Form N-CSR FIDELITY SALEM STREET For: Jul 31

September 21, 2021 11:03 AM EDT

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES


Investment Company Act file number   811-02105


Fidelity Salem Street Trust

 (Exact name of registrant as specified in charter)


245 Summer St., Boston, Massachusetts 02210

 (Address of principal executive offices)       (Zip code)


Cynthia Lo Bessette, Secretary

245 Summer St.

Boston, Massachusetts  02210

(Name and address of agent for service)



Registrant's telephone number, including area code:

617-563-7000



Date of fiscal year end:

July 31



Date of reporting period:

July 31, 2021




Item 1.

Reports to Stockholders





Fidelity® Real Estate Index Fund



Annual Report

July 31, 2021

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended July 31, 2021 Past 1 year Past 5 years Life of fundA 
Fidelity® Real Estate Index Fund 39.73% 4.91% 9.58% 

 A From September 8, 2011

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® Real Estate Index Fund on September 8, 2011, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the MSCI US IMI Real Estate 25/25 Index, the Dow Jones U.S. Select Real Estate Securities Index℠, and the Fidelity Real Estate Linked Index performed over the same period.


Period Ending Values

$24,748Fidelity® Real Estate Index Fund

$29,438MSCI US IMI Real Estate 25/25 Index

$25,423Dow Jones U.S. Select Real Estate Securities Index℠

$24,947Fidelity Real Estate Linked Index

Effective December 1, 2020, the fund's benchmark changed from the Dow Jones U.S. Select Real Estate Securities IndexSM to the MSCI US IMI Real Estate 25/25 Index.

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.

Comments from the Geode Capital Management, LLC, passive equity index team:  For the fiscal year ending July 31, 2021, the fund gained 39.73%, compared with the 36.79% advance of the benchmark MSCI US IMI Real Estate 25/25 index. By segment, apartment real estate investment trusts (REITs) rose roughly 58% and contributed most, followed by real-estate related firms, which were up 39%, and self-storage REITs (+68%). Additionally, the health care group advanced 46%, industrial REITs gained 19% and strip centers rose 75%. Other notable contributors included malls (+110%), hotels (+84%), office REITs (+25%), other retail REITs (+49%) and specialty REITs (+29%). Turning to individual stocks, the top contributor was American Tower (+24%), within the real-estate related segment. In malls, Simon Property Group (+115%) was helpful while Public Storage (+61%) from the self-storage industry also contributed. Welltower, within the health care category, rose approximately 68% and added value, as did Prologis (+24%) within the industrial group. Conversely, the biggest individual detractor was Digital Realty Trust (-1%), from the mixed industrial/office segment, followed by Americold Realty Trust (-2%), which is in the industrial category. Within the real-estate related group, GEO Group returned roughly -25% and further weighed on the portfolio’s return. Other detractors included Equity Commonwealth (-6%), a stock in the office group, and Washington Prime (-70%), from the other retail segment.

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

Note to shareholders:   On December 1, 2020, the fund's SEC benchmark changed from the Dow Jones U.S. Select Real Estate Securities Index to the MSCI US IMI Real Estate 25/25 Index, which is broader and better reflects the investment opportunities in the real estate market.

Investment Summary (Unaudited)

Top Ten Stocks as of July 31, 2021

 % of fund's net assets 
American Tower Corp. 8.1 
Prologis (REIT), Inc. 6.1 
Crown Castle International Corp. 5.1 
Equinix, Inc. 4.2 
Public Storage 3.2 
Simon Property Group, Inc. 2.7 
Digital Realty Trust, Inc. 2.7 
SBA Communications Corp. Class A 2.5 
Welltower, Inc. 2.4 
CBRE Group, Inc. 2.1 
 39.1 

Top Five REIT Sectors as of July 31, 2021

 % of fund's net assets 
REITs - Diversified 23.7 
REITs - Apartments 12.1 
REITs - Management/Investment 12.0 
REITs - Warehouse/Industrial 9.0 
REITs - Health Care 7.8 

Asset Allocation (% of fund's net assets)

As of July 31, 2021* 
   Stocks and Equity Futures 100.0% 


 * Foreign Investments - 0.2%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

Common Stocks - 99.7%   
 Shares Value 
Equity Real Estate Investment Trusts (REITs) - 95.0%   
REITs - Apartments - 12.1%   
American Campus Communities, Inc. 270,397 $13,603,673 
American Homes 4 Rent Class A 544,541 22,870,722 
Apartment Investment & Management Co. Class A 296,813 2,065,818 
AvalonBay Communities, Inc. 270,439 61,614,117 
Camden Property Trust (SBI) 189,407 28,295,512 
Centerspace 25,108 2,259,720 
Equity Residential (SBI) 718,624 60,457,837 
Essex Property Trust, Inc. 127,629 41,875,075 
Independence Realty Trust, Inc. 220,423 4,249,755 
Invitation Homes, Inc. 1,091,048 44,383,833 
Mid-America Apartment Communities, Inc. 223,218 43,103,340 
UDR, Inc. 577,657 31,765,358 
  356,544,760 
REITs - Diversified - 23.7%   
Alexander & Baldwin, Inc. 156,297 3,129,066 
American Finance Trust, Inc. 247,609 2,097,248 
Apartment Income (REIT) Corp. 298,466 15,711,250 
Apple Hospitality (REIT), Inc. 448,529 6,705,509 
Armada Hoffler Properties, Inc. 147,851 1,922,063 
Broadstone Net Lease, Inc. (a) 27,297 710,268 
CatchMark Timber Trust, Inc. 143,274 1,674,873 
CorePoint Lodging, Inc. (b) 141,998 1,908,453 
Cousins Properties, Inc. 298,640 11,861,981 
Crown Castle International Corp. 782,592 151,110,689 
Digital Realty Trust, Inc. 514,301 79,284,642 
Digitalbridge Group, Inc. (a)(b) 1,040,698 7,243,258 
Duke Realty Corp. 724,855 36,880,622 
EPR Properties 154,812 7,787,044 
Equinix, Inc. 150,745 123,672,705 
Gaming & Leisure Properties 420,242 19,894,256 
Gladstone Commercial Corp. 77,127 1,787,804 
Gladstone Land Corp. 29,500 687,940 
Global Net Lease, Inc. 178,271 3,292,665 
Lamar Advertising Co. Class A 174,006 18,549,040 
NexPoint Residential Trust, Inc. 45,886 2,704,980 
One Liberty Properties, Inc. 48,453 1,482,177 
Outfront Media, Inc. (b) 313,137 7,480,843 
Potlatch Corp. 145,143 7,538,727 
Preferred Apartment Communities, Inc. Class A 108,924 1,148,059 
PS Business Parks, Inc. 43,041 6,614,110 
Safehold, Inc. 32,012 2,891,324 
SBA Communications Corp. Class A 215,094 73,344,903 
Store Capital Corp. 475,825 17,220,107 
The GEO Group, Inc. (a) 244,673 1,693,137 
Uniti Group, Inc. 407,288 4,769,342 
VICI Properties, Inc. (a) 936,687 29,215,268 
Vornado Realty Trust 322,519 14,029,577 
Washington REIT (SBI) 160,086 3,888,489 
WP Carey, Inc. 337,122 27,202,374 
  697,134,793 
REITs - Health Care - 7.8%   
CareTrust (REIT), Inc. 209,907 5,062,957 
Community Healthcare Trust, Inc. 55,210 2,751,114 
Diversified Healthcare Trust (SBI) 539,148 2,102,677 
Global Medical REIT, Inc. 149,811 2,331,059 
Healthcare Realty Trust, Inc. 268,290 8,553,085 
Healthcare Trust of America, Inc. 425,583 12,167,418 
Healthpeak Properties, Inc. 988,100 36,530,057 
LTC Properties, Inc. 76,158 2,882,580 
Medical Properties Trust, Inc. 1,120,818 23,570,803 
New Senior Investment Group, Inc. 252,082 2,324,196 
Physicians Realty Trust 397,651 7,535,486 
Sabra Health Care REIT, Inc. 425,829 7,916,161 
Universal Health Realty Income Trust (SBI) 29,831 1,782,402 
Ventas, Inc. 724,942 43,337,033 
Welltower, Inc. 805,852 69,996,305 
  228,843,333 
REITs - Health Care Facilities - 0.8%   
National Health Investors, Inc. 89,999 6,140,632 
Omega Healthcare Investors, Inc. 443,133 16,076,865 
  22,217,497 
REITs - Hotels - 2.8%   
Chatham Lodging Trust (b) 129,501 1,590,272 
DiamondRock Hospitality Co. (b) 443,964 3,822,530 
Host Hotels & Resorts, Inc. (b) 1,386,599 22,088,522 
MGM Growth Properties LLC 305,267 11,539,093 
Park Hotels & Resorts, Inc. (b) 481,603 8,909,656 
Pebblebrook Hotel Trust 279,065 6,276,172 
RLJ Lodging Trust 359,307 5,156,055 
Ryman Hospitality Properties, Inc. (b) 109,132 8,370,424 
Service Properties Trust 364,449 4,056,317 
Summit Hotel Properties, Inc. (b) 258,616 2,330,130 
Sunstone Hotel Investors, Inc. (b) 457,713 5,282,008 
Xenia Hotels & Resorts, Inc. (b) 252,124 4,457,552 
  83,878,731 
REITs - Industrial Buildings - 0.4%   
Stag Industrial, Inc. 304,457 12,580,163 
REITs - Management/Investment - 12.0%   
American Assets Trust, Inc. 114,248 4,219,179 
American Tower Corp. 842,160 238,162,851 
CoreSite Realty Corp. 74,164 10,250,206 
Empire State Realty Trust, Inc. 324,382 3,707,686 
iStar Financial, Inc. (a) 172,968 4,191,015 
Lexington Corporate Properties Trust 512,513 6,739,546 
National Retail Properties, Inc. 343,777 16,800,382 
Rayonier, Inc. 261,235 9,851,172 
Retail Properties America, Inc. 464,036 5,851,494 
UMH Properties, Inc. 103,313 2,405,127 
Weyerhaeuser Co. 1,463,283 49,356,536 
  351,535,194 
REITs - Manufactured Homes - 2.2%   
Equity Lifestyle Properties, Inc. 340,227 28,511,023 
Sun Communities, Inc. 185,748 36,427,040 
  64,938,063 
REITs - Office Buildings - 0.6%   
CyrusOne, Inc. 229,681 16,369,365 
Office Properties Income Trust 98,825 2,863,949 
  19,233,314 
REITs - Office Property - 7.0%   
Alexandria Real Estate Equities, Inc. 241,566 48,636,898 
Boston Properties, Inc. 290,430 34,090,673 
Brandywine Realty Trust (SBI) 374,813 5,232,389 
City Office REIT, Inc. 131,034 1,686,408 
Columbia Property Trust, Inc. 229,718 3,829,399 
Corporate Office Properties Trust (SBI) 232,053 6,831,640 
Douglas Emmett, Inc. 333,696 11,145,446 
Easterly Government Properties, Inc. 152,011 3,450,650 
Equity Commonwealth 196,365 5,162,436 
Franklin Street Properties Corp. 256,810 1,340,548 
Highwoods Properties, Inc. (SBI) 213,432 10,178,572 
Hudson Pacific Properties, Inc. 307,809 8,390,873 
JBG SMITH Properties 233,368 7,614,798 
Kilroy Realty Corp. 207,648 14,383,777 
Mack-Cali Realty Corp. 179,855 3,237,390 
Paramount Group, Inc. 361,500 3,528,240 
Piedmont Office Realty Trust, Inc. Class A 258,488 4,916,442 
SL Green Realty Corp. 147,899 11,012,560 
VEREIT, Inc. 433,628 21,234,763 
  205,903,902 
REITs - Regional Malls - 3.0%   
Simon Property Group, Inc. 635,207 80,366,390 
Tanger Factory Outlet Centers, Inc. (a) 215,810 3,705,458 
The Macerich Co. 250,113 4,076,842 
  88,148,690 
REITs - Shopping Centers - 5.4%   
Acadia Realty Trust (SBI) 183,851 3,934,411 
Alexanders, Inc. 4,423 1,233,309 
Brixmor Property Group, Inc. 605,813 13,945,815 
Federal Realty Investment Trust (SBI) 144,798 17,018,109 
Kimco Realty Corp. 872,806 18,616,952 
Kite Realty Group Trust 203,227 4,097,056 
Realty Income Corp. 652,920 45,893,747 
Regency Centers Corp. 334,753 21,896,194 
Retail Opportunity Investments Corp. 266,798 4,714,321 
RPT Realty 211,273 2,691,618 
Saul Centers, Inc. 37,057 1,689,799 
Seritage Growth Properties (b) 99,192 1,574,177 
SITE Centers Corp. 355,366 5,636,105 
Urban Edge Properties 263,733 5,010,927 
Urstadt Biddle Properties, Inc. Class A 75,561 1,440,948 
Weingarten Realty Investors (SBI) 256,500 8,256,735 
  157,650,223 
REITs - Single Tenant - 1.1%   
Agree Realty Corp. 95,287 7,160,818 
Essential Properties Realty Trust, Inc. 221,858 6,611,368 
Four Corners Property Trust, Inc. 151,622 4,353,068 
Getty Realty Corp. 75,667 2,390,321 
NETSTREIT Corp. 53,354 1,384,536 
Spirit Realty Capital, Inc. 208,248 10,458,215 
  32,358,326 
REITs - Storage - 7.1%   
CubeSmart 385,161 19,127,095 
Extra Space Storage, Inc. 252,253 43,927,337 
Iron Mountain, Inc. 565,725 24,756,126 
Life Storage, Inc. 139,808 16,407,867 
National Storage Affiliates Trust 168,013 9,101,264 
Public Storage 303,471 94,828,618 
  208,148,307 
REITs - Warehouse/Industrial - 9.0%   
Americold Realty Trust 400,323 15,552,549 
EastGroup Properties, Inc. 80,818 14,241,748 
First Industrial Realty Trust, Inc. 256,936 14,074,954 
Industrial Logistics Properties Trust 141,774 3,842,075 
Monmouth Real Estate Investment Corp. Class A 192,168 3,658,879 
Prologis (REIT), Inc. 1,392,765 178,329,631 
QTS Realty Trust, Inc. Class A 115,880 9,005,035 
Rexford Industrial Realty, Inc. 240,908 14,820,660 
Terreno Realty Corp. 142,957 9,772,541 
  263,298,072 
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS)  2,792,413,368 
Real Estate Management & Development - 4.7%   
Diversified Real Estate Activities - 0.2%   
Five Point Holdings LLC Class A (b) 155,898 1,304,866 
The RMR Group, Inc. 36,465 1,430,887 
The St. Joe Co. 74,853 3,388,595 
  6,124,348 
Real Estate Development - 0.3%   
Forestar Group, Inc. (b) 56,191 1,150,230 
Howard Hughes Corp. (b) 81,675 7,572,089 
  8,722,319 
Real Estate Operating Companies - 0.2%   
FRP Holdings, Inc. (b) 8,216 494,028 
Kennedy-Wilson Holdings, Inc. 240,755 4,860,843 
  5,354,871 
Real Estate Services - 4.0%   
CBRE Group, Inc. (b) 652,673 62,956,838 
Cushman & Wakefield PLC (b) 247,127 4,613,861 
eXp World Holdings, Inc. (a) 121,053 4,348,224 
Jones Lang LaSalle, Inc. (b) 101,443 22,578,169 
Marcus & Millichap, Inc. (b) 50,242 1,999,129 
Newmark Group, Inc. 363,086 4,676,548 
Opendoor Technologies, Inc. (b) 58,660 869,341 
RE/MAX Holdings, Inc. 44,080 1,511,944 
Realogy Holdings Corp. (b) 251,388 4,454,595 
Redfin Corp. (a)(b) 186,985 10,951,711 
  118,960,360 
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT  139,161,898 
TOTAL COMMON STOCKS   
(Cost $2,240,453,716)  2,931,575,266 
Money Market Funds - 1.5%   
Fidelity Cash Central Fund 0.06% (c) 11,339,070 11,341,337 
Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) 32,714,364 32,717,636 
TOTAL MONEY MARKET FUNDS   
(Cost $44,058,973)  44,058,973 
TOTAL INVESTMENT IN SECURITIES - 101.2%   
(Cost $2,284,512,689)  2,975,634,239 
NET OTHER ASSETS (LIABILITIES) - (1.2)%  (36,019,546) 
NET ASSETS - 100%  $2,939,614,693 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Equity Index Contracts      
CBOT Dow Jones U.S. Real Estate Index Contracts (United States) 126 Sept. 2021 $5,229,000 $85,718 $85,718 
CME E-mini S&P MidCap 400 Index Contracts (United States) 11 Sept. 2021 2,968,570 145,537 145,537 
TOTAL FUTURES CONTRACTS     $231,255 

The notional amount of futures purchased as a percentage of Net Assets is 0.3%

Legend

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

 (b) Non-income producing

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

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

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund Income earned 
Fidelity Cash Central Fund $5,043 
Fidelity Securities Lending Cash Central Fund 169,832 
Total $174,875 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

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

Fund Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.06% $-- $530,258,989 $518,918,214 $562 $-- $11,341,337 0.0% 
Fidelity Securities Lending Cash Central Fund 0.06% 18,543,381 171,487,341 157,313,086 -- -- 32,717,636 0.1% 
Total $18,543,381 $701,746,330 $676,231,300 $562 $-- $44,058,973  

Investment Valuation

The following is a summary of the inputs used, as of July 31, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Common Stocks $2,931,575,266 $2,931,575,266 $-- $-- 
Money Market Funds 44,058,973 44,058,973 -- -- 
Total Investments in Securities: $2,975,634,239 $2,975,634,239 $-- $-- 
Derivative Instruments:     
Assets     
Futures Contracts $231,255 $231,255 $-- $-- 
Total Assets $231,255 $231,255 $-- $-- 
Total Derivative Instruments: $231,255 $231,255 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Equity Risk   
Futures Contracts(a) $231,255 $0 
Total Equity Risk 231,255 
Total Value of Derivatives $231,255 $0 

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

See accompanying notes which are an integral part of the financial statements.


Financial Statements

Statement of Assets and Liabilities

  July 31, 2021 
Assets   
Investment in securities, at value (including securities loaned of $31,846,728) — See accompanying schedule:
Unaffiliated issuers (cost $2,240,453,716) 
$2,931,575,266  
Fidelity Central Funds (cost $44,058,973) 44,058,973  
Total Investment in Securities (cost $2,284,512,689)  $2,975,634,239 
Segregated cash with brokers for derivative instruments  681,300 
Receivable for fund shares sold  3,156,026 
Dividends receivable  1,530,403 
Distributions receivable from Fidelity Central Funds  2,342 
Total assets  2,981,004,310 
Liabilities   
Payable for investments purchased $7,012,069  
Payable for fund shares redeemed 1,498,081  
Accrued management fee 168,510  
Payable for daily variation margin on futures contracts 3,357  
Collateral on securities loaned 32,707,600  
Total liabilities  41,389,617 
Net Assets  $2,939,614,693 
Net Assets consist of:   
Paid in capital  $2,454,222,875 
Total accumulated earnings (loss)  485,391,818 
Net Assets  $2,939,614,693 
Net Asset Value, offering price and redemption price per share ($2,939,614,693 ÷ 159,444,513 shares)  $18.44 

See accompanying notes which are an integral part of the financial statements.


Statement of Operations

  Year ended July 31, 2021 
Investment Income   
Dividends  $62,028,945 
Income from Fidelity Central Funds (including $169,832 from security lending)  174,875 
Total income  62,203,820 
Expenses   
Management fee $1,672,695  
Independent trustees' fees and expenses 6,526  
Interest 1,923  
Miscellaneous 1,078  
Total expenses  1,682,222 
Net investment income (loss)  60,521,598 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (77,502,264)  
Fidelity Central Funds 562  
Futures contracts 5,289,392  
Total net realized gain (loss)  (72,212,310) 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 832,844,983  
Futures contracts 70,668  
Total change in net unrealized appreciation (depreciation)  832,915,651 
Net gain (loss)  760,703,341 
Net increase (decrease) in net assets resulting from operations  $821,224,939 

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets

 Year ended July 31, 2021 Year ended July 31, 2020 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $60,521,598 $74,539,716 
Net realized gain (loss) (72,212,310) (138,944,093) 
Change in net unrealized appreciation (depreciation) 832,915,651 (345,669,088) 
Net increase (decrease) in net assets resulting from operations 821,224,939 (410,073,465) 
Distributions to shareholders (63,006,932) (83,652,157) 
Share transactions   
Proceeds from sales of shares 886,460,485 995,506,925 
Reinvestment of distributions 56,453,099 74,858,894 
Cost of shares redeemed (844,105,696) (750,546,568) 
Net increase (decrease) in net assets resulting from share transactions 98,807,888 319,819,251 
Total increase (decrease) in net assets 857,025,895 (173,906,371) 
Net Assets   
Beginning of period 2,082,588,798 2,256,495,169 
End of period $2,939,614,693 $2,082,588,798 
Other Information   
Shares   
Sold 57,934,745 66,698,457 
Issued in reinvestment of distributions 4,009,622 4,516,826 
Redeemed (55,837,169) (52,070,823) 
Net increase (decrease) 6,107,198 19,144,460 

See accompanying notes which are an integral part of the financial statements.


Financial Highlights

Fidelity Real Estate Index Fund

      
Years ended July 31, 2021 2020 2019 2018 2017 
Selected Per–Share Data      
Net asset value, beginning of period $13.58 $16.82 $15.76 $15.70 $17.28 
Income from Investment Operations      
Net investment income (loss)A .39 .51 .53 .46 .39 
Net realized and unrealized gain (loss) 4.88 (3.15) 1.13 .13 (1.37) 
Total from investment operations 5.27 (2.64) 1.66 .59 (.98) 
Distributions from net investment income (.41) (.47) (.50) (.44) (.39) 
Distributions from net realized gain – (.13) (.10) (.09) (.21) 
Total distributions (.41) (.60) (.60) (.53) (.60) 
Redemption fees added to paid in capitalA – – – B B 
Net asset value, end of period $18.44 $13.58 $16.82 $15.76 $15.70 
Total ReturnC 39.73% (16.34)% 10.84% 3.90% (5.61)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .07% .07% .07% .07% .07% 
Expenses net of fee waivers, if any .07% .07% .07% .07% .07% 
Expenses net of all reductions .07% .07% .07% .07% .07% 
Net investment income (loss) 2.53% 3.32% 3.33% 3.12% 2.49% 
Supplemental Data      
Net assets, end of period (000 omitted) $2,939,615 $2,082,589 $2,256,495 $380,099 $45,866 
Portfolio turnover rateF 44% 26% 10% 6% 8% 

 A Calculated based on average shares outstanding during the period.

 B Amount represents less than $.005 per share.

 C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

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

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements

For the period ended July 31, 2021

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% to .01%. 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

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

3. Significant Accounting Policies.

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

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, 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.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2021 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain.

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to futures contracts, capital loss carryforwards, losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $765,207,655 
Gross unrealized depreciation (84,510,773) 
Net unrealized appreciation (depreciation) $680,696,882 
Tax Cost $2,294,937,357 

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

Undistributed ordinary income $2,223,655 
Capital loss carryforward $(197,528,720) 
Net unrealized appreciation (depreciation) on securities and other investments $680,696,882 

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

No expiration  
Short-term $(65,337,847) 
Long-term  (132,190,873) 
Total capital loss carryforward $(197,528,720) 

The tax character of distributions paid was as follows:

 July 31, 2021 July 31, 2020 
Ordinary Income $63,006,932 $ 68,573,048 
Long-term Capital Gains – 15,079,109 
Total $63,006,932 $ 83,652,157 

4. Derivative Instruments.

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

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

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

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.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

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

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

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

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

5. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Fidelity Real Estate Index Fund 1,162,503,315 1,032,338,683 

6. Fees and Other Transactions with Affiliates.

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

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

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

 Borrower or Lender Average Loan Balance Weighted Average Interest Rate Interest Expense 
Fidelity Real Estate Index Fund Borrower $15,690,786 .32% $1,923 

Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. Effective during January 2021, commitment fees are borne by the investment adviser. During the period, there were no borrowings on this line of credit.

 Amount 
Fidelity Real Estate Index Fund $1,078 

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

 Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End 
Fidelity Real Estate Index Fund $22,829 $1,332 $– 

9. Other.

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

10. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Real Estate Index Fund

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity Real Estate Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2021, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2021, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

September 13, 2021


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

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 283 funds. Mr. Chiel oversees 176 funds. 

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

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

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

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

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

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

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

Interested Trustees*:

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

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

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

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

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

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

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

Independent Trustees:

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

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

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

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

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

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

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

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

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

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

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

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

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

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

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

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

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

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

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

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

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 Annualized Expense Ratio-A Beginning
Account Value
February 1, 2021 
Ending
Account Value
July 31, 2021 
Expenses Paid
During Period-B
February 1, 2021
to July 31, 2021 
Fidelity Real Estate Index Fund .07%    
Actual  $1,000.00 $1,269.30 $.39 
Hypothetical-C  $1,000.00 $1,024.45 $.35 

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

 B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

The fund designates 59% of the dividends distributed in March and June during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 1%, 1%, 74%, and 74% of the dividends distributed in September, December, March, and June, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund designates 56%, 99%, 27%, and 27% of the dividends distributed in September, December, March, and June, respectively during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

URX-I-ANN-0921
1.929343.109


Fidelity® SAI Small-Mid Cap 500 Index Fund

Offered exclusively to certain clients of the Adviser or its affiliates - 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 LLC.



Annual Report

July 31, 2021

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts

Liquidity Risk Management Program


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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended July 31, 2021 Past 1 year Past 5 years Life of fundA 
Fidelity® SAI Small-Mid Cap 500 Index Fund 46.99% 15.05% 13.06% 

 A From August 12, 2015

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® SAI Small-Mid Cap 500 Index Fund on August 12, 2015, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Russell SMID 500™ Index performed over the same period.


Period Ending Values

$20,812Fidelity® SAI Small-Mid Cap 500 Index Fund

$20,895Russell SMID 500™ Index

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.

Comments from the Geode Capital Management, LLC, passive equity index team:  For the fiscal year ending July 31, 2021, the fund gained 46.99%, roughly in line with the 47.08% advance of the benchmark Russell SMID 500 Index. By sector, information technology gained 47% and contributed most, followed by industrials (+54%) and financials (+57%). The consumer discretionary sector rose about 58%, real estate gained 43%, and health care advanced 31%. Other notable contributors included materials (+55%), energy (+79%), communication services (+38%), consumer staples (+18%), and utilities (+17%) stocks. Turning to individual holdings, the top contributor was Generac Holdings (+151%), from the capital goods segment. In health care equipment & services, Novocure (+194%) added value, as did HubSpot (+149%) from the software & services category. Enphase Energy, within the semiconductors & semiconductor equipment group, rose approximately 208% and further contributed, along with Ally Financial (+157%) within the diversified financials industry. Conversely, the biggest individual detractor was Sarepta Therapeutics (-56%), from the pharmaceuticals, biotechnology & life sciences industry. In software & services, Alteryx (-56%) and Fastly (-50%) hurt as well. Shares of Quidel, in the health care equipment & services segment, returned about -51% and further hindered the fund. Another key detractor was GameStop (-23%), a stock in the retailing category.

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

Investment Summary (Unaudited)

Top Five Stocks as of July 31, 2021

 % of fund's net assets 
Enphase Energy, Inc. 0.7 
Avantor, Inc. 0.6 
PerkinElmer, Inc. 0.6 
Charles River Laboratories International, Inc. 0.5 
Monolithic Power Systems, Inc. 0.5 
 2.9 

Top Five Market Sectors as of July 31, 2021

 % of fund's net assets 
Information Technology 18.7 
Industrials 17.1 
Consumer Discretionary 13.3 
Financials 12.7 
Health Care 11.5 

Asset Allocation (% of fund's net assets)

As of July 31, 2021* 
   Stocks and Equity Futures 100.0% 


 * Foreign investments - 5.6%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

Common Stocks - 99.8%   
 Shares Value 
COMMUNICATION SERVICES - 2.4%   
Entertainment - 0.6%   
Madison Square Garden Sports Corp. (a) 5,501 $895,233 
Playtika Holding Corp. 22,193 493,350 
Skillz, Inc. (a)(b) 85,855 1,208,838 
World Wrestling Entertainment, Inc. Class A 12,969 640,409 
Zynga, Inc. (a) 291,926 2,948,453 
  6,186,283 
Interactive Media & Services - 0.2%   
TripAdvisor, Inc. (a) 28,687 1,088,672 
Vimeo, Inc. (a) 36,630 1,641,024 
  2,729,696 
Media - 1.6%   
Cable One, Inc. 1,577 2,977,360 
Interpublic Group of Companies, Inc. 114,538 4,050,064 
Liberty Media Corp.:   
Liberty Formula One Group Series C (a) 57,932 2,718,749 
Liberty Media Class A (a) 7,301 302,699 
News Corp.:   
Class A 113,660 2,799,446 
Class B 35,677 838,766 
Nexstar Broadcasting Group, Inc. Class A 12,034 1,769,840 
The New York Times Co. Class A 48,227 2,111,378 
  17,568,302 
TOTAL COMMUNICATION SERVICES  26,484,281 
CONSUMER DISCRETIONARY - 13.3%   
Auto Components - 0.9%   
BorgWarner, Inc. 70,009 3,429,041 
Gentex Corp. 70,601 2,402,552 
Lear Corp. 17,544 3,069,849 
QuantumScape Corp. Class A (a)(b) 33,903 776,718 
  9,678,160 
Automobiles - 0.3%   
Harley-Davidson, Inc. 44,755 1,773,193 
Thor Industries, Inc. 15,557 1,841,327 
  3,614,520 
Distributors - 0.5%   
Pool Corp. 11,377 5,436,158 
Diversified Consumer Services - 1.4%   
Bright Horizons Family Solutions, Inc. (a) 17,763 2,655,569 
Chegg, Inc. (a) 40,962 3,630,462 
Frontdoor, Inc. (a) 25,004 1,223,696 
Grand Canyon Education, Inc. (a) 13,370 1,234,987 
H&R Block, Inc. 52,951 1,299,947 
Service Corp. International 47,832 2,989,022 
Terminix Global Holdings, Inc. (a) 37,502 1,968,855 
  15,002,538 
Hotels, Restaurants & Leisure - 2.4%   
ARAMARK Holdings Corp. 66,979 2,352,972 
Boyd Gaming Corp. (a) 24,004 1,368,228 
Choice Hotels International, Inc. 10,153 1,217,345 
Churchill Downs, Inc. 10,775 2,001,995 
Hyatt Hotels Corp. Class A (a) 11,796 942,147 
Marriott Vacations Worldwide Corp. (a) 12,170 1,793,493 
Norwegian Cruise Line Holdings Ltd. (a)(b) 107,930 2,593,558 
Penn National Gaming, Inc. (a) 45,614 3,119,085 
Planet Fitness, Inc. (a) 24,345 1,831,474 
Six Flags Entertainment Corp. (a) 22,486 934,293 
Travel+Leisure Co. 24,705 1,279,719 
Vail Resorts, Inc. (a) 11,662 3,559,242 
Wendy's Co. 51,950 1,205,760 
Wyndham Hotels & Resorts, Inc. 26,799 1,931,136 
  26,130,447 
Household Durables - 1.7%   
Leggett & Platt, Inc. 38,861 1,866,494 
Mohawk Industries, Inc. (a) 16,525 3,220,723 
Newell Brands, Inc. 111,136 2,750,616 
PulteGroup, Inc. 76,538 4,199,640 
Tempur Sealy International, Inc. 53,177 2,300,969 
Toll Brothers, Inc. 32,841 1,946,486 
TopBuild Corp. (a) 9,642 1,954,337 
  18,239,265 
Internet & Direct Marketing Retail - 0.1%   
Qurate Retail, Inc. Series A 108,362 1,285,173 
Leisure Products - 0.9%   
Brunswick Corp. 22,741 2,374,160 
Hayward Holdings, Inc. (b) 11,183 269,398 
Mattel, Inc. (a) 101,894 2,213,138 
Polaris, Inc. 16,851 2,208,661 
YETI Holdings, Inc. (a) 24,994 2,407,672 
  9,473,029 
Multiline Retail - 0.5%   
Kohl's Corp. 45,763 2,324,760 
Nordstrom, Inc. (a)(b) 32,217 1,066,383 
Ollie's Bargain Outlet Holdings, Inc. (a)(b) 19,076 1,775,976 
  5,167,119 
Specialty Retail - 2.7%   
AutoNation, Inc. (a) 14,801 1,795,805 
Dick's Sporting Goods, Inc. 18,375 1,913,573 
Five Below, Inc. (a) 16,102 3,130,551 
Floor & Decor Holdings, Inc. Class A (a) 29,739 3,628,455 
Foot Locker, Inc. 26,168 1,493,146 
GameStop Corp. Class A (a)(b) 17,283 2,784,637 
Gap, Inc. 58,684 1,711,812 
Leslie's, Inc. (b) 31,775 773,721 
Lithia Motors, Inc. Class A (sub. vtg.) 8,454 3,189,018 
Penske Automotive Group, Inc. 9,273 821,588 
Petco Health & Wellness Co., Inc. (b) 21,757 448,847 
RH (a) 5,013 3,329,033 
Vroom, Inc. (a)(b) 33,560 1,243,062 
Williams-Sonoma, Inc. 21,882 3,319,499 
  29,582,747 
Textiles, Apparel & Luxury Goods - 1.9%   
Capri Holdings Ltd. (a) 43,162 2,430,452 
Carter's, Inc. 12,553 1,226,930 
Columbia Sportswear Co. 11,640 1,159,577 
Deckers Outdoor Corp. (a) 8,146 3,346,784 
Hanesbrands, Inc. 101,457 1,852,605 
PVH Corp. (a) 20,754 2,171,283 
Ralph Lauren Corp. 13,794 1,565,895 
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) 38,497 2,066,519 
Tapestry, Inc. (a) 81,557 3,449,861 
Under Armour, Inc.:   
Class A (sub. vtg.) (a) 54,970 1,124,137 
Class C (non-vtg.) (a) 57,977 1,015,757 
  21,409,800 
TOTAL CONSUMER DISCRETIONARY  145,018,956 
CONSUMER STAPLES - 2.9%   
Beverages - 0.2%   
Boston Beer Co., Inc. Class A (a) 2,724 1,934,040 
Food & Staples Retailing - 0.6%   
Albertsons Companies, Inc. (b) 45,260 977,616 
Casey's General Stores, Inc. 10,785 2,132,302 
Grocery Outlet Holding Corp. (a)(b) 25,470 843,566 
U.S. Foods Holding Corp. (a) 64,583 2,217,780 
  6,171,264 
Food Products - 1.8%   
Beyond Meat, Inc. (a)(b) 16,749 2,055,102 
Bunge Ltd. 40,164 3,117,931 
Darling Ingredients, Inc. (a) 47,217 3,261,278 
Flowers Foods, Inc. 54,646 1,287,460 
Freshpet, Inc. (a) 11,932 1,747,441 
Ingredion, Inc. 19,612 1,722,130 
Lamb Weston Holdings, Inc. 42,669 2,849,009 
Pilgrim's Pride Corp. (a) 13,858 306,955 
Post Holdings, Inc. (a)(b) 17,194 1,759,634 
Seaboard Corp. 73 300,030 
The Hain Celestial Group, Inc. (a) 24,427 974,882 
  19,381,852 
Household Products - 0.1%   
Reynolds Consumer Products, Inc. 15,840 450,648 
Spectrum Brands Holdings, Inc. 12,204 1,066,019 
  1,516,667 
Personal Products - 0.2%   
Coty, Inc. Class A (a) 84,614 738,680 
Herbalife Nutrition Ltd. (a) 31,305 1,594,677 
  2,333,357 
TOTAL CONSUMER STAPLES  31,337,180 
ENERGY - 2.7%   
Energy Equipment & Services - 0.2%   
NOV, Inc. (a) 113,920 1,573,235 
Oil, Gas & Consumable Fuels - 2.5%   
Antero Midstream GP LP 97,458 925,851 
APA Corp. 110,249 2,067,169 
Cabot Oil & Gas Corp. 114,776 1,836,416 
Cimarex Energy Co. 29,392 1,916,358 
Continental Resources, Inc. 18,957 647,382 
Devon Energy Corp. 197,043 5,091,591 
Diamondback Energy, Inc. 52,786 4,071,384 
EQT Corp. (a) 81,189 1,493,066 
HollyFrontier Corp. 43,627 1,282,634 
Marathon Oil Corp. 229,208 2,656,521 
New Fortress Energy, Inc. 7,722 234,054 
Targa Resources Corp. 65,845 2,772,733 
Texas Pacific Land Corp. 1,719 2,565,693 
  27,560,852 
TOTAL ENERGY  29,134,087 
FINANCIALS - 12.7%   
Banks - 4.0%   
Bank of Hawaii Corp. 11,599 970,952 
Bank OZK 35,819 1,458,191 
BOK Financial Corp. 8,909 748,445 
Comerica, Inc. 40,780 2,799,955 
Commerce Bancshares, Inc. 31,096 2,199,420 
Cullen/Frost Bankers, Inc. 16,706 1,792,888 
East West Bancorp, Inc. 41,237 2,934,013 
First Citizens Bancshares, Inc. 1,760 1,377,358 
First Hawaiian, Inc. 37,942 1,044,543 
First Horizon National Corp. 159,936 2,471,011 
FNB Corp., Pennsylvania 92,819 1,063,706 
PacWest Bancorp 34,354 1,367,976 
Peoples United Financial, Inc. 124,351 1,952,311 
Pinnacle Financial Partners, Inc. 21,721 1,946,419 
Popular, Inc. 24,214 1,761,811 
Prosperity Bancshares, Inc. 26,111 1,780,509 
Signature Bank 16,469 3,737,969 
Sterling Bancorp 55,982 1,215,369 
Synovus Financial Corp. 43,084 1,762,136 
Umpqua Holdings Corp. 64,511 1,217,323 
Webster Financial Corp. 26,239 1,262,096 
Western Alliance Bancorp. 29,456 2,734,106 
Wintrust Financial Corp. 16,519 1,179,457 
Zions Bancorp NA 47,167 2,459,759 
  43,237,723 
Capital Markets - 3.1%   
Affiliated Managers Group, Inc. 12,101 1,917,282 
Ares Management Corp. 40,188 2,877,863 
Carlyle Group LP 47,321 2,388,291 
Cboe Global Markets, Inc. 31,076 3,681,574 
Evercore, Inc. Class A 11,655 1,540,791 
FactSet Research Systems, Inc. 11,077 3,957,591 
Invesco Ltd. 97,495 2,376,928 
Janus Henderson Group PLC 49,922 2,088,736 
Jefferies Financial Group, Inc. 63,964 2,122,965 
Lazard Ltd. Class A 29,693 1,401,510 
LPL Financial 23,263 3,281,014 
Morningstar, Inc. 6,819 1,722,684 
SEI Investments Co. 31,934 1,941,587 
Stifel Financial Corp. 29,831 1,984,955 
Virtu Financial, Inc. Class A 27,205 700,257 
  33,984,028 
Consumer Finance - 0.5%   
Credit Acceptance Corp. (a)(b) 2,712 1,314,696 
OneMain Holdings, Inc. 25,820 1,575,020 
Santander Consumer U.S.A. Holdings, Inc. 17,571 720,938 
SLM Corp. 93,828 1,766,781 
Upstart Holdings, Inc. 3,582 432,562 
  5,809,997 
Diversified Financial Services - 0.2%   
Voya Financial, Inc. (b) 35,223 2,268,361 
Insurance - 4.1%   
Alleghany Corp. (a) 3,945 2,615,930 
American Financial Group, Inc. 19,811 2,505,893 
Assurant, Inc. 17,652 2,785,662 
Assured Guaranty Ltd. 21,197 1,013,429 
Athene Holding Ltd. (a) 33,731 2,179,697 
Axis Capital Holdings Ltd. 22,576 1,148,441 
Brighthouse Financial, Inc. (a) 25,098 1,080,720 
Brown & Brown, Inc. 68,466 3,724,550 
Erie Indemnity Co. Class A 7,315 1,352,470 
Everest Re Group Ltd. 11,588 2,929,794 
First American Financial Corp. 31,107 2,093,812 
Globe Life, Inc. 29,658 2,761,456 
GoHealth, Inc. (a) 13,972 122,954 
Hanover Insurance Group, Inc. 10,409 1,414,583 
Kemper Corp. 17,772 1,173,130 
Lemonade, Inc. (a)(b) 11,140 969,848 
Mercury General Corp. 7,759 471,980 
Old Republic International Corp. 81,830 2,017,928 
Primerica, Inc. 11,457 1,675,243 
Reinsurance Group of America, Inc. 19,833 2,185,200 
RenaissanceRe Holdings Ltd. 14,358 2,192,323 
Unum Group 59,652 1,634,465 
W.R. Berkley Corp. 40,330 2,950,946 
White Mountains Insurance Group Ltd. 880 995,782 
  43,996,236 
Mortgage Real Estate Investment Trusts - 0.5%   
AGNC Investment Corp. 152,835 2,425,491 
New Residential Investment Corp. 126,723 1,236,816 
Starwood Property Trust, Inc. 80,174 2,086,929 
  5,749,236 
Thrifts & Mortgage Finance - 0.3%   
MGIC Investment Corp. 98,865 1,368,292 
New York Community Bancorp, Inc. 132,052 1,555,573 
TFS Financial Corp. 14,349 279,519 
UWM Holdings Corp. Class A (b) 12,520 95,528 
  3,298,912 
TOTAL FINANCIALS  138,344,493 
HEALTH CARE - 11.5%   
Biotechnology - 2.5%   
Acceleron Pharma, Inc. (a) 15,422 1,928,675 
Exelixis, Inc. (a) 90,243 1,520,595 
Ionis Pharmaceuticals, Inc. (a) 40,888 1,518,580 
Iovance Biotherapeutics, Inc. (a) 42,335 942,800 
Mirati Therapeutics, Inc. (a) 11,475 1,836,689 
Natera, Inc. (a) 24,040 2,753,061 
Neurocrine Biosciences, Inc. (a) 27,333 2,547,709 
Novavax, Inc. (a) 21,574 3,868,865 
Repligen Corp. (a) 15,990 3,928,743 
Sage Therapeutics, Inc. (a) 14,979 655,032 
Sarepta Therapeutics, Inc. (a) 22,314 1,512,443 
Ultragenyx Pharmaceutical, Inc. (a) 18,788 1,499,846 
United Therapeutics Corp. (a) 12,900 2,346,897 
  26,859,935 
Health Care Equipment & Supplies - 1.8%   
Envista Holdings Corp. (a) 47,027 2,025,923 
Globus Medical, Inc. (a) 22,525 1,873,404 
Hill-Rom Holdings, Inc. 19,440 2,691,662 
ICU Medical, Inc. (a) 5,805 1,180,098 
Integra LifeSciences Holdings Corp. (a) 21,073 1,525,474 
Masimo Corp. (a) 14,618 3,981,797 
Penumbra, Inc. (a) 9,868 2,627,158 
Quidel Corp. (a)(b) 10,955 1,549,804 
Tandem Diabetes Care, Inc. (a) 17,840 1,938,673 
  19,393,993 
Health Care Providers & Services - 2.0%   
Acadia Healthcare Co., Inc. (a)(b) 25,781 1,591,203 
agilon health, Inc. (a) 14,614 537,649 
Amedisys, Inc. (a) 9,372 2,442,531 
Chemed Corp. 4,557 2,169,223 
Encompass Health Corp. 28,533 2,375,372 
Guardant Health, Inc. (a) 26,242 2,881,372 
Henry Schein, Inc. (a) 41,162 3,299,134 
Molina Healthcare, Inc. (a) 16,850 4,600,219 
Premier, Inc. 35,466 1,264,008 
Signify Health, Inc. (b) 6,665 175,423 
  21,336,134 
Health Care Technology - 0.2%   
Certara, Inc. 9,766 265,733 
Change Healthcare, Inc. (a) 71,919 1,561,361 
  1,827,094 
Life Sciences Tools & Services - 3.8%   
10X Genomics, Inc. (a) 24,435 4,477,225 
Adaptive Biotechnologies Corp. (a) 31,726 1,163,075 
Avantor, Inc. (a) 169,433 6,367,292 
Bio-Techne Corp. 11,310 5,454,134 
Bruker Corp. 29,900 2,459,275 
Charles River Laboratories International, Inc. (a) 14,559 5,924,348 
Maravai LifeSciences Holdings, Inc. 22,000 967,340 
PerkinElmer, Inc. 32,724 5,963,295 
PPD, Inc. (a) 46,703 2,153,942 
QIAGEN NV (a) 66,329 3,501,508 
Sotera Health Co. 22,844 541,403 
Syneos Health, Inc. (a) 29,727 2,665,620 
  41,638,457 
Pharmaceuticals - 1.2%   
Catalent, Inc. (a) 47,463 5,686,542 
Jazz Pharmaceuticals PLC (a) 17,319 2,935,917 
Nektar Therapeutics (a)(b) 51,736 816,911 
Organon & Co.  74,117 2,150,134 
Perrigo Co. PLC 39,062 1,876,148 
  13,465,652 
TOTAL HEALTH CARE  124,521,265 
INDUSTRIALS - 17.1%   
Aerospace & Defense - 2.0%   
Axon Enterprise, Inc. (a) 18,667 3,472,435 
BWX Technologies, Inc. 27,783 1,595,578 
Curtiss-Wright Corp. 11,920 1,410,136 
Hexcel Corp. (a)(b) 24,435 1,329,753 
Howmet Aerospace, Inc. 114,494 3,757,693 
Huntington Ingalls Industries, Inc. 11,513 2,361,662 
Mercury Systems, Inc. (a) 16,103 1,062,798 
Spirit AeroSystems Holdings, Inc. Class A 30,623 1,323,220 
Textron, Inc. 65,926 4,549,553 
Virgin Galactic Holdings, Inc. (a)(b) 41,875 1,255,831 
  22,118,659 
Air Freight & Logistics - 0.4%   
XPO Logistics, Inc. (a) 28,293 3,923,956 
Airlines - 0.7%   
Alaska Air Group, Inc. (a) 35,637 2,068,015 
American Airlines Group, Inc. (a)(b) 186,550 3,801,889 
Copa Holdings SA Class A (a)(b) 9,188 651,521 
JetBlue Airways Corp. (a) 92,573 1,369,155 
  7,890,580 
Building Products - 2.5%   
A.O. Smith Corp. 38,677 2,720,153 
Advanced Drain Systems, Inc. 16,402 2,002,520 
Allegion PLC 26,230 3,583,018 
Armstrong World Industries, Inc. 13,861 1,499,483 
Builders FirstSource, Inc. (a) 59,877 2,664,527 
Fortune Brands Home & Security, Inc. 40,375 3,935,351 
Lennox International, Inc. 9,952 3,278,487 
Owens Corning 30,454 2,928,457 
The AZEK Co., Inc. (a) 31,950 1,162,022 
Trex Co., Inc. (a) 33,808 3,282,757 
  27,056,775 
Commercial Services & Supplies - 0.8%   
ADT, Inc. (b) 46,073 483,306 
Clean Harbors, Inc. (a) 14,762 1,402,390 
Driven Brands Holdings, Inc. 10,694 340,283 
IAA, Inc. (a) 39,427 2,384,545 
MSA Safety, Inc. 10,722 1,763,555 
Stericycle, Inc. (a) 26,747 1,887,001 
  8,261,080 
Construction & Engineering - 0.9%   
AECOM (a) 40,870 2,573,175 
MasTec, Inc. (a) 16,365 1,656,629 
Quanta Services, Inc. 40,435 3,675,542 
Valmont Industries, Inc. 6,080 1,440,656 
  9,346,002 
Electrical Equipment - 2.0%   
Acuity Brands, Inc. 10,332 1,812,026 
ChargePoint Holdings, Inc. Class A (a)(b) 39,985 945,645 
Hubbell, Inc. Class B 15,815 3,170,275 
nVent Electric PLC 48,676 1,538,648 
Plug Power, Inc. (a)(b) 146,222 3,988,936 
Regal Beloit Corp. 11,859 1,746,001 
Sensata Technologies, Inc. PLC (a) 45,453 2,664,455 
Shoals Technologies Group, Inc. 29,793 866,678 
Sunrun, Inc. (a) 58,244 3,085,185 
Vertiv Holdings Co. 82,164 2,303,879 
  22,121,728 
Industrial Conglomerates - 0.3%   
Carlisle Companies, Inc. 15,013 3,036,229 
Machinery - 3.9%   
AGCO Corp. 18,231 2,408,497 
Allison Transmission Holdings, Inc. 31,761 1,267,582 
Colfax Corp. (a)(b) 34,100 1,564,508 
Crane Co. 14,378 1,397,973 
Donaldson Co., Inc. 36,826 2,437,513 
Flowserve Corp. 37,914 1,595,800 
Gates Industrial Corp. PLC (a) 20,428 369,951 
Graco, Inc. 49,024 3,827,794 
ITT, Inc. 25,180 2,465,374 
Lincoln Electric Holdings, Inc. 16,781 2,339,775 
Middleby Corp. (a) 16,092 3,081,457 
Nordson Corp. 16,956 3,834,260 
Oshkosh Corp. 19,970 2,387,414 
Pentair PLC 48,295 3,557,893 
Snap-On, Inc. 15,598 3,400,052 
Timken Co. 18,719 1,488,161 
Toro Co. 31,381 3,569,275 
Woodward, Inc. 16,776 2,039,291 
  43,032,570 
Marine - 0.1%   
Kirby Corp. (a) 17,369 1,005,839 
Professional Services - 2.0%   
Booz Allen Hamilton Holding Corp. Class A 39,644 3,401,852 
CACI International, Inc. Class A (a) 6,777 1,809,188 
Dun & Bradstreet Holdings, Inc. (a) 46,681 978,434 
FTI Consulting, Inc. (a)(b) 9,777 1,424,509 
Jacobs Engineering Group, Inc. 37,765 5,107,716 
Manpower, Inc. 15,880 1,883,050 
Nielsen Holdings PLC 104,492 2,475,415 
Robert Half International, Inc. 32,095 3,152,050 
Science Applications Internati 16,932 1,478,164 
  21,710,378 
Road & Rail - 0.7%   
AMERCO 2,609 1,533,988 
Knight-Swift Transportation Holdings, Inc. Class A 46,988 2,334,834 
Landstar System, Inc. 11,143 1,749,451 
Ryder System, Inc. 15,295 1,164,714 
Schneider National, Inc. Class B 15,093 338,687 
TuSimple Holdings, Inc. (a)(b) 10,449 384,523 
  7,506,197 
Trading Companies & Distributors - 0.8%   
Air Lease Corp. Class A 31,202 1,321,717 
MSC Industrial Direct Co., Inc. Class A 13,079 1,166,254 
SiteOne Landscape Supply, Inc. (a) 12,879 2,250,992 
Univar, Inc. (a) 48,769 1,196,791 
Watsco, Inc. 9,543 2,695,325 
  8,631,079 
TOTAL INDUSTRIALS  185,641,072 
INFORMATION TECHNOLOGY - 18.7%   
Communications Equipment - 1.2%   
Ciena Corp. (a) 45,058 2,619,672 
CommScope Holding Co., Inc. (a) 58,512 1,238,114 
F5 Networks, Inc. (a) 17,399 3,593,067 
Juniper Networks, Inc. 94,832 2,668,572 
Lumentum Holdings, Inc. (a) 22,111 1,857,103 
ViaSat, Inc. (a) 18,059 896,449 
  12,872,977 
Electronic Equipment & Components - 1.9%   
Arrow Electronics, Inc. (a) 21,454 2,543,801 
Avnet, Inc. 28,915 1,194,768 
Cognex Corp. 49,954 4,516,341 
Coherent, Inc. (a) 7,124 1,752,077 
IPG Photonics Corp. (a) 10,578 2,307,696 
Jabil, Inc. 42,368 2,522,591 
Littelfuse, Inc. 7,001 1,862,196 
National Instruments Corp. 38,373 1,692,633 
SYNNEX Corp. 12,134 1,450,498 
Vontier Corp. 49,296 1,594,726 
  21,437,327 
IT Services - 3.4%   
Alliance Data Systems Corp. 14,505 1,352,591 
Amdocs Ltd. 37,803 2,914,989 
Concentrix Corp. (a) 12,308 2,015,189 
DXC Technology Co. (a) 74,138 2,964,037 
Euronet Worldwide, Inc. (a) 14,798 2,113,450 
Fastly, Inc. Class A (a)(b) 30,823 1,481,662 
Genpact Ltd. 53,515 2,665,582 
Globant SA (a) 11,351 2,714,705 
Jack Henry & Associates, Inc. 21,577 3,756,340 
MongoDB, Inc. Class A (a) 15,454 5,546,750 
Paysafe Ltd. (a) 89,937 970,420 
Sabre Corp. (a)(b) 92,521 1,090,823 
Shift4 Payments, Inc. (a) 12,517 1,116,391 
SolarWinds, Inc. (a) 20,350 228,734 
Switch, Inc. Class A 33,413 690,313 
The Western Union Co. 119,346 2,770,021 
WEX, Inc. (a) 13,051 2,476,166 
  36,868,163 
Semiconductors & Semiconductor Equipment - 3.5%   
Allegro MicroSystems LLC (a) 14,980 410,602 
Brooks Automation, Inc. 21,393 1,904,191 
Cirrus Logic, Inc. (a) 16,856 1,392,137 
Cree, Inc. (a) 33,696 3,125,641 
Enphase Energy, Inc. (a) 38,534 7,306,044 
Entegris, Inc. 39,335 4,745,374 
First Solar, Inc. (a) 30,965 2,664,229 
MKS Instruments, Inc. 16,156 2,527,445 
Monolithic Power Systems, Inc. 13,095 5,883,060 
ON Semiconductor Corp. (a) 123,724 4,832,659 
Universal Display Corp. 12,644 2,964,892 
  37,756,274 
Software - 8.3%   
Alteryx, Inc. Class A (a) 17,137 1,326,404 
Anaplan, Inc. (a) 41,038 2,347,374 
Aspen Technology, Inc. (a) 19,844 2,902,383 
Avalara, Inc. (a) 24,755 4,138,293 
Bentley Systems, Inc. Class B (b) 39,309 2,390,380 
Bill.Com Holdings, Inc. (a) 21,919 4,533,288 
Black Knight, Inc. (a) 44,422 3,678,586 
C3.Ai, Inc. (b) 5,361 269,926 
CDK Global, Inc. 35,532 1,705,181 
Ceridian HCM Holding, Inc. (a) 37,748 3,714,403 
Datto Holding Corp. (b) 6,947 181,247 
Dolby Laboratories, Inc. Class A 18,718 1,817,518 
DoubleVerify Holdings, Inc. (a) 4,443 153,728 
Dropbox, Inc. Class A (a) 89,095 2,805,602 
Duck Creek Technologies, Inc. (a) 20,904 918,313 
Dynatrace, Inc. (a) 53,742 3,432,502 
Elastic NV (a) 19,957 2,954,833 
Everbridge, Inc. (a) 10,952 1,546,641 
Fair Isaac Corp. (a) 8,152 4,270,914 
FireEye, Inc. (a) 68,329 1,380,246 
Five9, Inc. (a) 19,517 3,928,577 
Guidewire Software, Inc. (a) 24,522 2,824,934 
Jamf Holding Corp. (a)(b) 15,420 505,930 
Manhattan Associates, Inc. (a) 18,493 2,952,038 
McAfee Corp. 13,492 365,228 
Medallia, Inc. (a) 30,189 1,022,501 
N-able, Inc. (a)(b) 10,280 141,864 
nCino, Inc. (a) 13,715 871,863 
New Relic, Inc. (a) 15,950 1,101,826 
NortonLifeLock, Inc. 160,624 3,986,688 
Nuance Communications, Inc. (a) 83,246 4,570,205 
Nutanix, Inc. Class A (a) 56,145 2,022,343 
Paylocity Holding Corp. (a) 10,957 2,273,139 
Pegasystems, Inc. 11,892 1,517,895 
Proofpoint, Inc. (a) 16,571 2,894,291 
PTC, Inc. (a) 30,798 4,171,589 
Smartsheet, Inc. (a) 35,106 2,546,940 
Teradata Corp. (a) 31,737 1,576,059 
Zendesk, Inc. (a) 34,378 4,487,360 
  90,229,032 
Technology Hardware, Storage & Peripherals - 0.4%   
NCR Corp. (a) 37,154 1,649,638 
Pure Storage, Inc. Class A (a) 77,971 1,521,994 
Xerox Holdings Corp. 44,645 1,077,284 
  4,248,916 
TOTAL INFORMATION TECHNOLOGY  203,412,689 
MATERIALS - 6.5%   
Chemicals - 2.4%   
Ashland Global Holdings, Inc. 16,016 1,362,481 
Axalta Coating Systems Ltd. (a) 60,878 1,832,428 
CF Industries Holdings, Inc. 62,497 2,952,983 
Diversey Holdings Ltd. (a) 14,951 249,383 
Element Solutions, Inc. 67,449 1,577,632 
Huntsman Corp. 61,679 1,628,942 
NewMarket Corp. 1,952 616,656 
Olin Corp. 42,020 1,976,201 
RPM International, Inc. 37,307 3,230,413 
The Chemours Co. LLC 48,128 1,600,256 
The Mosaic Co. 100,953 3,152,762 
The Scotts Miracle-Gro Co. Class A 11,996 2,122,812 
Valvoline, Inc. 52,797 1,619,812 
W.R. Grace & Co. 16,401 1,141,510 
Westlake Chemical Corp. 9,666 801,505 
  25,865,776 
Construction Materials - 0.2%   
Eagle Materials, Inc. 11,989 1,694,285 
Containers & Packaging - 2.3%   
Aptargroup, Inc. 19,187 2,473,588 
Ardagh Group SA 5,358 125,109 
Avery Dennison Corp. 24,179 5,094,032 
Berry Global Group, Inc. (a) 39,469 2,537,462 
Crown Holdings, Inc. 37,895 3,780,405 
Graphic Packaging Holding Co. 82,289 1,577,480 
Packaging Corp. of America 27,388 3,875,402 
Sealed Air Corp. 44,385 2,518,849 
Silgan Holdings, Inc. 24,572 995,657 
Sonoco Products Co. 29,258 1,866,368 
  24,844,352 
Metals & Mining - 1.5%   
Alcoa Corp. (a) 54,572 2,191,066 
Cleveland-Cliffs, Inc. (a) 133,094 3,327,350 
Reliance Steel & Aluminum Co. 18,506 2,908,218 
Royal Gold, Inc. 19,139 2,325,771 
Steel Dynamics, Inc. 58,622 3,778,188 
United States Steel Corp. 78,123 2,068,697 
  16,599,290 
Paper & Forest Products - 0.1%   
Louisiana-Pacific Corp. 29,714 1,647,344 
TOTAL MATERIALS  70,651,047 
REAL ESTATE - 9.5%   
Equity Real Estate Investment Trusts (REITs) - 9.0%   
American Campus Communities, Inc. 39,911 2,007,922 
American Homes 4 Rent Class A 81,239 3,412,038 
Americold Realty Trust 73,816 2,867,752 
Apartment Income (REIT) Corp. 45,555 2,398,015 
Brixmor Property Group, Inc. 86,295 1,986,511 
Camden Property Trust (SBI) 27,620 4,126,152 
CoreSite Realty Corp. 12,410 1,715,186 
Cousins Properties, Inc. 43,212 1,716,381 
CubeSmart 58,706 2,915,340 
CyrusOne, Inc. 35,796 2,551,181 
Douglas Emmett, Inc. 48,493 1,619,666 
EPR Properties 21,572 1,085,072 
Equity Lifestyle Properties, Inc. 50,784 4,255,699 
Federal Realty Investment Trust (SBI) 22,567 2,652,300 
First Industrial Realty Trust, Inc. 37,507 2,054,633 
Gaming & Leisure Properties 64,443 3,050,732 
Healthcare Trust of America, Inc. 63,435 1,813,607 
Highwoods Properties, Inc. (SBI) 29,956 1,428,602 
Host Hotels & Resorts, Inc. (a) 204,370 3,255,614 
Hudson Pacific Properties, Inc. 42,774 1,166,019 
Iron Mountain, Inc. 83,741 3,664,506 
JBG SMITH Properties 36,108 1,178,204 
Kilroy Realty Corp. 33,842 2,344,235 
Kimco Realty Corp. 120,708 2,574,702 
Lamar Advertising Co. Class A 25,188 2,685,041 
Life Storage, Inc. 22,324 2,619,945 
Medical Properties Trust, Inc. 169,409 3,562,671 
National Retail Properties, Inc. 51,094 2,496,964 
Omega Healthcare Investors, Inc. 68,769 2,494,939 
Park Hotels & Resorts, Inc. (a) 68,440 1,266,140 
Rayonier, Inc. 40,241 1,517,488 
Regency Centers Corp. 49,381 3,230,011 
Rexford Industrial Realty, Inc. 39,251 2,414,722 
SL Green Realty Corp. 20,451 1,522,781 
Spirit Realty Capital, Inc. 33,414 1,678,051 
Store Capital Corp. 71,436 2,585,269 
VEREIT, Inc. 66,893 3,275,750 
VICI Properties, Inc. 156,966 4,895,770 
Vornado Realty Trust 51,152 2,225,112 
Weingarten Realty Investors (SBI) 34,824 1,120,985 
  97,431,708 
Real Estate Management & Development - 0.5%   
Howard Hughes Corp. (a) 12,095 1,121,327 
Jones Lang LaSalle, Inc. (a) 14,935 3,324,083 
Opendoor Technologies, Inc. (a) 101,336 1,501,800 
  5,947,210 
TOTAL REAL ESTATE  103,378,918 
UTILITIES - 2.5%   
Electric Utilities - 1.0%   
Hawaiian Electric Industries, Inc. 30,730 1,331,838 
IDACORP, Inc. 14,674 1,547,373 
NRG Energy, Inc. 71,106 2,932,411 
OGE Energy Corp. 58,199 1,964,216 
Pinnacle West Capital Corp. 32,949 2,752,889 
  10,528,727 
Gas Utilities - 0.4%   
National Fuel Gas Co. 25,554 1,314,242 
UGI Corp. 60,764 2,794,536 
  4,108,778 
Independent Power and Renewable Electricity Producers - 0.4%   
Brookfield Renewable Corp. 37,336 1,584,540 
Vistra Corp. 139,941 2,679,870 
  4,264,410 
Multi-Utilities - 0.4%   
MDU Resources Group, Inc. 58,143 1,844,296 
NiSource, Inc. 114,499 2,836,140 
  4,680,436 
Water Utilities - 0.3%   
Essential Utilities, Inc. 65,439 3,214,364 
TOTAL UTILITIES  26,796,715 
TOTAL COMMON STOCKS   
(Cost $706,374,285)  1,084,720,703 
Money Market Funds - 3.5%   
Fidelity Cash Central Fund 0.06% (c) 3,894,116 3,894,895 
Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) 34,471,421 34,474,868 
TOTAL MONEY MARKET FUNDS   
(Cost $38,369,763)  38,369,763 
TOTAL INVESTMENT IN SECURITIES - 103.3%   
(Cost $744,744,048)  1,123,090,466 
NET OTHER ASSETS (LIABILITIES) - (3.3)%  (35,675,623) 
NET ASSETS - 100%  $1,087,414,843 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Equity Index Contracts      
CME E-mini S&P Mid Cap 400 Index Contracts (United States) 10 Sept. 2021 $2,698,700 $68,912 $68,912 

The notional amount of futures purchased as a percentage of Net Assets is 0.2%

Legend

 (a) Non-income producing

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

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

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

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund Income earned 
Fidelity Cash Central Fund $6,970 
Fidelity Securities Lending Cash Central Fund 244,633 
Total $251,603 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

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

Fund Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.06% $16,831,316 $706,348,779 $719,284,754 $(446) $-- $3,894,895 0.0% 
Fidelity Securities Lending Cash Central Fund 0.06% 85,066,861 643,677,752 694,269,745 -- -- 34,474,868 0.1% 
Total $101,898,177 $1,350,026,531 $1,413,554,499 $(446) $-- $38,369,763  

Investment Valuation

The following is a summary of the inputs used, as of July 31, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Communication Services $26,484,281 $26,484,281 $-- $-- 
Consumer Discretionary 145,018,956 145,018,956 -- -- 
Consumer Staples 31,337,180 31,337,180 -- -- 
Energy 29,134,087 29,134,087 -- -- 
Financials 138,344,493 138,344,493 -- -- 
Health Care 124,521,265 124,521,265 -- -- 
Industrials 185,641,072 185,641,072 -- -- 
Information Technology 203,412,689 203,412,689 -- -- 
Materials 70,651,047 70,651,047 -- -- 
Real Estate 103,378,918 103,378,918 -- -- 
Utilities 26,796,715 26,796,715 -- -- 
Money Market Funds 38,369,763 38,369,763 -- -- 
Total Investments in Securities: $1,123,090,466 $1,123,090,466 $-- $-- 
Derivative Instruments:     
Assets     
Futures Contracts $68,912 $68,912 $-- $-- 
Total Assets $68,912 $68,912 $-- $-- 
Total Derivative Instruments: $68,912 $68,912 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Equity Risk   
Futures Contracts(a) $68,912 $0 
Total Equity Risk 68,912 
Total Value of Derivatives $68,912 $0 

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

See accompanying notes which are an integral part of the financial statements.


Financial Statements

Statement of Assets and Liabilities

  July 31, 2021 
Assets   
Investment in securities, at value (including securities loaned of $33,212,052) — See accompanying schedule:
Unaffiliated issuers (cost $706,374,285) 
$1,084,720,703  
Fidelity Central Funds (cost $38,369,763) 38,369,763  
Total Investment in Securities (cost $744,744,048)  $1,123,090,466 
Segregated cash with brokers for derivative instruments  229,500 
Receivable for fund shares sold  639,990 
Dividends receivable  424,375 
Distributions receivable from Fidelity Central Funds  6,838 
Prepaid expenses  982 
Receivable from investment adviser for expense reductions  89,938 
Total assets  1,124,482,089 
Liabilities   
Payable for investments purchased $1,994,465  
Payable for fund shares redeemed 415,499  
Accrued management fee 92,147  
Payable for daily variation margin on futures contracts 8,269  
Other payables and accrued expenses 91,328  
Collateral on securities loaned 34,465,538  
Total liabilities  37,067,246 
Net Assets  $1,087,414,843 
Net Assets consist of:   
Paid in capital  $344,124,780 
Total accumulated earnings (loss)  743,290,063 
Net Assets  $1,087,414,843 
Net Asset Value, offering price and redemption price per share ($1,087,414,843 ÷ 66,067,206 shares)  $16.46 

See accompanying notes which are an integral part of the financial statements.


Statement of Operations

  Year ended July 31, 2021 
Investment Income   
Dividends  $28,871,232 
Income from Fidelity Central Funds (including $244,633 from security lending)  251,603 
Total income  29,122,835 
Expenses   
Management fee $2,257,875  
Custodian fees and expenses 102,753  
Independent trustees' fees and expenses 6,015  
Registration fees 156,986  
Audit 53,270  
Legal 10,947  
Interest 16,504  
Miscellaneous 9,024  
Total expenses before reductions 2,613,374  
Expense reductions (1,566,144)  
Total expenses after reductions  1,047,230 
Net investment income (loss)  28,075,605 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 652,164,717  
Fidelity Central Funds (446)  
Futures contracts 2,337,289  
Total net realized gain (loss)  654,501,560 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 181,248,190  
Futures contracts (242,502)  
Total change in net unrealized appreciation (depreciation)  181,005,688 
Net gain (loss)  835,507,248 
Net increase (decrease) in net assets resulting from operations  $863,582,853 

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets

 Year ended July 31, 2021 Year ended July 31, 2020 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $28,075,605 $26,992,398 
Net realized gain (loss) 654,501,560 125,470,983 
Change in net unrealized appreciation (depreciation) 181,005,688 (83,318,580) 
Net increase (decrease) in net assets resulting from operations 863,582,853 69,144,801 
Distributions to shareholders (165,880,066) (82,587,160) 
Share transactions   
Proceeds from sales of shares 1,316,673,142 1,441,606,281 
Reinvestment of distributions 165,691,380 31,118,897 
Cost of shares redeemed (3,014,462,118) (1,399,758,420) 
Net increase (decrease) in net assets resulting from share transactions (1,532,097,596) 72,966,758 
Total increase (decrease) in net assets (834,394,809) 59,524,399 
Net Assets   
Beginning of period 1,921,809,652 1,862,285,253 
End of period $1,087,414,843 $1,921,809,652 
Other Information   
Shares   
Sold 94,819,743 130,546,747 
Issued in reinvestment of distributions 14,258,047 2,475,641 
Redeemed (200,707,173) (120,871,335) 
Net increase (decrease) (91,629,383) 12,151,053 

See accompanying notes which are an integral part of the financial statements.


Financial Highlights

Fidelity SAI Small-Mid Cap 500 Index Fund

      
Years ended July 31, 2021 2020 2019 2018 2017 
Selected Per–Share Data      
Net asset value, beginning of period $12.19 $12.80 $12.95 $11.37 $10.26 
Income from Investment Operations      
Net investment income (loss)A .20 .20 .19 .17 .15 
Net realized and unrealized gain (loss) 5.09 (.20)B,C .46 1.62 1.11 
Total from investment operations 5.29 – .65 1.79 1.26 
Distributions from net investment income (.17) (.22) (.18) (.13) (.09) 
Distributions from net realized gain (.85) (.39) (.63) (.08) (.06) 
Total distributions (1.02) (.61) (.80)D (.21) (.15) 
Net asset value, end of period $16.46 $12.19 $12.80 $12.95 $11.37 
Total ReturnE,F 46.99% (.03)%C 5.26% 15.91% 12.41% 
Ratios to Average Net AssetsG,H      
Expenses before reductions .13% .13% .22% .23% .29% 
Expenses net of fee waivers, if any .05% .05% .08% .13% .15% 
Expenses net of all reductions .05% .05% .08% .13% .15% 
Net investment income (loss) 1.37% 1.66% 1.53% 1.37% 1.38% 
Supplemental Data      
Net assets, end of period (000 omitted) $1,087,415 $1,921,810 $1,862,285 $2,281,452 $1,460,960 
Portfolio turnover rateI 69% 79% 41% 39% 22% 

 A Calculated based on average shares outstanding during the period.

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

 C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been (.16) %.

 D Total distributions per share do not sum due to rounding.

 E Total returns for periods of less than one year are not annualized.

 F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

 H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

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

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements

For the period ended July 31, 2021

1. Organization.

Fidelity SAI Small-Mid Cap 500 Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% to .01% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

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

3. Significant Accounting Policies.

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

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2021 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain.

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

Book-tax differences are primarily due to futures contracts, partnerships and losses deferred due to wash sales.

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

Gross unrealized appreciation $388,818,990 
Gross unrealized depreciation (15,463,727) 
Net unrealized appreciation (depreciation) $373,355,263 
Tax Cost $749,735,203 

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

Undistributed ordinary income $7,637,189 
Undistributed long-term capital gain $362,297,611 
Net unrealized appreciation (depreciation) on securities and other investments $373,355,263 

The tax character of distributions paid was as follows:

 July 31, 2021 July 31, 2020 
Ordinary Income $55,433,945 $ 30,336,554 
Long-term Capital Gains 110,446,121 52,250,606 
Total $165,880,066 $ 82,587,160 

4. Derivative Instruments.

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

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

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

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.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

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

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

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

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

5. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Fidelity SAI Small-Mid Cap 500 Index Fund 1,351,077,659 2,973,268,156 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .11% of the Fund's average net assets.

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

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

 Borrower or Lender Average Loan Balance Weighted Average Interest Rate Interest Expense 
Fidelity SAI Small-Mid Cap 500 Index Fund Borrower $41,384,950 .31% $14,092 

Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

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

 Amount 
Fidelity SAI Small-Mid Cap 500 Index Fund $4,192 

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

 Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End 
Fidelity SAI Small-Mid Cap 500 Index Fund $28,910 $372 $306,658 

9. Bank Borrowings.

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

 Average Loan Balance Weighted Average Interest Rate Interest Expense 
Fidelity SAI Small-Mid Cap 500 Index Fund $144,702,000 .60% $2,412 

10. Expense Reductions.

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded.05% of average net assets. This reimbursement will remain in place through November 30, 2021. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $1,565,997.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $147.

11. Other.

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

12. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI Small-Mid Cap 500 Index Fund

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity SAI Small-Mid Cap 500 Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2021, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2021, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

September 13, 2021


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

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 314 funds. Mr. Chiel oversees 176 funds. 

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

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

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

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

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

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

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

Interested Trustees*:

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

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

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

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

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

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

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

Independent Trustees:

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

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

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

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

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

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

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

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

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

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

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

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

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

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

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

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

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

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

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

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

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 Annualized Expense Ratio-A Beginning
Account Value
February 1, 2021 
Ending
Account Value
July 31, 2021 
Expenses Paid
During Period-B
February 1, 2021
to July 31, 2021 
Fidelity SAI Small-Mid Cap 500 Index Fund .05%    
Actual  $1,000.00 $1,157.50 $.27 
Hypothetical-C  $1,000.00 $1,024.55 $.25 

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

 B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity SAI Small-Mid Cap 500 Index Fund voted to pay on September 13, 2021, to shareholders of record at the opening of business on September 10, 2021, a distribution of $5.421 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.115 per share from net investment income.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2021, $404,276,942, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 28% and 43% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 30% and 45% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund designates 5% and 33% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.

Board Approval of Investment Advisory Contracts

Fidelity SAI Small-Mid Cap 500 Index Fund

At its July 2021 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated sub-advisory agreement with Geode Capital Management, LLC (Geode) for the fund (the Amended Contract) to decrease the sub-advisory fee rate paid by Fidelity Management & Research Company LLC (FMR), the fund's investment adviser, to Geode on behalf of the fund by 0.25 basis points, effective August 1, 2021. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided.  The Board previously received and considered materials relating to the nature, extent and quality of services provided by FMR and Geode to the fund, including the resources dedicated to investment management and support services, shareholder and administrative services, the benefits to shareholders of investment in a large fund family and the investment performance of the fund in connection with the annual renewal of the fund's current management contract and sub-advisory agreement (Advisory Contracts). At its September 2020 meeting, the Board concluded that the nature, extent and quality of the services provided to the fund under the existing Advisory Contracts should continue to benefit the fund's shareholders. The Board noted that approval of the Amended Contract would not change the fund's portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated or trading and compliance operations. The Board concluded that the nature, extent, and quality of services to be provided to the fund under the Amended Contract should continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Expense Ratio.  The Board noted that the Amended Contract would result in no change in the fund's management fee and total expense ratio and considered that it received and reviewed information regarding the fund's current management fee and total expense ratio compared to "mapped groups" of competitive funds and classes in connection with the annual renewal of the Advisory Contracts. Based on its review, the Board concluded at its September 2020 and July 2021 meetings that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered and that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board previously reviewed information regarding the revenues earned and the expenses incurred by Fidelity in providing services to the fund and the level of Fidelity's profitability. At its September 2020 meeting, the Board concluded that it was satisfied that Fidelity's profitability in connection with the operation of the fund was not excessive. At the July 2021 meeting, the Board concluded that the Amended Contract would not have a meaningful effect on Fidelity's profitability.

Economies of Scale.  The Board has previously received and reviewed information regarding whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale and that it concluded, at its September 2020 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. At the July 2021 meeting, the Board concluded that the Amended Contract would not have a meaningful effect on any potential economies of scale.

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

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

SV3-ANN-0921
1.9868212.105


Fidelity® SAI U.S. Quality Index Fund

Offered exclusively to certain clients of the Adviser or its affiliates - 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 LLC.



Annual Report

July 31, 2021

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


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

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

The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended July 31, 2021 Past 1 year Past 5 years Life of fundA 
Fidelity® SAI U.S. Quality Index Fund  32.64% 19.34% 18.15% 

 A From October 8, 2015

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Quality Index Fund on October 8, 2015, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Quality Focus Index℠, the Fidelity SAI U.S. Quality Index Fund Linked Index, and the S&P 500 Index performed over the same period.


Period Ending Values

$26,383Fidelity® SAI U.S. Quality Index Fund

$26,430Fidelity U.S. Quality Focus Index℠

$26,537Fidelity SAI U.S. Quality Index Fund Linked Index

$24,439S&P 500 Index

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.

Comments from the Geode Capital Management, LLC, passive equity index team:  For the fiscal year ending July 31, 2021, the fund gained 32.64%, roughly in line with the 32.72% advance of the benchmark Fidelity U.S. Quality Focus Index. By sector, information technology rose 35% and contributed most, followed by communication services, which gained 58%, benefiting from the media & entertainment industry (+58%). The health care sector rose roughly 26%, consumer discretionary gained about 37%, and financials advanced roughly 32%. Other notable contributors included the industrials (+19%), consumer staples (+13%), real estate (+121%), and materials (+7%) sectors. Turning to individual stocks, the biggest individual contributor was Alphabet (+81%), from the media & entertainment segment. Apple, within the technology hardware & equipment group, advanced approximately 37% and lifted the fund. In software & services, Microsoft (+40%) and Adobe (+39%) helped. Another contributor was Facebook (+40%), a stock in the media & entertainment category. Conversely, the biggest individual detractor was AbbVie (-5%), from the pharmaceuticals, biotechnology & life sciences industry. Regeneron Pharmaceuticals, within the pharmaceuticals, biotechnology & life sciences category, returned roughly -13% and hindered the fund. In household & personal products, Clorox (-22%) and Kimberly-Clark (-11%) hurt. Another detractor was Zoom Video Communications (-8%), a stock in the software & services segment.

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

Investment Summary (Unaudited)

Top Five Stocks as of July 31, 2021

 % of fund's net assets 
Apple, Inc. 8.4 
Microsoft Corp. 8.0 
Alphabet, Inc. Class A 6.8 
Facebook, Inc. Class A 4.7 
Adobe, Inc. 4.1 
 32.0 

Top Five Market Sectors as of July 31, 2021

 % of fund's net assets 
Information Technology 36.9 
Health Care 21.2 
Communication Services 12.2 
Financials 9.9 
Consumer Staples 8.7 

Asset Allocation (% of fund's net assets)

As of July 31, 2021 * 
   Stocks and Equity Futures 100.0% 


 * Foreign investments - 2.0%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

Common Stocks - 99.7%   
 Shares Value 
COMMUNICATION SERVICES - 12.2%   
Interactive Media & Services - 12.2%   
Alphabet, Inc. Class A (a) 255,458 $688,339,245 
Facebook, Inc. Class A (a) 1,349,562 480,848,941 
Match Group, Inc. (a) 435,726 69,398,080 
  1,238,586,266 
CONSUMER DISCRETIONARY - 2.5%   
Auto Components - 0.1%   
Gentex Corp. 390,392 13,285,040 
Household Durables - 0.4%   
Garmin Ltd. 236,296 37,145,731 
Internet & Direct Marketing Retail - 0.7%   
Amazon.com, Inc. (a) 10,533 35,049,505 
Etsy, Inc. (a) 201,530 36,982,770 
  72,032,275 
Leisure Products - 0.1%   
YETI Holdings, Inc. (a)(b) 119,545 11,515,770 
Specialty Retail - 1.2%   
AutoZone, Inc. (a) 35,204 57,156,158 
O'Reilly Automotive, Inc. (a) 110,753 66,877,092 
  124,033,250 
TOTAL CONSUMER DISCRETIONARY  258,012,066 
CONSUMER STAPLES - 8.7%   
Beverages - 0.8%   
Brown-Forman Corp. Class B (non-vtg.) 293,005 20,779,915 
Monster Beverage Corp. (a) 589,325 55,585,134 
  76,365,049 
Food Products - 0.4%   
The Hershey Co. 230,276 41,191,771 
Household Products - 5.0%   
Colgate-Palmolive Co. 1,340,700 106,585,650 
Procter & Gamble Co. 2,587,915 368,079,150 
The Clorox Co. 201,325 36,417,679 
  511,082,479 
Personal Products - 0.1%   
Herbalife Nutrition Ltd. (a)(b) 140,595 7,161,909 
Tobacco - 2.4%   
Philip Morris International, Inc. 2,465,191 246,740,967 
TOTAL CONSUMER STAPLES  882,542,175 
FINANCIALS - 9.9%   
Capital Markets - 5.6%   
Evercore, Inc. Class A (b) 66,940 8,849,468 
FactSet Research Systems, Inc. 60,673 21,677,249 
KKR & Co. LP 912,883 58,205,420 
Lazard Ltd. Class A 179,965 8,494,348 
LPL Financial 126,978 17,908,977 
MarketAxess Holdings, Inc. 60,885 28,930,725 
Moody's Corp. 254,422 95,662,672 
S&P Global, Inc. 281,864 120,840,734 
SEI Investments Co. 189,789 11,539,171 
T. Rowe Price Group, Inc. 362,321 73,971,455 
The Blackstone Group LP 1,083,532 124,898,734 
  570,978,953 
Consumer Finance - 0.2%   
Credit Acceptance Corp. (a)(b) 18,661 9,046,293 
SLM Corp. 522,014 9,829,524 
  18,875,817 
Insurance - 4.1%   
Allstate Corp. 481,146 62,573,037 
Aon PLC (b) 358,663 93,263,140 
Athene Holding Ltd. (a) 197,043 12,732,919 
Erie Indemnity Co. Class A 39,883 7,373,968 
Fidelity National Financial, Inc. (b) 466,231 20,798,565 
Marsh & McLennan Companies, Inc. 801,134 117,942,947 
Old Republic International Corp. 443,209 10,929,534 
Progressive Corp. 931,650 88,655,814 
  414,269,924 
TOTAL FINANCIALS  1,004,124,694 
HEALTH CARE - 21.2%   
Biotechnology - 3.0%   
Amgen, Inc. 914,738 220,945,817 
Biogen, Inc. (a) 241,797 79,002,334 
  299,948,151 
Health Care Equipment & Supplies - 4.7%   
Edwards Lifesciences Corp. (a) 990,207 111,170,540 
Hologic, Inc. (a) 410,847 30,829,959 
IDEXX Laboratories, Inc. (a) 135,402 91,874,319 
Intuitive Surgical, Inc. (a) 186,831 185,235,463 
ResMed, Inc. 230,942 62,770,036 
  481,880,317 
Health Care Providers & Services - 0.3%   
Quest Diagnostics, Inc. 211,330 29,966,594 
Health Care Technology - 1.1%   
Cerner Corp. 486,932 39,144,463 
Veeva Systems, Inc. Class A (a) 217,213 72,268,937 
  111,413,400 
Life Sciences Tools & Services - 2.0%   
Bio-Techne Corp. 61,811 29,807,737 
Illumina, Inc. (a) 231,707 114,868,745 
Mettler-Toledo International, Inc. (a) 37,026 54,565,586 
  199,242,068 
Pharmaceuticals - 10.1%   
Eli Lilly & Co. 1,260,800 307,004,800 
Jazz Pharmaceuticals PLC (a) 95,013 16,106,604 
Merck & Co., Inc. 2,522,450 193,900,732 
Pfizer, Inc. 8,332,763 356,725,584 
Zoetis, Inc. Class A 752,202 152,471,345 
  1,026,209,065 
TOTAL HEALTH CARE  2,148,659,595 
INDUSTRIALS - 7.3%   
Aerospace & Defense - 1.4%   
Lockheed Martin Corp. 390,546 145,154,232 
Building Products - 0.1%   
A.O. Smith Corp. 214,894 15,113,495 
Commercial Services & Supplies - 0.1%   
Rollins, Inc. 355,169 13,613,628 
Electrical Equipment - 0.6%   
Rockwell Automation, Inc. 184,631 56,759,262 
Industrial Conglomerates - 1.8%   
3M Co. 917,379 181,585,999 
Machinery - 2.3%   
Donaldson Co., Inc. (b) 198,664 13,149,570 
Fortive Corp. 538,337 39,115,566 
Illinois Tool Works, Inc. 455,164 103,172,024 
Otis Worldwide Corp. 645,094 57,768,168 
Snap-On, Inc. 86,148 18,778,541 
  231,983,869 
Professional Services - 0.2%   
Robert Half International, Inc. 179,767 17,654,917 
Trading Companies & Distributors - 0.8%   
Fastenal Co. 907,653 49,712,155 
W.W. Grainger, Inc. 69,402 30,854,741 
  80,566,896 
TOTAL INDUSTRIALS  742,432,298 
INFORMATION TECHNOLOGY - 36.9%   
IT Services - 9.8%   
Automatic Data Processing, Inc. 678,493 142,232,488 
MasterCard, Inc. Class A 961,092 370,923,846 
Paychex, Inc. 507,952 57,815,097 
VeriSign, Inc. (a) 157,259 34,026,130 
Visa, Inc. Class A (b) 1,593,324 392,579,100 
  997,576,661 
Semiconductors & Semiconductor Equipment - 5.1%   
Intel Corp. 4,417,047 237,283,765 
Texas Instruments, Inc. 1,460,456 278,392,123 
  515,675,888 
Software - 13.6%   
Adobe, Inc. (a) 668,006 415,252,570 
Check Point Software Technologies Ltd. (a) 176,701 22,458,697 
Fair Isaac Corp. (a) 46,712 24,472,884 
Fortinet, Inc. (a) 215,202 58,586,592 
Manhattan Associates, Inc. (a) 102,407 16,347,229 
Microsoft Corp. 2,830,710 806,497,586 
Paycom Software, Inc. (a) 78,508 31,403,200 
  1,375,018,758 
Technology Hardware, Storage & Peripherals - 8.4%   
Apple, Inc. 5,805,872 846,844,491 
TOTAL INFORMATION TECHNOLOGY  3,735,115,798 
MATERIALS - 0.9%   
Chemicals - 0.9%   
Ecolab, Inc. 393,668 86,933,704 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.1%   
CoreSite Realty Corp. 68,627 9,484,938 
TOTAL COMMON STOCKS   
(Cost $6,812,738,070)  10,105,891,534 
Money Market Funds - 2.3%   
Fidelity Securities Lending Cash Central Fund 0.06% (c)(d)   
(Cost $234,182,625) 234,159,209 234,182,625 
TOTAL INVESTMENT IN SECURITIES - 102.0%   
(Cost $7,046,920,695)  10,340,074,159 
NET OTHER ASSETS (LIABILITIES) - (2.0)%  (203,983,626) 
NET ASSETS - 100%  $10,136,090,533 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Equity Index Contracts      
CME E-mini S&P 500 Index Contracts (United States) 138 Sept. 2021 $30,287,550 $872,520 $872,520 

The notional amount of futures purchased as a percentage of Net Assets is 0.3%

Legend

 (a) Non-income producing

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

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

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

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund Income earned 
Fidelity Cash Central Fund $16,973 
Fidelity Securities Lending Cash Central Fund 33,018 
Total $49,991 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

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

Fund Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.06% $-- $2,555,808,631 $2,555,817,388 $8,757 $-- $-- 0.0% 
Fidelity Securities Lending Cash Central Fund 0.06% 82,978,300 689,668,061 538,463,736 -- -- 234,182,625 0.7% 
Total $82,978,300 $3,245,476,692 $3,094,281,124 $8,757 $-- $234,182,625  

Investment Valuation

The following is a summary of the inputs used, as of July 31, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Communication Services $1,238,586,266 $1,238,586,266 $-- $-- 
Consumer Discretionary 258,012,066 258,012,066 -- -- 
Consumer Staples 882,542,175 882,542,175 -- -- 
Financials 1,004,124,694 1,004,124,694 -- -- 
Health Care 2,148,659,595 2,148,659,595 -- -- 
Industrials 742,432,298 742,432,298 -- -- 
Information Technology 3,735,115,798 3,735,115,798 -- -- 
Materials 86,933,704 86,933,704 -- -- 
Real Estate 9,484,938 9,484,938 -- -- 
Money Market Funds 234,182,625 234,182,625 -- -- 
Total Investments in Securities: $10,340,074,159 $10,340,074,159 $-- $-- 
Derivative Instruments:     
Assets     
Futures Contracts $872,520 $872,520 $-- $-- 
Total Assets $872,520 $872,520 $-- $-- 
Total Derivative Instruments: $872,520 $872,520 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Equity Risk   
Futures Contracts(a) $872,520 $0 
Total Equity Risk 872,520 
Total Value of Derivatives $872,520 $0 

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

See accompanying notes which are an integral part of the financial statements.


Financial Statements

Statement of Assets and Liabilities

  July 31, 2021 
Assets   
Investment in securities, at value (including securities loaned of $227,978,464) — See accompanying schedule:
Unaffiliated issuers (cost $6,812,738,070) 
$10,105,891,534  
Fidelity Central Funds (cost $234,182,625) 234,182,625  
Total Investment in Securities (cost $7,046,920,695)  $10,340,074,159 
Segregated cash with brokers for derivative instruments  1,496,000 
Receivable for investments sold  89,905,921 
Receivable for fund shares sold  707,579 
Dividends receivable  10,566,878 
Distributions receivable from Fidelity Central Funds  3,361 
Prepaid expenses  6,767 
Total assets  10,442,760,665 
Liabilities   
Payable to custodian bank $208,017  
Payable for fund shares redeemed 928,849  
Accrued management fee 835,985  
Notes payable to affiliates 70,292,000  
Payable for daily variation margin on futures contracts 152,554  
Other payables and accrued expenses 83,427  
Collateral on securities loaned 234,169,300  
Total liabilities  306,670,132 
Net Assets  $10,136,090,533 
Net Assets consist of:   
Paid in capital  $6,122,138,364 
Total accumulated earnings (loss)  4,013,952,169 
Net Assets  $10,136,090,533 
Net Asset Value, offering price and redemption price per share ($10,136,090,533 ÷ 526,806,165 shares)  $19.24 

See accompanying notes which are an integral part of the financial statements.


Statement of Operations

  Year ended July 31, 2021 
Investment Income   
Dividends  $117,003,946 
Interest  1,452 
Income from Fidelity Central Funds (including $33,018 from security lending)  49,991 
Total income  117,055,389 
Expenses   
Management fee $8,313,330  
Custodian fees and expenses 94,353  
Independent trustees' fees and expenses 23,479  
Registration fees 79,975  
Audit 53,091  
Legal 17,385  
Interest 32,052  
Miscellaneous 39,605  
Total expenses  8,653,270 
Net investment income (loss)  108,402,119 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 1,042,884,087  
Fidelity Central Funds 8,757  
Futures contracts 7,419,953  
Total net realized gain (loss)  1,050,312,797 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 1,237,888,388  
Futures contracts (411,609)  
Total change in net unrealized appreciation (depreciation)  1,237,476,779 
Net gain (loss)  2,287,789,576 
Net increase (decrease) in net assets resulting from operations  $2,396,191,695 

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets

 Year ended July 31, 2021 Year ended July 31, 2020 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $108,402,119 $165,783,440 
Net realized gain (loss) 1,050,312,797 582,334,983 
Change in net unrealized appreciation (depreciation) 1,237,476,779 808,592,545 
Net increase (decrease) in net assets resulting from operations 2,396,191,695 1,556,710,968 
Distributions to shareholders (768,878,056) (1,171,850,303) 
Share transactions   
Proceeds from sales of shares 2,963,346,740 2,521,381,744 
Reinvestment of distributions 755,566,663 869,380,021 
Cost of shares redeemed (3,542,471,393) (4,176,043,929) 
Net increase (decrease) in net assets resulting from share transactions 176,442,010 (785,282,164) 
Total increase (decrease) in net assets 1,803,755,649 (400,421,499) 
Net Assets   
Beginning of period 8,332,334,884 8,732,756,383 
End of period $10,136,090,533 $8,332,334,884 
Other Information   
Shares   
Sold 173,464,583 178,961,257 
Issued in reinvestment of distributions 48,649,105 63,065,977 
Redeemed (217,407,264) (294,683,737) 
Net increase (decrease) 4,706,424 (52,656,503) 

See accompanying notes which are an integral part of the financial statements.


Financial Highlights

Fidelity SAI U.S. Quality Index Fund

      
Years ended July 31, 2021 2020 2019 2018 2017 
Selected Per–Share Data      
Net asset value, beginning of period $15.96 $15.19 $14.23 $12.27 $10.87 
Income from Investment Operations      
Net investment income (loss)A .22 .26 .25 .21 .21 
Net realized and unrealized gain (loss) 4.58 2.45 1.10 2.25 1.36 
Total from investment operations 4.80 2.71 1.35 2.46 1.57 
Distributions from net investment income (.28) (.24) (.19) (.19) (.14) 
Distributions from net realized gain (1.25) (1.69) (.20) (.31) (.03) 
Total distributions (1.52)B (1.94)B (.39) (.50) (.17) 
Net asset value, end of period $19.24 $15.96 $15.19 $14.23 $12.27 
Total ReturnC 32.64% 20.14% 9.70% 20.71% 14.70% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .10% .11% .19% .20% .21% 
Expenses net of fee waivers, if any .10% .11% .15% .15% .15% 
Expenses net of all reductions .10% .11% .15% .15% .15% 
Net investment income (loss) 1.30% 1.83% 1.76% 1.55% 1.84% 
Supplemental Data      
Net assets, end of period (000 omitted) $10,136,091 $8,332,335 $8,732,756 $7,247,643 $5,093,881 
Portfolio turnover rateF 71% 60% 99% 34% 31% 

 A Calculated based on average shares outstanding during the period.

 B Total distributions per share do not sum due to rounding.

 C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

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

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements

For the period ended July 31, 2021

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% to .01 % 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

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

3. Significant Accounting Policies.

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

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, 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.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2021 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

Book-tax differences are primarily due to futures contracts, partnerships and losses deferred due to wash sales.

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

Gross unrealized appreciation $3,307,833,108 
Gross unrealized depreciation (26,739,448) 
Net unrealized appreciation (depreciation) $3,281,093,660 
Tax Cost $7,058,980,499 

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

Undistributed ordinary income $62,514,867 
Undistributed long-term capital gain $670,343,641 
Net unrealized appreciation (depreciation) on securities and other investments $3,281,093,660 

The tax character of distributions paid was as follows:

 July 31, 2021 July 31, 2020 
Ordinary Income $140,710,843 $ 337,926,456 
Long-term Capital Gains 628,167,213 833,923,847 
Total $768,878,056 $ 1,171,850,303 

4. Derivative Instruments.

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

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

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

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.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

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

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

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

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

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

5. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Fidelity SAI U.S. Quality Index Fund 5,886,617,541 6,366,749,354 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.

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

Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable to affiliates" in the Statement of Assets and Liabilities. Activity in this program during the period for which loans were outstanding was as follows:

 Borrower or Lender Average Loan Balance Weighted Average Interest Rate Interest Expense 
Fidelity SAI U.S. Quality Index Fund Borrower $46,483,127 .32% $32,052 

Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

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

 Amount 
Fidelity SAI U.S. Quality Index Fund $15,812 

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

 Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End 
Fidelity SAI U.S. Quality Index Fund $6,110 $7 $– 

9. Other.

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

In addition, at the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

 Strategic Advisers Fidelity U.S. Total Stock Fund Strategic Advisers Large Cap Fund 
Fidelity SAI U.S. Quality Index Fund 74% 11% 

10. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI U.S. Quality Index Fund

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Quality Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2021, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2021, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

September 10, 2021


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

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 283 funds. Mr. Chiel oversees 176 funds. 

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

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

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

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

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

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

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

Interested Trustees*:

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

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

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

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

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

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

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

Independent Trustees:

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

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

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

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

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

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

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

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

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

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

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

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

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

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

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

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

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

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

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

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

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 Annualized Expense Ratio-A Beginning
Account Value
February 1, 2021 
Ending
Account Value
July 31, 2021 
Expenses Paid
During Period-B
February 1, 2021
to July 31, 2021 
Fidelity SAI U.S. Quality Index Fund .10%    
Actual  $1,000.00 $1,213.90 $.55 
Hypothetical-C  $1,000.00 $1,024.30 $.50 

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

 B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity SAI U.S. Quality Index Fund voted to pay on September 13, 2021, to shareholders of record at the opening of business on September 10, 2021, a distribution of $1.275 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.119 per share from net investment income.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2021, $976,052,567, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 99% and 97% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 100% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund designates 1% of the dividends distributed during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

SV4-ANN-0921
1.9868208.105


Fidelity® SAI U.S. Large Cap Index Fund

Offered exclusively to certain clients of the Adviser or its affiliates - 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 LLC.



Annual Report

July 31, 2021

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts

Liquidity Risk Management Program


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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended July 31, 2021 Past 1 year Past 5 years Life of fundA 
Fidelity® SAI U.S. Large Cap Index Fund 36.43% 17.31% 18.70% 

 A From February 2, 2016

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Large Cap Index Fund on February 2, 2016, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.


Period Ending Values

$25,659Fidelity® SAI U.S. Large Cap Index Fund

$25,699S&P 500® Index

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.

Comments from the Geode Capital Management, LLC, passive equity index team:  For the fiscal year ending July 31, 2021, the fund gained 36.43%, roughly in line with the 36.45% advance of the benchmark S&P 500® Index. By sector, information technology gained roughly 39% and contributed most, followed by financials, which gained 55%, and communication services, which advanced roughly 44%, lifted by the media & entertainment industry (+51%). The health care sector rose 27%, industrials gained 46%, and consumer discretionary advanced about 26%. Other notable contributors included the consumer staples (+18%), energy (+45%), materials (+42%), real estate (+33%), and utilities (+12%) sectors. Turning to individual stocks, the top contributor was Alphabet (+81%), from the media & entertainment group. In technology hardware & equipment, Apple (+37%) was helpful, and Microsoft (+40%), from the software & services industry, also contributed. Facebook, within the media & entertainment category, rose approximately 40%, and Nvidia, within the semiconductors & semiconductor equipment segment, gained about 82% and boosted the fund. Conversely, the biggest individual detractor was Vertex Pharmaceuticals (-26%), from the pharmaceuticals, biotechnology & life sciences category, followed by Penn National Gaming (-42%), which is in the consumer services group. Within health care equipment & services, Becton Dickinson returned -8% and hurt. Other detractors were Clorox (-22%), a stock in the household & personal products industry, and Regeneron Pharmaceuticals (-9%), from the pharmaceuticals, biotechnology & life sciences segment.

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

Investment Summary (Unaudited)

Top Five Stocks as of July 31, 2021

 % of fund's net assets 
Apple, Inc. 6.1 
Microsoft Corp. 5.8 
Amazon.com, Inc. 3.8 
Facebook, Inc. Class A 2.3 
Alphabet, Inc. Class A 2.2 
 20.2 

Top Five Market Sectors as of July 31, 2021

 % of fund's net assets 
Information Technology 27.7 
Health Care 13.4 
Consumer Discretionary 12.0 
Communication Services 11.2 
Financials 10.9 

Asset Allocation (% of fund's net assets)

As of July 31, 2021* 
   Stocks and Equity Futures 100.0% 


 * Foreign investments – 3.5%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

Common Stocks - 99.7%   
 Shares Value 
COMMUNICATION SERVICES - 11.2%   
Diversified Telecommunication Services - 1.2%   
AT&T, Inc. 2,672,383 $74,960,343 
Lumen Technologies, Inc. (a) 372,331 4,642,968 
Verizon Communications, Inc. 1,549,558 86,434,345 
  166,037,656 
Entertainment - 1.8%   
Activision Blizzard, Inc. 290,824 24,318,703 
Electronic Arts, Inc. 107,116 15,420,419 
Live Nation Entertainment, Inc. (b) 54,074 4,265,898 
Netflix, Inc. (b) 165,958 85,894,882 
Take-Two Interactive Software, Inc. (b) 43,288 7,507,005 
The Walt Disney Co.(b) 680,047 119,701,873 
  257,108,780 
Interactive Media & Services - 6.7%   
Alphabet, Inc.:   
Class A (b) 112,565 303,309,769 
Class C (b) 106,577 288,228,970 
Facebook, Inc. Class A (b) 896,800 319,529,840 
Twitter, Inc. (b) 298,726 20,836,139 
  931,904,718 
Media - 1.3%   
Charter Communications, Inc. Class A (b) 51,549 38,355,033 
Comcast Corp. Class A 1,716,031 100,954,104 
Discovery Communications, Inc.:   
Class A (b) 63,140 1,831,691 
Class C (non-vtg.) (b) 112,430 3,047,977 
DISH Network Corp. Class A (b) 92,996 3,895,602 
Fox Corp.:   
Class A 122,339 4,362,609 
Class B 56,908 1,891,622 
Interpublic Group of Companies, Inc. 147,234 5,206,194 
News Corp.:   
Class A 146,621 3,611,275 
Class B 45,353 1,066,249 
Omnicom Group, Inc. 80,501 5,862,083 
ViacomCBS, Inc. Class B 226,661 9,277,235 
  179,361,674 
Wireless Telecommunication Services - 0.2%   
T-Mobile U.S., Inc. (b) 219,339 31,589,203 
TOTAL COMMUNICATION SERVICES  1,566,002,031 
CONSUMER DISCRETIONARY - 12.0%   
Auto Components - 0.2%   
Aptiv PLC (b) 101,230 16,890,226 
BorgWarner, Inc. 89,771 4,396,984 
  21,287,210 
Automobiles - 1.8%   
Ford Motor Co. (b) 1,467,487 20,471,444 
General Motors Co. (b) 477,807 27,158,550 
Tesla, Inc. (b) 288,447 198,220,778 
  245,850,772 
Distributors - 0.1%   
Genuine Parts Co. 54,074 6,863,072 
LKQ Corp. (b) 104,046 5,280,335 
Pool Corp. 15,020 7,176,856 
  19,320,263 
Hotels, Restaurants & Leisure - 2.0%   
Booking Holdings, Inc. (b) 15,365 33,468,965 
Caesars Entertainment, Inc. (b) 78,113 6,823,952 
Carnival Corp. (a)(b) 298,792 6,468,847 
Chipotle Mexican Grill, Inc. (b) 10,536 19,633,204 
Darden Restaurants, Inc. 48,972 7,144,035 
Domino's Pizza, Inc. 14,533 7,636,946 
Expedia, Inc. (b) 52,941 8,516,619 
Hilton Worldwide Holdings, Inc. (b) 104,251 13,703,794 
Las Vegas Sands Corp. (b) 122,954 5,207,102 
Marriott International, Inc. Class A (b) 99,943 14,589,679 
McDonald's Corp. 279,280 67,784,049 
MGM Resorts International 152,388 5,719,122 
Norwegian Cruise Line Holdings Ltd. (a)(b) 138,460 3,327,194 
Penn National Gaming, Inc. (b) 55,596 3,801,654 
Royal Caribbean Cruises Ltd. (b) 81,942 6,298,882 
Starbucks Corp. 441,018 53,552,816 
Wynn Resorts Ltd. (b) 39,393 3,873,514 
Yum! Brands, Inc. 111,499 14,649,854 
  282,200,228 
Household Durables - 0.4%   
D.R. Horton, Inc. 122,780 11,716,895 
Garmin Ltd. 56,095 8,818,134 
Leggett & Platt, Inc. (a) 49,867 2,395,112 
Lennar Corp. Class A 103,212 10,852,742 
Mohawk Industries, Inc. (b) 21,916 4,271,428 
Newell Brands, Inc. 141,673 3,506,407 
NVR, Inc. (b) 1,280 6,684,928 
PulteGroup, Inc. 98,989 5,431,526 
Whirlpool Corp. (a) 23,439 5,192,676 
  58,869,848 
Internet & Direct Marketing Retail - 4.0%   
Amazon.com, Inc. (b) 160,446 533,898,505 
eBay, Inc. 242,236 16,522,918 
Etsy, Inc. (b) 47,573 8,730,121 
  559,151,544 
Leisure Products - 0.0%   
Hasbro, Inc. 47,886 4,761,784 
Multiline Retail - 0.6%   
Dollar General Corp. 88,408 20,567,237 
Dollar Tree, Inc. (b) 86,816 8,663,369 
Target Corp. 185,167 48,337,845 
  77,568,451 
Specialty Retail - 2.2%   
Advance Auto Parts, Inc. 24,493 5,193,986 
AutoZone, Inc. (b) 8,092 13,137,928 
Bath & Body Works, Inc. 99,091 7,934,216 
Best Buy Co., Inc. 83,436 9,374,035 
CarMax, Inc. (b) 61,065 8,179,657 
Gap, Inc. 77,732 2,267,442 
Lowe's Companies, Inc. 264,577 50,981,342 
O'Reilly Automotive, Inc. (b) 26,111 15,766,866 
Ross Stores, Inc. 133,474 16,375,925 
The Home Depot, Inc. 397,960 130,606,492 
TJX Companies, Inc. 451,384 31,059,733 
Tractor Supply Co. 43,138 7,804,958 
Ulta Beauty, Inc. (b) 20,495 6,882,221 
  305,564,801 
Textiles, Apparel & Luxury Goods - 0.7%   
Hanesbrands, Inc. (a) 130,669 2,386,016 
NIKE, Inc. Class B 477,195 79,934,934 
PVH Corp. (b) 26,674 2,790,634 
Ralph Lauren Corp. 18,059 2,050,058 
Tapestry, Inc. (b) 104,372 4,414,936 
Under Armour, Inc.:   
Class A (sub. vtg.) (b) 70,904 1,449,987 
Class C (non-vtg.) (b) 73,176 1,282,044 
VF Corp. 120,356 9,652,551 
  103,961,160 
TOTAL CONSUMER DISCRETIONARY  1,678,536,061 
CONSUMER STAPLES - 5.8%   
Beverages - 1.4%   
Brown-Forman Corp. Class B (non-vtg.) 68,365 4,848,446 
Constellation Brands, Inc. Class A (sub. vtg.) 63,253 14,190,178 
Molson Coors Beverage Co. Class B 70,499 3,446,696 
Monster Beverage Corp. (b) 138,482 13,061,622 
PepsiCo, Inc. 517,121 81,162,141 
The Coca-Cola Co. 1,452,411 82,830,999 
  199,540,082 
Food & Staples Retailing - 1.3%   
Costco Wholesale Corp. 165,459 71,101,041 
Kroger Co. 283,370 11,533,159 
Sysco Corp. 191,477 14,207,593 
Walgreens Boots Alliance, Inc. 268,528 12,661,095 
Walmart, Inc. 513,910 73,257,871 
  182,760,759 
Food Products - 0.9%   
Archer Daniels Midland Co. 209,113 12,488,228 
Campbell Soup Co. (a) 75,986 3,322,108 
Conagra Brands, Inc. 179,636 6,016,010 
General Mills, Inc. 228,302 13,437,856 
Hormel Foods Corp. (a) 105,503 4,893,229 
Kellogg Co. 94,307 5,975,292 
Lamb Weston Holdings, Inc. 54,751 3,655,724 
McCormick & Co., Inc. (non-vtg.) 93,198 7,844,476 
Mondelez International, Inc. 525,759 33,259,514 
The Hershey Co. 54,789 9,800,656 
The J.M. Smucker Co. 41,016 5,377,608 
The Kraft Heinz Co. (a) 242,636 9,334,207 
Tyson Foods, Inc. Class A 110,329 7,884,110 
  123,289,018 
Household Products - 1.3%   
Church & Dwight Co., Inc. 91,792 7,947,351 
Colgate-Palmolive Co. 316,632 25,172,244 
Kimberly-Clark Corp. 126,295 17,140,757 
Procter & Gamble Co. 916,333 130,330,043 
The Clorox Co. 46,550 8,420,430 
  189,010,825 
Personal Products - 0.2%   
Estee Lauder Companies, Inc. Class A 86,794 28,974,441 
Tobacco - 0.7%   
Altria Group, Inc. 692,663 33,275,531 
Philip Morris International, Inc. 583,334 58,385,900 
  91,661,431 
TOTAL CONSUMER STAPLES  815,236,556 
ENERGY - 2.6%   
Energy Equipment & Services - 0.2%   
Baker Hughes Co. Class A 272,259 5,782,781 
Halliburton Co. 333,007 6,886,585 
NOV, Inc. (b) 146,211 2,019,174 
Schlumberger Ltd. 523,372 15,088,815 
  29,777,355 
Oil, Gas & Consumable Fuels - 2.4%   
APA Corp. 141,469 2,652,544 
Cabot Oil & Gas Corp. 149,588 2,393,408 
Chevron Corp. 723,399 73,649,252 
ConocoPhillips Co. 505,065 28,313,944 
Devon Energy Corp. 222,950 5,761,028 
Diamondback Energy, Inc. 67,744 5,225,095 
EOG Resources, Inc. 218,434 15,915,101 
Exxon Mobil Corp. 1,584,543 91,222,141 
Hess Corp. 102,739 7,853,369 
Kinder Morgan, Inc. 728,932 12,668,838 
Marathon Oil Corp. 294,993 3,418,969 
Marathon Petroleum Corp. 238,439 13,166,602 
Occidental Petroleum Corp. 314,427 8,206,545 
ONEOK, Inc. 166,757 8,666,361 
Phillips 66 Co. 163,885 12,034,076 
Pioneer Natural Resources Co. 86,742 12,609,685 
The Williams Companies, Inc. 454,665 11,389,358 
Valero Energy Corp. 152,992 10,245,874 
  325,392,190 
TOTAL ENERGY  355,169,545 
FINANCIALS - 10.9%   
Banks - 4.0%   
Bank of America Corp. 2,822,470 108,269,949 
Citigroup, Inc. 773,661 52,314,957 
Citizens Financial Group, Inc. 159,419 6,721,105 
Comerica, Inc. 52,255 3,587,828 
Fifth Third Bancorp 263,483 9,561,798 
First Republic Bank 65,870 12,845,967 
Huntington Bancshares, Inc./Ohio 552,249 7,775,666 
JPMorgan Chase & Co. 1,133,003 171,967,195 
KeyCorp 363,250 7,141,495 
M&T Bank Corp. 48,153 6,445,279 
Peoples United Financial, Inc. 160,055 2,512,864 
PNC Financial Services Group, Inc. 159,017 29,006,291 
Regions Financial Corp. 359,793 6,926,015 
SVB Financial Group (b) 21,033 11,567,309 
Truist Financial Corp. 503,353 27,397,504 
U.S. Bancorp 507,381 28,179,941 
Wells Fargo & Co. 1,547,126 71,074,968 
Zions Bancorp NA 61,314 3,197,525 
  566,493,656 
Capital Markets - 3.0%   
Ameriprise Financial, Inc. 43,381 11,173,210 
Bank of New York Mellon Corp. 301,970 15,500,120 
BlackRock, Inc. Class A 53,092 46,039,790 
Cboe Global Markets, Inc. 39,931 4,730,626 
Charles Schwab Corp. 561,370 38,145,092 
CME Group, Inc. 134,403 28,510,908 
Franklin Resources, Inc. 101,930 3,012,032 
Goldman Sachs Group, Inc. 127,337 47,736,095 
Intercontinental Exchange, Inc. 210,634 25,240,272 
Invesco Ltd. 141,625 3,452,818 
MarketAxess Holdings, Inc. 14,216 6,755,017 
Moody's Corp. 60,257 22,656,632 
Morgan Stanley 557,110 53,471,418 
MSCI, Inc. 30,850 18,385,366 
NASDAQ, Inc. 42,992 8,027,896 
Northern Trust Corp. 77,903 8,791,354 
Raymond James Financial, Inc. 45,776 5,927,076 
S&P Global, Inc. (a) 90,165 38,655,539 
State Street Corp. 130,164 11,342,491 
T. Rowe Price Group, Inc. 84,908 17,334,817 
  414,888,569 
Consumer Finance - 0.7%   
American Express Co. 243,537 41,530,365 
Capital One Financial Corp. 168,985 27,324,875 
Discover Financial Services 114,114 14,186,652 
Synchrony Financial 202,445 9,518,964 
  92,560,856 
Diversified Financial Services - 1.4%   
Berkshire Hathaway, Inc. Class B (b) 709,399 197,418,648 
Insurance - 1.8%   
AFLAC, Inc. 236,581 13,011,955 
Allstate Corp. 112,037 14,570,412 
American International Group, Inc. 321,188 15,208,252 
Aon PLC (a) 84,456 21,961,094 
Arthur J. Gallagher & Co. 76,686 10,683,127 
Assurant, Inc. 22,669 3,577,395 
Chubb Ltd. 168,312 28,400,967 
Cincinnati Financial Corp. 56,075 6,610,121 
Everest Re Group Ltd. 15,003 3,793,208 
Globe Life, Inc. 35,485 3,304,008 
Hartford Financial Services Group, Inc. 133,691 8,505,421 
Lincoln National Corp. 66,978 4,127,184 
Loews Corp. 83,727 4,490,279 
Marsh & McLennan Companies, Inc. 190,335 28,021,119 
MetLife, Inc. 278,505 16,069,739 
Principal Financial Group, Inc. 94,683 5,882,655 
Progressive Corp. 219,013 20,841,277 
Prudential Financial, Inc. 147,467 14,787,991 
The Travelers Companies, Inc. 94,132 14,018,137 
Unum Group 76,444 2,094,566 
W.R. Berkley Corp. 52,449 3,837,693 
Willis Towers Watson PLC 48,274 9,948,306 
  253,744,906 
TOTAL FINANCIALS  1,525,106,635 
HEALTH CARE - 13.4%   
Biotechnology - 1.9%   
AbbVie, Inc. 661,067 76,882,092 
Amgen, Inc. 215,046 51,942,211 
Biogen, Inc. (b) 56,350 18,411,236 
Gilead Sciences, Inc. 469,418 32,056,555 
Incyte Corp. (b) 69,967 5,411,947 
Moderna, Inc. (b) 114,217 40,387,131 
Regeneron Pharmaceuticals, Inc. (b) 39,186 22,516,667 
Vertex Pharmaceuticals, Inc. (b) 96,889 19,530,885 
  267,138,724 
Health Care Equipment & Supplies - 3.8%   
Abbott Laboratories 665,034 80,455,813 
Abiomed, Inc. (b) 16,954 5,546,332 
Align Technology, Inc. (b) 26,954 18,754,593 
Baxter International, Inc. 188,209 14,557,966 
Becton, Dickinson & Co. 108,849 27,838,132 
Boston Scientific Corp. (b) 531,823 24,251,129 
Danaher Corp. 237,602 70,684,219 
Dentsply Sirona, Inc. 81,713 5,396,327 
DexCom, Inc.(b) 36,195 18,658,884 
Edwards Lifesciences Corp. (b) 232,668 26,121,636 
Hologic, Inc. (b) 95,904 7,196,636 
IDEXX Laboratories, Inc. (b) 31,919 21,657,999 
Intuitive Surgical, Inc. (b) 44,320 43,941,507 
Medtronic PLC 503,561 66,122,595 
ResMed, Inc. 54,465 14,803,587 
STERIS PLC 36,545 7,964,983 
Stryker Corp. 122,679 33,238,648 
Teleflex, Inc. 17,491 6,951,448 
The Cooper Companies, Inc. 18,433 7,774,486 
West Pharmaceutical Services, Inc. 27,631 11,376,512 
Zimmer Biomet Holdings, Inc. 78,031 12,751,826 
  526,045,258 
Health Care Providers & Services - 2.6%   
AmerisourceBergen Corp. 55,355 6,762,720 
Anthem, Inc. 91,640 35,190,676 
Cardinal Health, Inc. 108,598 6,448,549 
Centene Corp. (b) 218,108 14,964,390 
Cigna Corp. 128,434 29,474,319 
CVS Health Corp. 492,769 40,584,455 
DaVita HealthCare Partners, Inc. (b) 26,234 3,154,639 
HCA Holdings, Inc. 98,366 24,414,441 
Henry Schein, Inc. (b) 52,660 4,220,699 
Humana, Inc. 48,288 20,563,928 
Laboratory Corp. of America Holdings (b) 36,545 10,822,802 
McKesson Corp. 59,206 12,067,959 
Quest Diagnostics, Inc. (a) 48,896 6,933,453 
UnitedHealth Group, Inc. 353,212 145,601,051 
Universal Health Services, Inc. Class B 29,184 4,681,405 
  365,885,486 
Health Care Technology - 0.1%   
Cerner Corp. 112,778 9,066,223 
Life Sciences Tools & Services - 1.3%   
Agilent Technologies, Inc. 113,574 17,402,944 
Bio-Rad Laboratories, Inc. Class A (b) 8,066 5,964,888 
Charles River Laboratories International, Inc. (b) 18,809 7,653,758 
Illumina, Inc. (b) 54,645 27,090,259 
IQVIA Holdings, Inc. (b) 71,735 17,768,760 
Mettler-Toledo International, Inc. (b) 8,709 12,834,540 
PerkinElmer, Inc. 41,954 7,645,277 
Thermo Fisher Scientific, Inc. 147,104 79,437,631 
Waters Corp. (b) 23,093 9,001,882 
  184,799,939 
Pharmaceuticals - 3.7%   
Bristol-Myers Squibb Co. 836,122 56,747,600 
Catalent, Inc. (b) 63,756 7,638,606 
Eli Lilly & Co. 297,926 72,544,981 
Johnson & Johnson 985,636 169,726,519 
Merck & Co., Inc. 947,707 72,850,237 
Organon & Co.  94,706 2,747,421 
Perrigo Co. PLC 49,985 2,400,780 
Pfizer, Inc. 2,095,123 89,692,216 
Viatris, Inc. 452,380 6,364,987 
Zoetis, Inc. Class A 177,697 36,019,182 
  516,732,529 
TOTAL HEALTH CARE  1,869,668,159 
INDUSTRIALS - 8.4%   
Aerospace & Defense - 1.6%   
General Dynamics Corp. 85,675 16,794,870 
Howmet Aerospace, Inc. 146,305 4,801,730 
Huntington Ingalls Industries, Inc. 15,058 3,088,848 
L3Harris Technologies, Inc. 76,722 17,395,946 
Lockheed Martin Corp. 91,543 34,023,787 
Northrop Grumman Corp. 56,028 20,339,285 
Raytheon Technologies Corp. 567,073 49,306,997 
Teledyne Technologies, Inc. (b) 17,383 7,870,501 
Textron, Inc. 84,479 5,829,896 
The Boeing Co. (b) 205,751 46,598,486 
TransDigm Group, Inc. (b) 20,545 13,171,194 
  219,221,540 
Air Freight & Logistics - 0.7%   
C.H. Robinson Worldwide, Inc. 49,776 4,438,526 
Expeditors International of Washington, Inc. 63,211 8,106,811 
FedEx Corp. 91,368 25,578,472 
United Parcel Service, Inc. Class B 270,725 51,805,936 
  89,929,745 
Airlines - 0.3%   
Alaska Air Group, Inc. (b) 46,592 2,703,734 
American Airlines Group, Inc. (a)(b) 240,059 4,892,402 
Delta Air Lines, Inc. (b) 239,409 9,552,419 
Southwest Airlines Co. (b) 221,343 11,182,248 
United Airlines Holdings, Inc. (b) 121,110 5,658,259 
  33,989,062 
Building Products - 0.5%   
A.O. Smith Corp. 50,329 3,539,639 
Allegion PLC 33,677 4,600,278 
Carrier Global Corp. 305,737 16,891,969 
Fortune Brands Home & Security, Inc. 51,811 5,050,018 
Johnson Controls International PLC 268,254 19,158,701 
Masco Corp. 94,988 5,671,733 
Trane Technologies PLC 89,509 18,224,927 
  73,137,265 
Commercial Services & Supplies - 0.4%   
Cintas Corp. 33,028 13,018,977 
Copart, Inc. (b) 77,921 11,454,387 
Republic Services, Inc. 78,810 9,327,952 
Rollins, Inc. 82,887 3,177,059 
Waste Management, Inc. 145,355 21,550,332 
  58,528,707 
Construction & Engineering - 0.0%   
Quanta Services, Inc. 52,155 4,740,890 
Electrical Equipment - 0.6%   
AMETEK, Inc. 86,429 12,017,952 
Eaton Corp. PLC 149,152 23,573,474 
Emerson Electric Co. 224,458 22,645,568 
Generac Holdings, Inc. (b) 23,563 9,881,380 
Rockwell Automation, Inc. 43,446 13,356,169 
  81,474,543 
Industrial Conglomerates - 1.2%   
3M Co. 216,963 42,945,656 
General Electric Co. 3,285,698 42,549,789 
Honeywell International, Inc. 259,961 60,776,282 
Roper Technologies, Inc. 39,389 19,353,391 
  165,625,118 
Machinery - 1.6%   
Caterpillar, Inc. 205,028 42,389,539 
Cummins, Inc. 54,721 12,700,744 
Deere & Co. 116,755 42,217,440 
Dover Corp. 53,870 9,002,754 
Fortive Corp. 126,705 9,206,385 
IDEX Corp. 28,420 6,442,530 
Illinois Tool Works, Inc. 107,589 24,387,199 
Ingersoll Rand, Inc. (b) 139,725 6,828,361 
Otis Worldwide Corp. 150,984 13,520,617 
PACCAR, Inc. 129,935 10,783,306 
Parker Hannifin Corp. 48,303 15,071,985 
Pentair PLC 62,207 4,582,790 
Snap-On, Inc. 20,241 4,412,133 
Stanley Black & Decker, Inc. 60,445 11,910,687 
Westinghouse Air Brake Co. 66,495 5,643,431 
Xylem, Inc. 67,387 8,480,654 
  227,580,555 
Professional Services - 0.4%   
Equifax, Inc. 45,551 11,870,591 
IHS Markit Ltd. 140,212 16,382,370 
Jacobs Engineering Group, Inc. 48,737 6,591,679 
Leidos Holdings, Inc. 49,755 5,294,927 
Nielsen Holdings PLC 134,180 3,178,724 
Robert Half International, Inc. 42,212 4,145,641 
Verisk Analytics, Inc. 60,668 11,523,280 
  58,987,212 
Road & Rail - 0.9%   
CSX Corp. 850,446 27,486,415 
J.B. Hunt Transport Services, Inc. 31,245 5,263,220 
Kansas City Southern 34,035 9,114,573 
Norfolk Southern Corp. 93,661 24,148,616 
Old Dominion Freight Lines, Inc. 35,591 9,579,318 
Union Pacific Corp. 248,637 54,391,830 
  129,983,972 
Trading Companies & Distributors - 0.2%   
Fastenal Co. 214,966 11,773,688 
United Rentals, Inc. (b) 27,090 8,927,510 
W.W. Grainger, Inc. 16,383 7,283,554 
  27,984,752 
TOTAL INDUSTRIALS  1,171,183,361 
INFORMATION TECHNOLOGY - 27.7%   
Communications Equipment - 0.8%   
Arista Networks, Inc. (b) 20,568 7,823,862 
Cisco Systems, Inc. 1,577,306 87,335,433 
F5 Networks, Inc. (b) 22,313 4,607,858 
Juniper Networks, Inc. 122,668 3,451,878 
Motorola Solutions, Inc. 63,504 14,219,816 
  117,438,847 
Electronic Equipment & Components - 0.6%   
Amphenol Corp. Class A 223,677 16,214,346 
CDW Corp. 52,476 9,621,475 
Corning, Inc. 289,970 12,138,144 
IPG Photonics Corp. (b) 13,436 2,931,198 
Keysight Technologies, Inc. (b) 68,953 11,346,216 
TE Connectivity Ltd. 123,598 18,226,997 
Trimble, Inc. (b) 93,932 8,031,186 
Zebra Technologies Corp. Class A (b) 20,028 11,065,069 
  89,574,631 
IT Services - 5.2%   
Accenture PLC Class A 237,912 75,579,884 
Akamai Technologies, Inc. (b) 61,005 7,315,720 
Automatic Data Processing, Inc. 159,264 33,386,512 
Broadridge Financial Solutions, Inc. 43,464 7,540,569 
Cognizant Technology Solutions Corp. Class A 197,401 14,514,896 
DXC Technology Co. (b) 95,370 3,812,893 
Fidelity National Information Services, Inc. 232,103 34,594,952 
Fiserv, Inc. (b) 222,920 25,660,321 
FleetCor Technologies, Inc. (b) 31,197 8,055,689 
Gartner, Inc. (b) 32,217 8,528,806 
Global Payments, Inc. 110,494 21,370,645 
IBM Corp. 334,431 47,141,394 
Jack Henry & Associates, Inc. 27,803 4,840,224 
MasterCard, Inc. Class A 327,418 126,363,703 
Paychex, Inc. (a) 120,040 13,662,953 
PayPal Holdings, Inc. (b) 439,681 121,145,306 
The Western Union Co. 153,176 3,555,215 
VeriSign, Inc. (b) 37,093 8,025,812 
Visa, Inc. Class A (a) 633,215 156,017,844 
  721,113,338 
Semiconductors & Semiconductor Equipment - 5.6%   
Advanced Micro Devices, Inc. (b) 454,762 48,291,177 
Analog Devices, Inc. 138,046 23,111,661 
Applied Materials, Inc. 343,465 48,061,057 
Broadcom, Inc. 152,821 74,179,313 
Enphase Energy, Inc. (b) 50,790 9,629,784 
Intel Corp. 1,511,356 81,190,044 
KLA Corp. 57,371 19,974,287 
Lam Research Corp. 53,380 34,024,946 
Maxim Integrated Products, Inc. 100,444 10,035,360 
Microchip Technology, Inc. 102,378 14,652,339 
Micron Technology, Inc. 419,727 32,562,421 
Monolithic Power Systems, Inc. 16,097 7,231,738 
NVIDIA Corp. 932,714 181,869,903 
NXP Semiconductors NV 103,209 21,301,306 
Qorvo, Inc. (b) 42,139 7,989,133 
Qualcomm, Inc. 422,192 63,244,362 
Skyworks Solutions, Inc. 61,792 11,401,242 
Teradyne, Inc. 62,231 7,903,337 
Texas Instruments, Inc. 345,660 65,889,709 
Xilinx, Inc. 92,014 13,787,378 
  776,330,497 
Software - 9.1%   
Adobe, Inc. (b) 178,907 111,213,958 
ANSYS, Inc. (b) 32,620 12,019,165 
Autodesk, Inc. (b) 82,347 26,444,092 
Cadence Design Systems, Inc. (b) 104,150 15,377,748 
Citrix Systems, Inc. 46,474 4,682,256 
Fortinet, Inc. (b) 50,736 13,812,369 
Intuit, Inc. 102,276 54,203,212 
Microsoft Corp. 2,818,943 803,145,050 
NortonLifeLock, Inc. 217,064 5,387,528 
Oracle Corp. 679,933 59,249,362 
Paycom Software, Inc. (b) 18,386 7,354,400 
PTC, Inc. (b) 39,363 5,331,718 
Salesforce.com, Inc. (b) 361,448 87,445,115 
ServiceNow, Inc. (b) 73,901 43,445,659 
Synopsys, Inc. (b) 57,098 16,443,653 
Tyler Technologies, Inc. (b) 15,248 7,511,775 
  1,273,067,060 
Technology Hardware, Storage & Peripherals - 6.4%   
Apple, Inc. 5,871,147 856,365,494 
Hewlett Packard Enterprise Co. 488,787 7,087,412 
HP, Inc. 449,609 12,980,212 
NetApp, Inc. 83,316 6,631,120 
Seagate Technology Holdings PLC 74,527 6,550,923 
Western Digital Corp. (b) 114,700 7,447,471 
  897,062,632 
TOTAL INFORMATION TECHNOLOGY  3,874,587,005 
MATERIALS - 2.6%   
Chemicals - 1.8%   
Air Products & Chemicals, Inc. 82,834 24,107,179 
Albemarle Corp. U.S. 43,687 9,001,269 
Celanese Corp. Class A 42,157 6,566,796 
CF Industries Holdings, Inc. 80,289 3,793,655 
Corteva, Inc. 275,885 11,802,360 
Dow, Inc. 279,585 17,379,004 
DuPont de Nemours, Inc. 199,172 14,947,859 
Eastman Chemical Co. 51,096 5,759,541 
Ecolab, Inc. 93,109 20,561,260 
FMC Corp. 48,237 5,158,947 
International Flavors & Fragrances, Inc. 93,167 14,034,677 
Linde PLC 194,705 59,850,370 
LyondellBasell Industries NV Class A 96,360 9,571,439 
PPG Industries, Inc. 88,739 14,510,601 
Sherwin-Williams Co. 89,587 26,072,505 
The Mosaic Co. 129,354 4,039,725 
  247,157,187 
Construction Materials - 0.1%   
Martin Marietta Materials, Inc. 23,344 8,480,875 
Vulcan Materials Co. 49,654 8,937,223 
  17,418,098 
Containers & Packaging - 0.3%   
Amcor PLC 577,068 6,670,906 
Avery Dennison Corp. 31,069 6,545,617 
Ball Corp. 122,860 9,936,917 
International Paper Co. 146,621 8,468,829 
Packaging Corp. of America 35,555 5,031,033 
Sealed Air Corp. 56,887 3,228,337 
WestRock Co. 99,603 4,901,464 
  44,783,103 
Metals & Mining - 0.4%   
Freeport-McMoRan, Inc. 548,522 20,898,688 
Newmont Corp. 299,862 18,837,331 
Nucor Corp. 112,001 11,650,344 
  51,386,363 
TOTAL MATERIALS  360,744,751 
REAL ESTATE - 2.6%   
Equity Real Estate Investment Trusts (REITs) - 2.5%   
Alexandria Real Estate Equities, Inc. 51,343 10,337,400 
American Tower Corp. 170,185 48,128,318 
AvalonBay Communities, Inc. 52,252 11,904,573 
Boston Properties, Inc. 53,158 6,239,686 
Crown Castle International Corp. 161,761 31,234,431 
Digital Realty Trust, Inc. 105,394 16,247,539 
Duke Realty Corp. 140,351 7,141,059 
Equinix, Inc. 33,528 27,506,706 
Equity Residential (SBI) 128,785 10,834,682 
Essex Property Trust, Inc. 24,328 7,982,017 
Extra Space Storage, Inc. 50,052 8,716,055 
Federal Realty Investment Trust (SBI) 26,483 3,112,547 
Healthpeak Properties, Inc. 201,714 7,457,367 
Host Hotels & Resorts, Inc. (b) 264,276 4,209,917 
Iron Mountain, Inc. 108,067 4,729,012 
Kimco Realty Corp. 162,237 3,460,515 
Mid-America Apartment Communities, Inc. 42,851 8,274,528 
Prologis (REIT), Inc. 276,885 35,452,355 
Public Storage 56,977 17,804,173 
Realty Income Corp. 139,821 9,828,018 
Regency Centers Corp. 59,126 3,867,432 
SBA Communications Corp. Class A 40,926 13,955,357 
Simon Property Group, Inc. 122,964 15,557,405 
UDR, Inc. 111,100 6,109,389 
Ventas, Inc. 140,409 8,393,650 
Vornado Realty Trust 58,763 2,556,191 
Welltower, Inc. 156,271 13,573,699 
Weyerhaeuser Co. 280,418 9,458,499 
  354,072,520 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (b) 125,631 12,118,366 
TOTAL REAL ESTATE  366,190,886 
UTILITIES - 2.5%   
Electric Utilities - 1.6%   
Alliant Energy Corp. 93,622 5,479,696 
American Electric Power Co., Inc. 187,048 16,482,670 
Duke Energy Corp. 287,906 30,261,800 
Edison International 142,017 7,739,927 
Entergy Corp. 75,104 7,729,704 
Evergy, Inc. 85,811 5,596,593 
Eversource Energy 128,554 11,090,354 
Exelon Corp. 365,740 17,116,632 
FirstEnergy Corp. 203,573 7,800,917 
NextEra Energy, Inc. 734,136 57,189,194 
NRG Energy, Inc. (a) 91,607 3,777,873 
Pinnacle West Capital Corp. 42,201 3,525,894 
PPL Corp. 287,984 8,170,106 
Southern Co. 396,227 25,307,018 
Xcel Energy, Inc. 201,442 13,748,417 
  221,016,795 
Gas Utilities - 0.0%   
Atmos Energy Corp. 48,908 4,821,840 
Independent Power and Renewable Electricity Producers - 0.1%   
The AES Corp. 249,369 5,910,045 
Multi-Utilities - 0.7%   
Ameren Corp. 95,649 8,026,864 
CenterPoint Energy, Inc. (a) 217,270 5,531,694 
CMS Energy Corp. 108,340 6,694,329 
Consolidated Edison, Inc. 128,309 9,465,355 
Dominion Energy, Inc. 301,868 22,600,857 
DTE Energy Co. 72,509 8,506,756 
NiSource, Inc. 146,800 3,636,236 
Public Service Enterprise Group, Inc. 189,048 11,764,457 
Sempra Energy 117,926 15,407,032 
WEC Energy Group, Inc. 118,062 11,114,357 
  102,747,937 
Water Utilities - 0.1%   
American Water Works Co., Inc. 67,921 11,554,041 
TOTAL UTILITIES  346,050,658 
TOTAL COMMON STOCKS   
(Cost $6,736,472,678)  13,928,475,648 
Money Market Funds - 1.9%   
Fidelity Cash Central Fund 0.06% (c) 26,193,572 26,198,811 
Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) 240,064,393 240,088,399 
TOTAL MONEY MARKET FUNDS   
(Cost $266,287,210)  266,287,210 
TOTAL INVESTMENT IN SECURITIES - 101.6%   
(Cost $7,002,759,888)  14,194,762,858 
NET OTHER ASSETS (LIABILITIES) - (1.6)%  (226,992,636) 
NET ASSETS - 100%  $13,967,770,222 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Equity Index Contracts      
CME E-mini S&P 500 Index Contracts (United States) 184 Sept. 2021 $40,383,400 $1,525,794 $1,525,794 

The notional amount of futures purchased as a percentage of Net Assets is 0.3%

Legend

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

 (b) Non-income producing

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

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

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund Income earned 
Fidelity Cash Central Fund $60,337 
Fidelity Securities Lending Cash Central Fund 79,607 
Total $139,944 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

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

Fund Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.06% $48,344,594 $6,350,866,173 $6,372,977,472 $(33,951) $(533) $26,198,811 0.0% 
Fidelity Securities Lending Cash Central Fund 0.06% 58,722,871 1,116,696,234 935,330,706 -- -- 240,088,399 0.8% 
Total $107,067,465 $7,467,562,407 $7,308,308,178 $(33,951) $(533) $266,287,210  

Investment Valuation

The following is a summary of the inputs used, as of July 31, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Communication Services $1,566,002,031 $1,566,002,031 $-- $-- 
Consumer Discretionary 1,678,536,061 1,678,536,061 -- -- 
Consumer Staples 815,236,556 815,236,556 -- -- 
Energy 355,169,545 355,169,545 -- -- 
Financials 1,525,106,635 1,525,106,635 -- -- 
Health Care 1,869,668,159 1,869,668,159 -- -- 
Industrials 1,171,183,361 1,171,183,361 -- -- 
Information Technology 3,874,587,005 3,874,587,005 -- -- 
Materials 360,744,751 360,744,751 -- -- 
Real Estate 366,190,886 366,190,886 -- -- 
Utilities 346,050,658 346,050,658 -- -- 
Money Market Funds 266,287,210 266,287,210 -- -- 
Total Investments in Securities: $14,194,762,858 $14,194,762,858 $-- $-- 
Derivative Instruments:     
Assets     
Futures Contracts $1,525,794 $1,525,794 $-- $-- 
Total Assets $1,525,794 $1,525,794 $-- $-- 
Total Derivative Instruments: $1,525,794 $1,525,794 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Equity Risk   
Futures Contracts(a) $1,525,794 $0 
Total Equity Risk 1,525,794 
Total Value of Derivatives $1,525,794 $0 

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

See accompanying notes which are an integral part of the financial statements.


Financial Statements

Statement of Assets and Liabilities

  July 31, 2021 
Assets   
Investment in securities, at value (including securities loaned of $233,089,487) — See accompanying schedule:
Unaffiliated issuers (cost $6,736,472,678) 
$13,928,475,648  
Fidelity Central Funds (cost $266,287,210) 266,287,210  
Total Investment in Securities (cost $7,002,759,888)  $14,194,762,858 
Segregated cash with brokers for derivative instruments  2,035,000 
Cash  29,880 
Receivable for fund shares sold  71,030,853 
Dividends receivable  13,175,266 
Distributions receivable from Fidelity Central Funds  13,850 
Prepaid expenses  12,306 
Receivable from investment adviser for expense reductions  41,397 
Total assets  14,281,101,410 
Liabilities   
Payable for investments purchased $69,621,620  
Payable for fund shares redeemed 3,043,007  
Accrued management fee 197,203  
Payable for daily variation margin on futures contracts 207,139  
Other payables and accrued expenses 143,644  
Collateral on securities loaned 240,118,575  
Total liabilities  313,331,188 
Net Assets  $13,967,770,222 
Net Assets consist of:   
Paid in capital  $5,409,029,415 
Total accumulated earnings (loss)  8,558,740,807 
Net Assets  $13,967,770,222 
Net Asset Value, offering price and redemption price per share ($13,967,770,222 ÷ 603,102,416 shares)  $23.16 

See accompanying notes which are an integral part of the financial statements.


Statement of Operations

  Year ended July 31, 2021 
Investment Income   
Dividends  $251,207,618 
Interest  1,283 
Income from Fidelity Central Funds (including $79,607 from security lending)  139,944 
Total income  251,348,845 
Expenses   
Management fee $2,458,216  
Custodian fees and expenses 233,585  
Independent trustees' fees and expenses 45,588  
Registration fees 93,842  
Audit 52,675  
Legal 33,815  
Interest 110,010  
Miscellaneous 71,865  
Total expenses before reductions 3,099,596  
Expense reductions (478,092)  
Total expenses after reductions  2,621,504 
Net investment income (loss)  248,727,341 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 2,253,346,036  
Fidelity Central Funds (33,951)  
Futures contracts 21,845,513  
Total net realized gain (loss)  2,275,157,598 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 2,774,947,444  
Fidelity Central Funds (533)  
Futures contracts (1,079,480)  
Total change in net unrealized appreciation (depreciation)  2,773,867,431 
Net gain (loss)  5,049,025,029 
Net increase (decrease) in net assets resulting from operations  $5,297,752,370 

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets

 Year ended July 31, 2021 Year ended July 31, 2020 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $248,727,341 $284,095,895 
Net realized gain (loss) 2,275,157,598 21,656,675 
Change in net unrealized appreciation (depreciation) 2,773,867,431 1,360,854,382 
Net increase (decrease) in net assets resulting from operations 5,297,752,370 1,666,606,952 
Distributions to shareholders (616,908,279) (277,507,662) 
Share transactions   
Proceeds from sales of shares 18,319,849,544 17,656,249,318 
Reinvestment of distributions 610,586,296 184,843,686 
Cost of shares redeemed (25,049,954,195) (17,870,724,118) 
Net increase (decrease) in net assets resulting from share transactions (6,119,518,355) (29,631,114) 
Total increase (decrease) in net assets (1,438,674,264) 1,359,468,176 
Net Assets   
Beginning of period 15,406,444,486 14,046,976,310 
End of period $13,967,770,222 $15,406,444,486 
Other Information   
Shares   
Sold 920,285,819 1,091,411,412 
Issued in reinvestment of distributions 32,481,306 11,014,839 
Redeemed (1,221,017,368) (1,104,319,712) 
Net increase (decrease) (268,250,243) (1,893,461) 

See accompanying notes which are an integral part of the financial statements.


Financial Highlights

Fidelity SAI U.S. Large Cap Index Fund

      
Years ended July 31, 2021 2020 2019 2018 2017 
Selected Per–Share Data      
Net asset value, beginning of period $17.68 $16.09 $15.21 $13.30 $11.55 
Income from Investment Operations      
Net investment income (loss)A .31 .32 .30 .27 .25 
Net realized and unrealized gain (loss) 5.94 1.56 .87 1.86 1.59 
Total from investment operations 6.25 1.88 1.17 2.13 1.84 
Distributions from net investment income (.35) (.29) (.28) (.19) (.09) 
Distributions from net realized gain (.42) – (.01) (.03) B 
Total distributions (.77) (.29) (.29) (.22) (.09) 
Net asset value, end of period $23.16 $17.68 $16.09 $15.21 $13.30 
Total ReturnC,D 36.43% 11.84% 7.97% 16.22% 16.03% 
Ratios to Average Net AssetsE,F      
Expenses before reductions .02% .02% .09% .09% .09% 
Expenses net of fee waivers, if any .02% .02% .02% .02% .02% 
Expenses net of all reductions .02% .02% .02% .02% .02% 
Net investment income (loss) 1.52% 1.97% 2.00% 1.87% 2.05% 
Supplemental Data      
Net assets, end of period (000 omitted) $13,967,770 $15,406,444 $14,046,976 $13,692,497 $8,155,030 
Portfolio turnover rateG 86% 80% 41% 26% 17% 

 A Calculated based on average shares outstanding during the period.

 B Amount represents less than $.005 per share.

 C Total returns for periods of less than one year are not annualized.

 D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

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

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements

For the period ended July 31, 2021

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% to .01% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

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

3. Significant Accounting Policies.

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

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, 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.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2021 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

Book-tax differences are primarily due to futures contracts, certain deemed distributions and losses deferred due to wash sales.

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

Gross unrealized appreciation $7,158,863,826 
Gross unrealized depreciation (109,905,308) 
Net unrealized appreciation (depreciation) $7,048,958,518 
Tax Cost $7,145,804,340 

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

Undistributed ordinary income $143,564,798 
Undistributed long-term capital gain $1,366,217,491 
Net unrealized appreciation (depreciation) on securities and other investments $7,048,958,518 

The tax character of distributions paid was as follows:

 July 31, 2021 July 31, 2020 
Ordinary Income $358,589,460 $ 277,507,662 
Long-term Capital Gains 258,318,819 – 
Total $616,908,279 $ 277,507,662 

4. Derivative Instruments.

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

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

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

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.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

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

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

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

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

5. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Fidelity SAI U.S. Large Cap Index Fund 13,725,785,046 20,137,505,758 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .015% of the Fund's average net assets.

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

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

 Borrower or Lender Average Loan Balance Weighted Average Interest Rate Interest Expense 
Fidelity SAI U.S. Large Cap Index Fund Borrower $134,190,189 .31% $110,010 

Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

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

 Amount 
Fidelity SAI U.S. Large Cap Index Fund $31,549 

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

 Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End 
Fidelity SAI U.S. Large Cap Index Fund $14,296 $88 $– 

9. Expense Reductions.

Effective September 1, 2021 the investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .015% of average net assets. This reimbursement will remain in place through November 30, 2022. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $477,972.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $120.

10. Other.

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

In addition, at the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

 Strategic Advisers Large Cap Fund 
Fidelity SAI U.S. Large Cap Index Fund 12% 

11. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI U.S. Large Cap Index Fund

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Large Cap Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2021, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2021, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

September 13, 2021


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

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 283 funds. Mr. Chiel oversees 176 funds. 

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

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

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

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

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

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

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

Interested Trustees*:

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

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

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

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

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

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

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

Independent Trustees:

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

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

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

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

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

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

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

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

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

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

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

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

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

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

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

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

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

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

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

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

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 Annualized Expense Ratio-A Beginning
Account Value
February 1, 2021 
Ending
Account Value
July 31, 2021 
Expenses Paid
During Period-B
February 1, 2021
to July 31, 2021 
Fidelity SAI U.S. Large Cap Index Fund .02%    
Actual  $1,000.00 $1,192.00 $.11 
Hypothetical-C  $1,000.00 $1,024.70 $.10 

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

 B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity SAI U.S. Large Cap Index Fund voted to pay on September 13, 2021, to shareholders of record at the opening of business on September 10, 2021, a distribution of $2.021 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.200 per share from net investment income.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2021, $1,619,884,517, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 90% and 50% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 95% and 52% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund designates 3% and 4% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.

Board Approval of Investment Advisory Contracts

Fidelity SAI U.S. Large Cap Index Fund

At its July 2021 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated sub-advisory agreement with Geode Capital Management, LLC (Geode) for the fund (the Amended Contract) to decrease the sub-advisory fee rate paid by Fidelity Management & Research Company LLC (FMR), the fund's investment adviser, to Geode on behalf of the fund by 0.05 basis points, effective August 1, 2021. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided.  The Board previously received and considered materials relating to the nature, extent and quality of services provided by FMR and Geode to the fund, including the resources dedicated to investment management and support services, shareholder and administrative services, the benefits to shareholders of investment in a large fund family and the investment performance of the fund in connection with the annual renewal of the fund's current management contract and sub-advisory agreement (Advisory Contracts). At its September 2020 meeting, the Board concluded that the nature, extent and quality of the services provided to the fund under the existing Advisory Contracts should continue to benefit the fund's shareholders. The Board noted that approval of the Amended Contract would not change the fund's portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated or trading and compliance operations. The Board concluded that the nature, extent, and quality of services to be provided to the fund under the Amended Contract should continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Expense Ratio.  The Board noted that the Amended Contract would result in no change in the fund's management fee and total expense ratio and considered that it received and reviewed information regarding the fund's current management fee and total expense ratio compared to "mapped groups" of competitive funds and classes in connection with the annual renewal of the Advisory Contracts. Based on its review, the Board concluded at its September 2020 and July 2021 meetings that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered and that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board previously reviewed information regarding the revenues earned and the expenses incurred by Fidelity in providing services to the fund and the level of Fidelity's profitability. At its September 2020 meeting, the Board concluded that it was satisfied that Fidelity's profitability in connection with the operation of the fund was not excessive. At the July 2021 meeting, the Board concluded that the Amended Contract would not have a meaningful effect on Fidelity's profitability.

Economies of Scale.  The Board has previously received and reviewed information regarding whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale and that it concluded, at its September 2020 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. At the July 2021 meeting, the Board concluded that the Amended Contract would not have a meaningful effect on any potential economies of scale.

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

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

SV9-ANN-0921
1.9870993.105


Fidelity® SAI Real Estate Index Fund

Offered exclusively to certain clients of the Adviser or its affiliates - 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 LLC.



Annual Report

July 31, 2021

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended July 31, 2021 Past 1 year Past 5 years Life of fundA 
Fidelity® SAI Real Estate Index Fund 39.72% 4.97% 8.28% 

 A From February 2, 2016

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® SAI Real Estate Index Fund on February 2, 2016, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the MSCI US IMI Real Estate 25/25 Index, the Dow Jones U.S. Select Real Estate Securities Index℠, and the Fidelity Real Estate Linked Index performed over the same period.


Period Ending Values

$15,485Fidelity® SAI Real Estate Index Fund

$18,360MSCI US IMI Real Estate 25/25 Index

$15,791Dow Jones U.S. Select Real Estate Securities Index℠

$15,495Fidelity Real Estate Linked Index

Effective December 1, 2020, the fund's benchmark changed from the Dow Jones U.S. Select Real Estate Securities IndexSM to the MSCI US IMI Real Estate 25/25 Index.

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.

Comments from the Geode Capital Management, LLC, passive equity index team:  For the fiscal year ending July 31, 2021, the fund gained 39.72%, compared with the 36.79% advance of the benchmark MSCI US IMI Real Estate 25/25 index. By segment, apartment real estate investment trusts (REITs) rose roughly 59% and contributed most, followed by real-estate related firms, which were up 39%, and self-storage REITs (+68%). Additionally, the health care group advanced about 46%, industrial REITs gained approximately 19% and strip centers rose roughly 75%. Other notable contributors included malls (+111%), hotels (+84%), office REITs (+25%), other retail REITs (+49%) and specialty REITs (+29%). Turning to individual stocks, the top contributor was American Tower (+24%), within the real-estate related segment. In malls, Simon Property Group (+115%) was helpful while Public Storage (+61%) from the self-storage industry also contributed. Welltower, within the health care category, rose approximately 68% and added value, as did Prologis (+24%) within the industrial group. Conversely, the biggest individual detractor was Digital Realty Trust (-1%), from the mixed industrial/office segment, followed by Americold Realty Trust (-2%), which is in the industrial category. Within the real-estate related group, GEO Group returned roughly -25% and further weighed on the portfolio’s return. Other detractors included Equity Commonwealth (-6%), a stock in the office group, and Washington Prime (-70%), from the other retail segment.

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

Note to shareholders:   On December 1, 2020, the fund's primary benchmark changed from the Dow Jones U.S. Select Real Estate Securities Index to the MSCI US IMI Real Estate 25/25 Index, which is broader and better reflects the investment opportunities in the real estate market.

Investment Summary (Unaudited)

Top Ten Stocks as of July 31, 2021

 % of fund's net assets 
American Tower Corp. 8.1 
Prologis (REIT), Inc. 6.1 
Crown Castle International Corp. 5.1 
Equinix, Inc. 4.2 
Public Storage 3.2 
Simon Property Group, Inc. 2.7 
Digital Realty Trust, Inc. 2.7 
SBA Communications Corp. Class A 2.5 
Welltower, Inc. 2.4 
CBRE Group, Inc. 2.1 
 39.1 

Top Five REIT Sectors as of July 31, 2021

 % of fund's net assets 
REITs - Diversified 23.7 
REITs - Apartments 12.1 
REITs - Management/Investment 12.0 
REITs - Warehouse/Industrial 9.0 
REITs - Health Care 7.8 

Asset Allocation (% of fund's net assets)

As of July 31, 2021* 
   Stocks and Equity Futures 100.0% 


 * Foreign Investments - 0.2%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

Common Stocks - 99.9%