|  5% 2/1/24 <br>| 15000  | 15097  |
|  5% 2/1/27 <br>| 15000  | 15362  |
|  Tennessee Gen. Oblig. Series 2016 A, 5% 8/1/35  | 50000  | 53624  |
|  Tennessee Hsg. Dev. Agcy. Residential:  |  |  |
|  Series 2016 2B, 3.5% 1/1/47  | 50000  | 49585  |
|  Series 2020 1A, 2.4% 1/1/44  | 10000  | 8318  |
|  Tennessee School Board Auth. Series A, 5% 11/1/42  | 50000  | 53207  |
|  TOTAL TENNESSEE  |  | 746850  |
| Texas - 8.9%  |  |  |
|  Aldine Independent School District Series 2017 A, 5% 2/15/30  | 50000  | 54296  |
|  Alvin Independent School District:  |  |  |
|  Series 2019, 3.375% 2/15/40  | 15000  | 13496  |
|  Series 2020, 4% 2/15/48  | 100000  | 94084  |
|  Arlington Higher Ed. Fin. Corp. Series 2018, 4% 8/15/48  | 80000  | 74557  |
|  Austin Elec. Util. Sys. Rev. Series 2015 A, 5% 11/15/45  | 100000  | 103307  |
|  Austin Independent School District:  |  |  |
|  Series 2017, 4% 8/1/33  | 5000  | 5182  |
|  Series 2019, 4% 8/1/35  | 25000  | 26062  |
|  Bexar County Gen. Oblig. Series 2013 B, 5% 6/15/43 (Pre-Refunded to 6/15/23 @ 100)  | 15000  | 15137  |
|  Bexar County Hosp. District Series 2020, 3% 2/15/36  | 15000  | 13353  |
|  Bexar County Rev. Series 2015, 4% 8/15/51 (Pre-Refunded to 8/15/24 @ 100)  | 15000  | 15286  |
|  Central Reg'l. Mobility Auth.:  |  |  |
|  Series 2013, 5% 1/1/33 (Pre-Refunded to 1/1/23 @ 100)  | 60000  | 60000  |
|  Series 2016, 3.375% 1/1/41  | 45000  | 37323  |
|  City of Denton Series 2017, 4% 2/15/47  | 15000  | 14276  |
|  College of the Mainland Series 2019, 3.75% 8/15/49  | 50000  | 43198  |
|  Collin County Cmnty. College District Series 2018 A, 3.25% 8/15/33  | 40000  | 39855  |
|  Conroe Independent School District Series 2020 A, 2.25% 2/15/46  | 85000  | 55775  |
|  Cypress-Fairbanks Independent School District:  |  |  |
|  Series 2019, 5% 2/15/30  | 45000  | 50865  |
|  Series 2020 A, 3% 2/15/35  | 180000  | 165949  |
|  Dallas County Hosp. District Series 2019, 5% 8/15/30  | 75000  | 82543  |
|  Dallas Fort Worth Int'l. Arpt. Rev. Series 2014 A:  |  |  |
|  5% 11/1/31 (b)  | 250000  | 252173  |
|  5.25% 11/1/27 (b)  | 10000  | 10131  |
|  Dallas Independent School District Series 2019 B, 3% 2/15/37  | 20000  | 17892  |
|  Dallas Wtrwks. & Swr. Sys. Rev.:  |  |  |
|  Series 2018 C, 4% 10/1/43  | 100000  | 98635  |
|  Series 2020 C, 4% 10/1/49  | 75000  | 71364  |
|  Del Mar College District Series 2018 B, Series 2018 B, 4% 8/15/48  | 150000  | 142379  |
|  Denton Independent School District:  |  |  |
|  Series 2014, 5% 8/15/38 (Pre-Refunded to 8/15/24 @ 100)  | 60000  | 62036  |
|  Series 2015 A, 5% 8/15/45 (Pre-Refunded to 8/15/25 @ 100)  | 100000  | 105582  |
|  Eagle Mountain & Saginaw Independent School District Series 2019, 4% 8/15/50  | 20000  | 18850  |
|  Fort Bend Independent School District Series 2021 A, 2.3% 8/15/46  | 130000  | 87699  |
|  Frisco Independent School District:  |  |  |
|  Series 2017, 4% 8/15/35  | 30000  | 30573  |
|  Series 2019, 4% 8/15/39  | 35000  | 34596  |
|  Grand Parkway Trans. Corp.:  |  |  |
|  Series 2013:  |  |  |
|  0% 10/1/32 (d) <br>| 35000  | 37969  |
|  0% 10/1/48 (d) <br>| 70000  | 73092  |
|  Series 2018 A, 5% 10/1/37  | 40000  | 42708  |
|  Harris County Cultural Ed. Facilities Fin. Corp. Rev. Series 2019 A, 3% 10/1/39  | 55000  | 47189  |
|  Harris County Cultural Ed. Facilities Fin. Corp. Thermal Util. Rev. (TECO Proj.) Series 2017, 4% 11/15/37  | 55000  | 54486  |
|  Harris County Flood Cont. District Series 2017 A, 4% 10/1/38  | 200000  | 202153  |
|  Harris County Gen. Oblig. Series 2016 A, 5% 8/15/33  | 35000  | 37598  |
|  Harris County Hosp. District Rev. Series 2016, 3.25% 2/15/42  | 60000  | 48802  |
|  Harris County Toll Road Rev. Series 2021, 5% 8/15/24  | 95000  | 98448  |
|  Harris County-Houston Sports Auth. Rev.:  |  |  |
|  Series 2001 A, 0% 11/15/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 15000  | 8458  |
|  Series 2014:  |  |  |
|  0% 11/15/48 (Assured Guaranty Muni. Corp. Insured) <br>| 40000  | 10895  |
|  0% 11/15/49 (Assured Guaranty Muni. Corp. Insured) <br>| 35000  | 9031  |
|  Houston Arpt. Sys. Rev.:  |  |  |
|  Series 2018 D, 5% 7/1/38  | 20000  | 21201  |
|  Series 2021 A, 4% 7/1/41 (b)  | 110000  | 101046  |
|  Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2001 B:  |  |  |
|  0% 9/1/23 (AMBAC Insured)  | 25000  | 24422  |
|  0% 9/1/33 (AMBAC Insured)  | 120000  | 79732  |
|  Houston Gen. Oblig. Series 2021 A, 3% 3/1/40  | 100000  | 83290  |
|  Houston Independent School District:  |  |  |
|  Series 2013 A, 5% 2/15/24  | 15000  | 15037  |
|  Series 2016 A, 5% 2/15/31  | 55000  | 58547  |
|  Series 2017:  |  |  |
|  5% 2/15/23 <br>| 20000  | 20045  |
|  5% 2/15/27 <br>| 30000  | 32721  |
|  Houston Util. Sys. Rev.:  |  |  |
|  Series 2014 D, 5% 11/15/27  | 85000  | 88365  |
|  Series 2017 B:  |  |  |
|  5% 11/15/24 <br>| 175000  | 182446  |
|  5% 11/15/29 <br>| 90000  | 99188  |
|  Houston Wtr. & Swr. Sys. Rev. Series 1998 A, 0% 12/1/27 (Escrowed to Maturity)  | 50000  | 43575  |
|  Humble Independent School District Series 2020 A, 2% 2/15/42  | 100000  | 67837  |
|  Katy Independent School District:  |  |  |
|  Series 2019, 4% 2/15/40  | 35000  | 34169  |
|  Series 2022, 4% 2/15/41  | 125000  | 121821  |
|  Keller Independent School District Series 2020, 4% 2/15/44  | 100000  | 97245  |
|  Lamar Consolidated Independent School District Series 2018, 4% 2/15/50  | 75000  | 70922  |
|  Leander Independent School District:  |  |  |
|  Series 2014 D, 0% 8/15/40 (Pre-Refunded to 8/15/24 @ 46.38)  | 70000  | 30961  |
|  Series 2016 A:  |  |  |
|  0% 8/16/44 <br>| 130000  | 49601  |
|  0% 8/16/44 (Pre-Refunded to 8/16/26 @ 48.506) <br>| 10000  | 4353  |
|  Lone Star College Sys. Gen. Oblig. Series 2021 A, 4% 2/15/46  | 250000  | 247764  |
|  Lower Colorado River Auth. Rev. (LCRA Transmission Svcs. Corp. Proj.):  |  |  |
|  Series 2019, 5% 5/15/44  | 260000  | 265525  |
|  Series 2020 A, 5% 5/15/50  | 55000  | 56389  |
|  Matagorda County Navigation District No. 1 Poll. Cont. Rev.:  |  |  |
|  Series 2005 A, 4.4% 5/1/30 (AMBAC Insured)  | 10000  | 10267  |
|  Series 2005 B, 4.55% 5/1/30 (b)(c)  | 50000  | 51422  |
|  Midland County Fresh Wtr. Supply District (City of Midland Proj.) Series 2012 A:  |  |  |
|  0% 9/15/33 (Pre-Refunded to 9/15/27 @ 75.851)  | 150000  | 97067  |
|  0% 9/15/35 (Pre-Refunded to 9/15/27 @ 68.049)  | 50000  | 29028  |
|  North East Texas Reg'l. Mobility Auth. Series 2016 B, 5% 1/1/41  | 40000  | 38837  |
|  North Texas Tollway Auth. Rev.:  |  |  |
|  Series 2008 D:  |  |  |
|  0% 1/1/34 (Assured Guaranty Corp. Insured) <br>| 10000  | 6505  |
|  0% 1/1/35 (Assured Guaranty Corp. Insured) <br>| 190000  | 116815  |
|  0% 1/1/38 (Assured Guaranty Corp. Insured) <br>| 100000  | 51475  |
|  Series 2012 A, 0% 1/1/36 (Assured Guaranty Corp. Insured)  | 25000  | 14498  |
|  Series 2015 A, 5% 1/1/27  | 100000  | 103925  |
|  Series 2017 B:  |  |  |
|  4% 1/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 105000  | 107345  |
|  5% 1/1/25 (Pre-Refunded to 1/1/23 @ 100) <br>| 35000  | 35000  |
|  Series 2018:  |  |  |
|  4.25% 1/1/49 <br>| 5000  | 4770  |
|  5% 1/1/48 <br>| 70000  | 72046  |
|  Northside Independent School District Series 2019 A, 4% 8/15/36  | 190000  | 192429  |
|  Port of Houston Auth. Series 2021, 4% 10/1/39  | 115000  | 112981  |
|  San Antonio Elec. & Gas Sys. Rev.:  |  |  |
|  Series 2012, 5.25% 2/1/24  | 175000  | 179364  |
|  Series 2015:  |  |  |
|  5% 2/1/27 <br>| 30000  | 32016  |
|  5% 2/1/32 <br>| 45000  | 47771  |
|  Series 2019, 4% 2/1/28  | 90000  | 94917  |
|  San Antonio Independent School District Series 2019, 5% 8/15/30  | 20000  | 22439  |
|  San Jacinto Cmnty. College District Series 2019 A, 5% 2/15/44  | 20000  | 21481  |
|  Sherman Independent School District Series 2018 A, 5% 2/15/41  | 50000  | 53406  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Baylor Health Care Sys. Proj.) Series 2013 A, 4% 11/15/43 (Pre-Refunded to 5/15/23 @ 100)  | 50000  | 50180  |
|  Texas A&M Univ. Rev.:  |  |  |
|  Series 2017 E, 5% 5/15/35  | 50000  | 53934  |
|  Series 2021 A, 3% 5/15/37  | 115000  | 99871  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev. Series 2020 A, 3% 3/1/50  | 35000  | 25404  |
|  Texas Gen. Oblig.:  |  |  |
|  Series 2014 A, 5% 10/1/23  | 15000  | 15230  |
|  Series 2014, 5% 4/1/44 (Pre-Refunded to 4/1/24 @ 100)  | 50000  | 51277  |
|  Series 2015 A, 5% 10/1/24  | 45000  | 46736  |
|  Series 2016 A, 5% 4/1/30  | 50000  | 53558  |
|  Series 2017 B, 5% 10/1/33  | 35000  | 38237  |
|  Series 2018 A, 5% 10/1/26  | 65000  | 70514  |
|  Series 2018 B, 5% 8/1/24  | 30000  | 31037  |
|  Texas Private Activity Bond Surface Trans. Corp.:  |  |  |
|  (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A, 4% 12/31/31  | 65000  | 64763  |
|  (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 A, 5% 12/31/32  | 55000  | 57924  |
|  (NTE Mobility Partners Segments 3 LLC Segment 3C Proj.) Series 2019, 5% 6/30/58 (b)  | 105000  | 100146  |
|  Texas Tpk. Auth. Central Texas Tpk. Sys. Rev. Series A, 0% 8/15/29 (AMBAC Insured)  | 15000  | 11947  |
|  Texas Trans. Commission Central Texas Tpk. Sys. Rev. Series 2015 C, 5% 8/15/25  | 65000  | 66713  |
|  Texas Wtr. Dev. Board Rev.:  |  |  |
|  Series 2017 A, 5% 10/15/47  | 60000  | 62865  |
|  Series 2018 A, 4% 10/15/37  | 10000  | 10108  |
|  Series 2018 B, 4% 10/15/34  | 5000  | 5187  |
|  Series 2019 A, 4% 10/15/49  | 160000  | 152727  |
|  Series 2020:  |  |  |
|  3% 10/15/34 <br>| 10000  | 9555  |
|  5% 8/1/33 <br>| 55000  | 63173  |
|  Tomball Independent School District Series 2018, 5% 2/15/41  | 125000  | 132973  |
|  Univ. of Houston Univ. Revs. Series 2016 A, 5% 2/15/24  | 50000  | 51170  |
|  Univ. of Texas Board of Regents Sys. Rev.:  |  |  |
|  Series 2016 A, 4% 8/15/42  | 65000  | 63435  |
|  Series 2016 J, 5% 8/15/26  | 20000  | 21685  |
|  Series 2017 B, 3.375% 8/15/44  | 15000  | 12799  |
|  Series 2019 A, 5% 8/15/31  | 15000  | 17082  |
|  Series 2021 A, 5% 8/15/31  | 165000  | 195046  |
|  Waco Independent School District Series 2022, 3% 8/15/40  | 235000  | 203070  |
|  Waller Independent School District Series 2020, 4% 2/15/50  | 15000  | 14144  |
|  TOTAL TEXAS  |  | 7811779  |
| Utah - 0.9%  |  |  |
|  Salt Lake City Arpt. Rev. Series 2021 A, 4% 7/1/38 (b)  | 90000  | 84263  |
|  Salt Lake City Pub. Utils. Rev. Series 2020, 4% 2/1/44  | 100000  | 98078  |
|  Univ. of Utah Gen. Revs.:  |  |  |
|  Series 2017 A, 5% 8/1/29  | 20000  | 21984  |
|  Series 2020 A:  |  |  |
|  4% 8/1/39 <br>| 65000  | 65015  |
|  5% 8/1/37 <br>| 60000  | 67121  |
|  Series 2021 A1, 4% 8/1/41  | 80000  | 77831  |
|  Utah County Hosp. Rev. Series 2018 A, 5% 5/15/41  | 120000  | 124649  |
|  Utah Gen. Oblig. Series 2020, 5% 7/1/28  | 150000  | 168605  |
|  Utah Transit Auth. Sales Tax Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 6/15/26 (Pre-Refunded to 6/15/25 @ 100) <br>| 10000  | 10577  |
|  5% 6/15/29 (Pre-Refunded to 6/15/25 @ 100) <br>| 20000  | 21154  |
|  Series 2016, 4% 12/15/29  | 25000  | 26015  |
|  TOTAL UTAH  |  | 765292  |
| Virginia - 2.2%  |  |  |
|  Commonwealth Trans. Board Grant Anticipation Rev.:  |  |  |
|  Series 2017 A, 5% 9/15/23  | 10000  | 10146  |
|  Series 2017, 5% 3/15/27  | 15000  | 16430  |
|  Fairfax County Econ. Dev. Auth.:  |  |  |
|  (Route 28 Proj.) Series 2016 A, 2.875% 4/1/35  | 45000  | 40572  |
|  Series 2016 A, 3% 4/1/36  | 155000  | 137335  |
|  Fairfax County Gen. Oblig. Series 2020 A, 5% 10/1/36  | 270000  | 305576  |
|  Fairfax County Indl. Dev. Auth.:  |  |  |
|  Series 2018 A, 5% 5/15/24  | 50000  | 51422  |
|  Series 2022, 5% 5/15/25  | 55000  | 57856  |
|  Henrico County Wtr. & Swr. Rev. Series 2016, 5% 5/1/46 (Pre-Refunded to 5/1/26 @ 100)  | 30000  | 32286  |
|  Lynchburg Econ. Dev.:  |  |  |
|  Series 2017 A, 4% 1/1/47  | 35000  | 31390  |
|  Series 2021, 3% 1/1/51  | 50000  | 34517  |
|  Richmond Gen. Oblig. Series 2019 A, 3% 7/15/34  | 40000  | 38342  |
|  Roanoke Econ. Dev. Authority. Bonds Series 2020 D, 5%, tender 7/1/30 (c)  | 30000  | 33471  |
|  Univ. of Virginia Gen. Rev. Series 2013 A, 4% 4/1/45  | 55000  | 53422  |
|  Virginia College Bldg. Auth. Edl. Facilities Rev.:  |  |  |
|  (21st Century College And Equip. Programs) Series 2017 E, 5% 2/1/25  | 125000  | 130795  |
|  (21st Century College and Equip. Progs.):  |  |  |
|  Series 2015 A, 5% 2/1/28 (Pre-Refunded to 2/1/25 @ 100) <br>| 10000  | 10470  |
|  Series 2017 E, 5% 2/1/24 <br>| 45000  | 46057  |
|  Series 2019 C, 5% 2/1/30 <br>| 45000  | 50805  |
|  Series 2017 A, 5% 2/1/24  | 60000  | 61409  |
|  Series 2019 C, 5% 2/1/25  | 65000  | 68013  |
|  Series 2022 A, 5% 2/1/26  | 100000  | 107045  |
|  Virginia Commonwealth Trans. Board Rev.:  |  |  |
|  Series 2014, 5% 5/15/28  | 50000  | 51428  |
|  Series 2017, 3% 5/15/36  | 125000  | 113437  |
|  Virginia Gen. Oblig. Series 2018 A, 3% 6/1/32  | 5000  | 4978  |
|  Virginia Port Auth. Port Facilities Rev. Series 2015 A, 5% 7/1/33 (Pre-Refunded to 7/1/25 @ 100) (b)  | 35000  | 36775  |
|  Virginia Pub. Bldg. Auth. Pub. Facilities Rev.:  |  |  |
|  Series 2013 A, 3% 8/1/30  | 100000  | 97890  |
|  Series 2016 A, 3% 8/1/35  | 15000  | 13781  |
|  Series 2019 A, 5% 8/1/29  | 60000  | 68298  |
|  Virginia Small Bus. Fing. Auth.:  |  |  |
|  (Elizabeth River Crossings OPCO, LLC Proj.) Series 2022, 3% 1/1/41 (b)  | 50000  | 37871  |
|  Series 2014, 4% 10/1/38  | 5000  | 5001  |
|  Series 2020 A, 3.375% 1/1/51  | 80000  | 56683  |
|  Virginia St Pub. Bldg. Auth. Pubf Series 2022 A, 5% 8/1/31  | 80000  | 93850  |
|  TOTAL VIRGINIA  |  | 1897351  |
| Washington - 3.8%  |  |  |
|  Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Series 2016 S1:  |  |  |
|  5% 11/1/27  | 45000  | 48847  |
|  5% 11/1/35  | 65000  | 69480  |
|  Clark County School District #114, Evergreen Series 2019, 3% 12/1/38  | 20000  | 17446  |
|  Energy Northwest Elec. Rev.:  |  |  |
|  Series 2015 A, 5% 7/1/28  | 75000  | 79173  |
|  Series 2016 A, 5% 7/1/28  | 55000  | 59163  |
|  Series 2017 A, 5% 7/1/28  | 95000  | 104103  |
|  Series 2018 C, 5% 7/1/33  | 65000  | 71940  |
|  King County Gen. Oblig.:  |  |  |
|  Series 2015 E, 5% 12/1/29  | 45000  | 47984  |
|  Series 2021 A, 4% 1/1/26  | 50000  | 52002  |
|  King County Hsg. Auth. Rev. Series 2018, 3.5% 5/1/38  | 35000  | 32142  |
|  King County Pub. Hosp. District #2 Series 2020 A, 4% 12/1/45  | 120000  | 112088  |
|  King County School District #403 Series 2020 A, 4% 12/1/35  | 100000  | 103370  |
|  King County Swr. Rev. Series 2020 A, 4% 1/1/44  | 225000  | 220691  |
|  Port of Seattle Rev. Series 2018 B:  |  |  |
|  5% 5/1/24 (b)  | 75000  | 76457  |
|  5% 5/1/25 (b)  | 65000  | 67379  |
|  Seattle Muni. Lt. & Pwr. Rev.:  |  |  |
|  Series 2019 A, 5% 4/1/42  | 100000  | 107638  |
|  Series 2020 A, 5% 7/1/27  | 90000  | 98863  |
|  Series 2021 A, 4% 7/1/43  | 100000  | 97280  |
|  Seattle Wtr. Sys. Rev. Series 2015, 4% 5/1/45  | 50000  | 48775  |
|  Thurston & Pierce Counties Cmnty. Schools Series 2019, 4% 12/1/35  | 50000  | 51736  |
|  Univ. of Washington Univ. Revs. Series 2012 C, 3.25% 7/1/43  | 135000  | 112783  |
|  Washington Gen. Oblig.:  |  |  |
|  Series 2014 A, 5% 8/1/26  | 10000  | 10125  |
|  Series 2014 B:  |  |  |
|  5% 8/1/29 <br>| 25000  | 25307  |
|  5% 8/1/31 <br>| 55000  | 55634  |
|  Series 2014 E, 5% 2/1/32  | 90000  | 91970  |
|  Series 2015 B, 5% 2/1/28  | 40000  | 41813  |
|  Series 2015 G, 5% 7/1/26  | 100000  | 104365  |
|  Series 2015 H:  |  |  |
|  5% 7/1/26 <br>| 25000  | 26091  |
|  5% 7/1/29 <br>| 15000  | 15637  |
|  Series 2016 B, 5% 7/1/32  | 50000  | 52973  |
|  Series 2016 C, 5% 2/1/35  | 30000  | 31649  |
|  Series 2018 D, 5% 8/1/28  | 30000  | 32937  |
|  Series 2020 A, 5% 1/1/26  | 20000  | 21373  |
|  Series 2020 E, 5% 6/1/45  | 55000  | 58565  |
|  Series 2021 A:  |  |  |
|  5% 8/1/29 <br>| 75000  | 85713  |
|  5% 2/1/31 <br>| 100000  | 116880  |
|  5% 8/1/43 <br>| 175000  | 188730  |
|  Series 2021 C, 5% 2/1/28  | 170000  | 189168  |
|  Series R 2015 C, 5% 7/1/27  | 25000  | 26091  |
|  Washington Health Care Facilities Auth. Rev.:  |  |  |
|  Series 2012 A:  |  |  |
|  4% 10/1/34 <br>| 115000  | 113104  |
|  5% 10/1/38 <br>| 5000  | 5070  |
|  Series 2014 C, 4% 10/1/44  | 55000  | 50392  |
|  Series 2015 B, 5% 8/15/24  | 20000  | 20668  |
|  Series 2017 B, 3.5% 8/15/38  | 70000  | 62896  |
|  Series 2020, 4% 9/1/50  | 115000  | 101778  |
|  Washington Higher Ed. Facilities Auth. Rev.:  |  |  |
|  (Gonzaga Univ. Proj.) Series 2019 A, 3% 4/1/49  | 40000  | 28303  |
|  (Seattle Pacific Univ. Proj.) Series 2020 A, 5% 10/1/42  | 75000  | 75534  |
|  Washington State Univ. Hsg. and Dining Sys. Rev. Series 2015, 5% 4/1/40  | 35000  | 36117  |
|  TOTAL WASHINGTON  |  | 3348223  |
| West Virginia - 0.2%  |  |  |
|  West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2016 A, 3% 6/1/33  | 20000  | 18643  |
|  West Virginia Parkways Auth. Series 2021, 4% 6/1/51  | 145000  | 130017  |
|  TOTAL WEST VIRGINIA  |  | 148660  |
| Wisconsin - 0.7%  |  |  |
|  Milwaukee Gen. Oblig. Series 2016 B3, 3% 3/1/31  | 50000  | 48420  |
|  Pub. Fin. Auth. Hosp. Rev. (Renown Reg'l. Med. Ctr. Proj.) Series 2016 A, 3% 6/1/36  | 5000  | 4383  |
|  Pub. Fin. Auth. Lease Dev. Rev. (KU Campus Dev. Corp. Central District Dev. Proj.) Series 2016, 5% 3/1/29  | 40000  | 42304  |
|  Roseman Univ. of Health (Fargo-Moorhead Metropolitan Area Flood Risk Mgmt. Proj.) Series 2021, 4% 3/31/56 (b)  | 5000  | 3760  |
|  Wisconsin Envir. Impt. Fund Rev. Series 2017, 5% 6/1/29  | 65000  | 68333  |
|  Wisconsin Gen. Oblig.:  |  |  |
|  Series 1, 5% 11/1/26  | 40000  | 43541  |
|  Series 2015 1, 5% 5/1/25  | 70000  | 73766  |
|  Series 2016 2, 5% 11/1/29  | 65000  | 70039  |
|  Series 2017 2, 5% 11/1/25  | 65000  | 69290  |
|  Series 3, 5% 11/1/31  | 25000  | 27404  |
|  Series A, 4% 5/1/27  | 20000  | 20848  |
|  Wisconsin Health & Edl. Facilities:  |  |  |
|  Series 2014 A, 5% 11/15/25  | 10000  | 10376  |
|  Series 2016 A:  |  |  |
|  3.125% 11/15/36 (Pre-Refunded to 5/15/26 @ 100) <br>| 50000  | 50642  |
|  3.5% 2/15/46 <br>| 20000  | 16166  |
|  Series 2017 A, 5% 4/1/28  | 5000  | 5397  |
|  Wisconsin Hsg. & Econ. Dev. Auth. Series 2017 A, 2.69% 7/1/47  | 9856  | 9305  |
|  Wisconsin St Gen. Fund Annual Appropriation Series 2017 B, 5% 5/1/36  | 35000  | 36889  |
|  Wisconsin Trans. Rev. Series 2017 1, 5% 7/1/28  | 10000  | 11018  |
|  TOTAL WISCONSIN  |  | 611881  |
| Wyoming - 0.0%  |  |  |
|  Campbell County Solid Waste Facilities Rev. Series 2019 A, 3.625% 7/15/39  | 30000  | 26204  |
| <br> **TOTAL MUNICIPAL BONDS** <br> (Cost $92,047,458)  |  | <br> **87082460**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.3%** <br> (Cost $92,047,458) <br>| <br>**87082460**  |
| **NET OTHER ASSETS (LIABILITIES) - 0.7%**  | **573160**  |
| **NET ASSETS - 100.0%**  | **87655620**  |

---

**Legend**

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

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

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

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Municipal Cash Central Fund 3.72%  | 2705986  | 13580009  | 16286000  | 7101  | -  | 5  | -  | 0.0%  |
| Total  | 2705986  | 13580009  | 16286000  | 7101  | -  | 5  | -  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

**Investment Valuation**

The following is a summary of the inputs used, as of December 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  Municipal Securities  | 87082460  | -  | 87082460  | -  |
| **Total Investments in Securities:**  | 87082460  | -  | 87082460  | -  |

---

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **December 31, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
|  Investment in securities, at value - See accompanying schedule <br>Unaffiliated issuers (cost $92,047,458): <br>|  | $87082460  |
|  Cash  |  | 105674  |
|  Receivable for fund shares sold  |  | 80602  |
|  Interest receivable  |  | 1063647  |
|  Distributions receivable from Fidelity Central Funds  |  | 640  |
|  Prepaid expenses  |  | 89  |
|  Receivable from investment adviser for expense reductions  |  | 7068  |
| Other receivables  |  | 51  |
| **Total assets**  |  | 88340231  |
| **Liabilities**  |  |  |
|  Payable for fund shares redeemed  | $458485  |  |
|  Distributions payable  | 191028  |  |
|  Accrued management fee  | 3708  |  |
|  Other payables and accrued expenses  | 31390  |  |
| **Total Liabilities**  |  | 684611  |
| **Net Assets**  |  | $87655620  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $94835637  |
|  Total accumulated earnings (loss)  |  | (7180017)  |
|  **Net Assets**  |  | $87655620  |
|  **Net Asset Value** , offering price and redemption price per share ($87,655,620 ÷ 4,830,770 shares)  |  | $18.15  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Interest  |  | $1149222  |
| Income from Fidelity Central Funds  |  | 7101  |
| **Total Income**  |  | 1156323  |
|  **Expenses**  |  |  |
| Management fee  | $22129  |  |
| Custodian fees and expenses  | 852  |  |
| Independent trustees' fees and expenses  | 147  |  |
| Registration fees  | 24382  |  |
| Audit  | 31252  |  |
| Legal  | 111  |  |
| Miscellaneous  | 242  |  |
| Total expenses before reductions  | 79115  |  |
| Expense reductions  | (47962)  |  |
| Total expenses after reductions  |  | 31153  |
| **Net Investment income (loss)**  |  | 1125170  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (487768)  |  |
| Total net realized gain (loss)  |  | (487768)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (453095)  |  |
| Fidelity Central Funds  | 5  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (453090)  |
| **Net gain (loss)**  |  | (940858)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $184312  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **December 31, 2022** <br> **(Unaudited)**  | **Year ended** <br> **June 30, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $1125170  | $1372277  |
| &nbsp;&nbsp; Net realized gain (loss)  | (487768) <br>| (1706162) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (453090)  | (6693071) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 184312 <br>| (7026956) <br>|
| Distributions to shareholders  | (1110671) <br>| (1365882) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 116087471  | 198120579  |
| Reinvestment of distributions  | 118 <br>| 6754 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (113761588)  | (193632934)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 2326001 <br>| 4494399 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 1399642 <br>| (3898439) <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 86255978  | 90154417 <br>|
| &nbsp;&nbsp; End of period  | $87655620  | $86255978  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 6543869  | 10403744  |
| Issued in reinvestment of distributions  | 7 <br>| 327 <br>|
| &nbsp;&nbsp; Redeemed  | (6418841)  | (10063538)  |
| &nbsp;&nbsp; Net increase (decrease)  | 125035  | 340533  |

---

**Financial Highlights** 

 **Fidelity® SAI Municipal Bond Index Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) December 31, 2022**  | **Years ended June 30, 2022**  | **2021**  | **2020** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $18.33  | $20.65  | $20.26  | $20.00  |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .230  | .330  | .314  | .333  |
| Net realized and unrealized gain (loss)  | (.183)  | (2.320)  | .391  | .254  |
| Total from investment operations  | .047  | (1.990)  | .705  | .587  |
| Distributions from net investment income  | (.227)  | (.330)  | (.315)  | (.327)  |
| Total distributions  | (.227)  | (.330)  | (.315)  | (.327)  |
| Net asset value, end of period  | $18.15  | $18.33  | $20.65  | $20.26  |
| **Total Return** <sup>D,E</sup>  | .27%  | (9.74)%  | 3.50%  | 2.96%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |  |  |  |
| Expenses before reductions  | .18% <sup>H</sup>  | .20%  | .17%  | .45% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .07% <sup>H</sup>  | .07%  | .07%  | .07% <sup>H</sup>  |
| Expenses net of all reductions  | .07% <sup>H</sup>  | .07%  | .07%  | .07% <sup>H</sup>  |
| Net investment income (loss)  | 2.52% <sup>H</sup>  | 1.65%  | 1.53%  | 1.72% <sup>H</sup>  |
| **Supplemental Data**  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $87656  | $86256  | $90154  | $54824  |
| Portfolio turnover rate <sup>I</sup>  | 23% <sup>H</sup>  | 59%  | 13%  | 8% <sup>H</sup>  |

---

<sup>A</sup> *For the period July 11, 2019 (commencement of operations) through June 30, 2020.*

<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).*

**Notes to Financial Statements** **(Unaudited)**

For the period ended December 31, 2022

**1. Organization.**

Fidelity SAI Municipal Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

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

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <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.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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

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

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

Book-tax differences are primarily due to market discount and capital loss carryforwards.

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

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $266666  |
| **Gross unrealized depreciation**  | <u>(5195469)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(4928803)</u>  |
| **Tax cost**  | <u>$92011263</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 prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term  | $(738073)  |
| Long-term  | <u>(1011497)</u>  |
| Total capital loss carryforward  | <u>$(1749570</u>)  |

---

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

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Fidelity SAI Municipal Bond Index Fund**  | 14515708  | 10128990  |

---

**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 that is based on an annual rate of .05% of the Fund's average net assets.

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

**6. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

---

| | |
|:---|:---|
|  | **Amount**  |
| **Fidelity SAI Municipal Bond Index Fund**  | $69  |

---

**7. Expense Reductions.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .07% of average net assets. This reimbursement will remain in place through October 31, 2023. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $47,750.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $96 and $116, respectively.

**8. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**9. Risk and Uncertainties.**

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

**Shareholder Expense Example**

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

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

***Actual Expenses***

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

***Hypothetical Example for Comparison Purposes***

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value July 1, 2022**  | **Ending Account Value December 31, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **July 1, 2022 to December 31, 2022**  |
| **Fidelity® SAI Municipal Bond Index Fund**  | .07%  |  |  |  |
| **Actual**  |  | $1000  | $1002.70  | $.35  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.85  | $.36  |

---

*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.*

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

**Fidelity SAI Municipal Bond Index Fund** 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

<u>Management Fee</u> . The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %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.

![](img88352_6.jpg)

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

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

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

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

The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.07% through October 31, 2023.

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

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

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

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

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

The Board 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.

![](img88352_2.jpg) <br>

1.9894030.103 MBX-SANN-0323

Item 2.

<u>Code of Ethics</u>

Not applicable.

Item 3.

<u>Audit Committee Financial Expert</u>

Not applicable.

Item 4.

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

Not applicable.

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 Fidelity Salem Street 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 Fidelity Salem Street Trust's (the "Trust") disclosure controls and procedures (as

defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

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

Item 12.

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

<u>Investment Companies</u>

Not applicable.

Item 13.

<u>Exhibits</u>

(a) (1) Not applicable.

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; c.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; d.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Disclosed in this report any change in the registrant 's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant 's internal control over financial reporting; and

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 21, 2023

---

| |
|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/Laura M. Del Prato</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Laura M. Del Prato  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; President and Treasurer  |

---

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I, John J. Burke III, certify that:

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I have reviewed this report on Form N-CSR of Fidelity Salem Street Trust;

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; c.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; d.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Disclosed in this report any change in the registrant 's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant 's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 21, 2023

---

| |
|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/John J. Burke III</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; John J. Burke III  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Financial Officer  |

---

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

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

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

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

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

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

## Exhibit 99.906

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exhibit EX-99.906CERT

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)** 

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; In connection with the attached Report of Fidelity Salem Street Trust (the "Trust ") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report "), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer 's knowledge:

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dated: February 21, 2023

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

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

---

| |
|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/Laura M. Del Prato</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Laura M. Del Prato  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; President and Treasurer  |

---

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dated: February 21, 2023

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

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

---

| |
|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>/s/John J. Burke III</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; John J. Burke III  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Financial Officer  |

---

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

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

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