# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0001752724-23-067574
**Filing Date:** 2023-3
**Character Count:** 96589
**Document Hash:** 3948860b9b0a55c9a8b28f81519ce842
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-067574.hdr.sgml**: 20230327

**ACCESSION NUMBER**: 0001752724-23-067574

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230327

**DATE AS OF CHANGE**: 20230327

**PERIOD START**: 20231031

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 23763686

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

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

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

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

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

## Series and Classes Contracts Data

### Fidelity SAI International Momentum Index Fund (Series ID: S000068374)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000218747 | Fidelity SAI International Momentum Index Fund | FITMX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **SAI International Momentum Index Fund**

**January 31, 2023**

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

IMI-NPRT1-0423

1.9898218.102 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 99.4%** | &nbsp;&nbsp;**Common Stocks - 99.4%** | &nbsp;&nbsp;**Common Stocks - 99.4%** |
|  | Shares | Value ($)<br>|
| Australia - 7.2%  |  |  |
| Allkem Ltd. (a) | 110611 | 1026907 |
| Altium Ltd.  | 22593 | 625534 |
| BHP Group Ltd.  | 132333 | 4634587 |
| Brambles Ltd.  | 256260 | 2179122 |
| Computershare Ltd.  | 105840 | 1782543 |
| IGO Ltd.  | 124372 | 1292882 |
| Iluka Resources Ltd.  | 78481 | 603886 |
| Incitec Pivot Ltd.  | 358167 | 875794 |
| Macquarie Group Ltd.  | 55920 | 7460235 |
| Mineral Resources Ltd.  | 30819 | 1951155 |
| National Australia Bank Ltd.  | 581984 | 13131969 |
| Pilbara Minerals Ltd. (a) | 480776 | 1635562 |
| Qantas Airways Ltd. (a) | 170543 | 769802 |
| Santos Ltd.  | 55534 | 283494 |
| Steadfast Group Ltd.  | 180772 | 671602 |
| Technology One Ltd.  | 44756 | 462751 |
| Treasury Wine Estates Ltd.  | 133208 | 1372147 |
| Whitehaven Coal Ltd.  | 171511 | 1019829 |
| WiseTech Global Ltd.  | 31986 | 1386900 |
| Woodside Energy Group Ltd.  | 43278 | 1120636 |
| TOTAL AUSTRALIA |  | 44287337 |
| Austria - 0.3%  |  |  |
| Andritz AG  | 13243 | 788963 |
| BAWAG Group AG (b) | 12855 | 791701 |
| Raiffeisen International Bank-Holding AG (a) | 24884 | 445286 |
| TOTAL AUSTRIA |  | 2025950 |
| Bailiwick of Jersey - 2.2%  |  |  |
| Glencore PLC  | 2021450 | 13537424 |
| Belgium - 0.4%  |  |  |
| ELIA GROUP SA/NV  | 6644 | 930326 |
| Solvay SA Class A  | 13482 | 1563164 |
| TOTAL BELGIUM |  | 2493490 |
| Denmark - 5.2%  |  |  |
| DSV A/S  | 32030 | 5270694 |
| Genmab A/S (a) | 12148 | 4760762 |
| ISS A/S (a) | 28443 | 619347 |
| Novo Nordisk A/S Series B  | 144047 | 19934647 |
| Ringkjoebing Landbobank A/S  | 5236 | 759839 |
| Sydbank A/S  | 10775 | 489723 |
| TOTAL DENMARK |  | 31835012 |
| Finland - 2.1%  |  |  |
| Fortum Corp.  | 80322 | 1206354 |
| Nordea Bank ABP  | 609464 | 7097281 |
| Orion Oyj (B Shares)  | 19729 | 1055046 |
| UPM-Kymmene Corp.  | 98493 | 3560299 |
| TOTAL FINLAND |  | 12918980 |
| France - 17.0%  |  |  |
| Aeroports de Paris SA (a) | 5113 | 790711 |
| Air Liquide SA  | 65361 | 10407178 |
| ALTEN  | 1423 | 217665 |
| Bollore SA  | 168763 | 941205 |
| Bureau Veritas SA  | 53406 | 1523503 |
| Dassault Aviation SA  | 4313 | 734747 |
| Edenred SA  | 46058 | 2503097 |
| Electricite de France SA  | 115937 | 1520684 |
| EssilorLuxottica SA  | 38812 | 7084451 |
| Getlink SE  | 74093 | 1250945 |
| Hermes International SCA  | 6429 | 11983133 |
| Ipsen SA  | 7263 | 761172 |
| Ipsos SA  | 7299 | 472139 |
| L'Oreal SA  | 39637 | 16366579 |
| LVMH Moet Hennessy Louis Vuitton SE  | 23064 | 20134299 |
| Pernod Ricard SA  | 37260 | 7692319 |
| Publicis Groupe SA  | 43557 | 3065633 |
| Renault SA (a) | 38200 | 1546545 |
| Sartorius Stedim Biotech  | 4421 | 1532726 |
| Societe Generale Series A  | 143856 | 4282102 |
| Sodexo SA  | 15511 | 1534851 |
| TotalEnergies SE  | 127769 | 7898781 |
| Verallia SA (b) | 14669 | 540298 |
| TOTAL FRANCE |  | 104784763 |
| Germany - 7.2%  |  |  |
| Aixtron AG  | 20913 | 619317 |
| Bayer AG  | 77552 | 4827219 |
| Commerzbank AG (a) | 168463 | 1916608 |
| Deutsche Bank AG  | 381391 | 5061794 |
| Deutsche Lufthansa AG (a) | 110305 | 1164524 |
| Encavis AG  | 22289 | 429018 |
| Mercedes-Benz Group AG (Germany)  | 144118 | 10724113 |
| Merck KGaA  | 12052 | 2515594 |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen  | 25853 | 9303115 |
| Rheinmetall AG  | 8036 | 1869576 |
| RWE AG  | 124786 | 5534973 |
| TOTAL GERMANY |  | 43965851 |
| Hong Kong - 0.3%  |  |  |
| Sino Land Ltd.  | 597914 | 776976 |
| Swire Pacific Ltd. (A Shares)  | 107000 | 980536 |
| TOTAL HONG KONG |  | 1757512 |
| Ireland - 0.4%  |  |  |
| AIB Group PLC  | 143072 | 597276 |
| Bank of Ireland Group PLC  | 185662 | 1975230 |
| TOTAL IRELAND |  | 2572506 |
| Israel - 1.1%  |  |  |
| Bank Hapoalim BM (Reg.)  | 219789 | 1967604 |
| Bank Leumi le-Israel BM  | 268469 | 2359064 |
| Bezeq The Israel Telecommunication Corp. Ltd.  | 377662 | 624212 |
| Israel Discount Bank Ltd. (Class A)  | 221149 | 1123797 |
| Tower Semiconductor Ltd. (a) | 19437 | 816527 |
| TOTAL ISRAEL |  | 6891204 |
| Italy - 2.0%  |  |  |
| Banco BPM SpA  | 279607 | 1254504 |
| Eni SpA  | 412085 | 6341261 |
| FinecoBank SpA  | 112590 | 2013516 |
| Interpump Group SpA  | 15272 | 793289 |
| Prysmian SpA  | 49485 | 2012031 |
| TOTAL ITALY |  | 12414601 |
| Japan - 24.3%  |  |  |
| Ajinomoto Co., Inc.  | 99100 | 3267188 |
| Asics Corp.  | 35000 | 833019 |
| Bridgestone Corp.  | 112100 | 4185051 |
| Capcom Co. Ltd.  | 29500 | 955913 |
| Daiichi Sankyo Kabushiki Kaisha  | 359300 | 11284512 |
| Dentsu Group, Inc.  | 44200 | 1423633 |
| Eisai Co. Ltd.  | 54700 | 3384288 |
| Electric Power Development Co. Ltd.  | 32100 | 518047 |
| Fast Retailing Co. Ltd.  | 11500 | 6984634 |
| GOLDWIN, Inc.  | 6900 | 525658 |
| Hamamatsu Photonics K.K.  | 27100 | 1447961 |
| Hikari Tsushin, Inc.  | 3700 | 528132 |
| Hirose Electric Co. Ltd.  | 5800 | 755069 |
| Hitachi Ltd.  | 50900 | 2669322 |
| IHI Corp.  | 28500 | 865964 |
| INPEX Corp.  | 189600 | 2083448 |
| Isetan Mitsukoshi Holdings Ltd.  | 73200 | 796470 |
| Itochu Corp.  | 272000 | 8791540 |
| Japan Airlines Co. Ltd. (a) | 26600 | 564122 |
| Japan Hotel REIT Investment Corp.  | 824 | 522158 |
| Japan Tobacco, Inc.  | 164600 | 3356510 |
| JGC Holdings Corp.  | 47900 | 625673 |
| Kansai Paint Co. Ltd.  | 47800 | 673173 |
| Kawasaki Heavy Industries Ltd.  | 31000 | 709361 |
| Keyence Corp.  | 6600 | 3038435 |
| Kintetsu Group Holdings Co. Ltd.  | 35200 | 1146288 |
| Marubeni Corp.  | 317100 | 3890368 |
| MatsukiyoCocokara & Co.  | 26400 | 1316947 |
| Mazda Motor Corp.  | 110800 | 881967 |
| Mercari, Inc. (a) | 21100 | 459555 |
| Mitsubishi Corp.  | 272000 | 9108180 |
| Mitsubishi Heavy Industries Ltd.  | 62300 | 2442782 |
| Mitsubishi Motors Corp. of Japan (a) | 126500 | 487393 |
| Mitsui & Co. Ltd.  | 293900 | 8670856 |
| Nankai Electric Railway Co. Ltd.  | 20900 | 454149 |
| NGK Spark Plug Co. Ltd.  | 31600 | 617500 |
| Nintendo Co. Ltd.  | 5200 | 225461 |
| Nippon Telegraph & Telephone Corp.  | 220600 | 6614807 |
| Olympus Corp.  | 237300 | 4461152 |
| Ono Pharmaceutical Co. Ltd.  | 87800 | 1905146 |
| Open House Group Co. Ltd.  | 13100 | 495577 |
| Pan Pacific International Holdings Ltd.  | 98300 | 1817875 |
| Renesas Electronics Corp. (a) | 259200 | 2666157 |
| ROHM Co. Ltd.  | 12200 | 977605 |
| Rohto Pharmaceutical Co. Ltd.  | 40100 | 739902 |
| Seiko Epson Corp.  | 59000 | 914972 |
| SHIMANO, Inc.  | 15300 | 2728533 |
| Shin-Etsu Chemical Co. Ltd.  | 54700 | 8064046 |
| Sojitz Corp.  | 38300 | 759348 |
| Subaru Corp.  | 113600 | 1866635 |
| Sumitomo Corp.  | 219300 | 3936419 |
| Suzuki Motor Corp.  | 90600 | 3396793 |
| TDK Corp.  | 71700 | 2561574 |
| TIS, Inc.  | 42200 | 1216852 |
| Tokio Marine Holdings, Inc.  | 376400 | 7883590 |
| Tokyo Electric Power Co., Inc. (a) | 148300 | 555352 |
| Tokyo Tatemono Co. Ltd.  | 38600 | 478544 |
| Toyo Suisan Kaisha Ltd.  | 18800 | 776831 |
| USS Co. Ltd.  | 39800 | 654637 |
| Yakult Honsha Co. Ltd.  | 29400 | 2098805 |
| Yamaha Motor Co. Ltd.  | 64600 | 1591142 |
| TOTAL JAPAN |  | 149653021 |
| Luxembourg - 0.3%  |  |  |
| Tenaris SA  | 84925 | 1504935 |
| Netherlands - 4.9%  |  |  |
| Argenx SE (a) | 10209 | 3888470 |
| ASM International NV (Netherlands)  | 7105 | 2380599 |
| ASML Holding NV (Netherlands)  | 8338 | 5516817 |
| CNH Industrial NV  | 183804 | 3227134 |
| IMCD NV  | 10513 | 1657807 |
| OCI NV  | 14777 | 501865 |
| Stellantis NV (Italy)  | 120803 | 1888014 |
| STMicroelectronics NV (Italy)  | 121079 | 5699635 |
| Wolters Kluwer NV  | 47522 | 5174104 |
| TOTAL NETHERLANDS |  | 29934445 |
| Norway - 1.1%  |  |  |
| Equinor ASA  | 193380 | 5893577 |
| Kongsberg Gruppen ASA  | 16363 | 649169 |
| TOTAL NORWAY |  | 6542746 |
| Portugal - 0.2%  |  |  |
| Jeronimo Martins SGPS SA  | 51066 | 1106997 |
| Singapore - 3.2%  |  |  |
| City Developments Ltd.  | 93700 | 594698 |
| DBS Group Holdings Ltd.  | 337200 | 9231279 |
| Keppel Corp. Ltd.  | 257028 | 1483992 |
| Oversea-Chinese Banking Corp. Ltd.  | 747200 | 7382602 |
| Singapore Airlines Ltd.  | 240900 | 1089318 |
| TOTAL SINGAPORE |  | 19781889 |
| Spain - 2.1%  |  |  |
| Banco Bilbao Vizcaya Argentaria SA  | 871037 | 6152808 |
| Banco de Sabadell SA  | 1038382 | 1351830 |
| Bankinter SA  | 119432 | 859544 |
| CaixaBank SA  | 803236 | 3563926 |
| Naturgy Energy Group SA  | 34000 | 961041 |
| TOTAL SPAIN |  | 12889149 |
| Sweden - 2.8%  |  |  |
| AddTech AB (B Shares)  | 47924 | 762561 |
| Epiroc AB (A Shares)  | 178921 | 3481225 |
| Holmen AB (B Shares)  | 17093 | 702510 |
| Investor AB (B Shares)  | 442354 | 8559357 |
| Nibe Industrier AB (B Shares)  | 282957 | 3039915 |
| Sagax AB  | 33434 | 828369 |
| TOTAL SWEDEN |  | 17373937 |
| Switzerland - 1.8%  |  |  |
| Kuehne & Nagel International AG  | 9372 | 2227578 |
| Lindt & Spruengli AG  | 39 | 4383506 |
| Nestle SA (Reg. S)  | 13088 | 1596855 |
| Swisscom AG  | 4683 | 2762228 |
| TOTAL SWITZERLAND |  | 10970167 |
| United Kingdom - 13.3%  |  |  |
| Auto Trader Group PLC (b) | 104769 | 812849 |
| BAE Systems PLC  | 595082 | 6299569 |
| Balfour Beatty PLC  | 113194 | 511316 |
| Beazley PLC  | 113746 | 932541 |
| British American Tobacco PLC (United Kingdom)  | 320062 | 12269200 |
| Bunzl PLC  | 54332 | 1989401 |
| Centrica PLC  | 1090153 | 1354075 |
| Diageo PLC  | 332545 | 14540899 |
| GSK PLC  | 160089 | 2811969 |
| Halma PLC  | 66581 | 1763173 |
| HSBC Holdings PLC (United Kingdom)  | 922906 | 6800294 |
| IG Group Holdings PLC  | 72338 | 709888 |
| Inchcape PLC  | 69112 | 777067 |
| Indivior PLC (a) | 25272 | 605996 |
| Investec PLC  | 128364 | 819120 |
| Lloyds Banking Group PLC  | 12413472 | 8078636 |
| NatWest Group PLC  | 933538 | 3561502 |
| Pearson PLC  | 139620 | 1592253 |
| QinetiQ Group PLC  | 106842 | 477881 |
| Shell PLC (London)  | 429473 | 12608378 |
| Spirax-Sarco Engineering PLC  | 13581 | 1930507 |
| Wise PLC (a) | 86976 | 581178 |
| TOTAL UNITED KINGDOM |  | 81827692 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $550,956,356) |  | <br> **611069608** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Government Obligations - 0.1%** | &nbsp;&nbsp;**Government Obligations - 0.1%** | &nbsp;&nbsp;**Government Obligations - 0.1%** |
|  | Principal<br> Amount (c)<br>| Value ($)<br>|
| United States of America - 0.1%  |  |  |
| U.S. Treasury Bills, yield at date of purchase 4.65% 6/29/23 (d)<br> (Cost $392,497) | 400000 | **392490** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.2%** | &nbsp;&nbsp;**Money Market Funds - 0.2%** | &nbsp;&nbsp;**Money Market Funds - 0.2%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 4.38% (e) <br>(Cost $1,316,467) <br>| 1316204 | **1316467** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.7%**<br> (Cost $552,665,320)<br>| <br>**612778565** |
| **NET OTHER ASSETS (LIABILITIES) - 0.3%**  | **2143972** |
| **NET ASSETS - 100.0%** | **614922537** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Equity Index Contracts |  |  |  |  |  |
| ICE E-mini MSCI EAFE Index Contracts (United States) | 50 | Mar 2023 | 5297500 | 267934 | 267934 |
| The notional amount of futures purchased as a percentage of Net Assets is 0.9% | The notional amount of futures purchased as a percentage of Net Assets is 0.9% | The notional amount of futures purchased as a percentage of Net Assets is 0.9% | The notional amount of futures purchased as a percentage of Net Assets is 0.9% | The notional amount of futures purchased as a percentage of Net Assets is 0.9% | The notional amount of futures purchased as a percentage of Net Assets is 0.9% |

---

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

**Legend**

(a) Non-income producing

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,144,848 or 0.3% of net assets.

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

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $259,044.

(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 Cash Central Fund 4.38% | - | 8853977 | 7537510 | 10886 | - | - | 1316467 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 4.38% | - | 237230 | 237230 | 56 | - | - | - | 0.0% |
| Total | - | 9091207 | 7774740 | 10942 | - | - | 1316467 |  |

---

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

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

**Investment Valuation**

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

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

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

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

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

Valuation techniques used to value investments by major category are as follows:

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

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

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

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

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

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

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

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

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

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity SAI International Momentum Index Fund

- **b. EDGAR series identifier (if any):** S000068374

- **c. LEI of Series:** 5493006IJWKGD568VL14

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $615094879.33

**Total Liabilities:** $102537.87

**Net Assets:** $614992341.46

**Cash Not Reported:** $85133.66

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000218747 | 13.23%               | -2.63%               | 7.50%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3477252.90             | $76445744.75                               |
| Month 2  | $-4232781.62             | $-12772190.46                              |
| Month 3  | $3001421.78              | $39386062.80                               |

### Schedule of Portfolio Investments

| Name                                                      | Title                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| TREASURY WINE ESTATES LTD                                 | TREASURY WINE ESTATES LTD              | CUSIP: N/A<br>LEI: 529900LVOPJGAX6ILK66       | Long             | EC               | CORP              | AU        |    133208 | NS      | $1372147.14   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| JERONIMO MARTINS SGPS SA                                  | JERONIMO MARTINS and FILHO SGPS        | CUSIP: N/A<br>LEI: 259400A8SZP10GB5IB19       | Long             | EC               | CORP              | PT        |     51066 | NS      | $1106997.05   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTIUM LTD                                                | ALTIUM LTD                             | CUSIP: N/A<br>LEI: 5299003MG7UFQSIFH576       | Long             | EC               | CORP              | AU        |     22593 | NS      | $625533.88    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| PAN PACIFIC INTERNATIONAL HOLDINGS LTD                    | PAN PACIFIC INTERNATIONAL HOLDINGS LTD | CUSIP: N/A<br>LEI: 529900QLHJM2E18A5763       | Long             | EC               | CORP              | JP        |     98300 | NS      | $1817875.49   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| TENARIS SA                                                | TENARIS SA (ITALY)                     | CUSIP: N/A<br>LEI: 549300Y7C05BKC4HZB40       | Long             | EC               | CORP              | LU        |     84925 | NS      | $1504934.80   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| SWISSCOM AG                                               | SWISSCOM AG (REG)                      | CUSIP: N/A<br>LEI: 5493005SL9HHOXS3B739       | Long             | EC               | CORP              | CH        |      4683 | NS      | $2762228.29   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMERZBANK AG                                            | COMMERZBANK AG                         | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | EC               | CORP              | DE        |    168463 | NS      | $1916607.72   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| FORTUM OYJ                                                | FORTUM OYJ                             | CUSIP: N/A<br>LEI: 635400IUIZZIUJSAMF76       | Long             | EC               | CORP              | FI        |     80322 | NS      | $1206354.29   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| RWE AG                                                    | RWE AG                                 | CUSIP: N/A<br>LEI: 529900GB7KCA94ACC940       | Long             | EC               | CORP              | DE        |    124786 | NS      | $5534972.87   | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| TOTALENERGIES SE                                          | TOTALENERGIES SE                       | CUSIP: N/A<br>LEI: 529900S21EQ1BO4ESM68       | Long             | EC               | CORP              | FR        |    127769 | NS      | $7898781.04   | 1.28%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                               | EQUINOR ASA                            | CUSIP: N/A<br>LEI: OW6OFBNCKXC4US5C7523       | Long             | EC               | CORP              | NO        |    193380 | NS      | $5893577.22   | 0.96%             |  |  |  | No            |                  2 | On Loan: No      |
| FAST RETAILING CO LTD                                     | FAST RETAILING CO LTD                  | CUSIP: N/A<br>LEI: 353800ZCXKHDPY0N5218       | Long             | EC               | CORP              | JP        |     11500 | NS      | $6984633.69   | 1.14%             |  |  |  | No            |                  2 | On Loan: No      |
| MERCARI INC                                               | MERCARI INC                            | CUSIP: N/A<br>LEI: 3538009SK4V5AXSTUJ26       | Long             | EC               | CORP              | JP        |     21100 | NS      | $459555.24    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                     | MINERAL RESOURCES LTD                  | CUSIP: N/A<br>LEI: 5299007V1ACKFFX2P066       | Long             | EC               | CORP              | AU        |     30819 | NS      | $1951154.76   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| NATURGY ENERGY GROUP SA                                   | NATURGY ENERGY GROUP SA                | CUSIP: N/A<br>LEI: TL2N6M87CW970S5SV098       | Long             | EC               | CORP              | ES        |     34000 | NS      | $961040.60    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| INVESTEC PLC                                              | INVESTEC PLC                           | CUSIP: N/A<br>LEI: 2138007Z3U5GWDN3MY22       | Long             | EC               | CORP              | GB        |    128364 | NS      | $819120.40    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| ROHM CO LTD                                               | ROHM CO LTD                            | CUSIP: N/A<br>LEI: 5493009V2FGDEP7JFE59       | Long             | EC               | CORP              | JP        |     12200 | NS      | $977604.88    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN AIRLINES CO LTD                                     | JAPAN AIRLINES CO LTD                  | CUSIP: N/A<br>LEI: 3538002MH5L1QZZ93477       | Long             | EC               | CORP              | JP        |     26600 | NS      | $564121.74    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE SABADELL SA                                      | BANCO DE SABADELL SA                   | CUSIP: N/A<br>LEI: SI5RG2M0WQQLZCXKRM20       | Long             | EC               | CORP              | ES        |   1038382 | NS      | $1351830.20   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                 | BANK OF IRELAND GROUP PLC              | CUSIP: N/A<br>LEI: 635400C8EK6DRI12LJ39       | Long             | EC               | CORP              | IE        |    185662 | NS      | $1975230.15   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC HOLDINGS PLC                                         | HSBC HOLDINGS PLC                      | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | EC               | CORP              | GB        |    922906 | NS      | $6800293.71   | 1.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                         | JAPAN TOBACCO INC                      | CUSIP: N/A<br>LEI: 353800Z0ENYBQO0XRJ31       | Long             | EC               | CORP              | JP        |    164600 | NS      | $3356510.30   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| CITY DEVELOPMENTS LTD                                     | CITY DEVELOPEMENT LTD                  | CUSIP: N/A<br>LEI: 254900BPLPJS0RJ72373       | Long             | EC               | CORP              | SG        |     93700 | NS      | $594697.75    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| YAKULT HONSHA CO LTD                                      | YAKULT HONSHA CO LTD                   | CUSIP: N/A<br>LEI: 353800YJPSPGG7KI0S71       | Long             | EC               | CORP              | JP        |     29400 | NS      | $2098804.95   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE LUFTHANSA A G                                    | LUFTHANSA AG (REGD)                    | CUSIP: N/A<br>LEI: 529900PH63HYJ86ASW55       | Long             | EC               | CORP              | DE        |    110305 | NS      | $1164524.49   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC                              | BRITISH AMERICAN TOBACCO PLC           | CUSIP: N/A<br>LEI: 213800FKA5MF17RJKT63       | Long             | EC               | CORP              | GB        |    320062 | NS      | $12269200.05  | 2.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ESSILORLUXOTTICA                                          | ESSILORLUXOTTICA                       | CUSIP: N/A<br>LEI: 549300M3VH1A3ER1TB49       | Long             | EC               | CORP              | FR        |     38812 | NS      | $7084450.80   | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| BEZEQ THE ISRAELI TEL CORP LTD                            | BEZEQ THE ISRAELI TELECOM CORP         | CUSIP: N/A<br>LEI: 213800XCGZCFSWY9U863       | Long             | EC               | CORP              | IL        |    377662 | NS      | $624212.10    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| BUNZL PLC                                                 | BUNZL PLC                              | CUSIP: N/A<br>LEI: 213800Q1Q9DV4L78UM09       | Long             | EC               | CORP              | GB        |     54332 | NS      | $1989401.21   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| COMPUTERSHARE LTD                                         | COMPUTERSHARE LTD                      | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | AU        |    105840 | NS      | $1782543.14   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| SYDBANK AS                                                | SYDBANK AS                             | CUSIP: N/A<br>LEI: GP5DT10VX1QRQUKVBK64       | Long             | EC               | CORP              | DK        |     10775 | NS      | $489722.62    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ARGENX SE                                                 | ARGENX SE                              | CUSIP: N/A<br>LEI: 7245009C5FZE6G9ODQ71       | Long             | EC               | CORP              | NL        |     10209 | NS      | $3888469.69   | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| STMICROELECTRONICS NV                                     | STMICROELECTRONICS NV                  | CUSIP: N/A<br>LEI: 213800Z8NOHIKRI42W10       | Long             | EC               | CORP              | NL        |    121079 | NS      | $5699634.98   | 0.93%             |  |  |  | No            |                  2 | On Loan: No      |
| SHIMANO INC                                               | SHIMANO INC                            | CUSIP: N/A<br>LEI: 529900L32YT3P9DECR10       | Long             | EC               | CORP              | JP        |     15300 | NS      | $2728532.81   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                       | MACQUARIE GROUP LTD                    | CUSIP: N/A<br>LEI: ACMHD8HWFMFUIQQ8Y590       | Long             | EC               | CORP              | AU        |     55920 | NS      | $7460234.77   | 1.21%             |  |  |  | No            |                  2 | On Loan: No      |
| KANSAI PAINT CO LTD OSAKA                                 | KANSAI PAINT CO. LTD OSAKA             | CUSIP: N/A<br>LEI: 549300ERRV6FTKH9NN70       | Long             | EC               | CORP              | JP        |     47800 | NS      | $673173.30    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BANKINTER SA                                              | BANKINTER SA                           | CUSIP: N/A<br>LEI: VWMYAEQSTOPNV0SUGU82       | Long             | EC               | CORP              | ES        |    119432 | NS      | $859544.10    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| L'OREAL SA                                                | L'OREAL SA ORD                         | CUSIP: N/A<br>LEI: 529900JI1GG6F7RKVI53       | Long             | EC               | CORP              | FR        |     39637 | NS      | $16366578.90  | 2.66%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVO-NORDISK AS                                           | NOVO-NORDISK AS CL B                   | CUSIP: N/A<br>LEI: 549300DAQ1CVT6CXN342       | Long             | EC               | CORP              | DK        |    144047 | NS      | $19934646.61  | 3.24%             |  |  |  | No            |                  2 | On Loan: No      |
| PILBARA MINERALS LTD                                      | PILBARA MINERALS LTD                   | CUSIP: N/A<br>LEI: 5299000VV1CZVF5K9C16       | Long             | EC               | CORP              | AU        |    480776 | NS      | $1635561.77   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| WISE PLC                                                  | WISE PLC                               | CUSIP: N/A<br>LEI: 213800LD9XCHIC1C4V71       | Long             | EC               | CORP              | GB        |     86976 | NS      | $581177.72    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI HEAVY INDUSTRIES LTD                           | MITSUBISHI HEAVY INDS LTD              | CUSIP: N/A<br>LEI: 353800TJ98PCAZROVE69       | Long             | EC               | CORP              | JP        |     62300 | NS      | $2442781.87   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                     | ELECTRICITE DE FRANCE                  | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | EC               | CORP              | FR        |    115937 | NS      | $1520683.58   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| BUREAU VERITAS SA                                         | BUREAU VERITAS SA                      | CUSIP: N/A<br>LEI: 969500TPU5T3HA5D1F11       | Long             | EC               | CORP              | FR        |     53406 | NS      | $1523503.13   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AG IN MUENCHEN | MUNICH REINSURANCE (REG)               | CUSIP: N/A<br>LEI: 529900MUF4C20K50JS49       | Long             | EC               | CORP              | DE        |     25853 | NS      | $9303115.43   | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCK KGAA                                                | MERCK KGAA                             | CUSIP: N/A<br>LEI: 529900OAREIS0MOPTW25       | Long             | EC               | CORP              | DE        |     12052 | NS      | $2515593.58   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| GETLINK SE                                                | GETLINK                                | CUSIP: N/A<br>LEI: 9695007ZEQ7M0OE74G82       | Long             | EC               | CORP              | FR        |     74093 | NS      | $1250944.68   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| RENAULT SA                                                | RENAULT SA ORD                         | CUSIP: N/A<br>LEI: 969500F7JLTX36OUI695       | Long             | EC               | CORP              | FR        |     38200 | NS      | $1546544.80   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| MARUBENI CORP                                             | MARUBENI CORP                          | CUSIP: N/A<br>LEI: 4P4N3ORD02UGQT1T1W12       | Long             | EC               | CORP              | JP        |    317100 | NS      | $3890368.48   | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| ENI SPA                                                   | ENI SPA                                | CUSIP: N/A<br>LEI: BUCRF72VH5RBN7X3VL35       | Long             | EC               | CORP              | IT        |    412085 | NS      | $6341260.82   | 1.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EDENRED                                                   | EDENRED                                | CUSIP: N/A<br>LEI: 9695006LOD5B2D7Y0N70       | Long             | EC               | CORP              | FR        |     46058 | NS      | $2503097.01   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| JGC HOLDINGS CORP                                         | JGC HOLDINGS CORP                      | CUSIP: N/A<br>LEI: 5493003WMGG79YLARU68       | Long             | EC               | CORP              | JP        |     47900 | NS      | $625672.80    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| TOKYO TATEMONO CO LTD                                     | TOKYO TATEMONO CO                      | CUSIP: N/A<br>LEI: 529900RQA4JTW1869J86       | Long             | EC               | CORP              | JP        |     38600 | NS      | $478543.91    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| IPSEN                                                     | IPSEN PROMESSES                        | CUSIP: N/A<br>LEI: 549300M6SGDPB4Z94P11       | Long             | EC               | CORP              | FR        |      7263 | NS      | $761171.55    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUI and CO LTD                                         | MITSUI and CO LTD                      | CUSIP: N/A<br>LEI: 2NRSB4GOU9DD6CNW5R48       | Long             | EC               | CORP              | JP        |    293900 | NS      | $8670856.32   | 1.41%             |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                              | CAIXABANK SA                           | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | EC               | CORP              | ES        |    803236 | NS      | $3563926.06   | 0.58%             |  |  |  | No            |                  2 | On Loan: No      |
| STEADFAST GROUP LTD                                       | STEADFAST GROUP LTD                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | AU        |    180772 | NS      | $671602.18    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| QANTAS AIRWAYS LTD                                        | QANTAS AIRWAYS LTD                     | CUSIP: N/A<br>LEI: YLXNW6TI6QSK1H8H0N82       | Long             | EC               | CORP              | AU        |    170543 | NS      | $769802.39    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO CORP                                             | SUMITOMO CORP                          | CUSIP: N/A<br>LEI: V82KK8NH1P0JS71FJC05       | Long             | EC               | CORP              | JP        |    219300 | NS      | $3936419.40   | 0.64%             |  |  |  | No            |                  2 | On Loan: No      |
| UPM KYMMENE CORP                                          | UPM KYMMENE CORP                       | CUSIP: N/A<br>LEI: 213800EC6PW5VU4J9U64       | Long             | EC               | CORP              | FI        |     98493 | NS      | $3560299.11   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| FINECOBANK SPA                                            | FINECOBANK SPA                         | CUSIP: N/A<br>LEI: 549300L7YCATGO57ZE10       | Long             | EC               | CORP              | IT        |    112590 | NS      | $2013516.49   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| DENTSU GROUP INC                                          | DENTSU GROUP INC                       | CUSIP: N/A<br>LEI: 5299007PBBE83ZLJZG91       | Long             | EC               | CORP              | JP        |     44200 | NS      | $1423632.54   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| USS CO LTD                                                | USS CO LTD                             | CUSIP: N/A<br>LEI: 5299000RRQD6UZXG4W72       | Long             | EC               | CORP              | JP        |     39800 | NS      | $654637.30    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| HERMES INTL SCA                                           | HERMES INTERNATIONAL SA                | CUSIP: N/A<br>LEI: 969500Y4IJGHJE2MTJ13       | Long             | EC               | CORP              | FR        |      6429 | NS      | $11983133.15  | 1.95%             |  |  |  | No            |                  1 | On Loan: No      |
| GLENCORE PLC                                              | GLENCORE PLC                           | CUSIP: N/A<br>LEI: 2138002658CPO9NBH955       | Long             | EC               | CORP              | JE        |   2021450 | NS      | $13537424.09  | 2.20%             |  |  |  | No            |                  2 | On Loan: No      |
| DASSAULT AVIATION SA                                      | DASSAULT AVIATION SA                   | CUSIP: N/A<br>LEI: 969500CVFTUT88V8QN95       | Long             | EC               | CORP              | FR        |      4313 | NS      | $734747.17    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| OVERSEA-CHINESE BKG CORP LTD                              | OVERSEA-CHINESE BKG CORP LTD           | CUSIP: N/A<br>LEI: 5493007O3QFXCPOGWK22       | Long             | EC               | CORP              | SG        |    747200 | NS      | $7382602.34   | 1.20%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL DISCOUNT BANK LTD                                  | ISRAEL DISCOUNT BANK LTD CL A          | CUSIP: 465074201<br>LEI: 549300XWZ7BG5G23OF51 | Long             | EC               | CORP              | IL        |    221149 | NS      | $1123796.87   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| IGO LTD                                                   | IGO LTD                                | CUSIP: N/A<br>LEI: 2549005DZO8VGXM5QN07       | Long             | EC               | CORP              | AU        |    124372 | NS      | $1292882.09   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTOS LTD                                                | SANTOS LTD                             | CUSIP: N/A<br>LEI: 5299000RK70B5O2M7077       | Long             | EC               | CORP              | AU        |     55534 | NS      | $283494.28    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| TOYO SUISAN KAISHA LTD                                    | TOYO SUISAN KAISHA LTD                 | CUSIP: 892306101<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     18800 | NS      | $776831.31    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                           | BAE SYSTEMS PLC                        | CUSIP: N/A<br>LEI: 8SVCSVKSGDWMW2QHOH83       | Long             | EC               | CORP              | GB        |    595082 | NS      | $6299569.23   | 1.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDWIN INC                                               | GOLDWIN INC                            | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JP        |      6900 | NS      | $525657.82    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| PEARSON PLC                                               | PEARSON PLC                            | CUSIP: N/A<br>LEI: 2138004JBXWWJKIURC57       | Long             | EC               | CORP              | GB        |    139620 | NS      | $1592252.57   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| SEIKO EPSON CORP                                          | SEIKO EPSON CORP                       | CUSIP: N/A<br>LEI: 549300NIOFQDR749W206       | Long             | EC               | CORP              | JP        |     59000 | NS      | $914972.11    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| EISAI CO LTD                                              | EISAI CO LTD                           | CUSIP: N/A<br>LEI: 353800HDEE0ZYEX4QV91       | Long             | EC               | CORP              | JP        |     54700 | NS      | $3384288.21   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| GSK PLC                                                   | GSK PLC                                | CUSIP: N/A<br>LEI: 5493000HZTVUYLO1D793       | Long             | EC               | CORP              | GB        |    160089 | NS      | $2811969.44   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| OPEN HOUSE GROUP CO LTD                                   | OPEN HOUSE GROUP CO LTD                | CUSIP: N/A<br>LEI: 529900WQOGPBIJEHW865       | Long             | EC               | CORP              | JP        |     13100 | NS      | $495576.78    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| SWIRE PACIFIC LTD                                         | SWIRE PACIFIC LTD CL A                 | CUSIP: N/A<br>LEI: 549300KZOZHII0DGF611       | Long             | EC               | CORP              | HK        |    107000 | NS      | $980536.44    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| ITOCHU CORPORATION                                        | ITOCHU CORP                            | CUSIP: N/A<br>LEI: J48DJYXDTLHM30UMYI18       | Long             | EC               | CORP              | JP        |    272000 | NS      | $8791539.60   | 1.43%             |  |  |  | No            |                  2 | On Loan: No      |
| HOLMEN AB                                                 | HOLMEN AB SER B                        | CUSIP: N/A<br>LEI: 52990080SH3454F0QE68       | Long             | EC               | CORP              | SE        |     17093 | NS      | $702510.27    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| PUBLICIS GROUPE SA                                        | PUBLICIS GROUPE SA                     | CUSIP: N/A<br>LEI: 2138004KW8BV57III342       | Long             | EC               | CORP              | FR        |     43557 | NS      | $3065632.73   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAZLEY PLC/UK                                            | BEAZLEY PLC/UK                         | CUSIP: N/A<br>LEI: 213800VTOMUWD41GIT12       | Long             | EC               | CORP              | GB        |    113746 | NS      | $932541.17    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| AIXTRON AG                                                | AIXTRON SE                             | CUSIP: N/A<br>LEI: 5299004UJ4D51M25LD67       | Long             | EC               | CORP              | DE        |     20913 | NS      | $619316.87    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| ROHTO PHARMACEUTICAL CO LTD                               | ROHTO PHARMACEUTICAL                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JP        |     40100 | NS      | $739902.08    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| AJINOMOTO CO INC                                          | AJINOMOTO CO INC                       | CUSIP: N/A<br>LEI: 353800UT0TLROREPIC92       | Long             | EC               | CORP              | JP        |     99100 | NS      | $3267187.82   | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LIQUIDE SA                                            | AIR LIQUIDE SA                         | CUSIP: N/A<br>LEI: 969500MMPQVHK671GT54       | Long             | EC               | CORP              | FR        |     65361 | NS      | $10407178.20  | 1.69%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI CORP                                           | MITSUBISHI CORP                        | CUSIP: N/A<br>LEI: KVIPTY4PULAPGC1VVD26       | Long             | EC               | CORP              | JP        |    272000 | NS      | $9108179.89   | 1.48%             |  |  |  | No            |                  2 | On Loan: No      |
| GENMAB AS                                                 | GENMAB AS                              | CUSIP: N/A<br>LEI: 529900MTJPDPE4MHJ122       | Long             | EC               | CORP              | DK        |     12148 | NS      | $4760761.96   | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| DBS GROUP HOLDINGS LTD                                    | DBS GROUP HOLDINGS LTD                 | CUSIP: N/A<br>LEI: 5493007FKT78NKPM5V55       | Long             | EC               | CORP              | SG        |    337200 | NS      | $9231278.82   | 1.50%             |  |  |  | No            |                  2 | On Loan: No      |
| ELIA GROUP SA/NV                                          | ELIA GROUP SA/NV                       | CUSIP: N/A<br>LEI: 549300S1MP1NFDIKT460       | Long             | EC               | CORP              | BE        |      6644 | NS      | $930325.57    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| SOLVAY SA                                                 | SOLVAY CL A                            | CUSIP: N/A<br>LEI: 549300MMVL80RTBP3O28       | Long             | EC               | CORP              | BE        |     13482 | NS      | $1563164.39   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| INCITEC PIVOT LTD                                         | INCITEC PIVOT LTD                      | CUSIP: N/A<br>LEI: 254900UW2F3BKV6Z9V18       | Long             | EC               | CORP              | AU        |    358167 | NS      | $875794.31    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| PRYSMIAN SPA                                              | PRYSMIAN SPA                           | CUSIP: N/A<br>LEI: 529900X0H1IO3RS1A464       | Long             | EC               | CORP              | IT        |     49485 | NS      | $2012030.90   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| HIKARI TSUSHIN INC                                        | HIKARI TSUSHIN INC                     | CUSIP: N/A<br>LEI: 3538001SOIIV8U3OXH94       | Long             | EC               | CORP              | JP        |      3700 | NS      | $528131.81    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| RHEINMETALL                                               | RHEINMETALL AG ORD                     | CUSIP: N/A<br>LEI: 5299001OU9CSE29O6S05       | Long             | EC               | CORP              | DE        |      8036 | NS      | $1869576.20   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| KONGSBERG GRUPPEN ASA                                     | KONGSBERG GRUPPEN ASA                  | CUSIP: N/A<br>LEI: 5967007LIEEXZXJ9HK73       | Long             | EC               | CORP              | NO        |     16363 | NS      | $649169.27    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| AIB GROUP PLC                                             | AIB GROUP PLC                          | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | EC               | CORP              | IE        |    143072 | NS      | $597276.38    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| LVMH MOET HENNESSY LOUIS VUITTON SE                       | LVMH MOET HENNESSY LOUIS VUITTON SE    | CUSIP: N/A<br>LEI: IOG4E947OATN0KJYSD45       | Long             | EC               | CORP              | FR        |     23064 | NS      | $20134305.74  | 3.27%             |  |  |  | No            |                  2 | On Loan: No      |
| BAWAG GROUP AG                                            | BAWAG GROUP AG                         | CUSIP: N/A<br>LEI: 529900S9YO2JHTIIDG38       | Long             | EC               | CORP              | AT        |     12855 | NS      | $791701.49    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| SHELL PLC                                                 | SHELL PLC                              | CUSIP: N/A<br>LEI: 21380068P1DRHMJ8KU70       | Long             | EC               | CORP              | GB        |    429473 | NS      | $12608378.22  | 2.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LINDT and SPRUENGLI AG CHOCOLAD                           | LINDT and SPRUENGLI AG (REG)           | CUSIP: N/A<br>LEI: 529900JYJNNOKKAGK736       | Long             | EC               | CORP              | CH        |        39 | NS      | $4383506.28   | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| TOWER SEMICONDUCTOR LTD                                   | TOWER SEMICONDCTR LTD                  | CUSIP: N/A<br>LEI: 54930086ZSNXZOUX0C54       | Long             | EC               | CORP              | IL        |     19437 | NS      | $816526.88    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| SINO LAND LTD                                             | SINO LAND CO                           | CUSIP: N/A<br>LEI: 529900G5P51053HJVZ92       | Long             | EC               | CORP              | HK        |    597914 | NS      | $776976.19    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| ANDRITZ AG                                                | ANDRITZ AG                             | CUSIP: N/A<br>LEI: 549300VZKC61IR5U8G96       | Long             | EC               | CORP              | AT        |     13243 | NS      | $788962.58    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| BRAMBLES LTD                                              | BRAMBLES LTD                           | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | AU        |    256260 | NS      | $2179122.45   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| KEYENCE CORP                                              | KEYENCE CORP                           | CUSIP: N/A<br>LEI: 529900M7PQBS7A89DZ11       | Long             | EC               | CORP              | JP        |      6600 | NS      | $3038435.00   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| KINTETSU GROUP HOLDINGS CO LTD                            | KINTETSU GROUP HOLDINGS CO LTD         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JP        |     35200 | NS      | $1146287.58   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| KAWASAKI HEAVY INDUSTRIES LTD                             | KAWASAKI HEAVY INDUSTRIES LTD          | CUSIP: N/A<br>LEI: 5493008FFSI8SQ74AT93       | Long             | EC               | CORP              | JP        |     31000 | NS      | $709360.97    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK LEUMI LE-ISRAEL                                      | BANK LEUMI LE-ISRAEL BM                | CUSIP: N/A<br>LEI: 7JDSZWRGUQY2DSTWCR57       | Long             | EC               | CORP              | IL        |    268469 | NS      | $2359064.44   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| IG GROUP HOLDINGS PLC                                     | IG GROUP HLDGS PLC                     | CUSIP: N/A<br>LEI: 2138003A5Q1M7ANOUD76       | Long             | EC               | CORP              | GB        |     72338 | NS      | $709887.95    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| WOLTERS KLUWER NV                                         | WOLTERS KLUWER NV                      | CUSIP: N/A<br>LEI: 724500TEM53I0U077B74       | Long             | EC               | CORP              | NL        |     47522 | NS      | $5174103.76   | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| NINTENDO CO LTD                                           | NINTENDO CO LTD                        | CUSIP: N/A<br>LEI: 353800FEEXU6I9M0ZF27       | Long             | EC               | CORP              | JP        |      5200 | NS      | $225460.59    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRIC POWER DEVELOP CO LTD                             | ELECTRIC POWER DEVELOP CO LTD          | CUSIP: N/A<br>LEI: 549300KMHPUAQI8VEH90       | Long             | EC               | CORP              | JP        |     32100 | NS      | $518046.75    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| ENCAVIS AG                                                | ENCAVIS AG                             | CUSIP: N/A<br>LEI: 391200ECRGNL09Y2KJ67       | Long             | EC               | CORP              | DE        |     22289 | NS      | $429018.47    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SUBARU CORP                                               | SUBARU CORP                            | CUSIP: N/A<br>LEI: 549300N244BVAEE6HH86       | Long             | EC               | CORP              | JP        |    113600 | NS      | $1866634.72   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| INPEX CORPORATION                                         | INPEX CORP                             | CUSIP: N/A<br>LEI: 353800VHYYADPR6MXQ47       | Long             | EC               | CORP              | JP        |    189600 | NS      | $2083447.59   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| RAIFFEISEN BANK INTERNATIONAL AG                          | RAIFFEISEN BANK INTERNTNL AG           | CUSIP: N/A<br>LEI: 9ZHRYM6F437SQJ6OUG95       | Long             | EC               | CORP              | AT        |     24884 | NS      | $445286.46    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BALFOUR BEATTY PLC                                        | BALFOUR BEATTY PLC                     | CUSIP: N/A<br>LEI: CT4UIJ3TUKGYYHMENQ17       | Long             | EC               | CORP              | GB        |    113194 | NS      | $511315.68    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTEN SA                                                  | ALTEN                                  | CUSIP: N/A<br>LEI: 969500Y7G9TY7Y24GN07       | Long             | EC               | CORP              | FR        |      1423 | NS      | $217664.93    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                          | SOCIETE GENERALE SA CL A               | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Long             | EC               | CORP              | FR        |    143856 | NS      | $4282101.92   | 0.70%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                       | BANCO BILBAO VIZ ARGENTARIA SA         | CUSIP: N/A<br>LEI: K8MS7FD7N5Z2WQ51AZ71       | Long             | EC               | CORP              | ES        |    871037 | NS      | $6152808.02   | 1.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BHP GROUP LTD                                             | BHP GROUP LIMITED                      | CUSIP: N/A<br>LEI: WZE1WSENV6JSZFK0JC28       | Long             | EC               | CORP              | AU        |    132333 | NS      | $4634586.90   | 0.75%             |  |  |  | No            |                  2 | On Loan: No      |
| ILUKA RESOURCES LTD                                       | ILUKA RESOURCES LIMITED                | CUSIP: N/A<br>LEI: 2549009N2Y1F4YNB0955       | Long             | EC               | CORP              | AU        |     78481 | NS      | $603886.07    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| IHI CORP                                                  | IHI CORPORATION                        | CUSIP: N/A<br>LEI: 549300ETQIESIUQ2OE26       | Long             | EC               | CORP              | JP        |     28500 | NS      | $865963.65    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| RINGKJOBING LANDBOBANK                                    | RINGKJOBING LANDBOBANK (REG)           | CUSIP: N/A<br>LEI: 2138002M5U5K4OUMVV62       | Long             | EC               | CORP              | DK        |      5236 | NS      | $759838.66    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                                 | UST BILLS 0% 06/29/2023                | CUSIP: 912796ZR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $392490.37    | 0.06%             | 2023-06-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPIRAX-SARCO ENGINEERING PLC                              | SPIRAX-SARCO ENGINEERING PLC           | CUSIP: N/A<br>LEI: 213800WFVZQMHOZP2W17       | Long             | EC               | CORP              | GB        |     13581 | NS      | $1930506.61   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| OCI NV                                                    | OCI NV                                 | CUSIP: N/A<br>LEI: 549300NCMRGIBJYUOE57       | Long             | EC               | CORP              | NL        |     14777 | NS      | $501864.84    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| STELLANTIS NV                                             | STELLANTIS NV                          | CUSIP: N/A<br>LEI: 549300LKT9PW7ZIBDF31       | Long             | EC               | CORP              | NL        |    120803 | NS      | $1888014.19   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| NANKAI ELECTRIC RAILWAY CO LTD                            | NANKAI ELECTRIC RAILWY CO LTD          | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JP        |     20900 | NS      | $454149.15    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| SODEXO SA                                                 | SODEXO                                 | CUSIP: N/A<br>LEI: 969500LCBOG12HXPYM84       | Long             | EC               | CORP              | FR        |     15511 | NS      | $1534850.57   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| MATSUKIYOCOCOKARA and CO                                  | MATSUKIYOCOCOKARA and CO               | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JP        |     26400 | NS      | $1316947.33   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| TOKYO ELECTRIC POWER CO HOLDINGS INC                      | TOKYO ELECTRIC POWER CO HOLDINGS INC   | CUSIP: N/A<br>LEI: 5299004EMJ3R4RVR5Y75       | Long             | EC               | CORP              | JP        |    148300 | NS      | $555352.28    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                              | Fidelity Cash Central Fund             | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   1316204 | NS      | $1316467.18   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| WOODSIDE ENERGY GROUP LTD                                 | WOODSIDE ENERGY GROUP LTD              | CUSIP: N/A<br>LEI: 2549005ZC5RXAOO7FH41       | Long             | EC               | CORP              | AU        |     43278 | NS      | $1120635.64   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| ASICS CORP                                                | ASICS CORP                             | CUSIP: N/A<br>LEI: 3538002LJMRZ83SU0B85       | Long             | EC               | CORP              | JP        |     35000 | NS      | $833018.62    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| NGK SPARK PLUG CO LTD                                     | NGK SPARK PLUG CO LTD                  | CUSIP: N/A<br>LEI: 549300RG3XQGTFM4HH31       | Long             | EC               | CORP              | JP        |     31600 | NS      | $617499.72    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN HOTEL REIT INVESTMENT CORP                          | JAPAN HOTEL REIT INVESTMENT CORP       | CUSIP: N/A<br>LEI: 353800L8KG849FP1JI68       | Long             | EC               | CORP              | JP        |       824 | NS      | $522157.57    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| SUZUKI MTR CORP                                           | SUZUKI MOTOR CORP                      | CUSIP: N/A<br>LEI: 353800D83H0V3ZV1SV24       | Long             | EC               | CORP              | JP        |     90600 | NS      | $3396793.27   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI MOTORS CORP                                    | MITSUBISHI MOTORS CORP                 | CUSIP: N/A<br>LEI: 5299006ZTN6MO1N5BR16       | Long             | EC               | CORP              | JP        |    126500 | NS      | $487392.52    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| DAIICHI SANKYO CO LTD                                     | DAIICHI SANKYO CO LTD                  | CUSIP: N/A<br>LEI: 353800XGIU2IHQGC9504       | Long             | EC               | CORP              | JP        |    359300 | NS      | $11284511.68  | 1.83%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK HAPOALIM B M                                         | BANK HAPOALIM LTD (REG)                | CUSIP: N/A<br>LEI: B6ARUI4946ST4S7WOU88       | Long             | EC               | CORP              | IL        |    219789 | NS      | $1967603.93   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| SARTORIUS STEDIM BIOTECH                                  | SARTORIUS STEDIM BIOTECH               | CUSIP: N/A<br>LEI: 52990006IVXY7GCSSR39       | Long             | EC               | CORP              | FR        |      4421 | NS      | $1532725.93   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| AUTO TRADER GROUP PLC                                     | AUTO TRADER GROUP PLC                  | CUSIP: N/A<br>LEI: 213800QLK9BZILB1DI86       | Long             | EC               | CORP              | GB        |    104769 | NS      | $812848.75    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| WISETECH GLOBAL LTD                                       | WISETECH GLOBAL LTD                    | CUSIP: N/A<br>LEI: 254900VE3AF301Q85K83       | Long             | EC               | CORP              | AU        |     31986 | NS      | $1386899.88   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPCOM CO LTD                                             | CAPCOM CO LTD                          | CUSIP: N/A<br>LEI: 529900JJWQKXS3TC8744       | Long             | EC               | CORP              | JP        |     29500 | NS      | $955912.70    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| HALMA PLC                                                 | HALMA PLC                              | CUSIP: N/A<br>LEI: 2138007FRGLUR9KGBT40       | Long             | EC               | CORP              | GB        |     66581 | NS      | $1763172.60   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| TIS INC                                                   | TIS INC                                | CUSIP: N/A<br>LEI: 35380064HYEZXBQHDF07       | Long             | EC               | CORP              | JP        |     42200 | NS      | $1216851.83   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| ISS A / S                                                 | ISS HOLDINGS A/S                       | CUSIP: N/A<br>LEI: 213800LEZA58SZNCBN19       | Long             | EC               | CORP              | DK        |     28443 | NS      | $619347.19    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLKEM LTD                                                | ALLKEM LTD                             | CUSIP: N/A<br>LEI: 2138006SR6M416DVKM86       | Long             | EC               | CORP              | AU        |    110611 | NS      | $1026907.07   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| TECHNOLOGY ONE LIMITED                                    | TECHNOLOGY ONE LIMITED                 | CUSIP: N/A<br>LEI: 875500YEWBJIM91P9N12       | Long             | EC               | CORP              | AU        |     44756 | NS      | $462750.60    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MAZDA MOTOR CORP                                          | MAZDA MOTOR CORP                       | CUSIP: N/A<br>LEI: 52990044YZJLICDQKK92       | Long             | EC               | CORP              | JP        |    110800 | NS      | $881966.52    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| HITACHI LTD                                               | HITACHI LTD                            | CUSIP: N/A<br>LEI: 549300T6IPOCDWLKC615       | Long             | EC               | CORP              | JP        |     50900 | NS      | $2669321.90   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| PERNOD RICARD SA                                          | PERNOD-RICARD                          | CUSIP: N/A<br>LEI: 52990097YFPX9J0H5D87       | Long             | EC               | CORP              | FR        |     37260 | NS      | $7692318.98   | 1.25%             |  |  |  | No            |                  1 | On Loan: No      |
| DIAGEO PLC                                                | DIAGEO PLC                             | CUSIP: N/A<br>LEI: 213800ZVIELEA55JMJ32       | Long             | EC               | CORP              | GB        |    332545 | NS      | $14540899.29  | 2.36%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                           | NORDEA BANK ABP                        | CUSIP: N/A<br>LEI: 529900ODI3047E2LIV03       | Long             | EC               | CORP              | FI        |    609464 | NS      | $7097281.01   | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| ONO PHARMACEUTICAL CO LTD                                 | ONO PHARMACEUTICAL CO LTD              | CUSIP: N/A<br>LEI: 529900G26L4NG4GFJZ86       | Long             | EC               | CORP              | JP        |     87800 | NS      | $1905145.76   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LTD                               | NATIONAL AUSTRALIA BANK LTD            | CUSIP: N/A<br>LEI: F8SB4JFBSYQFRQEH3Z21       | Long             | EC               | CORP              | AU        |    581984 | NS      | $13131968.79  | 2.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BPM SPA                                             | BANCO BPM SPA                          | CUSIP: N/A<br>LEI: 815600E4E6DCD2D25E30       | Long             | EC               | CORP              | IT        |    279607 | NS      | $1254503.79   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| VERALLIA SA                                               | VERALLIA SASU                          | CUSIP: N/A<br>LEI: 529900OAIXD9EIPOBY95       | Long             | EC               | CORP              | FR        |     14669 | NS      | $540298.02    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| INCHCAPE PLC                                              | INCHCAPE PLC                           | CUSIP: N/A<br>LEI: 213800RGEH1MPPNM2T57       | Long             | EC               | CORP              | GB        |     69112 | NS      | $777067.13    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| AB SAGAX                                                  | AB SAGAX                               | CUSIP: N/A<br>LEI: 549300LJX28T6OM8DT95       | Long             | EC               | CORP              | SE        |     33434 | NS      | $828368.78    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| AEROPORTS DE PARIS (ADP)                                  | AEROPORTS DE PARIS                     | CUSIP: N/A<br>LEI: 969500PJMBSFHYC37989       | Long             | EC               | CORP              | FR        |      5113 | NS      | $790710.56    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| INVESTOR AB                                               | INVESTOR AB SER B                      | CUSIP: N/A<br>LEI: 549300VEBQPHRZBKUX38       | Long             | EC               | CORP              | SE        |    442354 | NS      | $8559357.01   | 1.39%             |  |  |  | No            |                  1 | On Loan: No      |
| ASM INTL NV                                               | ASM INTERNATIONAL NV (NETH)            | CUSIP: N/A<br>LEI: 7245001I22ND6ZFHX623       | Long             | EC               | CORP              | NL        |      7105 | NS      | $2380598.67   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| SOJITZ CORPORATION                                        | SOJITZ CORPORATION                     | CUSIP: N/A<br>LEI: 5493004SE33MRLPB1W98       | Long             | EC               | CORP              | JP        |     38300 | NS      | $759348.24    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTRICA PLC                                              | CENTRICA PLC                           | CUSIP: N/A<br>LEI: E26EDV109X6EEPBKVH76       | Long             | EC               | CORP              | GB        |   1090153 | NS      | $1354075.09   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| BAYER AG                                                  | BAYER AG                               | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | EC               | CORP              | DE        |     77552 | NS      | $4827219.22   | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| SHIN ETSU CHEM CO LTD                                     | SHIN-ETSU CHEMICAL CO LTD              | CUSIP: N/A<br>LEI: 353800PX8Q64N86H5W41       | Long             | EC               | CORP              | JP        |     54700 | NS      | $8064046.02   | 1.31%             |  |  |  | No            |                  2 | On Loan: No      |
| TDK CORP                                                  | TDK CORP                               | CUSIP: N/A<br>LEI: 3538005O8WNU39U8NX03       | Long             | EC               | CORP              | JP        |     71700 | NS      | $2561574.34   | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| OLYMPUS CORP                                              | OLYMPUS CORP                           | CUSIP: N/A<br>LEI: 5299000Y52IFDI1I2A21       | Long             | EC               | CORP              | JP        |    237300 | NS      | $4461151.58   | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| KEPPEL CORP LTD                                           | KEPPEL CORP LTD                        | CUSIP: N/A<br>LEI: 254900SQ7IPDOY6IDW33       | Long             | EC               | CORP              | SG        |    257028 | NS      | $1483991.82   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| IMCD NV                                                   | IMCD GROUP BV                          | CUSIP: N/A<br>LEI: 724500NSJPNFJPDAUP02       | Long             | EC               | CORP              | NL        |     10513 | NS      | $1657806.61   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| ASML HOLDING NV                                           | ASML HOLDING NV                        | CUSIP: N/A<br>LEI: 724500Y6DUVHQD6OXN27       | Long             | EC               | CORP              | NL        |      8338 | NS      | $5516816.95   | 0.90%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                  | LLOYDS BANKING GROUP PLC               | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | EC               | CORP              | GB        |  12413472 | NS      | $8078635.83   | 1.31%             |  |  |  | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL NV                                         | CNH INDUSTRIAL NV                      | CUSIP: N/A<br>LEI: 549300WGC2HZ5J67V817       | Long             | EC               | CORP              | NL        |    183804 | NS      | $3227133.67   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                            | MSCI EAFE FUT MAR23 MFSH3              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |        51 | NC      | $267589.82    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| YAMAHA MOTOR CO LTD                                       | YAMAHA MOTOR CO LTD                    | CUSIP: N/A<br>LEI: 3538004LR5NXILJDHY88       | Long             | EC               | CORP              | JP        |     64600 | NS      | $1591142.44   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| IPSOS SA                                                  | IPSOS SA                               | CUSIP: N/A<br>LEI: 9695002OY2X35E9X8W87       | Long             | EC               | CORP              | FR        |      7299 | NS      | $472138.92    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| KUEHNE and NAGEL INTERNATIONAL AG                         | KUEHNE and NAGEL INTL AG REGD          | CUSIP: N/A<br>LEI: 529900Q0YED3805QXQ66       | Long             | EC               | CORP              | CH        |      9372 | NS      | $2227577.50   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCEDES-BENZ GROUP AG                                    | MERCEDES-BENZ GROUP AG                 | CUSIP: N/A<br>LEI: 529900R27DL06UVNT076       | Long             | EC               | CORP              | DE        |    144118 | NS      | $10724112.59  | 1.74%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERPUMP GROUP SPA                                       | INTERPUMP GROUP SPA                    | CUSIP: N/A<br>LEI: 815600C79D0F31F4D395       | Long             | EC               | CORP              | IT        |     15272 | NS      | $793289.18    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| NESTLE SA                                                 | NESTLE SA (REG)                        | CUSIP: N/A<br>LEI: KY37LUS27QQX7BB93L28       | Long             | EC               | CORP              | CH        |     13088 | NS      | $1596854.55   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| NIPPON TELEGRAPH and TELEPHONE CORP                       | NIPPON TELEGRAPH and TELEPHONE         | CUSIP: N/A<br>LEI: 353800VHQU5VIXVUA841       | Long             | EC               | CORP              | JP        |    220600 | NS      | $6614806.60   | 1.08%             |  |  |  | No            |                  2 | On Loan: No      |
| RENESAS ELECTRONICS CORP                                  | RENESAS ELECTRONICS CORP               | CUSIP: N/A<br>LEI: 5299000EPC47VJQOFB81       | Long             | EC               | CORP              | JP        |    259200 | NS      | $2666157.49   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                 | NATWEST GROUP PLC                      | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | EC               | CORP              | GB        |    933538 | NS      | $3561502.44   | 0.58%             |  |  |  | No            |                  2 | On Loan: No      |
| QINETIQ GROUP PLC                                         | QINETIQ GROUP PLC                      | CUSIP: N/A<br>LEI: 213800S8OBDOZMCMUW34       | Long             | EC               | CORP              | GB        |    106842 | NS      | $477880.74    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| HAMAMATSU PHOTONICS KK                                    | HAMAMATSU PHOTONICS                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JP        |     27100 | NS      | $1447961.12   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| DSV A/S                                                   | DSV A/S                                | CUSIP: N/A<br>LEI: 529900X41C0BSLK67H70       | Long             | EC               | CORP              | DK        |     32030 | NS      | $5270694.32   | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| ADDTECH AB                                                | ADDTECH AB CL B                        | CUSIP: N/A<br>LEI: 549300QZ5U2IDRHPWL60       | Long             | EC               | CORP              | SE        |     47924 | NS      | $762560.59    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| BOLLORE SE                                                | BOLLORE SE                             | CUSIP: N/A<br>LEI: 969500LEKCHH6VV86P94       | Long             | EC               | CORP              | FR        |    168763 | NS      | $941204.67    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| TOKIO MARINE HOLDINGS INC                                 | TOKIO MARINE HOLDINGS INC              | CUSIP: N/A<br>LEI: 5299009QN2NZ191KLS29       | Long             | EC               | CORP              | JP        |    376400 | NS      | $7883590.17   | 1.28%             |  |  |  | No            |                  2 | On Loan: No      |
| HIROSE ELECTRIC CO LTD                                    | HIROSE ELECTRIC CO LTD                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JP        |      5800 | NS      | $755068.91    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| NIBE INDUSTRIER AB                                        | NIBE INDUSTRIER AB B SHS               | CUSIP: N/A<br>LEI: 549300ZQH0FIF1P0MX67       | Long             | EC               | CORP              | SE        |    282957 | NS      | $3039915.37   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| ORION OYJ                                                 | ORION OYJ (NEW) B                      | CUSIP: N/A<br>LEI: 74370029VAHCXDR7B745       | Long             | EC               | CORP              | FI        |     19729 | NS      | $1055045.93   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| WHITEHAVEN COAL LTD                                       | WHITEHAVEN COAL LTD                    | CUSIP: N/A<br>LEI: 529900WCZ4I6ZO3RRP86       | Long             | EC               | CORP              | AU        |    171511 | NS      | $1019828.93   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| EPIROC AB                                                 | EPIROC AB CL A                         | CUSIP: N/A<br>LEI: 5493004Q73OEYW1SPE91       | Long             | EC               | CORP              | SE        |    178921 | NS      | $3481225.18   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGESTONE CORP                                          | BRIDGESTONE CORP                       | CUSIP: N/A<br>LEI: 549300DHPOF90OYYD780       | Long             | EC               | CORP              | JP        |    112100 | NS      | $4185050.68   | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| ISETAN MITSUKOSHI HOLDINGS LTD                            | ISETAN MITSUKOSHI HOLDINGS LTD         | CUSIP: N/A<br>LEI: 529900SY5RZO92EFG035       | Long             | EC               | CORP              | JP        |     73200 | NS      | $796469.70    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                          | DEUTSCHE BANK AG                       | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | EC               | CORP              | DE        |    381391 | NS      | $5061793.58   | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE AIRLINES LTD                                    | SINGAPORE AIRLINES LTD (LOC)           | CUSIP: N/A<br>LEI: 549300ZG62N2599PWR15       | Long             | EC               | CORP              | SG        |    240900 | NS      | $1089317.67   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| INDIVIOR PLC                                              | INDIVIOR PLC                           | CUSIP: N/A<br>LEI: 213800V3NCQTY7IED471       | Long             | EC               | CORP              | GB        |     25272 | NS      | $605995.58    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer