Form N-CSRS FIDELITY SALEM STREET For: Jul 31

September 21, 2021 12:04 PM 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, MA 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:

January 31



Date of reporting period:

July 31, 2021


Item 1.

Reports to Stockholders






Fidelity® Tax-Free Bond Fund



Semi-Annual Report

July 31, 2021

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

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.

Investment Summary (Unaudited)

Top Five States as of July 31, 2021

 % of fund's net assets 
Illinois 16.7 
Florida 6.9 
New York 6.8 
Texas 6.0 
New Jersey 5.6 

Top Five Sectors as of July 31, 2021

 % of fund's net assets 
General Obligations 26.4 
Health Care 20.7 
Transportation 17.5 
Education 7.3 
Special Tax 6.9 

Quality Diversification (% of fund's net assets)

As of July 31, 2021 
   AAA 3.6% 
   AA,A 72.3% 
   BBB 16.7% 
   BB and Below 2.6% 
   Not Rated 1.7% 
   Short-Term Investments and Net Other Assets 3.1% 


We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Schedule of Investments July 31, 2021 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 96.9%   
 Principal Amount Value 
Alabama - 1.6%   
Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/43 1,800,000 2,229,687 
Homewood Edl. Bldg. Auth. Rev. Series 2019 A:   
4% 12/1/33 $285,000 $335,461 
4% 12/1/35 930,000 1,089,813 
4% 12/1/37 1,250,000 1,454,136 
4% 12/1/38 240,000 278,587 
4% 12/1/39 1,700,000 1,968,849 
4% 12/1/41 4,070,000 4,694,102 
4% 12/1/44 2,400,000 2,751,190 
4% 12/1/49 560,000 637,471 
Lower Alabama Gas District Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (a) 24,380,000 27,833,332 
Montgomery Med. Clinic Facilities Series 2015:   
5% 3/1/26 60,000 70,091 
5% 3/1/27 115,000 133,069 
5% 3/1/28 125,000 143,959 
5% 3/1/29 105,000 120,353 
5% 3/1/30 125,000 142,635 
5% 3/1/36 2,450,000 2,762,518 
Southeast Energy Auth. Rev. Bonds:   
(Proj. No. 2) Series 2021 B1:   
4% 6/1/29 1,335,000 1,628,306 
4% 6/1/30 1,010,000 1,246,811 
4% 6/1/31 875,000 1,094,919 
Bonds (Proj. No. 2) Series 2021 B1, 4%, tender 12/1/31 (a) 21,345,000 26,849,920 
TOTAL ALABAMA  77,465,209 
Alaska - 0.2%   
Alaska Gen. Oblig. Series 2016 A, 5% 8/1/31 4,340,000 5,113,457 
Alaska Int'l. Arpts. Revs. Series 2016 B:   
5% 10/1/31 1,685,000 1,995,547 
5% 10/1/33 2,200,000 2,605,462 
TOTAL ALASKA  9,714,466 
Arizona - 2.1%   
Arizona Board of Regents Ctfs. of Prtn. (Univ. of Arizona Univ. Revs.) Series 2018 B:   
5% 6/1/26 1,100,000 1,334,119 
5% 6/1/27 500,000 622,301 
5% 6/1/29 1,725,000 2,195,354 
5% 6/1/30 1,470,000 1,858,943 
Arizona Health Facilities Auth. Rev. (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 0.907%, tender 1/1/37 (a)(b) 1,000,000 995,882 
Arizona Indl. Dev. Auth. Lease Rev. Series 2020 A:   
4% 9/1/37 410,000 493,495 
4% 9/1/38 445,000 534,364 
4% 9/1/39 400,000 479,148 
4% 9/1/40 435,000 520,055 
4% 9/1/46 1,000,000 1,180,838 
5% 9/1/31 195,000 257,869 
5% 9/1/32 300,000 395,496 
5% 9/1/33 415,000 545,283 
5% 9/1/34 350,000 458,457 
Arizona Indl. Dev. Auth. Rev. (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018:   
5% 5/1/37 1,090,000 1,176,353 
5% 5/1/43 1,000,000 1,067,029 
Arizona State Univ. Revs. Series 2021 C:   
5% 7/1/32 1,220,000 1,674,088 
5% 7/1/34 1,250,000 1,701,733 
5% 7/1/35 1,000,000 1,358,815 
Glendale Gen. Oblig. Series 2017, 5% 7/1/24 3,475,000 3,954,397 
Glendale Indl. Dev. Auth. (Terraces of Phoenix Proj.) Series 2018 A:   
5% 7/1/38 155,000 167,556 
5% 7/1/48 200,000 213,603 
Maricopa County Indl. Dev. Auth. (Creighton Univ. Proj.) Series 2020, 5% 7/1/47 2,000,000 2,515,313 
Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016:   
5.75% 1/1/36 (c) 585,000 614,678 
6% 1/1/48 (c) 2,825,000 2,946,470 
Maricopa County Unified School District #48 Scottsdale Series 2017 B:   
5% 7/1/29 1,150,000 1,441,432 
5% 7/1/30 1,500,000 1,872,607 
5% 7/1/31 800,000 994,847 
5% 7/1/32 3,250,000 4,030,541 
Phoenix Civic Impt. Board Arpt. Rev.:   
Series 2015 A, 5% 7/1/45 3,170,000 3,696,204 
Series 2017 B:   
5% 7/1/30 4,000,000 4,975,263 
5% 7/1/34 2,000,000 2,483,434 
5% 7/1/35 2,000,000 2,483,040 
Series 2019 A, 5% 7/1/44 5,615,000 7,129,908 
Phoenix Civic Impt. Corp. Series 2019 A:   
5% 7/1/30 1,100,000 1,345,528 
5% 7/1/32 355,000 431,166 
5% 7/1/36 595,000 715,589 
5% 7/1/37 520,000 623,815 
5% 7/1/38 830,000 993,694 
5% 7/1/45 7,200,000 8,503,258 
Phoenix Civic Impt. Corp. District Rev. (Plaza Expansion Proj.) Series 2005 B, 5.5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 5,000,000 7,722,044 
Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2020 A, 5% 7/1/44 8,430,000 11,015,728 
Phoenix IDA Student Hsg. Rev. (Downtown Phoenix Student Hsg. II LLC Arizona State Univ. Proj.) Series 2019 A:   
5% 7/1/49 1,125,000 1,361,638 
5% 7/1/54 3,530,000 4,258,237 
Pima County Swr. Sys. Rev. Series 2012 A, 5% 7/1/27 1,000,000 1,043,442 
Salt Verde Finl. Corp. Sr. Gas Rev. Series 2007, 5.25% 12/1/23 2,500,000 2,769,057 
TOTAL ARIZONA  99,152,111 
California - 4.5%   
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds Series C, 2.1%, tender 4/1/22 (a) 3,585,000 3,596,476 
California Gen. Oblig.:   
Series 2004:   
5.25% 12/1/33 35,000 35,134 
5.5% 4/1/30 5,000 5,020 
Series 2012, 5.25% 4/1/35 2,920,000 3,017,908 
Series 2017, 5% 11/1/29 6,225,000 7,891,597 
Series 2020:   
4% 11/1/37 8,715,000 10,798,753 
4% 11/1/38 8,000,000 9,873,346 
4% 11/1/39 3,500,000 4,308,779 
4% 11/1/40 2,500,000 3,064,264 
Series 2021:   
5% 9/1/31 (d) 17,210,000 23,853,115 
5% 9/1/32 (d) 6,055,000 8,363,989 
California Health Facilities Fing. Auth. Rev. Series 2013 A, 5% 8/15/52 (Pre-Refunded to 8/15/23 @ 100) 15,070,000 16,550,079 
California Hsg. Fin. Agcy. Series 2021 1, 3.5% 11/20/35 1,831,303 2,181,513 
California Muni. Fin. Auth. Student Hsg. (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018:   
5% 5/15/35 2,140,000 2,714,512 
5% 5/15/38 3,000,000 3,787,947 
5% 5/15/43 4,000,000 5,006,290 
California Pub. Fin. Auth. Univ. Hsg. Rev.:   
(Claremont Colleges Proj.) Series 2017 A, 5% 7/1/27 (c) 340,000 307,518 
(NCCD - Claremont Properties LLC - Claremont Colleges Proj.) Series 2017 A, 5% 7/1/47 (c) 280,000 254,318 
California Pub. Works Board Lease Rev. (Coalinga State Hosp. Proj.) Series 2013 E, 5% 6/1/26 5,265,000 5,731,917 
California Statewide Cmntys. Dev. Auth. Series 2016:   
5% 5/15/25 1,000,000 1,171,722 
5% 5/15/26 1,000,000 1,211,371 
5% 5/15/27 1,000,000 1,211,371 
5% 5/15/28 1,000,000 1,207,685 
5% 5/15/32 1,250,000 1,495,234 
5% 5/15/33 1,500,000 1,791,165 
5% 5/15/40 1,000,000 1,181,225 
California Statewide Cmntys. Dev. Auth. Rev. Series 2015, 5% 2/1/45 2,275,000 2,397,961 
Carlsbad Unified School District Series 2009 B, 6% 5/1/34 (Pre-Refunded to 5/1/24 @ 100) 1,450,000 1,678,365 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:   
Series 2013 A, 5% 6/1/29 2,500,000 2,722,828 
Series 2017 A1:   
5% 6/1/22 1,555,000 1,616,845 
5% 6/1/23 1,780,000 1,934,353 
5% 6/1/24 1,000,000 1,131,168 
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2021 B, 5% 7/1/51 14,995,000 19,636,716 
Merced Union High School District Series A, 0% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,455,000 1,455,000 
Poway Unified School District:   
(District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32 1,300,000 1,100,436 
Series B:   
0% 8/1/33 4,350,000 3,595,073 
0% 8/1/37 8,000,000 5,918,848 
0% 8/1/38 4,225,000 3,031,512 
0% 8/1/39 7,220,000 5,024,839 
0% 8/1/41 4,900,000 3,200,087 
Poway Unified School District Pub. Fing. Series 2015 A:   
5% 9/1/27 1,050,000 1,239,737 
5% 9/1/30 1,370,000 1,591,639 
Riverside Swr. Rev. Series 2015 A:   
5% 8/1/30 2,880,000 3,389,507 
5% 8/1/31 1,630,000 1,915,537 
Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,600,000 1,519,335 
Sacramento County Arpt. Sys. Rev. Series 2016 B, 5% 7/1/41 1,770,000 2,126,139 
San Diego Cmnty. College District Series 2011, 0% 8/1/35 3,000,000 2,393,876 
San Diego Unified School District:   
Series 2008 C:   
0% 7/1/34 1,300,000 1,069,902 
0% 7/1/37 5,105,000 3,843,012 
Series 2008 E, 0% 7/1/47 (e) 2,600,000 2,609,150 
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Series 2019 B, 5% 5/1/49 2,930,000 3,695,521 
San Jose Fing. Auth. Lease Rev. (Civic Ctr. Proj.) Series 2013 A:   
5% 6/1/24 (Pre-Refunded to 6/1/23 @ 100) 1,000,000 1,089,456 
5% 6/1/27 (Pre-Refunded to 6/1/23 @ 100) 1,000,000 1,089,456 
San Marcos Unified School District Series 2010 B, 0% 8/1/47 3,700,000 2,010,955 
Santa Rosa Wastewtr. Rev. Series 2002 B, 0% 9/1/25 (AMBAC Insured) 1,700,000 1,649,012 
Tobacco Securitization Auth. Southern California Tobacco Settlement Series 2019 A1:   
5% 6/1/27 1,000,000 1,249,957 
5% 6/1/28 1,510,000 1,938,215 
5% 6/1/29 1,000,000 1,314,437 
Univ. of California Revs. Series 2017 AV, 5% 5/15/36 1,610,000 2,004,279 
Washington Township Health Care District Gen. Oblig. Series 2013 B, 5.5% 8/1/38 2,000,000 2,251,087 
Yuba City Unified School District Series A, 0% 9/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,000,000 994,114 
TOTAL CALIFORNIA  216,040,602 
Colorado - 0.6%   
Arkansas River Pwr. Auth. Rev. Series 2018 A:   
5% 10/1/38 1,450,000 1,749,277 
5% 10/1/43 5,810,000 6,941,433 
Colorado Health Facilities Auth.:   
(Parkview Episcopal Med. Ctr., Co. Proj.) Series 2017:   
5% 9/1/23 270,000 295,265 
5% 9/1/24 225,000 255,542 
5% 9/1/25 260,000 305,461 
5% 9/1/28 2,200,000 2,709,998 
(Parkview Med. Ctr., Inc. Proj.) Series 2016, 5% 9/1/46 3,700,000 4,272,283 
Series 2019 A, 4% 11/1/39 2,980,000 3,574,976 
Series 2019 A2, 4% 8/1/49 2,900,000 3,364,977 
Colorado Hsg. & Fin. Auth. Series 2019 H, 4.25% 11/1/49 1,110,000 1,245,243 
Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2017C-2, 5%, tender 3/1/22 (a) 3,825,000 3,839,411 
TOTAL COLORADO  28,553,866 
Connecticut - 2.6%   
Connecticut Gen. Oblig.:   
Series 2015 B, 5% 6/15/32 1,550,000 1,807,907 
Series 2016 E:   
5% 10/15/26 2,030,000 2,505,416 
5% 10/15/29 2,930,000 3,592,843 
Series 2018 F:   
5% 9/15/25 1,950,000 2,324,451 
5% 9/15/27 1,000,000 1,267,926 
5% 9/15/28 4,500,000 5,852,965 
Series 2020 A:   
4% 1/15/33 8,435,000 10,371,814 
4% 1/15/34 7,005,000 8,586,117 
5% 1/15/40 2,765,000 3,573,576 
Connecticut Health & Edl. Facilities Auth. Rev.:   
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1:   
5% 7/1/34 1,050,000 1,268,719 
5% 7/1/35 1,200,000 1,448,219 
5% 7/1/36 400,000 481,792 
5% 7/1/37 1,555,000 1,869,283 
5% 7/1/42 3,780,000 4,524,158 
Bonds Series 2020 B:   
5%, tender 1/1/25 (a) 4,450,000 5,126,393 
5%, tender 1/1/27 (a) 4,710,000 5,775,754 
Series 2016 K, 4% 7/1/46 4,465,000 4,878,754 
Series 2017 B, 5% 7/1/29 9,780,000 12,970,101 
Series 2019 A:   
5% 7/1/34 (c) 1,325,000 1,437,010 
5% 7/1/49 (c) 2,040,000 2,158,025 
Series 2020 A, 4% 7/1/39 3,000,000 3,540,042 
Series 2020 C, 4% 7/1/45 4,220,000 4,917,562 
Series 2020 K:   
5% 7/1/37 1,000,000 1,292,583 
5% 7/1/38 1,500,000 1,934,501 
5% 7/1/39 1,550,000 1,994,277 
5% 7/1/44 (c) 1,295,000 1,574,014 
Series G, 5% 7/1/50 (c) 1,100,000 1,328,975 
Series K1:   
5% 7/1/31 1,500,000 1,790,556 
5% 7/1/35 1,280,000 1,509,721 
Series N:   
4% 7/1/39 1,235,000 1,406,694 
4% 7/1/49 1,475,000 1,653,752 
5% 7/1/32 550,000 684,353 
5% 7/1/33 500,000 619,899 
5% 7/1/34 250,000 309,062 
Connecticut Hsg. Fin. Auth. Series 2019 B1, 4% 5/15/49 1,490,000 1,691,397 
Connecticut State Revolving Fund Gen. Rev. Series 2017 A:   
5% 5/1/33 3,125,000 3,863,485 
5% 5/1/35 2,325,000 2,864,227 
Hbr. Point Infrastructure Impt. District Series 2017:   
5% 4/1/30 (c) 2,430,000 2,876,242 
5% 4/1/39 (c) 3,125,000 3,635,256 
New Haven Gen. Oblig. Series 2016 A, 5% 8/15/25 (FSA Insured) 570,000 673,205 
Univ. of Connecticut Gen. Oblig. Series 2019 A:   
5% 11/1/25 1,020,000 1,216,025 
5% 11/1/26 1,735,000 2,134,156 
TOTAL CONNECTICUT  125,331,207 
Delaware - 0.3%   
Delaware Trans. Auth. (U.S. 301 Proj.) Series 2015, 5% 6/1/55 13,000,000 14,994,353 
District Of Columbia - 0.9%   
District of Columbia Gen. Oblig. Series 2017 A, 5% 6/1/33 2,300,000 2,855,137 
District of Columbia Hosp. Rev. Series 2015:   
5% 7/15/29 4,000,000 4,764,224 
5% 7/15/30 6,495,000 7,729,611 
Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. (Dulles Metrorail and Cap. Impt. Projs.) Series 2019 A:   
5% 10/1/33 1,250,000 1,573,765 
5% 10/1/34 2,000,000 2,513,510 
5% 10/1/36 2,000,000 2,508,289 
Metropolitan Washington DC Arpts. Auth. Sys. Rev. Series 2019 B:   
5% 10/1/21 3,490,000 3,517,642 
5% 10/1/23 2,250,000 2,487,155 
5% 10/1/25 2,310,000 2,758,922 
Washington Convention & Sports Auth. Series 2018 A:   
5% 10/1/22 3,210,000 3,389,761 
5% 10/1/22 2,040,000 2,153,260 
Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 B, 5% 7/1/33 4,545,000 5,626,608 
TOTAL DISTRICT OF COLUMBIA  41,877,884 
Florida - 6.9%   
Brevard County School Board Ctfs. of Prtn.:   
Series 2014, 5% 7/1/27 1,700,000 1,929,205 
Series 2015 C, 5% 7/1/27 1,455,000 1,709,464 
Broward County Arpt. Sys. Rev. Series 2012 P-2, 5% 10/1/21 1,630,000 1,642,964 
Broward County School Board Ctfs. of Prtn.:   
(Broward County School District Proj.) Series 2016 A, 5% 7/1/28 1,595,000 1,940,351 
Series 2012 A, 5% 7/1/24 4,345,000 4,532,120 
Series 2015 A:   
5% 7/1/24 940,000 1,067,030 
5% 7/1/26 3,635,000 4,290,885 
Series 2016, 5% 7/1/32 1,020,000 1,223,292 
Cap. Projs. Fin. Auth. Student Hsg. Rev. (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A, 5% 10/1/29 1,650,000 2,092,008 
Central Florida Expressway Auth. Sr. Lien Rev. Series 2021:   
4% 7/1/34 (FSA Insured) 4,250,000 5,325,258 
4% 7/1/35 (FSA Insured) 4,120,000 5,152,360 
4% 7/1/37 (FSA Insured) 4,575,000 5,680,447 
4% 7/1/38 (FSA Insured) 2,860,000 3,539,052 
4% 7/1/39 (FSA Insured) 2,305,000 2,844,710 
Duval County School Board Ctfs. of Prtn. Series 2015 B, 5% 7/1/29 6,380,000 7,441,738 
Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A, 4% 8/15/45 2,390,000 2,794,489 
Florida Higher Edl. Facilities Fing. Auth.:   
(St. Leo Univ. Proj.) Series 2019, 5% 3/1/49 4,800,000 5,568,093 
Series 2019, 5% 10/1/27 650,000 801,908 
Florida Hsg. Fin. Corp. Rev. Series 2019 1, 4% 7/1/50 4,400,000 4,896,587 
Florida Mid-Bay Bridge Auth. Rev.:   
Series 2015 A, 5% 10/1/35 2,600,000 2,983,239 
Series 2015 C, 5% 10/1/35 2,000,000 2,277,384 
Florida Muni. Pwr. Agcy. Rev.:   
(Pwr. Supply Proj.) Series 2017 A, 5% 10/1/28 400,000 518,251 
(Requirements Pwr. Supply Proj.) Series 2016 A:   
5% 10/1/30 985,000 1,198,702 
5% 10/1/31 1,075,000 1,309,026 
(St. Lucie Proj.) Series 2012 A, 5% 10/1/26 1,125,000 1,187,659 
Series 2015 B, 5% 10/1/29 1,250,000 1,478,335 
Gainesville Utils. Sys. Rev. Series 2017 A:   
5% 10/1/30 2,810,000 3,535,214 
5% 10/1/35 5,000,000 6,230,911 
Halifax Hosp. Med. Ctr. Rev. Series 2015:   
4% 6/1/27 585,000 657,831 
5% 6/1/24 835,000 943,518 
5% 6/1/28 655,000 761,936 
Hillsborough County Aviation Auth. Rev. Series 2018 F, 5% 10/1/48 2,500,000 3,142,270 
Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 8,000,000 9,422,978 
Indian River County School Board Ctfs. of Prtn. Series 2014, 5% 7/1/24 2,600,000 2,927,909 
Jacksonville Health Care Facilities (Baptist Med. Ctr. Proj.) Series 2017:   
5% 8/15/26 2,000,000 2,431,087 
5% 8/15/34 2,750,000 3,362,027 
Jacksonville Sales Tax Rev. Series 2012, 5% 10/1/25 2,250,000 2,378,996 
Lake County School Board Ctfs. of Prtn. Series 2014 A, 5% 6/1/29 (Pre-Refunded to 6/1/24 @ 100) 1,500,000 1,703,377 
Miami Beach Health Facilities Auth. Hosp. Rev. Series 2014 A, 5% 11/15/39 1,530,000 1,704,318 
Miami-Dade County Aviation Rev.:   
Series 2014 A, 5% 10/1/37 8,500,000 9,693,850 
Series 2014 B, 5% 10/1/34 2,225,000 2,542,793 
Series 2016 A, 5% 10/1/41 8,500,000 10,295,496 
Series 2020 A:   
4% 10/1/35 1,600,000 1,949,532 
4% 10/1/41 1,200,000 1,438,577 
5% 10/1/31 2,140,000 2,839,542 
Miami-Dade County Cap. Asset Acquisition Series 2012 A, 5% 10/1/24 (Pre-Refunded to 10/1/22 @ 100) 1,000,000 1,057,209 
Miami-Dade County Expressway Auth.:   
Series 2010 A, 5% 7/1/40 3,300,000 3,310,012 
Series 2014 A:   
5% 7/1/25 1,430,000 1,625,485 
5% 7/1/27 1,000,000 1,134,202 
5% 7/1/28 2,225,000 2,514,587 
5% 7/1/29 1,010,000 1,141,453 
5% 7/1/44 18,800,000 21,003,089 
Series 2014 B, 5% 7/1/30 2,500,000 2,825,379 
Miami-Dade County Gen. Oblig. (Bldg. Better Cmntys. Prog.) Series 2016 A:   
5% 7/1/27 9,895,000 12,447,777 
5% 7/1/28 10,385,000 13,414,188 
Miami-Dade County School Board Ctfs. of Prtn.:   
Series 2014 D, 5% 11/1/25 6,655,000 7,656,373 
Series 2015 A, 5% 5/1/29 12,370,000 14,345,346 
Series 2015 B, 5% 5/1/27 2,980,000 3,472,731 
Series 2016 A, 5% 5/1/32 10,000,000 11,925,657 
Series 2016 B, 5% 8/1/26 4,505,000 5,477,170 
Miami-Dade County Transit Sales Surtax Rev. Series 2012, 5% 7/1/22 765,000 798,089 
Orange County Health Facilities Auth.:   
Series 2012 A, 5% 10/1/42 (Pre-Refunded to 4/1/22 @ 100) 6,315,000 6,519,444 
Series 2012 B, 5% 10/1/42 (Pre-Refunded to 4/1/22 @ 100) 2,500,000 2,580,936 
Orange County School Board Ctfs. of Prtn. Series 2015 C, 5% 8/1/28 (Pre-Refunded to 8/1/25 @ 100) 5,000,000 5,930,205 
Orlando & Orange County Expressway Auth. Rev. Series 2012, 5% 7/1/23 (Pre-Refunded to 7/1/22 @ 100) 1,150,000 1,201,195 
Palm Beach County School Board Ctfs. of Prtn.:   
Series 2015 D:   
5% 8/1/28 1,980,000 2,339,769 
5% 8/1/29 6,765,000 7,970,631 
Series 2018 A, 5% 8/1/24 760,000 867,929 
Pinellas County Idr (Drs. Kiran & Pallavi Patel 2017 Foundation for Global Understanding, Inc. Proj.) Series 2019:   
5% 7/1/29 200,000 233,695 
5% 7/1/39 400,000 484,787 
Saint Lucie County School Board Ctfs. of Prtn. Series 2013 A, 5% 7/1/26 2,515,000 2,735,465 
South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015:   
5% 10/1/27 500,000 602,224 
5% 10/1/28 4,000,000 4,805,521 
5% 10/1/30 2,000,000 2,390,543 
5% 10/1/32 3,310,000 3,952,991 
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017:   
5% 8/15/29 1,480,000 1,855,339 
5% 8/15/32 3,920,000 4,892,191 
5% 8/15/35 705,000 877,148 
5% 8/15/37 5,000,000 6,203,638 
5% 8/15/42 3,400,000 4,206,390 
5% 8/15/47 5,200,000 6,415,068 
Tallahassee Health Facilities Rev.:   
(Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A:   
5% 12/1/21 35,000 35,541 
5% 12/1/29 1,425,000 1,671,051 
5% 12/1/36 1,100,000 1,273,987 
Series 2015 A, 5% 12/1/40 1,000,000 1,135,315 
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2012 A, 5% 9/1/25 900,000 942,889 
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A:   
5% 10/15/44 760,000 948,742 
5% 10/15/49 1,420,000 1,763,158 
Volusia County School Board Ctfs. of Prtn.:   
(Florida Master Lease Prog.) Series 2016 A:   
5% 8/1/30 (Build America Mutual Assurance Insured) 1,160,000 1,380,708 
5% 8/1/31 (Build America Mutual Assurance Insured) 2,215,000 2,631,030 
(Master Lease Prog.) Series 2014 B, 5% 8/1/22 810,000 849,296 
TOTAL FLORIDA  327,232,292 
Georgia - 3.1%   
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/36 1,520,000 1,971,287 
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Vogtle Proj.):   
Series 1995 5, 2.05%, tender 11/19/21 (a) 2,725,000 2,739,396 
Series 2013 1st, 2.925%, tender 3/12/24 (a) 9,600,000 10,226,029 
Colquitt County Dev. Auth. Rev. Series C, 0% 12/1/21 (Escrowed to Maturity) 3,000,000 2,999,115 
Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 6,440,000 8,188,546 
DeKalb County Wtr. & Swr. Rev. Series 2011 A, 5.25% 10/1/36 1,000,000 1,008,174 
DeKalb Private Hosp. Auth. Rev. Series 2019 B, 5% 7/1/35 1,360,000 1,770,678 
Fulton County Dev. Auth. Rev.:   
Series 2019 C, 5% 7/1/38 1,230,000 1,587,865 
Series 2019:   
4% 6/15/49 1,180,000 1,382,392 
5% 6/15/52 4,315,000 5,425,639 
Fulton County Wtr. & Swr. Rev. Series 2013, 5% 1/1/32 10,000,000 10,663,055 
Georgia Muni. Elec. Auth. Pwr. Rev.:   
Series 2019 A:   
4% 1/1/49 6,100,000 6,974,979 
5% 1/1/30 415,000 531,938 
5% 1/1/32 935,000 1,187,124 
5% 1/1/34 1,920,000 2,422,947 
5% 1/1/35 925,000 1,164,801 
5% 1/1/36 1,140,000 1,431,128 
5% 1/1/37 1,115,000 1,396,382 
5% 1/1/38 1,150,000 1,436,524 
5% 1/1/44 2,990,000 3,693,720 
Series C, 5% 1/1/22 2,900,000 2,957,129 
Series GG, 5% 1/1/23 1,600,000 1,707,842 
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.):   
Series R, 5% 10/1/21 1,225,000 1,234,561 
Series S, 5% 10/1/24 1,575,000 1,662,351 
Hosp. Auth. of Savannah Auth. Rev. Series 2019 A:   
4% 7/1/35 4,895,000 5,785,614 
4% 7/1/39 2,500,000 2,927,048 
4% 7/1/43 2,615,000 3,037,270 
Main Street Natural Gas, Inc. Bonds:   
Series 2018 C, 4%, tender 12/1/23 (a) 24,120,000 26,030,410 
Series 2019 B, 4%, tender 12/2/24 (a) 6,040,000 6,719,299 
Monroe County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Scherer Proj.) Series 2009 1, 2.05%, tender 11/19/21 (a) 2,750,000 2,764,529 
Private Colleges & Univs. Auth. Rev.:   
(The Savannah College of Art and Design Projs.) Series 2014:   
5% 4/1/28 2,560,000 2,856,609 
5% 4/1/44 9,105,000 9,968,853 
Series 2020 B:   
5% 9/1/25 3,555,000 4,228,775 
5% 9/1/31 1,125,000 1,517,510 
5% 9/1/33 2,500,000 3,350,568 
TOTAL GEORGIA  144,950,087 
Hawaii - 0.2%   
Hawaii Gen. Oblig.:   
Series 2017 FK, 5% 5/1/33 4,200,000 5,192,523 
Series 2020 C:   
4% 7/1/37 1,100,000 1,345,748 
4% 7/1/38 1,250,000 1,525,712 
TOTAL HAWAII  8,063,983 
Idaho - 0.3%   
Idaho Health Facilities Auth. Rev. Series 2015 ID:   
5% 12/1/24 500,000 578,989 
5.5% 12/1/26 1,200,000 1,431,112 
5.5% 12/1/27 3,250,000 3,867,729 
Idaho Hsg. & Fin. Assoc. Single Family Mtg.:   
(Idaho St Garvee Proj.) Series 2017 A:   
5% 7/15/22 1,850,000 1,935,041 
5% 7/15/23 880,000 962,674 
5% 7/15/24 705,000 802,366 
5% 7/15/25 705,000 831,209 
5% 7/15/26 500,000 608,442 
5% 7/15/27 1,765,000 2,211,032 
Series 2019 A, 4% 1/1/50 525,000 585,389 
TOTAL IDAHO  13,813,983 
Illinois - 16.7%   
Chicago Board of Ed.:   
Series 1998 B1, 0% 12/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,505,000 1,502,766 
Series 1999 A, 5.25% 12/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,160,000 1,178,000 
Series 2011 A:   
5% 12/1/41 1,865,000 1,891,314 
5.25% 12/1/41 1,510,000 1,532,538 
5.5% 12/1/39 2,700,000 2,742,958 
Series 2012 A, 5% 12/1/42 2,815,000 2,951,999 
Series 2015 C, 5.25% 12/1/39 800,000 899,760 
Series 2016 B, 6.5% 12/1/46 400,000 502,312 
Series 2017 A, 7% 12/1/46 (c) 1,400,000 1,862,342 
Series 2017 C:   
5% 12/1/22 1,370,000 1,452,680 
5% 12/1/23 2,730,000 3,011,460 
5% 12/1/24 1,840,000 2,104,182 
5% 12/1/25 2,830,000 3,339,991 
5% 12/1/26 500,000 607,444 
Series 2017 D:   
5% 12/1/24 1,805,000 2,064,156 
5% 12/1/31 1,955,000 2,408,534 
Series 2017 H, 5% 12/1/36 440,000 536,740 
Series 2018 A:   
5% 12/1/24 1,590,000 1,818,287 
5% 12/1/29 4,445,000 5,635,908 
5% 12/1/31 850,000 1,073,623 
Series 2018 C, 5% 12/1/46 8,695,000 10,710,996 
Series 2019 A:   
5% 12/1/25 2,500,000 2,950,522 
5% 12/1/26 2,100,000 2,551,263 
5% 12/1/29 3,095,000 4,024,116 
5% 12/1/30 4,045,000 5,227,372 
5% 12/1/32 1,700,000 2,183,807 
Series 2021 A:   
5% 12/1/37 360,000 465,164 
5% 12/1/38 1,075,000 1,386,094 
5% 12/1/39 4,500,000 5,789,194 
Chicago Gen. Oblig. Series 2020 A:   
5% 1/1/26 1,660,000 1,963,498 
5% 1/1/27 7,650,000 9,308,284 
5% 1/1/28 700,000 873,594 
5% 1/1/29 3,860,000 4,926,030 
5% 1/1/30 7,450,000 9,692,329 
Chicago Midway Arpt. Rev. Series 2016 B:   
4% 1/1/35 815,000 921,117 
5% 1/1/36 4,500,000 5,310,016 
5% 1/1/37 5,300,000 6,252,086 
5% 1/1/41 6,000,000 7,086,521 
5% 1/1/46 8,470,000 9,989,087 
Chicago O'Hare Int'l. Arpt. Rev.:   
Series 2013 D, 5% 1/1/27 5,175,000 5,525,327 
Series 2016 B, 5% 1/1/34 2,835,000 3,361,797 
Series 2016 C:   
5% 1/1/32 4,750,000 5,638,365 
5% 1/1/33 1,305,000 1,547,701 
5% 1/1/34 1,510,000 1,790,587 
Series 2016 D, 5% 1/1/52 7,075,000 8,538,579 
Series 2017 B:   
5% 1/1/34 1,515,000 1,849,209 
5% 1/1/35 2,540,000 3,095,267 
5% 1/1/36 1,650,000 2,006,007 
5% 1/1/37 6,400,000 7,766,669 
5% 1/1/38 2,250,000 2,727,792 
5% 1/1/39 5,000,000 6,055,421 
Series 2018 B, 5% 1/1/53 1,125,000 1,392,498 
Chicago Transit Auth.:   
Series 2014, 5.25% 12/1/49 12,000,000 13,869,418 
Series 2017, 5% 12/1/46 1,900,000 2,285,803 
Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017:   
5% 6/1/22 980,000 1,019,100 
5% 6/1/23 880,000 956,684 
5% 6/1/24 1,495,000 1,696,552 
5% 6/1/25 745,000 877,777 
5% 6/1/26 1,595,000 1,935,323 
Chicago Wtr. Rev. Series 2017, 5.25% 11/1/33 (FSA Insured) 445,000 446,543 
Cook County Forest Preservation District Series 2012 C, 5% 12/15/22 1,230,000 1,280,952 
Cook County Gen. Oblig.:   
Series 2011 A, 5.25% 11/15/28 1,625,000 1,648,200 
Series 2012 C:   
5% 11/15/23 4,375,000 4,644,908 
5% 11/15/24 3,500,000 3,715,798 
5% 11/15/25 (FSA Insured) 5,800,000 6,158,906 
Series 2016 A, 5% 11/15/29 6,110,000 7,404,438 
Grundy & Will Counties Cmnty. School Gen. Oblig. Series 2018, 5% 2/1/29 675,000 825,498 
Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. Series 1991 A, 0% 7/15/23 (Escrowed to Maturity) 5,600,000 5,566,276 
Illinois Fin. Auth. Academic Facilities (Provident Group UIUC Properties LLC Univ. of Illinois at Urbana-Champaign Proj.) Series 2019 A:   
5% 10/1/31 200,000 259,490 
5% 10/1/32 290,000 375,191 
5% 10/1/33 500,000 644,920 
5% 10/1/35 300,000 385,271 
5% 10/1/36 300,000 384,476 
5% 10/1/37 350,000 447,384 
5% 10/1/38 375,000 478,336 
5% 10/1/39 645,000 820,939 
Illinois Fin. Auth. Rev.:   
(Bradley Univ. Proj.) Series 2017 C, 5% 8/1/31 2,360,000 2,812,259 
(Depaul Univ. Proj.) Series 2016 A:   
4% 10/1/31 1,480,000 1,710,210 
5% 10/1/33 1,500,000 1,809,234 
(Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A:   
5% 7/15/25 795,000 939,723 
5% 7/15/27 1,300,000 1,634,571 
5% 7/15/30 1,490,000 1,876,595 
(OSF Healthcare Sys.) Series 2018 A:   
4.125% 5/15/47 11,085,000 12,861,765 
5% 5/15/43 10,000,000 12,382,247 
(Presence Health Proj.) Series 2016 C:   
5% 2/15/26 1,425,000 1,723,629 
5% 2/15/29 3,455,000 4,263,269 
5% 2/15/36 2,390,000 2,914,155 
(Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C, 5% 8/1/49 490,000 576,147 
(Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34 1,200,000 1,390,462 
Bonds Series 2017 B, 5%, tender 12/15/22 (a) 3,045,000 3,246,415 
Series 2012 A, 5% 5/15/23 (Pre-Refunded to 5/15/22 @ 100) 700,000 726,850 
Series 2012:   
4% 9/1/32 3,020,000 3,138,962 
5% 9/1/22 800,000 842,497 
5% 9/1/32 4,000,000 4,208,455 
5% 9/1/38 5,400,000 5,675,380 
5% 11/15/43 (Pre-Refunded to 11/15/22 @ 100) 1,640,000 1,740,400 
Series 2013:   
4% 5/15/33 (Pre-Refunded to 5/15/22 @ 100) 1,055,000 1,085,515 
5% 11/15/24 1,115,000 1,182,192 
5% 11/15/27 400,000 423,571 
Series 2015 A:   
5% 11/15/31 3,500,000 4,125,728 
5% 11/15/45 9,750,000 11,421,092 
Series 2015 B, 5% 11/15/23 1,845,000 2,041,067 
Series 2015 C:   
5% 8/15/35 3,340,000 3,895,148 
5% 8/15/44 15,400,000 17,826,741 
Series 2016 A:   
5% 7/1/33 1,850,000 2,202,012 
5% 7/1/34 1,000,000 1,188,164 
5% 8/15/34 (Pre-Refunded to 8/15/26 @ 100) 1,800,000 2,202,113 
5% 7/1/36 1,530,000 1,812,250 
5.25% 8/15/29 (Pre-Refunded to 8/15/26 @ 100) 1,015,000 1,254,344 
Series 2016 B:   
5% 8/15/30 3,000,000 3,701,984 
5% 8/15/33 4,585,000 5,634,415 
5% 8/15/34 2,415,000 2,963,102 
Series 2016 C:   
3.75% 2/15/34 725,000 825,410 
4% 2/15/36 3,085,000 3,552,345 
4% 2/15/41 9,155,000 10,458,852 
4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) 420,000 495,346 
5% 2/15/22 3,600,000 3,694,953 
5% 2/15/24 325,000 365,163 
5% 2/15/30 13,250,000 16,326,431 
5% 2/15/31 2,080,000 2,557,764 
5% 2/15/41 3,475,000 4,216,766 
Series 2016:   
4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) 20,000 23,588 
5% 12/1/29 1,030,000 1,248,024 
5% 12/1/46 2,660,000 3,153,482 
Series 2017 A, 5% 8/1/47 430,000 506,002 
Series 2017:   
5% 1/1/28 3,075,000 3,817,462 
5% 7/1/28 2,745,000 3,408,054 
5% 7/1/33 3,365,000 4,131,610 
5% 7/1/34 2,765,000 3,391,188 
5% 7/1/35 2,290,000 2,806,839 
Series 2018 A:   
4.25% 1/1/44 1,895,000 2,195,160 
5% 1/1/44 11,470,000 13,901,598 
Series 2019:   
4% 9/1/37 400,000 464,247 
4% 9/1/39 1,000,000 1,154,129 
5% 9/1/30 190,000 244,075 
5% 9/1/38 900,000 1,124,810 
Illinois Gen. Oblig.:   
Series 2006, 5.5% 1/1/31 1,945,000 2,655,040 
Series 2012 A:   
4% 1/1/23 1,220,000 1,239,142 
5% 1/1/33 1,700,000 1,734,085 
Series 2012:   
5% 8/1/21 1,695,000 1,695,000 
5% 3/1/23 1,500,000 1,541,197 
5% 8/1/23 1,675,000 1,830,370 
5% 3/1/36 1,000,000 1,027,524 
Series 2013 A, 5% 4/1/35 900,000 957,699 
Series 2013:   
5% 7/1/22 320,000 333,965 
5.5% 7/1/38 2,000,000 2,163,645 
Series 2014:   
5% 2/1/23 1,880,000 2,012,535 
5% 4/1/24 3,945,000 4,424,852 
5% 2/1/25 2,245,000 2,498,093 
5% 2/1/27 1,225,000 1,359,865 
5% 4/1/28 580,000 647,922 
5% 5/1/28 3,325,000 3,716,797 
5% 5/1/32 1,400,000 1,558,067 
5% 5/1/33 1,600,000 1,778,799 
5.25% 2/1/29 3,000,000 3,350,427 
5.25% 2/1/30 2,700,000 3,016,099 
5.25% 2/1/31 1,305,000 1,456,744 
Series 2016:   
5% 2/1/23 880,000 942,037 
5% 6/1/25 4,465,000 5,218,396 
5% 2/1/26 1,000,000 1,193,499 
5% 6/1/26 610,000 734,027 
5% 2/1/27 3,745,000 4,579,676 
5% 2/1/28 3,495,000 4,245,856 
5% 2/1/29 3,285,000 3,971,001 
Series 2017 A:   
5% 12/1/23 1,100,000 1,218,202 
5% 12/1/26 3,350,000 4,079,948 
Series 2017 D, 5% 11/1/25 16,310,000 19,320,464 
Series 2018 A:   
5% 10/1/26 1,500,000 1,820,905 
5% 10/1/28 3,500,000 4,435,835 
Series 2019 B:   
5% 9/1/21 3,105,000 3,116,815 
5% 9/1/22 3,050,000 3,206,749 
5% 9/1/23 3,105,000 3,404,318 
5% 9/1/24 3,105,000 3,536,330 
Series 2021 A:   
5% 3/1/32 105,000 138,434 
5% 3/1/35 750,000 978,197 
5% 3/1/36 600,000 779,840 
5% 3/1/37 750,000 971,455 
5% 3/1/46 3,000,000 3,809,597 
Illinois Hsg. Dev. Auth. Series 2021, 3% 4/1/51 7,720,000 8,536,334 
Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Series 2019, 2.9% 7/1/35 4,904,596 5,323,956 
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A:   
5% 2/1/23 1,075,000 1,152,381 
5% 2/1/29 10,000,000 11,764,778 
5% 2/1/31 1,890,000 2,222,723 
Illinois Toll Hwy. Auth. Toll Hwy. Rev.:   
Series 2014 A, 5% 12/1/22 6,565,000 6,995,156 
Series 2015 A, 5% 1/1/37 4,445,000 5,199,748 
Series 2016 A:   
5% 12/1/31 945,000 1,123,279 
5% 12/1/32 6,700,000 7,954,345 
Series 2019 A, 5% 1/1/44 1,125,000 1,419,868 
Series A:   
5% 1/1/37 1,250,000 1,660,686 
5% 1/1/41 2,010,000 2,645,457 
5% 1/1/45 21,880,000 28,251,112 
Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2004, 0% 2/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 5,025,000 5,005,364 
Kane, McHenry, Cook & DeKalb Counties Unit School District #300:   
Series 2015:   
5% 1/1/27 1,500,000 1,737,963 
5% 1/1/28 2,780,000 3,218,968 
Series 2017, 5% 1/1/29 1,030,000 1,291,450 
Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016, 5% 2/1/33 10,875,000 12,917,587 
McHenry & Kane Counties Cmnty. Consolidated School District #158 Series 2004, 0% 1/1/24 (FSA Insured) 1,600,000 1,565,957 
McHenry County Cmnty. School District #200 Series 2006 B:   
0% 1/15/24 (Pre-Refunded to 1/15/24 @ 100) 4,260,000 4,177,788 
0% 1/15/25 4,440,000 4,292,141 
0% 1/15/26 3,335,000 3,170,716 
Metropolitan Pier & Exposition:   
(McCormick Place Expansion Proj.):   
Series 2010 B1:   
0% 6/15/43 (FSA Insured) 32,700,000 19,915,451 
0% 6/15/45 (FSA Insured) 12,145,000 6,926,053 
0% 6/15/47 (FSA Insured) 10,605,000 5,722,321 
Series 2012 B, 0% 12/15/51 5,900,000 2,719,835 
Series 2017 B:   
5% 12/15/28 2,000,000 2,488,473 
5% 12/15/32 900,000 1,110,480 
Series 2020 A, 5% 6/15/50 23,245,000 29,038,358 
Series 2022 A, 4% 12/15/42 (d) 5,725,000 6,658,981 
Railsplitter Tobacco Settlement Auth. Rev. Series 2017:   
5% 6/1/23 1,250,000 1,360,372 
5% 6/1/24 1,635,000 1,853,438 
Univ. of Illinois Rev.:   
Series 2013:   
6% 10/1/42 1,935,000 2,147,640 
6.25% 10/1/38 1,900,000 2,122,577 
Series 2018 A, 5% 4/1/29 3,940,000 5,014,802 
Will County Cmnty. Unit School District #365-U Series 2007 B, 0% 11/1/26 (FSA Insured) 3,175,000 3,040,953 
Will County Illinois Series 2016, 5% 11/15/41 (Pre-Refunded to 11/15/25 @ 100) 13,255,000 15,910,618 
TOTAL ILLINOIS  794,005,004 
Indiana - 1.4%   
Beech Grove School Bldg. Corp. Series 1996, 5.625% 7/5/24 (Escrowed to Maturity) 1,140,000 1,232,474 
Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Proj.) Series 2017 A:   
5% 11/1/24 1,000,000 1,152,927 
5% 11/1/28 450,000 585,298 
5% 11/1/29 1,400,000 1,860,072 
5% 11/1/30 315,000 426,780 
Indiana Fin. Auth. Rev.:   
(Butler Univ. Proj.) Series 2019, 4% 2/1/44 2,595,000 3,016,817 
Series 2015 A, 5.25% 2/1/32 2,940,000 3,482,447 
Series 2015, 5% 3/1/36 4,500,000 5,062,188 
Series 2016:   
5% 9/1/27 1,850,000 2,235,254 
5% 9/1/31 1,835,000 2,197,043 
Indiana Fin. Auth. Wastewtr. Util. Rev.:   
(CWA Auth. Proj.):   
Series 2012 A, 5% 10/1/37 1,700,000 1,794,940 
Series 2014 A:   
5% 10/1/25 1,200,000 1,381,118 
5% 10/1/26 1,750,000 2,010,061 
(CWA Auth. Proj.) Series 2014 A, 5% 10/1/27 1,750,000 2,006,438 
(CWA Auth. Proj.) Series 2015 A, 5% 10/1/29 2,295,000 2,632,285 
Series 2011 A, 5.25% 10/1/26 1,000,000 1,008,310 
Series 2011 B, 5% 10/1/41 2,000,000 2,015,814 
Indiana Hsg. & Cmnty. Dev. Auth.:   
(Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (c) 1,760,000 1,861,641 
Series 2021 B, 3% 7/1/50 1,245,000 1,371,361 
Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2017 A:   
5% 1/1/32 4,000,000 5,028,468 
5% 1/1/34 2,000,000 2,499,352 
Indianapolis Local Pub. Impt. (Courthouse and Jail Proj.) Series 2019 A, 5% 2/1/49 3,275,000 4,091,354 
Indianapolis Wtr. Sys. Rev. Series 2018 A, 5% 10/1/32 3,000,000 3,853,802 
Lake Central Multi-District School Bldg. Corp. Series 2012 B, 5% 1/15/30 (Pre-Refunded to 1/15/23 @ 100) 4,300,000 4,607,174 
Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.):   
Series 2019:   
4% 4/1/39 1,000,000 1,142,242 
4% 4/1/46 2,240,000 2,525,597 
5% 4/1/40 2,240,000 2,758,869 
Series 2020:   
4% 4/1/37 1,660,000 1,904,412 
5% 4/1/29 1,030,000 1,306,332 
TOTAL INDIANA  67,050,870 
Iowa - 0.3%   
Iowa Fin. Auth. Rev.:   
Series 2018 B, 5% 2/15/48 2,500,000 3,079,127 
Series A:   
5% 5/15/43 820,000 958,088 
5% 5/15/48 945,000 1,099,076 
Tobacco Settlement Auth. Tobacco Settlement Rev.:   
Series 2021 A2, 4% 6/1/49 2,800,000 3,291,872 
Series 2021 B1, 4% 6/1/49 3,605,000 4,255,787 
TOTAL IOWA  12,683,950 
Kansas - 0.2%   
Johnson County Unified School District # 233 Series 2016 A, 5% 9/1/21 750,000 752,880 
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A:   
5% 9/1/40 4,200,000 4,906,365 
5% 9/1/45 5,125,000 5,953,892 
TOTAL KANSAS  11,613,137 
Kentucky - 3.1%   
Ashland Med. Ctr. Rev.:   
(Ashland Hosp. Corp. d/b/a King's Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/40 1,200,000 1,382,470 
Series 2019:   
5% 2/1/28 50,000 62,636 
5% 2/1/32 65,000 82,302 
Boyle County Edl. Facilities Rev. Series 2017, 5% 6/1/37 1,680,000 2,029,572 
Kenton County Arpt. Board Arpt. Rev.:   
Series 2016:   
5% 1/1/24 800,000 893,058 
5% 1/1/27 1,500,000 1,792,492 
5% 1/1/33 1,300,000 1,538,041 
Series 2019, 5% 1/1/44 2,245,000 2,814,340 
Kentucky Econ. Dev. Fin. Auth.:   
Series 2019 A1:   
5% 8/1/33 1,000,000 1,283,096 
5% 8/1/44 1,000,000 1,253,584 
Series 2019 A2, 5% 8/1/49 2,500,000 3,117,520 
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev.:   
Series 2015 A:   
5% 6/1/25 50,000 57,163 
5% 6/1/26 55,000 63,513 
5% 6/1/27 55,000 63,268 
5% 6/1/28 60,000 68,738 
5% 6/1/29 65,000 74,169 
5% 6/1/30 65,000 73,890 
Series 2017 B:   
5% 8/15/32 2,680,000 3,293,186 
5% 8/15/33 1,325,000 1,624,353 
5% 8/15/35 1,500,000 1,832,666 
Kentucky State Property & Buildings Commission Rev.:   
(Proj. No. 119) Series 2018:   
5% 5/1/27 2,255,000 2,795,852 
5% 5/1/29 1,865,000 2,356,256 
5% 5/1/30 1,250,000 1,573,927 
5% 5/1/31 535,000 674,377 
5% 5/1/32 280,000 352,004 
5% 5/1/33 630,000 790,001 
5% 5/1/34 720,000 900,581 
5% 5/1/35 425,000 526,095 
5% 5/1/36 360,000 444,558 
Series 2016 B, 5% 11/1/26 11,900,000 14,610,048 
Series A:   
4% 11/1/38 635,000 736,821 
5% 11/1/27 5,245,000 6,589,408 
5% 11/1/28 6,415,000 8,229,010 
5% 11/1/29 3,840,000 4,925,609 
5% 11/1/30 2,150,000 2,745,010 
Kentucky, Inc. Pub. Energy Bonds Series A, 4%, tender 6/1/26 (a) 31,480,000 36,396,254 
Louisville & Jefferson County:   
Bonds:   
Series 2020 B, 5%, tender 10/1/23 (a) 4,200,000 4,633,217 
Series 2020 C, 5%, tender 10/1/26 (a) 1,440,000 1,764,417 
Series 2020 D, 5%, tender 10/1/29 (a) 1,730,000 2,263,849 
Series 2013 A:   
5.5% 10/1/33 1,275,000 1,412,281 
5.75% 10/1/38 3,105,000 3,452,420 
Series 2016 A:   
5% 10/1/31 6,400,000 7,710,289 
5% 10/1/32 7,745,000 9,312,909 
5% 10/1/33 4,400,000 5,280,015 
Series 2020 A:   
4% 10/1/40 1,155,000 1,349,937 
5% 10/1/37 2,875,000 3,669,845 
TOTAL KENTUCKY  148,895,047 
Louisiana - 0.2%   
Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 5% 7/1/47 1,700,000 2,049,292 
Louisiana Pub. Facilities Auth. Rev. (Tulane Univ. of Louisiana Proj.) Series 2016 A:   
5% 12/15/25 445,000 532,250 
5% 12/15/27 2,000,000 2,456,930 
5% 12/15/29 1,200,000 1,465,286 
Tobacco Settlement Fing. Corp. Series 2013 A, 5% 5/15/23 2,500,000 2,711,866 
TOTAL LOUISIANA  9,215,624 
Maine - 1.0%   
Maine Health & Higher Edl. Facilities Auth. Rev.:   
(Eastern Maine Healthcare Systems Proj.) Series 2013, 5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) 2,210,000 2,412,239 
Series 2013, 5% 7/1/33 (Pre-Refunded to 7/1/23 @ 100) 1,000,000 1,091,511 
Series 2016 A:   
4% 7/1/41 1,185,000 1,298,094 
4% 7/1/46 1,765,000 1,922,513 
5% 7/1/41 480,000 552,068 
5% 7/1/46 330,000 377,434 
Series 2018 A:   
5% 7/1/30 1,185,000 1,490,627 
5% 7/1/31 1,100,000 1,378,389 
5% 7/1/34 2,000,000 2,486,917 
5% 7/1/35 2,745,000 3,408,577 
5% 7/1/36 3,250,000 4,024,148 
5% 7/1/37 3,000,000 3,706,207 
5% 7/1/38 2,275,000 2,805,446 
5% 7/1/43 4,500,000 5,543,328 
Series 2018, 5% 7/1/48 4,235,000 5,189,149 
Maine Tpk. Auth. Tpk. Rev.:   
Series 2015, 5% 7/1/37 1,700,000 1,983,626 
Series 2018:   
5% 7/1/33 700,000 880,566 
5% 7/1/34 1,000,000 1,254,727 
5% 7/1/35 1,100,000 1,378,290 
5% 7/1/36 2,000,000 2,500,328 
TOTAL MAINE  45,684,184 
Maryland - 0.8%   
City of Westminster Series 2016, 5% 11/1/31 1,975,000 2,327,648 
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.:   
Series 2019 B, 4% 9/1/49 3,010,000 3,335,941 
Series 2019 C, 3.5% 3/1/50 2,580,000 2,827,749 
Maryland Health & Higher Edl. Facilities Auth. Rev.:   
(Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 1,655,000 2,032,645 
Series 2015, 5% 7/1/40 2,000,000 2,278,020 
Series 2016 A:   
4% 7/1/42 780,000 860,831 
5% 7/1/35 2,055,000 2,439,554 
5% 7/1/38 1,125,000 1,327,519 
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2020:   
4% 7/1/45 4,095,000 4,928,086 
4% 7/1/50 11,620,000 13,909,266 
Washington Metropolitan Area Transit Auth. Series 2021 A, 5% 7/15/41 2,750,000 3,674,873 
TOTAL MARYLAND  39,942,132 
Massachusetts - 2.9%   
Massachusetts Commonwealth Trans. Fund Rev. Series 2021 A, 5% 6/1/51 5,475,000 7,039,961 
Massachusetts Dev. Fin. Agcy. Rev.:   
(Lesley Univ. Proj.) Series 2016, 5% 7/1/39 1,015,000 1,201,360 
(Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L, 4% 7/1/44 10,000,000 11,319,954 
(Wentworth Institute of Technology Proj.) Series 2017:   
5% 10/1/30 1,165,000 1,397,453 
5% 10/1/33 1,355,000 1,613,967 
Series 2015 D, 5% 7/1/44 2,575,000 2,939,560 
Series 2016 A, 5% 1/1/47 7,000,000 8,177,672 
Series 2019, 5% 9/1/59 13,125,000 16,362,590 
Series 2020 A:   
4% 7/1/45 10,370,000 12,131,476 
5% 10/15/26 5,360,000 6,655,850 
Series A, 4% 6/1/49 6,745,000 7,699,684 
Series BB1, 5% 10/1/46 4,230,000 5,095,831 
Series J2, 5% 7/1/53 2,500,000 3,065,660 
Series M:   
4% 10/1/50 10,565,000 12,415,394 
5% 10/1/45 7,960,000 10,135,311 
Massachusetts Gen. Oblig.:   
Series 2017 A, 5% 4/1/36 1,280,000 1,588,574 
Series 2019 C, 5% 5/1/49 3,725,000 4,745,219 
Series E:   
5% 11/1/45 3,850,000 5,033,400 
5% 11/1/50 13,120,000 17,073,724 
TOTAL MASSACHUSETTS  135,692,640 
Michigan - 2.0%   
Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (FSA Insured) 1,035,000 1,161,058 
Detroit Gen. Oblig. Series 2021 A, 5% 4/1/46 1,950,000 2,417,307 
Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2018 A:   
5% 7/1/43 1,500,000 1,853,329 
5% 7/1/48 6,500,000 7,988,371 
Jackson County Series 2019:   
4% 5/1/32 (Build America Mutual Assurance Insured) 2,170,000 2,624,904 
4% 5/1/33 (Build America Mutual Assurance Insured) 2,235,000 2,695,626 
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016, 5% 5/15/28 1,455,000 1,760,682 
Michigan Bldg. Auth. Rev. (Facilities Prog.) Series 2015 I, 5% 4/15/28 2,000,000 2,389,107 
Michigan Fin. Auth. Rev.:   
(Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018, 5% 11/1/43 1,845,000 2,292,312 
(Trinity Health Proj.) Series 2017, 5% 12/1/42 1,035,000 1,282,043 
Series 2012:   
5% 11/15/36 1,300,000 1,373,492 
5% 11/15/42 2,950,000 3,109,727 
Series 2013, 5% 8/15/29 3,865,000 4,238,295 
Series 2015 MI, 5% 12/1/25 3,000,000 3,528,398 
Series 2016:   
5% 11/15/32 4,815,000 5,859,423 
5% 11/15/41 1,085,000 1,306,001 
Series 2019 A, 5% 11/15/48 1,645,000 2,088,641 
Series 2020 A, 4% 6/1/49 2,190,000 2,567,077 
Michigan Hosp. Fin. Auth. Rev.:   
Bonds (Ascension Health Cr. Group Proj.) Series F5, 2.4%, tender 3/15/23 (a) 1,720,000 1,782,271 
Series 2008 C:   
5% 12/1/32 305,000 384,394 
5% 12/1/32 (Pre-Refunded to 12/1/27 @ 100) 40,000 50,713 
Michigan Strategic Fund Ltd. Oblig. Rev. Bonds Series CC, 1.45%, tender 9/1/21 (a) 6,380,000 6,386,286 
Portage Pub. Schools Series 2016:   
5% 11/1/33 1,000,000 1,203,421 
5% 11/1/36 1,250,000 1,497,151 
5% 11/1/37 1,000,000 1,195,140 
Warren Consolidated School District Series 2016:   
5% 5/1/28 4,100,000 5,000,597 
5% 5/1/29 4,230,000 5,148,002 
Wayne County Arpt. Auth. Rev.:   
Series 2015 D:   
5% 12/1/30 1,300,000 1,547,977 
5% 12/1/31 2,300,000 2,738,728 
5% 12/1/40 (FSA Insured) 3,000,000 3,545,404 
Series 2015 G:   
5% 12/1/31 1,500,000 1,786,127 
5% 12/1/32 1,500,000 1,786,127 
5% 12/1/33 2,000,000 2,381,503 
Series 2015, 5% 12/1/29 1,600,000 1,905,202 
Series 2017 A:   
5% 12/1/28 600,000 756,004 
5% 12/1/29 550,000 687,215 
5% 12/1/30 700,000 872,669 
5% 12/1/33 350,000 436,613 
5% 12/1/37 500,000 621,545 
5% 12/1/37 270,000 334,700 
Series 2017 C, 5% 12/1/28 1,100,000 1,386,783 
TOTAL MICHIGAN  93,970,365 
Minnesota - 1.4%   
Duluth Econ. Dev. Auth. Health Care Facilities Rev. Series 2018 A:   
5% 2/15/48 7,080,000 8,592,315 
5% 2/15/58 11,845,000 14,304,065 
Maple Grove Health Care Sys. Rev.:   
Series 2015, 5% 9/1/27 1,285,000 1,503,011 
Series 2017:   
4% 5/1/22 500,000 513,540 
5% 5/1/23 500,000 540,225 
5% 5/1/24 1,200,000 1,349,139 
Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A:   
5% 11/15/24 1,780,000 2,055,191 
5% 11/15/25 1,365,000 1,631,991 
Minnesota Gen. Oblig. Series 2019 A, 5% 8/1/29 6,140,000 8,202,999 
Minnesota Higher Ed. Facilities Auth. Rev. Series 2018 A:   
5% 10/1/29 1,000,000 1,249,632 
5% 10/1/32 715,000 880,541 
5% 10/1/33 875,000 1,074,680 
5% 10/1/45 1,035,000 1,242,165 
Minnesota Hsg. Fin. Agcy.:   
Series B, 4% 8/1/41 1,345,000 1,622,883 
Series D:   
4% 8/1/38 2,400,000 2,918,188 
4% 8/1/40 2,600,000 3,145,096 
4% 8/1/41 1,705,000 2,057,261 
4% 8/1/43 1,930,000 2,318,269 
Saint Cloud Health Care Rev. Series 2019:   
4% 5/1/49 3,460,000 3,915,755 
5% 5/1/48 4,325,000 5,385,016 
Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (a)(c) 3,335,000 3,632,051 
TOTAL MINNESOTA  68,134,013 
Mississippi - 0.1%   
Mississippi Home Corp. Series 2021 B:   
3% 6/1/51 3,215,000 3,555,434 
5% 6/1/28 745,000 947,757 
TOTAL MISSISSIPPI  4,503,191 
Missouri - 0.8%   
Cape Girardeau County Indl. Dev. Auth.:   
(South Eastern Health Proj.) Series 2017 A, 5% 3/1/27 30,000 36,438 
(Southeast Hosp. Proj.) Series 2017 A, 5% 3/1/29 1,470,000 1,769,728 
Kansas City Spl. Oblig. (Downtown Streetcar Proj.) Series 2014 A:   
5% 9/1/21 295,000 296,072 
5% 9/1/22 500,000 501,814 
5% 9/1/23 400,000 401,462 
Kansas City San. Swr. Sys. Rev. Series 2018 B:   
5% 1/1/26 240,000 288,292 
5% 1/1/28 500,000 636,900 
5% 1/1/33 475,000 595,721 
Kansas City Wtr. Rev. Series 2020 A, 4% 12/1/39 1,260,000 1,566,109 
Missouri Health & Edl. Facilities Rev.:   
Series 2015 B:   
3.125% 2/1/27 400,000 437,124 
3.25% 2/1/28 400,000 437,713 
4% 2/1/40 400,000 444,388 
5% 2/1/34 3,115,000 3,578,053 
5% 2/1/36 1,200,000 1,372,321 
5% 2/1/45 1,900,000 2,151,429 
Series 2019 A:   
4% 10/1/48 2,150,000 2,485,453 
5% 10/1/46 4,225,000 5,229,721 
Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50 645,000 718,734 
Saint Louis Arpt. Rev.:   
Series 2019 A:   
5% 7/1/44 1,400,000 1,759,811 
5% 7/1/49 1,150,000 1,438,037 
Series A, 5.25% 7/1/26 (FSA Insured) 3,000,000 3,698,999 
Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A, 5.125% 9/1/48 2,660,000 3,021,298 
The Indl. Dev. Auth. of Hannibal (Hannibal Reg'l. Healthcare Sys. Proj.) Series 2017:   
5% 10/1/42 3,425,000 4,110,843 
5% 10/1/47 2,125,000 2,536,324 
TOTAL MISSOURI  39,512,784 
Montana - 0.0%   
Montana Board Hsg. Single Family Series 2019 B, 4% 6/1/50 345,000 392,037 
Nebraska - 0.8%   
Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (a) 14,295,000 16,204,335 
Douglas County Neb Edl. Facilities Rev. (Creighton Univ. Proj.) Series 2017, 4% 7/1/33 775,000 900,297 
Lincoln Elec. Sys. Rev. Series 2018:   
5% 9/1/31 2,000,000 2,464,132 
5% 9/1/32 3,735,000 4,592,436 
5% 9/1/33 2,240,000 2,749,592 
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Series 2020 A, 3.5% 9/1/50 1,560,000 1,728,920 
Nebraska Pub. Pwr. District Rev.:   
Series 2016 A:   
5% 1/1/32 1,670,000 1,987,141 
5% 1/1/34 1,000,000 1,188,696 
Series 2016 B, 5% 1/1/32 5,000,000 5,949,524 
TOTAL NEBRASKA  37,765,073 
Nevada - 1.1%   
Carson City Hosp. Rev. (Carson Tahoe Hosp. Proj.) Series 2017:   
5% 9/1/37 2,705,000 3,275,243 
5% 9/1/42 6,665,000 8,064,156 
Clark County Arpt. Rev. Series 2019 A:   
5% 7/1/24 2,750,000 3,135,420 
5% 7/1/25 2,170,000 2,568,986 
5% 7/1/26 1,345,000 1,645,738 
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.:   
Series 2012 B, 5% 6/1/42 3,260,000 3,380,336 
Series 2016 A:   
5% 6/1/35 4,150,000 4,989,296 
5% 6/1/36 6,000,000 7,203,961 
Series 2016 B:   
5% 6/1/34 7,495,000 9,018,695 
5% 6/1/36 2,700,000 3,241,782 
Nevada Hsg. Division Single Family Mtg. Rev. Series 2019 B, 4% 10/1/49 1,060,000 1,177,900 
Tahoe-Douglas Visitors Auth. Series 2020, 5% 7/1/51 3,000,000 3,495,007 
TOTAL NEVADA  51,196,520 
New Hampshire - 1.0%   
Nat'l. Finnance Auth. Series 2020 1, 4.125% 1/20/34 5,099,828 6,201,817 
New Hampshire Health & Ed. Facilities Auth.:   
(Concord Hosp.) Series 2017, 5% 10/1/42 2,000,000 2,424,036 
(Dartmouth-Hitchcock Oblgtd Grp Proj.):   
Series 2018 A:   
5% 8/1/31 1,300,000 1,627,001 
5% 8/1/32 250,000 312,522 
5% 8/1/34 3,000,000 3,744,629 
5% 8/1/36 2,000,000 2,491,148 
5% 8/1/37 2,400,000 2,984,667 
Series 2018, 5% 8/1/35 2,750,000 3,428,401 
(Partners Healthcare Sys., Inc. Proj.) Series 2017, 5% 7/1/41 2,100,000 2,592,111 
Series 2017:   
5% 7/1/36 1,200,000 1,425,131 
5% 7/1/44 1,895,000 2,221,135 
New Hampshire Health & Ed. Facilities Auth. Rev.:   
Series 2012:   
4% 7/1/23 1,000,000 1,032,320 
4% 7/1/32 900,000 920,125 
Series 2016:   
4% 10/1/38 1,165,000 1,304,007 
5% 10/1/28 3,000,000 3,637,176 
5% 10/1/32 5,160,000 6,167,234 
5% 10/1/38 3,765,000 4,461,673 
TOTAL NEW HAMPSHIRE  46,975,133 
New Jersey - 5.6%   
New Jersey Econ. Dev. Auth.:   
(White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (c) 855,000 881,370 
Series A, 5% 11/1/36 5,185,000 6,582,145 
Series QQQ:   
4% 6/15/34 800,000 971,076 
4% 6/15/36 1,100,000 1,329,271 
4% 6/15/39 1,000,000 1,199,302 
4% 6/15/41 1,000,000 1,194,712 
4% 6/15/46 1,500,000 1,774,356 
4% 6/15/50 2,000,000 2,355,834 
5% 6/15/31 1,100,000 1,450,709 
5% 6/15/33 200,000 262,071 
New Jersey Econ. Dev. Auth. Rev.:   
(Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (c) 750,000 775,333 
(New Jersey Gen. Oblig. Proj.):   
Series 2015 XX, 5% 6/15/25 6,215,000 7,274,819 
Series 2017 B, 5% 11/1/24 10,000,000 11,452,302 
(Provident Montclair Proj.) Series 2017:   
5% 6/1/27 (FSA Insured) 40,000 49,810 
5% 6/1/28 (FSA Insured) 60,000 74,268 
5% 6/1/29 (FSA Insured) 45,000 55,375 
Series 2013:   
5% 3/1/23 7,040,000 7,571,324 
5% 3/1/24 6,200,000 6,664,293 
5% 3/1/25 700,000 752,531 
Series 2014 PP, 5% 6/15/26 6,000,000 6,791,249 
Series 2015 XX:   
5% 6/15/22 1,525,000 1,588,428 
5% 6/15/23 1,000,000 1,089,176 
5% 6/15/26 15,000,000 17,528,621 
Series 2016 AAA:   
5% 6/15/41 2,510,000 3,008,536 
5.5% 6/15/30 4,995,000 6,195,272 
Series 2016 BBB, 5% 6/15/22 3,120,000 3,249,768 
Series LLL, 4% 6/15/49 2,810,000 3,262,889 
Series MMM, 4% 6/15/36 800,000 949,780 
New Jersey Edl. Facility Series 2016 A, 5% 7/1/29 2,625,000 3,119,166 
New Jersey Gen. Oblig. Series 2020 A:   
4% 6/1/30 2,830,000 3,517,641 
4% 6/1/31 1,065,000 1,343,884 
4% 6/1/32 715,000 916,460 
5% 6/1/29 3,180,000 4,189,499 
New Jersey Health Care Facilities Fing. Auth. Rev.:   
Series 2016 A:   
5% 7/1/22 155,000 161,399 
5% 7/1/23 550,000 596,779 
5% 7/1/24 460,000 518,157 
5% 7/1/25 1,055,000 1,229,235 
5% 7/1/25 495,000 576,750 
5% 7/1/26 155,000 186,141 
5% 7/1/27 235,000 281,345 
5% 7/1/28 35,000 41,687 
5% 7/1/28 685,000 815,869 
5% 7/1/30 1,000,000 1,219,237 
Series 2016:   
4% 7/1/48 1,800,000 1,995,189 
5% 7/1/41 2,190,000 2,560,367 
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev. Series 2019 A:   
5% 12/1/21 1,435,000 1,458,116 
5% 12/1/23 1,005,000 1,115,286 
5% 12/1/24 580,000 667,448 
5% 12/1/25 1,065,000 1,263,123 
New Jersey Tpk. Auth. Tpk. Rev. Series 2021 A:   
4% 1/1/42 4,290,000 5,191,882 
4% 1/1/51 5,000,000 5,978,689 
New Jersey Trans. Trust Fund Auth.:   
(Trans. Prog.) Series 2019 AA, 5.25% 6/15/43 16,055,000 20,255,845 
Series 2005 B, 5.25% 12/15/22 (AMBAC Insured) 400,000 427,537 
Series 2010 A, 0% 12/15/27 7,395,000 6,796,546 
Series 2014 AA, 5% 6/15/24 15,000,000 16,987,718 
Series 2014 BB2, 5% 6/15/34 5,690,000 7,513,832 
Series 2016 A:   
5% 6/15/27 945,000 1,138,452 
5% 6/15/28 3,225,000 3,861,967 
5% 6/15/29 3,550,000 4,230,009 
Series 2016 A-2, 5% 6/15/23 2,495,000 2,715,531 
Series 2018 A:   
5% 12/15/32 3,205,000 4,048,499 
5% 12/15/34 1,000,000 1,261,091 
Series 2021 A:   
4% 6/15/38 (d) 540,000 627,691 
5% 6/15/32 3,560,000 4,735,882 
5% 6/15/33 1,000,000 1,326,386 
Series 2022 A:   
4% 6/15/41 (d) 4,900,000 5,644,197 
4% 6/15/42 (d) 3,290,000 3,776,890 
Series 2022 AA:   
5% 6/15/29 (d) 8,000,000 9,888,081 
5% 6/15/35 (d) 625,000 799,220 
5% 6/15/36 (d) 7,325,000 9,325,009 
Series A:   
4% 12/15/39 1,000,000 1,179,387 
4.25% 12/15/38 2,485,000 2,932,895 
Series AA:   
4% 6/15/38 2,815,000 3,376,631 
4% 6/15/45 6,000,000 7,104,353 
5% 6/15/25 2,380,000 2,787,446 
5% 6/15/29 1,340,000 1,395,545 
5% 6/15/37 3,000,000 3,887,804 
5% 6/15/50 3,345,000 4,239,415 
TOTAL NEW JERSEY  267,541,828 
New Mexico - 0.1%   
New Mexico Mtg. Fin. Auth. Series 2019 D, 3.75% 1/1/50 1,440,000 1,594,762 
Santa Fe Retirement Fac.:   
Series 2019 A:   
2.25% 5/15/24 115,000 115,411 
5% 5/15/34 230,000 265,409 
5% 5/15/39 170,000 194,908 
5% 5/15/44 180,000 205,046 
5% 5/15/49 355,000 403,180 
Series 2019 B1, 2.625% 5/15/25 190,000 190,848 
TOTAL NEW MEXICO  2,969,564 
New York - 6.8%   
Dorm. Auth. New York Univ. Rev.:   
(Memorial Sloan-Kettring Cancer Ctr.) Series 2017 1, 5% 7/1/42 1,555,000 1,913,516 
Series 2016 A:   
5% 7/1/23 30,000 32,732 
5% 7/1/25 70,000 82,153 
5% 7/1/32 2,500,000 3,002,321 
Hudson Yards Infrastructure Corp. New York Rev.:   
Series 2012 A, 5.75% 2/15/47 1,680,000 1,686,892 
Series 2017 A:   
5% 2/15/33 3,595,000 4,392,008 
5% 2/15/39 10,000,000 12,085,358 
5% 2/15/42 9,860,000 11,873,940 
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2017:   
5% 9/1/33 500,000 622,687 
5% 9/1/35 2,000,000 2,498,377 
5% 9/1/36 1,135,000 1,410,762 
MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 17,050,000 18,374,372 
New York City Gen. Oblig.:   
Series 2015 C, 5% 8/1/27 1,600,000 1,860,092 
Series 2016 C and D, 5% 8/1/28 1,500,000 1,799,396 
Series 2016 E, 5% 8/1/28 2,550,000 3,107,307 
Series 2021 A1:   
5% 8/1/28 5,880,000 7,610,842 
5% 8/1/29 6,405,000 8,475,181 
Series C, 5% 8/1/26 1,715,000 2,105,015 
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:   
Series 2012 EE, 5.25% 6/15/30 6,300,000 6,581,315 
Series 2020 GG1, 5% 6/15/50 2,730,000 3,505,580 
New York City Transitional Fin. Auth. Bldg. Aid Rev. Series S1, 5% 7/15/27 2,000,000 2,093,116 
New York City Transitional Fin. Auth. Rev.:   
Series 2015 E1, 5% 2/1/41 1,615,000 1,856,219 
Series 2016 A, 5% 5/1/40 1,950,000 2,329,518 
Series 2017 B, 5% 8/1/40 2,000,000 2,406,446 
Series 2019 B1, 5% 8/1/34 2,000,000 2,550,307 
Series E, 5% 2/1/43 4,155,000 5,051,150 
New York Convention Ctr. Dev. Corp. Rev. Series 2015:   
5% 11/15/28 7,205,000 8,536,631 
5% 11/15/29 5,000,000 5,921,772 
New York Dorm. Auth. Mental Health Svcs. Facilities Impt. Rev. Series 2012 A, 5% 5/15/23 2,000,000 2,077,372 
New York Dorm. Auth. Sales Tax Rev.:   
Series 2016 A:   
5% 3/15/31 4,400,000 5,396,359 
5% 3/15/32 1,945,000 2,383,229 
5% 3/15/34 3,200,000 3,911,932 
Series 2018 C, 5% 3/15/38 8,285,000 10,442,169 
New York Metropolitan Trans. Auth. Rev.:   
Series 2012 D, 5% 11/15/25 9,500,000 10,052,380 
Series 2014 B, 5.25% 11/15/44 2,215,000 2,463,048 
Series 2014 C, 5% 11/15/21 2,500,000 2,533,559 
Series 2016 B, 5% 11/15/21 1,950,000 1,976,154 
Series 2017 C-2:   
0% 11/15/29 2,275,000 1,999,185 
0% 11/15/33 5,600,000 4,408,090 
Series 2020 D:   
4% 11/15/46 33,385,000 39,032,350 
4% 11/15/47 2,335,000 2,727,554 
Series 2021 A1, 4% 11/15/45 22,000,000 25,950,456 
New York State Urban Dev. Corp.:   
Series 2020 C, 5% 3/15/47 4,600,000 5,926,523 
Series 2020 E:   
4% 3/15/44 24,275,000 28,653,038 
4% 3/15/45 19,700,000 23,184,044 
New York Urban Dev. Corp. Rev.:   
(New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34 3,700,000 4,535,385 
Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32 3,130,000 3,845,485 
Series 2017 C, 5% 3/15/31 2,375,000 2,971,103 
Oneida County Local Dev. Corp. Rev. (Mohawk Valley Health Sys. Proj.) Series 2019 A:   
4% 12/1/32 (FSA Insured) 1,000,000 1,189,307 
5% 12/1/25 (FSA Insured) 630,000 697,618 
5% 12/1/30 (FSA Insured) 1,500,000 1,955,802 
Suffolk County Econ. Dev. Corp. Rev. Series 2021:   
5.125% 11/1/41 (c) 600,000 632,707 
5.375% 11/1/54 (c) 1,020,000 1,074,977 
Triborough Bridge & Tunnel Auth. Series 2021 A1, 5% 5/15/51 4,300,000 5,647,951 
Triborough Bridge & Tunnel Auth. Revs. Series 2012 B, 5% 11/15/22 1,970,000 2,094,777 
TOTAL NEW YORK  321,527,559 
New York And New Jersey - 0.1%   
Port Auth. of New York & New Jersey Series 194, 5.25% 10/15/55 3,365,000 4,001,952 
North Carolina - 1.4%   
Charlotte Ctfs. of Prtn. (Convention Facility Projs.) Series 2019 A, 5% 6/1/46 2,380,000 3,039,698 
Charlotte Int'l. Arpt. Rev.:   
Series 2017 A:   
5% 7/1/35 2,000,000 2,483,040 
5% 7/1/42 2,875,000 3,573,346 
Series 2017 C:   
4% 7/1/36 1,500,000 1,746,877 
4% 7/1/37 1,500,000 1,747,095 
5% 7/1/29 2,575,000 3,217,376 
Nash Health Care Sys. Health Care Facilities Rev.:   
Series 2003, 5.5% 11/1/26 (FSA Insured) 1,200,000 1,204,920 
Series 2012, 5% 11/1/41 1,730,000 1,763,544 
New Hanover County Hosp. Rev. Series 2017:   
5% 10/1/27 (Escrowed to Maturity) 220,000 276,492 
5% 10/1/29 (Pre-Refunded to 10/1/27 @ 100) 3,500,000 4,398,741 
5% 10/1/42 (Pre-Refunded to 10/1/27 @ 100) 1,820,000 2,287,345 
North Carolina Med. Care Commission Health Care Facilities Rev.:   
Series 2019 A:   
5% 12/1/29 1,390,000 1,770,541 
5% 12/1/30 1,440,000 1,823,756 
5% 12/1/32 1,095,000 1,378,489 
5% 12/1/33 800,000 1,004,352 
Series 2021 A:   
4% 3/1/36 900,000 1,013,748 
4% 3/1/51 1,895,000 2,086,538 
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.:   
Series 2015 A, 5% 1/1/28 3,500,000 4,150,081 
Series 2015 C, 5% 1/1/29 8,000,000 9,461,046 
North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2019:   
4% 1/1/55 3,225,000 3,685,401 
5% 1/1/43 4,500,000 5,591,197 
5% 1/1/44 5,610,000 6,952,383 
5% 1/1/49 2,000,000 2,463,295 
TOTAL NORTH CAROLINA  67,119,301 
Ohio - 2.4%   
Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46 4,200,000 5,044,639 
Allen County Hosp. Facilities Rev. Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) 1,600,000 1,656,655 
American Muni. Pwr., Inc. (Solar Electricity Prepayment Proj.) Series 2019 A:   
5% 2/15/38 1,500,000 1,883,226 
5% 2/15/39 1,000,000 1,252,922 
5% 2/15/44 3,150,000 3,910,474 
American Muni. Pwr., Inc. Rev.:   
(Greenup Hydroelectric Proj.):   
Series 2016 A, 5% 2/15/41 4,000,000 4,727,311 
Series 2016, 5% 2/15/46 1,280,000 1,516,497 
(Prairie State Energy Campus Proj.) Series 2015, 5% 2/15/28 5,900,000 6,571,727 
Series 2012 B, 5% 2/15/42 705,000 722,940 
Buckeye Tobacco Settlement Fing. Auth. Series 2020 A2:   
5% 6/1/27 2,250,000 2,809,936 
5% 6/1/29 4,100,000 5,361,599 
5% 6/1/34 1,210,000 1,581,857 
Cleveland Arpt. Sys. Rev. Series 2016 A:   
5% 1/1/26 (FSA Insured) 500,000 578,028 
5% 1/1/27 (FSA Insured) 2,175,000 2,510,411 
5% 1/1/31 (FSA Insured) 1,000,000 1,154,212 
Cleveland Income Tax Rev. Series 2018 A:   
5% 10/1/35 2,000,000 2,497,412 
5% 10/1/37 1,250,000 1,554,762 
5% 10/1/38 1,500,000 1,862,433 
Columbus City School District Series 2016 A, 5% 12/1/32 1,000,000 1,206,465 
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013:   
5% 6/15/25 70,000 74,470 
5% 6/15/26 75,000 79,565 
5% 6/15/27 80,000 84,627 
5% 6/15/28 85,000 89,650 
5.25% 6/15/43 5,000,000 5,194,185 
Franklin County Rev. (Trinity Health Proj.) Series 2017, 5% 12/1/47 8,235,000 10,108,387 
Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/26 1,900,000 2,089,794 
Lake County Hosp. Facilities Rev.:   
Series 2008 C, 6% 8/15/43 400,000 401,426 
Series 2015:   
5% 8/15/26 1,170,000 1,368,533 
5% 8/15/27 65,000 75,663 
Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (a) 11,070,000 12,742,976 
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013:   
5% 2/15/27 170,000 180,950 
5% 2/15/44 1,900,000 1,994,870 
5% 2/15/48 4,400,000 4,614,056 
Ohio Gen. Oblig. Series 2018 A, 5% 6/15/37 3,470,000 4,170,059 
Ohio Higher Edl. Facility Commission Rev. Series 2019, 4% 10/1/44 1,775,000 2,029,963 
Ohio Hosp. Facilities Rev. Series 2017 A, 5% 1/1/31 2,500,000 3,162,734 
Ohio Hosp. Rev. Series 2020 A, 4% 1/15/50 825,000 959,863 
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 495,000 556,723 
Ohio Tpk. Commission Tpk. Rev. (Infrastructure Proj.) Series 2005 A, 0% 2/15/42 5,800,000 3,651,456 
Scioto County Hosp. Facilities Rev.:   
Series 2016, 5% 2/15/29 1,265,000 1,498,945 
Series 2019, 5% 2/15/29 3,080,000 3,626,532 
Univ. of Akron Gen. Receipts Series 2019 A:   
4% 1/1/28 3,700,000 4,457,750 
5% 1/1/30 1,800,000 2,381,207 
Wood County Hosp. Facilities Rev. (Wood County Hosp. Proj.) Series 2012:   
5% 12/1/32 140,000 142,756 
5% 12/1/32 (Pre-Refunded to 12/1/22 @ 100) 280,000 297,734 
5% 12/1/42 175,000 177,036 
5% 12/1/42 (Pre-Refunded to 12/1/22 @ 100) 355,000 377,485 
TOTAL OHIO  114,992,901 
Oklahoma - 0.3%   
Grand River Dam Auth. Rev. Series 2014 A, 5% 6/1/39 7,000,000 7,865,535 
Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015:   
5% 10/1/24 1,105,000 1,267,717 
5% 10/1/32 1,100,000 1,302,643 
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B:   
5% 8/15/27 30,000 36,770 
5% 8/15/28 30,000 37,581 
5% 8/15/29 10,000 12,502 
Oklahoma Dev. Fin. Auth. Rev. (Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/44 1,685,000 2,048,820 
TOTAL OKLAHOMA  12,571,568 
Oregon - 0.9%   
Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) 18,000,000 18,751,352 
Oregon State Hsg. & Cmnty. Svcs. Dept. Series 2019 A, 4% 7/1/50 5,935,000 6,603,859 
Polk Marion & Benton School District # 13J Series B, 0% 12/15/38 2,115,000 1,483,422 
Washington, Multnomah & Yamhill County School District #1J Series 2017:   
5% 6/15/33 1,080,000 1,340,146 
5% 6/15/35 3,135,000 3,876,645 
5% 6/15/36 3,000,000 3,702,275 
5% 6/15/37 4,000,000 4,926,676 
5% 6/15/38 3,000,000 3,689,186 
TOTAL OREGON  44,373,561 
Pennsylvania - 4.5%   
Allegheny County Hosp. Dev. Auth. Rev. Series 2019 A, 4% 7/15/36 2,500,000 2,992,596 
Bucks County Indl. Dev. Auth. Hosp. Rev. Series 2021:   
5% 7/1/37 1,470,000 1,874,897 
5% 7/1/39 2,930,000 3,718,338 
Cap. Region Wtr. Wtr. Rev. Series 2018:   
5% 7/15/26 1,000,000 1,195,257 
5% 7/15/38 1,000,000 1,255,467 
Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.) Series 2018 A, 5% 11/15/24 1,000,000 1,152,113 
Coatesville Area School District Series 2017:   
5% 8/1/21 (Escrowed to Maturity) 920,000 920,000 
5% 8/1/22 (Escrowed to Maturity) 25,000 26,212 
5% 8/1/22 (FSA Insured) 235,000 246,014 
5% 8/1/23 (FSA Insured) 450,000 492,094 
Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A, 5% 6/1/29 1,330,000 1,613,221 
Delaware County Auth. Rev. Series 2017, 5% 7/1/26 1,180,000 1,397,683 
Doylestown Hosp. Auth. Hosp. Rev. Series 2016 A, 5% 7/1/46 830,000 944,708 
Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A:   
4% 7/1/37 2,000,000 2,390,976 
4% 7/1/38 2,180,000 2,600,719 
4% 7/1/39 2,500,000 2,975,970 
5% 7/1/44 2,500,000 3,170,207 
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) 2,450,000 2,489,818 
Series B, 1.8%, tender 8/15/22 (a) 3,255,000 3,305,747 
Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26 1,700,000 2,046,895 
Montgomery County Higher Ed. & Health Auth. Rev.:   
Series 2014 A, 5% 10/1/23 2,355,000 2,556,646 
Series 2016 A:   
5% 10/1/28 40,000 46,234 
5% 10/1/29 45,000 51,747 
5% 10/1/30 4,350,000 4,979,656 
5% 10/1/32 140,000 159,544 
5% 10/1/36 4,655,000 5,271,698 
5% 10/1/40 2,545,000 2,865,692 
Series 2019, 4% 9/1/44 5,165,000 6,029,546 
Montgomery County Indl. Dev. Auth. Series 2015 A, 5.25% 1/15/36 3,005,000 3,402,535 
Northampton County Gen. Purp. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2018 A, 4% 8/15/48 7,240,000 8,175,696 
Pennsylvania Ctfs. Prtn. Series 2018 A:   
5% 7/1/35 750,000 924,975 
5% 7/1/36 1,000,000 1,229,269 
5% 7/1/37 800,000 981,870 
5% 7/1/38 750,000 918,401 
5% 7/1/43 2,000,000 2,423,098 
Pennsylvania Higher Edl. Facilities Auth. Rev.:   
(Drexel Univ. Proj.) Series 2016, 5% 5/1/35 1,585,000 1,891,523 
Series 2016:   
5% 5/1/29 1,000,000 1,199,920 
5% 5/1/31 1,000,000 1,197,396 
Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of The City of Harrisburg Proj.) Series 2016 A:   
5% 12/1/29 4,865,000 5,958,999 
5% 12/1/29 (Pre-Refunded to 12/1/26 @ 100) 765,000 944,398 
Pennsylvania State Univ. Series 2020 A, 4% 9/1/50 4,100,000 4,857,937 
Pennsylvania Tpk. Commission Tpk. Rev. Series 2021 A, 4% 12/1/50 18,000,000 21,238,711 
Philadelphia Arpt. Rev. Series 2017 A:   
5% 7/1/28 500,000 623,187 
5% 7/1/29 500,000 623,092 
5% 7/1/30 550,000 683,380 
5% 7/1/31 600,000 743,004 
5% 7/1/32 550,000 679,587 
5% 7/1/33 600,000 741,227 
5% 7/1/42 2,390,000 2,953,413 
5% 7/1/47 2,000,000 2,472,373 
Philadelphia Auth. for Indl. Dev. Series 2017, 5% 11/1/47 11,090,000 12,971,985 
Philadelphia Gas Works Rev.:   
Series 16 A, 4% 8/1/45 (FSA Insured) 2,315,000 2,760,100 
Series 2015:   
5% 8/1/26 1,000,000 1,180,393 
5% 8/1/27 1,000,000 1,176,912 
5% 8/1/28 2,000,000 2,348,619 
Philadelphia Gen. Oblig.:   
Series 2019 A:   
5% 8/1/23 1,740,000 1,908,999 
5% 8/1/25 4,665,000 5,530,998 
Series 2019 B:   
5% 2/1/33 1,600,000 2,080,054 
5% 2/1/36 1,485,000 1,908,063 
5% 2/1/37 1,915,000 2,450,904 
Philadelphia School District:   
Series 2016 F, 5% 9/1/29 3,475,000 4,210,228 
Series 2018 A:   
5% 9/1/34 1,450,000 1,828,439 
5% 9/1/35 1,000,000 1,257,699 
Series 2018 B, 5% 9/1/43 1,395,000 1,727,955 
Series 2019 A:   
4% 9/1/35 2,305,000 2,774,417 
4% 9/1/36 2,000,000 2,401,753 
5% 9/1/31 1,165,000 1,517,907 
5% 9/1/33 2,060,000 2,677,656 
5% 9/1/33 6,870,000 8,899,109 
Pittsburgh & Allegheny County Parking Sys. Series 2017:   
5% 12/15/35 1,125,000 1,402,462 
5% 12/15/37 500,000 621,572 
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. Series 2019 B, 5% 9/1/32 (FSA Insured) 2,000,000 2,782,300 
Pocono Mountains Indl. Park Auth. (St. Luke's Hosp. - Monroe Proj.) Series 2015 A, 5% 8/15/40 1,795,000 2,015,482 
Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 A:   
4% 6/1/44 1,490,000 1,738,118 
4% 6/1/49 3,545,000 4,099,504 
5% 6/1/44 2,595,000 3,288,121 
5% 6/1/49 4,145,000 5,224,993 
State Pub. School Bldg. Auth. Lease Rev. (Philadelphia School District Proj.) Series 2015 A, 5% 6/1/26 735,000 859,865 
Union County Hosp. Auth. Rev. Series 2018 B:   
5% 8/1/33 1,000,000 1,179,172 
5% 8/1/38 3,205,000 3,775,436 
5% 8/1/48 2,850,000 3,356,432 
TOTAL PENNSYLVANIA  215,589,333 
Rhode Island - 0.4%   
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.:   
Series 2016 B:   
5% 9/1/31 4,875,000 5,614,737 
5% 9/1/36 185,000 211,716 
Series 2016, 5% 5/15/39 3,285,000 3,772,031 
Rhode Island Hsg. & Mtg. Fin. Corp.:   
Series 2019 70, 4% 10/1/49 1,240,000 1,371,712 
Series 2021 74, 3% 4/1/49 5,390,000 5,938,727 
TOTAL RHODE ISLAND  16,908,923 
South Carolina - 2.9%   
Charleston County Arpt. District Series 2019:   
5% 7/1/43 1,600,000 2,035,313 
5% 7/1/48 12,000,000 15,193,997 
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015, 5% 12/1/24 4,535,000 5,218,756 
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 1,730,000 1,953,863 
South Carolina Jobs-Econ. Dev. Auth. Series 2019 C, 5% 7/1/32 4,320,000 5,522,311 
South Carolina Pub. Svc. Auth. Rev.:   
Series 2013 E, 5.5% 12/1/53 14,025,000 15,615,795 
Series 2014 A:   
5% 12/1/49 16,565,000 18,548,581 
5.5% 12/1/54 14,400,000 16,298,660 
Series 2015 A, 5% 12/1/50 2,045,000 2,360,004 
Series 2015 E, 5.25% 12/1/55 3,265,000 3,859,395 
Series 2016 B:   
5% 12/1/35 3,630,000 4,412,772 
5% 12/1/36 5,445,000 6,611,625 
Series 2016 C:   
5% 12/1/22 500,000 531,860 
5% 12/1/23 840,000 932,595 
5% 12/1/24 515,000 594,500 
5% 12/1/25 600,000 715,872 
5% 12/1/26 1,000,000 1,227,812 
5% 12/1/27 1,600,000 1,961,500 
South Carolina Trans. Infrastructure Bank Rev. Series 2015 A, 5% 10/1/23 1,430,000 1,580,396 
Spartanburg County Reg'l. Health Series 2017 A:   
4% 4/15/43 9,915,000 11,427,328 
4% 4/15/48 6,915,000 7,960,775 
5% 4/15/48 9,380,000 11,458,677 
TOTAL SOUTH CAROLINA  136,022,387 
South Dakota - 0.2%   
South Dakota Health & Edl. Facilities Auth. Rev.:   
Series 2014 B, 5% 11/1/44 5,000,000 5,677,542 
Series 2017:   
5% 7/1/30 850,000 1,043,997 
5% 7/1/35 725,000 880,480 
TOTAL SOUTH DAKOTA  7,602,019 
Tennessee - 0.8%   
Chattanooga Health Ed. & Hsg. Facility Board Rev.:   
Series 2019 A1, 4% 8/1/44 1,800,000 2,099,878 
Series 2019 A2:   
5% 8/1/37 860,000 1,093,188 
5% 8/1/44 1,190,000 1,491,765 
Greeneville Health & Edl. Facilities Board Series 2018 A:   
5% 7/1/23 500,000 545,541 
5% 7/1/24 1,000,000 1,090,477 
5% 7/1/25 1,000,000 1,089,872 
Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. (Lipscomb Univ. Proj.) Series 2019 A:   
4% 10/1/49 2,590,000 2,921,090 
5.25% 10/1/58 7,775,000 9,526,742 
Shelby County Health Edl. & Hsg. Facilities Board Rev. (Methodist Le Bonheur Health Proj.) Series 2017 A:   
5% 5/1/22 705,000 730,408 
5% 5/1/23 1,600,000 1,734,587 
5% 5/1/25 1,300,000 1,513,897 
5% 5/1/27 1,230,000 1,514,106 
5% 5/1/29 1,240,000 1,505,587 
5% 5/1/30 2,395,000 2,892,070 
5% 5/1/31 1,260,000 1,520,615 
Tennessee Energy Acquisition Corp. Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) 6,645,000 7,046,282 
TOTAL TENNESSEE  38,316,105 
Texas - 6.0%   
Arlington Spl. Tax Rev. Series 2018 C, 5% 2/15/45 (Build America Mutual Assurance Insured) 820,000 821,341 
Austin Wtr. & Wastewtr. Sys. Rev. Series 2016, 5% 11/15/37 4,010,000 4,917,096 
Central Reg'l. Mobility Auth.:   
Series 2015 A:   
5% 1/1/40 2,000,000 2,303,617 
5% 1/1/45 1,000,000 1,151,083 
Series 2016:   
5% 1/1/40 3,000,000 3,518,009 
5% 1/1/46 1,800,000 2,110,879 
Series 2020 A, 5% 1/1/49 3,940,000 4,956,871 
Series 2020 B, 5% 1/1/45 1,750,000 2,210,652 
Corpus Christi Util. Sys. Rev. Series 2012, 5% 7/15/23 3,400,000 3,556,081 
Cypress-Fairbanks Independent School District Series 2016, 5% 2/15/27 1,885,000 2,270,587 
Dallas Area Rapid Transit Sales Tax Rev.:   
Series 2016 A, 5% 12/1/33 1,625,000 1,936,510 
Series 2020 A, 5% 12/1/45 1,435,000 1,854,685 
Dallas Fort Worth Int'l. Arpt. Rev. Series 2020 B:   
4% 11/1/34 3,410,000 4,241,947 
4% 11/1/35 3,030,000 3,761,765 
Dallas Independent School District Bonds:   
Series 2016, 5%, tender 2/15/22 (a) 30,000 30,784 
Series B6, 5%, tender 2/15/22 (a) 775,000 795,455 
Grand Parkway Trans. Corp. Series 2018 A:   
5% 10/1/36 5,000,000 6,294,821 
5% 10/1/37 10,000,000 12,576,668 
5% 10/1/43 5,500,000 6,865,728 
Harris County Cultural Ed. Facilities Fin. Corp. Med. Facilities Rev. (Baylor College of Medicine Proj.) Series 2012 A, 5% 11/15/37 (Pre-Refunded to 11/15/22 @ 100) 3,800,000 4,037,720 
Harris County Toll Road Rev. (Harris County Toll Road Auth. Proj.) Series 2018 A, 5% 8/15/33 2,000,000 2,512,329 
Houston Arpt. Sys. Rev. Series 2018 D:   
5% 7/1/29 1,900,000 2,436,043 
5% 7/1/30 2,500,000 3,188,690 
5% 7/1/31 2,250,000 2,865,679 
5% 7/1/32 2,000,000 2,545,434 
5% 7/1/39 7,080,000 8,888,812 
Houston Gen. Oblig. Series 2017 A, 5% 3/1/29 1,080,000 1,333,022 
Houston Util. Sys. Rev.:   
Series 2014 C, 5% 5/15/28 1,485,000 1,677,329 
Series 2016 B, 5% 11/15/33 1,400,000 1,724,887 
Irving Hosp. Auth. Hosp. Rev. Series 2017 A:   
5% 10/15/33 1,055,000 1,245,841 
5% 10/15/34 1,670,000 1,972,259 
5% 10/15/35 1,215,000 1,432,088 
5% 10/15/44 835,000 983,302 
Lower Colorado River Auth. Rev.:   
(LCRA Transmission Svcs. Corp. Proj.) Series 2018:   
5% 5/15/33 4,510,000 5,677,981 
5% 5/15/35 2,125,000 2,666,066 
Series 2015 B:   
5% 5/15/30 4,500,000 5,262,030 
5% 5/15/31 7,200,000 8,410,382 
Series 2015 D:   
5% 5/15/27 1,500,000 1,757,711 
5% 5/15/29 2,150,000 2,514,081 
New Hope Cultural Ed. Facilities Fin. Corp. (Childrens Med. Ctr. of Dallas) Series 2017 A:   
5% 8/15/28 1,500,000 1,875,609 
5% 8/15/47 1,205,000 1,473,133 
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/29 2,100,000 2,476,542 
North Texas Tollway Auth. Rev.:   
(Sr. Lien Proj.) Series 2017 A:   
5% 1/1/30 1,425,000 1,689,360 
5% 1/1/34 1,000,000 1,216,459 
5% 1/1/35 1,300,000 1,581,886 
5% 1/1/36 1,200,000 1,456,792 
5% 1/1/37 4,705,000 5,701,412 
(Sub Lien Proj.) Series 2017 B:   
5% 1/1/30 265,000 313,275 
5% 1/1/31 370,000 435,878 
5% 1/1/33 1,500,000 1,818,794 
Series 2008 I, 6.2% 1/1/42 (Pre-Refunded to 1/1/25 @ 100) 1,700,000 2,043,993 
Series 2014:   
5% 1/1/23 375,000 401,070 
5% 1/1/23 575,000 614,519 
5% 1/1/24 820,000 916,102 
5% 1/1/24 1,680,000 1,875,422 
Series 2015 A, 5% 1/1/32 1,550,000 1,777,088 
Series 2015 B, 5% 1/1/31 7,115,000 8,186,062 
Series 2016 A:   
5% 1/1/32 3,000,000 3,567,406 
5% 1/1/39 1,000,000 1,186,257 
Series 2017 A, 5% 1/1/43 4,100,000 5,049,866 
Series 2018, 0% 1/1/29 (Assured Guaranty Corp. Insured) 15,110,000 13,889,278 
San Antonio Elec. & Gas Sys. Rev.:   
Series 2012, 5.25% 2/1/25 1,600,000 1,876,424 
Series 2017:   
5% 2/1/32 1,250,000 1,559,053 
5% 2/1/34 1,500,000 1,862,385 
San Antonio Independent School District Series 2016, 5% 8/15/31 2,010,000 2,444,356 
San Antonio Wtr. Sys. Rev. Series 2012, 5% 5/15/26 2,560,000 2,657,696 
Southwest Higher Ed. Auth. Rev.:   
(Southern Methodist Univ. Proj.) Series 2016 A:   
5% 10/1/40 3,525,000 4,228,626 
5% 10/1/45 4,000,000 4,790,099 
(Southern Methodist Univ., TX. Proj.) Series 2017:   
5% 10/1/32 750,000 922,317 
5% 10/1/41 1,500,000 1,832,303 
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Series 2015, 5% 9/1/30 5,000,000 5,560,138 
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A:   
5% 2/15/25 395,000 459,852 
5% 2/15/41 8,335,000 10,012,389 
Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Series 2019, 2.95% 7/1/36 3,572,502 3,805,379 
Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev.:   
Series 2019 A, 4% 3/1/50 3,600,000 4,096,434 
Series A, 3.5% 3/1/51 3,095,000 3,489,725 
Texas Gen. Oblig. Series 2016, 5% 4/1/41 3,120,000 3,721,340 
Texas Private Activity Bond Surface Trans. Corp. (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A:   
4% 12/31/36 2,035,000 2,451,235 
4% 6/30/37 3,000,000 3,602,710 
4% 12/31/37 4,000,000 4,803,613 
4% 12/31/38 2,250,000 2,693,330 
Texas State Univ. Sys. Fing. Rev.:   
Series 2017 A:   
5% 3/15/28 3,045,000 3,791,673 
5% 3/15/31 2,000,000 2,461,847 
Series 2019 A:   
4% 3/15/34 2,250,000 2,688,798 
4% 3/15/35 2,000,000 2,385,370 
Texas Wtr. Dev. Board Rev.:   
Series 2018 B, 5% 4/15/49 1,870,000 2,372,807 
Series 2020:   
5% 8/1/25 1,000,000 1,186,953 
5% 8/1/26 2,400,000 2,943,125 
Univ. of Houston Univ. Revs. Series 2017 A:   
5% 2/15/30 3,145,000 3,753,130 
5% 2/15/33 3,500,000 4,162,543 
Univ. of Texas Permanent Univ. Fund Rev. Series 2016 B, 5% 7/1/29 940,000 1,138,951 
TOTAL TEXAS  282,607,069 
Utah - 1.2%   
Salt Lake City Arpt. Rev.:   
Series 2017 B:   
5% 7/1/34 1,640,000 2,018,309 
5% 7/1/35 1,500,000 1,844,753 
5% 7/1/36 1,500,000 1,844,992 
5% 7/1/37 1,000,000 1,230,146 
5% 7/1/47 1,525,000 1,865,496 
Series 2018 B:   
5% 7/1/43 3,000,000 3,740,214 
5% 7/1/48 3,000,000 3,729,239 
Series 2021 B:   
5% 7/1/46 (d) 5,535,000 7,223,708 
5% 7/1/51 (d) 22,305,000 29,020,953 
Utah County Hosp. Rev. Series 2020 A, 5% 5/15/50 2,015,000 2,584,325 
TOTAL UTAH  55,102,135 
Vermont - 0.2%   
Vermont Edl. & Health Bldg. Fin. Agcy. Rev.:   
(Champlain College Proj.) Series 2016 A:   
5% 10/15/41 2,400,000 2,762,515 
5% 10/15/46 2,800,000 3,204,064 
(Middlebury College Proj.) Series 2020, 4% 11/1/50 4,500,000 5,226,465 
TOTAL VERMONT  11,193,044 
Virginia - 1.1%   
Chesapeake Gen. Oblig. Series 2020 A:   
5% 8/1/34 1,185,000 1,595,626 
5% 8/1/35 1,305,000 1,753,038 
Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/26 1,960,000 2,215,015 
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.:   
(Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29 370,000 398,813 
Series 2016:   
4% 6/15/37 345,000 386,144 
5% 6/15/28 1,000,000 1,200,684 
5% 6/15/33 225,000 265,765 
5% 6/15/36 1,000,000 1,176,768 
Virginia College Bldg. Auth. Edl. Facilities Rev.:   
(21St Century Collage and Equip. Programs) Series 2021 A, 4% 2/1/35 17,055,000 21,157,887 
Series 2015 A, 5% 1/1/40 1,400,000 1,595,448 
Virginia Commonwealth Trans. Board Rev. (Virginia Gen. Oblig. Proj.) Series 2017 A:   
5% 5/15/32 475,000 593,933 
5% 5/15/33 2,000,000 2,494,789 
Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2021 A1:   
5% 8/1/26 5,000,000 6,128,732 
5% 8/1/27 5,000,000 6,331,740 
Winchester Econ. Dev. Auth. Series 2015, 5% 1/1/44 2,500,000 2,906,108 
TOTAL VIRGINIA  50,200,490 
Washington - 3.2%   
Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A, 0% 6/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,200,000 1,114,648 
Port of Seattle Rev. Series 2016:   
5% 2/1/25 1,250,000 1,453,197 
5% 2/1/28 2,000,000 2,393,283 
Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. Series 2013 B, 5% 12/1/26 (Pre-Refunded to 6/1/23 @ 100) 3,880,000 4,227,837 
Tacoma Elec. Sys. Rev. Series 2017:   
5% 1/1/37 1,000,000 1,211,190 
5% 1/1/38 1,000,000 1,209,416 
Tobacco Settlement Auth. Rev. Series 2013, 5% 6/1/22 3,500,000 3,639,385 
Washington Gen. Oblig.:   
Series 2015 C:   
5% 2/1/33 1,500,000 1,738,153 
5% 2/1/34 2,400,000 2,778,324 
Series 2017 D, 5% 2/1/33 2,100,000 2,584,168 
Series 2018 D, 5% 8/1/33 5,450,000 6,817,747 
Series 2021 A, 5% 8/1/43 2,005,000 2,620,776 
Series 2021 C, 5% 2/1/43 29,830,000 39,406,346 
Series R-2017 A:   
5% 8/1/27 945,000 1,158,855 
5% 8/1/28 945,000 1,158,855 
5% 8/1/30 945,000 1,157,806 
Washington Health Care Facilities Auth. Rev.:   
(Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B:   
5% 7/1/29 405,000 510,915 
5% 7/1/31 860,000 1,074,535 
5% 7/1/34 2,645,000 3,281,017 
5% 7/1/35 2,350,000 2,911,303 
5% 7/1/36 2,250,000 2,781,529 
5% 7/1/42 9,220,000 11,276,037 
(Providence Health Systems Proj.):   
Series 2012 A, 5% 10/1/24 6,700,000 7,088,176 
Series 2018 B:   
5% 10/1/30 1,200,000 1,537,481 
5% 10/1/31 1,500,000 1,915,058 
5% 10/1/32 1,035,000 1,319,670 
5% 10/1/33 2,500,000 3,182,921 
(Virginia Mason Med. Ctr. Proj.) Series 2017:   
5% 8/15/29 2,250,000 2,722,876 
5% 8/15/30 1,000,000 1,203,506 
Series 2015, 5% 1/1/26 2,000,000 2,341,288 
Series 2017 B, 4% 8/15/41 7,250,000 8,353,343 
Series 2019 A1:   
5% 8/1/34 1,895,000 2,424,435 
5% 8/1/37 1,000,000 1,271,149 
Series 2019 A2:   
5% 8/1/35 2,855,000 3,647,331 
5% 8/1/39 1,120,000 1,417,707 
Series 2020, 5% 9/1/55 10,080,000 12,958,595 
Washington Higher Ed. Facilities Auth. Rev. (Whitworth Univ. Proj.) Series 2016 A:   
5% 10/1/34 1,600,000 1,885,669 
5% 10/1/35 1,000,000 1,176,701 
5% 10/1/40 1,625,000 1,897,647 
Washington Hsg. Fin. Commission Nonprofit Hsg. Rev. (Judson Park Proj.) Series 2018:   
4% 7/1/28 (c) 100,000 107,476 
5% 7/1/33 (c) 325,000 357,646 
5% 7/1/38 (c) 100,000 109,340 
5% 7/1/48 (c) 300,000 325,458 
TOTAL WASHINGTON  153,748,795 
West Virginia - 0.2%   
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 A, 5% 1/1/33 1,840,000 2,309,171 
West Virginia Parkways Auth. Series 2021, 5% 6/1/47 6,000,000 7,874,108 
TOTAL WEST VIRGINIA  10,183,279 
Wisconsin - 1.5%   
Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A, 4% 1/1/45 1,500,000 1,741,615 
Pub. Fin. Auth. Sr Liv Rev. (Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A:   
5% 5/15/25 (c) 530,000 586,418 
5% 5/15/28 (c) 580,000 643,018 
5.25% 5/15/37 (c) 190,000 210,667 
5.25% 5/15/42 (c) 235,000 260,112 
5.25% 5/15/47 (c) 235,000 260,112 
5.25% 5/15/52 (c) 435,000 481,483 
Pub. Fin. Auth. Edl. Facilities Series 2018 A:   
5.25% 10/1/43 610,000 717,130 
5.25% 10/1/48 610,000 714,130 
Pub. Fin. Auth. Hosp. Rev. Series 2019 A, 5% 10/1/44 4,565,000 5,640,089 
Pub. Fin. Auth. Wisconsin Retirement Facility Rev. Series 2018:   
5% 10/1/43 (c) 515,000 574,690 
5% 10/1/48 (c) 660,000 733,993 
5% 10/1/53 (c) 1,710,000 1,898,118 
Roseman Univ. of Health:   
Series 2020, 5% 4/1/50 (c) 1,085,000 1,300,636 
Series 2021 A, 4.5% 6/1/56 (d) 7,965,000 7,965,000 
Series 2021 B, 6.5% 6/1/56 (d) 3,825,000 3,825,000 
Wisconsin Health & Edl. Facilities:   
Bonds Series 2018 B, 5%, tender 1/29/25 (a) 10,000,000 11,600,496 
Series 2014:   
4% 5/1/33 1,475,000 1,574,393 
5% 5/1/23 1,410,000 1,520,860 
5% 5/1/25 775,000 867,136 
Series 2015, 5% 12/15/44 10,000,000 11,433,346 
Series 2017 A:   
5% 9/1/30 (Pre-Refunded to 9/1/27 @ 100) 1,270,000 1,589,232 
5% 9/1/32 (Pre-Refunded to 9/1/27 @ 100) 1,100,000 1,376,501 
Series 2019 A:   
2.25% 11/1/26 1,055,000 1,056,336 
5% 11/1/39 4,210,000 4,608,831 
Series 2019 B1, 2.825% 11/1/28 1,190,000 1,192,463 
Series 2019 B2, 2.55% 11/1/27 760,000 761,272 
Wisconsin Health & Edl. Facilities Auth. Rev. Series 2012:   
5% 10/1/24 1,400,000 1,478,490 
5% 6/1/27 1,000,000 1,037,168 
5% 6/1/39 1,190,000 1,232,814 
Wisconsin St Gen. Fund Annual Appropriation Series 2019 A, 5% 5/1/29 3,000,000 3,740,875 
TOTAL WISCONSIN  72,622,424 
TOTAL MUNICIPAL BONDS   
(Cost $4,225,990,650)  4,599,615,984 
 Shares Value 
Money Market Funds - 4.8%   
Fidelity Tax-Free Cash Central Fund 0.04% (f)(g)   
(Cost $225,330,014) 225,275,643 225,343,208 
TOTAL INVESTMENT IN SECURITIES - 101.7%   
(Cost $4,451,320,664)  4,824,959,192 
NET OTHER ASSETS (LIABILITIES) - (1.7)%  (78,483,139) 
NET ASSETS - 100%  $4,746,476,053 

Legend

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

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

 (c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $35,702,094 or 0.8% of net assets.

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

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

 (f) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.

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

Affiliated Central Funds

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

Fund Income earned 
Fidelity Tax-Free Cash Central Fund $46,700 
Total $46,700 

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.

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 Tax-Free Cash Central Fund 0.04% $144,334,000 $347,725,981 $266,731,000 $1,033 $13,194 $225,343,208 19.2% 
Total $144,334,000 $347,725,981 $266,731,000 $1,033 $13,194 $225,343,208  

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:     
Municipal Securities $4,599,615,984 $-- $4,599,615,984 $-- 
Money Market Funds 225,343,208 225,343,208 -- -- 
Total Investments in Securities: $4,824,959,192 $225,343,208 $4,599,615,984 $-- 

Other Information

The distribution of municipal securities by revenue source, as a percentage of total Net Assets, is as follows (Unaudited):

General Obligations 26.4% 
Health Care 20.7% 
Transportation 17.5% 
Education 7.3% 
Special Tax 6.9% 
Electric Utilities 6.5% 
Others* (Individually Less Than 5%) 14.7% 
 100.0% 

* Includes net other assets

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


Financial Statements

Statement of Assets and Liabilities

  July 31, 2021 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $4,225,990,650) 
$4,599,615,984  
Fidelity Central Funds (cost $225,330,014) 225,343,208  
Total Investment in Securities (cost $4,451,320,664)  $4,824,959,192 
Cash  142,805 
Receivable for fund shares sold  2,053,414 
Interest receivable  42,203,513 
Distributions receivable from Fidelity Central Funds  5,853 
Receivable from investment adviser for expense reductions  801,053 
Other receivables  4,592 
Total assets  4,870,170,422 
Liabilities   
Payable for investments purchased on a delayed delivery basis $115,050,792  
Payable for fund shares redeemed 1,857,756  
Distributions payable 4,965,725  
Accrued management fee 1,362,456  
Other affiliated payables 397,678  
Other payables and accrued expenses 59,962  
Total liabilities  123,694,369 
Net Assets  $4,746,476,053 
Net Assets consist of:   
Paid in capital  $4,363,267,072 
Total accumulated earnings (loss)  383,208,981 
Net Assets  $4,746,476,053 
Net Asset Value, offering price and redemption price per share ($4,746,476,053 ÷ 384,278,900 shares)  $12.35 

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


Statement of Operations

  Six months ended July 31, 2021 (Unaudited) 
Investment Income   
Interest  $60,137,957 
Income from Fidelity Central Funds  46,700 
Total income  60,184,657 
Expenses   
Management fee $7,907,008  
Transfer agent fees 2,018,717  
Accounting fees and expenses 320,297  
Custodian fees and expenses 21,090  
Independent trustees' fees and expenses 5,815  
Registration fees 79,041  
Audit 30,131  
Legal 6,897  
Miscellaneous 11,101  
Total expenses before reductions 10,400,097  
Expense reductions (4,773,263)  
Total expenses after reductions  5,626,834 
Net investment income (loss)  54,557,823 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 9,447,493  
Fidelity Central Funds 1,033  
Total net realized gain (loss)  9,448,526 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 27,731,550  
Fidelity Central Funds 13,194  
Total change in net unrealized appreciation (depreciation)  27,744,744 
Net gain (loss)  37,193,270 
Net increase (decrease) in net assets resulting from operations  $91,751,093 

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


Statement of Changes in Net Assets

 Six months ended July 31, 2021 (Unaudited) Year ended January 31, 2021 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $54,557,823 $109,918,319 
Net realized gain (loss) 9,448,526 7,566,446 
Change in net unrealized appreciation (depreciation) 27,744,744 22,377,211 
Net increase (decrease) in net assets resulting from operations 91,751,093 139,861,976 
Distributions to shareholders (54,521,728) (121,502,501) 
Share transactions   
Proceeds from sales of shares 511,055,266 1,043,223,645 
Reinvestment of distributions 25,383,751 57,315,370 
Cost of shares redeemed (302,102,740) (1,102,822,650) 
Net increase (decrease) in net assets resulting from share transactions 234,336,277 (2,283,635) 
Total increase (decrease) in net assets 271,565,642 16,075,840 
Net Assets   
Beginning of period 4,474,910,411 4,458,834,571 
End of period $4,746,476,053 $4,474,910,411 
Other Information   
Shares   
Sold 41,757,520 87,410,198 
Issued in reinvestment of distributions 2,080,780 4,802,393 
Redeemed (24,783,596) (94,544,900) 
Net increase (decrease) 19,054,704 (2,332,309) 

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


Financial Highlights

Fidelity Tax-Free Bond Fund

 Six months ended (Unaudited) July 31, Years endedJanuary 31,     
 2021 2021 2020 2019 2018 2017 
Selected Per–Share Data       
Net asset value, beginning of period $12.25 $12.13 $11.37 $11.39 $11.30 $11.77 
Income from Investment Operations       
Net investment income (loss)A .146 .312 .337 .340 .352 .377 
Net realized and unrealized gain (loss) .100 .152 .772 .003 .139 (.408) 
Total from investment operations .246 .464 1.109 .343 .491 (.031) 
Distributions from net investment income (.146) (.312) (.337) (.340) (.352) (.377) 
Distributions from net realized gain – (.032) (.012) (.023) (.049) (.062) 
Total distributions (.146) (.344) (.349) (.363) (.401) (.439) 
Redemption fees added to paid in capitalA – – – – – B 
Net asset value, end of period $12.35 $12.25 $12.13 $11.37 $11.39 $11.30 
Total ReturnC,D 2.03% 3.94% 9.87% 3.09% 4.38% (.31)% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .46%G .46% .46% .46% .46% .46% 
Expenses net of fee waivers, if any .25%G .25% .25% .25% .25% .25% 
Expenses net of all reductions .25%G .25% .25% .25% .25% .25% 
Net investment income (loss) 2.42%G 2.62% 2.86% 3.02% 3.06% 3.21% 
Supplemental Data       
Net assets, end of period (000 omitted) $4,746,476 $4,474,910 $4,458,835 $3,611,503 $3,777,700 $3,121,388 
Portfolio turnover rateH 7%G 19% 8% 23% 17% 23% 

 A Calculated based on average shares outstanding during the period.

 B Amount represents less than $.0005 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 Annualized

 H 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 (Unaudited)

For the period ended July 31, 2021

1. Organization.

Fidelity Tax-Free Bond 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 
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 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, changes in interest rates and credit quality. 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:

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of 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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

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

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

Book-tax differences are primarily due to the short-term gain distributions from the Fidelity Central Funds, market discount and excise tax regulations.

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

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

Gross unrealized appreciation $374,233,290 
Gross unrealized depreciation (261,476) 
Net unrealized appreciation (depreciation) $373,971,814 
Tax cost $4,450,987,378 

The Fund elected to defer to its next fiscal year approximately $33,824 of capital losses recognized during the period November 1, 2020 January 31, 2021.

Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Fidelity Tax-Free Bond Fund 424,203,395 143,137,356 

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .25% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .35% of the Fund's average net assets.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for the Fund. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees were equivalent to an annualized rate of .09% of average net assets.

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

 % of Average Net Assets 
Fidelity Tax-Free Bond Fund .01 

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

6. Committed Line of Credit.

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

 Amount 
Fidelity Tax-Free Bond Fund $4,112 

7. Expense Reductions.

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .25% of average net assets. This reimbursement will remain in place through May 31, 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 $4,752,168.

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 $1,731.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $19,364.

8. 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.

9. 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.

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 Tax-Free Bond Fund .25%    
Actual  $1,000.00 $1,020.30 $1.25 
Hypothetical-C  $1,000.00 $1,023.55 $1.25 

 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

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

SFB-SANN-0921
1.762414.120


Fidelity® Series Large Cap Value Index Fund



Semi-Annual Report

July 31, 2021

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

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.

Investment Summary (Unaudited)

Top Ten Stocks as of July 31, 2021

 % of fund's net assets 
Berkshire Hathaway, Inc. Class B 2.6 
JPMorgan Chase & Co. 2.3 
Johnson & Johnson 2.2 
UnitedHealth Group, Inc. 1.8 
Procter & Gamble Co. 1.7 
The Walt Disney Co. 1.5 
Bank of America Corp. 1.4 
Comcast Corp. Class A 1.3 
Exxon Mobil Corp. 1.2 
Pfizer, Inc. 1.2 
 17.2 

Top Market Sectors as of July 31, 2021

 % of fund's net assets 
Financials 20.5 
Health Care 17.6 
Industrials 12.0 
Information Technology 10.2 
Communication Services 8.4 
Consumer Staples 7.2 
Consumer Discretionary 5.7 
Utilities 4.9 
Real Estate 4.7 
Energy 4.7 

Asset Allocation (% of fund's net assets)

As of July 31, 2021* 
   Stocks and Equity Futures 100% 


 * Foreign investments - 4.9%

Schedule of Investments July 31, 2021 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 99.7%   
 Shares Value 
COMMUNICATION SERVICES - 8.4%   
Diversified Telecommunication Services - 2.2%   
AT&T, Inc. 2,131,908 $59,800,019 
Lumen Technologies, Inc. 328,231 4,093,041 
Verizon Communications, Inc. 1,236,758 68,986,361 
  132,879,421 
Entertainment - 2.2%   
Activision Blizzard, Inc. 230,431 19,268,640 
Electronic Arts, Inc. 85,485 12,306,421 
Live Nation Entertainment, Inc. (a) 24,697 1,948,346 
Madison Square Garden Sports Corp. (a) 3,472 565,033 
Take-Two Interactive Software, Inc. (a) 27,269 4,728,990 
The Walt Disney Co. (a) 514,264 90,520,749 
World Wrestling Entertainment, Inc. Class A 1,784 88,094 
Zynga, Inc. (a) 156,250 1,578,125 
  131,004,398 
Interactive Media & Services - 1.4%   
Alphabet, Inc.:   
Class A (a) 12,443 33,528,037 
Class C (a) 11,800 31,912,156 
IAC (a) 22,791 3,128,976 
TripAdvisor, Inc. (a) 11,436 433,996 
Twitter, Inc. (a) 208,188 14,521,113 
Vimeo, Inc. (a) 2,957 132,474 
  83,656,752 
Media - 2.2%   
Altice U.S.A., Inc. Class A (a) 19,135 588,019 
Cable One, Inc. 759 1,432,984 
Charter Communications, Inc. Class A (a) 2,083 1,549,856 
Comcast Corp. Class A 1,361,147 80,076,278 
Discovery Communications, Inc.:   
Class A (a) 49,146 1,425,725 
Class C (non-vtg.) (a) 94,107 2,551,241 
DISH Network Corp. Class A (a) 74,064 3,102,541 
Fox Corp.:   
Class A 96,334 3,435,270 
Class B 45,069 1,498,094 
Interpublic Group of Companies, Inc. 116,837 4,131,356 
Liberty Broadband Corp.:   
Class A (a) 7,367 1,264,693 
Class C (a) 45,251 8,031,600 
Liberty Media Corp.:   
Liberty Formula One Group Series C (a) 59,304 2,783,137 
Liberty Media Class A (a)(b) 7,190 298,097 
Liberty SiriusXM Series A (a) 23,694 1,106,273 
Liberty SiriusXM Series C (a) 48,445 2,238,159 
News Corp.:   
Class A 116,357 2,865,873 
Class B 35,919 844,456 
Nexstar Broadcasting Group, Inc. Class A 11,447 1,683,510 
Omnicom Group, Inc. 63,510 4,624,798 
Sirius XM Holdings, Inc. (b) 268,684 1,738,385 
The New York Times Co. Class A 49,189 2,153,494 
ViacomCBS, Inc.:   
Class A 2,505 111,548 
Class B 173,769 7,112,365 
  136,647,752 
Wireless Telecommunication Services - 0.4%   
T-Mobile U.S., Inc. (a) 175,810 25,320,156 
TOTAL COMMUNICATION SERVICES  509,508,479 
CONSUMER DISCRETIONARY - 5.7%   
Auto Components - 0.3%   
Aptiv PLC (a) 65,749 10,970,221 
BorgWarner, Inc. 71,421 3,498,201 
Gentex Corp. 72,015 2,450,670 
Lear Corp. 17,890 3,130,392 
QuantumScape Corp. Class A (a)(b) 9,807 224,678 
  20,274,162 
Automobiles - 0.7%   
Ford Motor Co. (a) 1,167,601 16,288,034 
General Motors Co. (a) 410,258 23,319,065 
Harley-Davidson, Inc. 45,651 1,808,693 
Thor Industries, Inc. (b) 9,386 1,110,927 
  42,526,719 
Distributors - 0.1%   
Genuine Parts Co. 42,120 5,345,870 
LKQ Corp. (a) 83,376 4,231,332 
  9,577,202 
Diversified Consumer Services - 0.1%   
Bright Horizons Family Solutions, Inc. (a) 3,668 548,366 
Chegg, Inc. (a) 9,928 879,919 
Frontdoor, Inc. (a) 8,170 399,840 
Grand Canyon Education, Inc. (a) 13,709 1,266,300 
H&R Block, Inc. 10,444 256,400 
Service Corp. International 48,747 3,046,200 
Terminix Global Holdings, Inc. (a) 38,323 2,011,958 
  8,408,983 
Hotels, Restaurants & Leisure - 1.7%   
ARAMARK Holdings Corp. 68,301 2,399,414 
Boyd Gaming Corp. (a) 19,207 1,094,799 
Caesars Entertainment, Inc. (a) 22,531 1,968,308 
Carnival Corp. (a)(b) 253,991 5,498,905 
Darden Restaurants, Inc. 12,443 1,815,185 
Domino's Pizza, Inc. 3,689 1,938,533 
Hilton Worldwide Holdings, Inc. (a) 26,961 3,544,023 
Hyatt Hotels Corp. Class A (a) 12,033 961,076 
Marriott Vacations Worldwide Corp. (a) 12,410 1,828,862 
McDonald's Corp. 183,213 44,467,627 
MGM Resorts International 121,677 4,566,538 
Norwegian Cruise Line Holdings Ltd. (a)(b) 110,093 2,645,535 
Penn National Gaming, Inc. (a) 43,609 2,981,983 
Planet Fitness, Inc. (a) 7,767 584,311 
Royal Caribbean Cruises Ltd. (a) 65,352 5,023,608 
Six Flags Entertainment Corp. (a) 14,220 590,841 
Travel+Leisure Co. 8,503 440,455 
Wyndham Hotels & Resorts, Inc. 10,084 726,653 
Yum China Holdings, Inc. 115,693 7,194,948 
Yum! Brands, Inc. 81,384 10,693,044 
  100,964,648 
Household Durables - 0.7%   
D.R. Horton, Inc. 58,235 5,557,366 
Garmin Ltd. 45,135 7,095,222 
Leggett & Platt, Inc. 39,643 1,904,053 
Lennar Corp.:   
Class A 80,593 8,474,354 
Class B 5,109 441,162 
Mohawk Industries, Inc. (a) 16,861 3,286,209 
Newell Brands, Inc. 113,346 2,805,314 
NVR, Inc. (a) 327 1,707,790 
PulteGroup, Inc. 55,362 3,037,713 
Toll Brothers, Inc. 19,874 1,177,932 
TopBuild Corp. (a) 1,674 339,303 
Whirlpool Corp. 18,270 4,047,536 
  39,873,954 
Internet & Direct Marketing Retail - 0.1%   
Doordash, Inc. 3,010 524,613 
Qurate Retail, Inc. Series A 111,037 1,316,899 
Wayfair LLC Class A (a)(b) 9,990 2,411,186 
  4,252,698 
Leisure Products - 0.1%   
Brunswick Corp. 20,231 2,112,116 
Hasbro, Inc. 38,128 3,791,448 
Hayward Holdings, Inc. (b) 11,316 272,602 
Polaris, Inc. 5,260 689,428 
  6,865,594 
Multiline Retail - 0.7%   
Dollar General Corp. 40,834 9,499,622 
Dollar Tree, Inc. (a) 69,078 6,893,294 
Kohl's Corp. 46,664 2,370,531 
Nordstrom, Inc. (a) 5,116 169,340 
Ollie's Bargain Outlet Holdings, Inc. (a)(b) 19,451 1,810,888 
Target Corp. 81,898 21,379,473 
  42,123,148 
Specialty Retail - 0.8%   
Advance Auto Parts, Inc. 19,491 4,133,261 
AutoNation, Inc. (a) 15,154 1,838,635 
AutoZone, Inc. (a) 5,159 8,375,998 
Bath & Body Works, Inc. 29,733 2,380,721 
Best Buy Co., Inc. 57,405 6,449,452 
Burlington Stores, Inc. (a) 1,158 387,698 
CarMax, Inc. (a) 44,440 5,952,738 
Dick's Sporting Goods, Inc. (b) 18,733 1,950,855 
Foot Locker, Inc. 26,793 1,528,809 
Gap, Inc. 59,999 1,750,171 
Leslie's, Inc. 3,664 89,218 
Lithia Motors, Inc. Class A (sub. vtg.) 7,838 2,956,650 
O'Reilly Automotive, Inc. (a) 14,293 8,630,685 
Penske Automotive Group, Inc. 9,479 839,839 
Petco Health & Wellness Co., Inc. (b) 20,979 432,797 
Vroom, Inc. (a)(b) 25,657 950,335 
Williams-Sonoma, Inc. 5,346 810,988 
  49,458,850 
Textiles, Apparel & Luxury Goods - 0.4%   
Capri Holdings Ltd. (a) 44,017 2,478,597 
Carter's, Inc. (b) 12,863 1,257,230 
Columbia Sportswear Co. 11,127 1,108,472 
Deckers Outdoor Corp. (a) 7,180 2,949,903 
Hanesbrands, Inc. 41,566 758,995 
PVH Corp. (a) 21,164 2,214,178 
Ralph Lauren Corp. 14,121 1,603,016 
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) 34,868 1,871,714 
Tapestry, Inc. (a) 74,865 3,166,790 
Under Armour, Inc.:   
Class A (sub. vtg.) (a) 56,111 1,147,470 
Class C (non-vtg.) (a) 59,073 1,034,959 
VF Corp. 34,467 2,764,253 
  22,355,577 
TOTAL CONSUMER DISCRETIONARY  346,681,535 
CONSUMER STAPLES - 7.2%   
Beverages - 0.9%   
Brown-Forman Corp.:   
Class A 6,885 460,538 
Class B (non-vtg.) 27,537 1,952,924 
Constellation Brands, Inc. Class A (sub. vtg.) 48,222 10,818,123 
Keurig Dr. Pepper, Inc. 208,390 7,337,412 
Molson Coors Beverage Co. Class B 53,192 2,600,557 
Monster Beverage Corp. (a) 7,974 752,108 
PepsiCo, Inc. 70,092 11,000,939 
The Coca-Cola Co. 340,660 19,427,840 
  54,350,441 
Food & Staples Retailing - 1.5%   
Albertsons Companies, Inc. (b) 46,179 997,466 
Casey's General Stores, Inc. 10,990 2,172,833 
Costco Wholesale Corp. 8,578 3,686,138 
Grocery Outlet Holding Corp. (a)(b) 25,968 860,060 
Kroger Co. 222,991 9,075,734 
U.S. Foods Holding Corp. (a) 65,860 2,261,632 
Walgreens Boots Alliance, Inc. 214,008 10,090,477 
Walmart, Inc. 428,141 61,031,500 
  90,175,840 
Food Products - 1.7%   
Archer Daniels Midland Co. 166,057 9,916,924 
Beyond Meat, Inc. (a)(b) 2,075 254,603 
Bunge Ltd. 40,966 3,180,191 
Campbell Soup Co. (b) 58,142 2,541,968 
Conagra Brands, Inc. 139,695 4,678,386 
Darling Ingredients, Inc. (a) 45,618 3,150,835 
Flowers Foods, Inc. (b) 56,011 1,319,619 
General Mills, Inc. 182,085 10,717,523 
Hormel Foods Corp. (b) 84,357 3,912,478 
Ingredion, Inc. 19,986 1,754,971 
Kellogg Co. 41,718 2,643,252 
Lamb Weston Holdings, Inc. 30,621 2,044,564 
McCormick & Co., Inc. (non-vtg.) 74,405 6,262,669 
Mondelez International, Inc. 416,139 26,324,953 
Pilgrim's Pride Corp. (a) 8,285 183,513 
Post Holdings, Inc. (a) 17,578 1,798,933 
Seaboard Corp. 74 304,140 
The Hain Celestial Group, Inc. (a) 24,899 993,719 
The Hershey Co. 6,173 1,104,226 
The J.M. Smucker Co. 31,630 4,147,009 
The Kraft Heinz Co. 198,020 7,617,829 
Tyson Foods, Inc. Class A 85,646 6,120,263 
  100,972,568 
Household Products - 2.1%   
Church & Dwight Co., Inc. 69,297 5,999,734 
Colgate-Palmolive Co. 117,065 9,306,668 
Kimberly-Clark Corp. 49,976 6,782,743 
Procter & Gamble Co. 726,660 103,352,852 
Reynolds Consumer Products, Inc. 16,279 463,138 
Spectrum Brands Holdings, Inc. 12,447 1,087,245 
The Clorox Co. 7,068 1,278,531 
  128,270,911 
Personal Products - 0.0%   
Coty, Inc. Class A (a) 86,584 755,878 
Herbalife Nutrition Ltd. (a) 26,778 1,364,071 
  2,119,949 
Tobacco - 1.0%   
Altria Group, Inc. 245,376 11,787,863 
Philip Morris International, Inc. 464,736 46,515,426 
  58,303,289 
TOTAL CONSUMER STAPLES  434,192,998 
ENERGY - 4.7%   
Energy Equipment & Services - 0.4%   
Baker Hughes Co. Class A 219,743 4,667,341 
Halliburton Co. 250,204 5,174,219 
NOV, Inc. (a) 116,271 1,605,703 
Schlumberger Ltd. 417,343 12,031,999 
  23,479,262 
Oil, Gas & Consumable Fuels - 4.3%   
Antero Midstream GP LP (b) 99,358 943,901 
APA Corp. 112,448 2,108,400 
Cabot Oil & Gas Corp. 103,099 1,649,584 
Chevron Corp. 577,383 58,783,363 
Cimarex Energy Co. 24,009 1,565,387 
ConocoPhillips Co. 402,874 22,585,116 
Continental Resources, Inc. (b) 17,400 594,210 
Devon Energy Corp. 201,013 5,194,176 
Diamondback Energy, Inc. 28,325 2,184,707 
DT Midstream, Inc. (a) 28,810 1,221,544 
EOG Resources, Inc. 153,295 11,169,074 
EQT Corp. (a) 83,014 1,526,627 
Exxon Mobil Corp. 1,263,925 72,764,162 
Hess Corp. 77,073 5,891,460 
HollyFrontier Corp. 44,701 1,314,209 
Kinder Morgan, Inc. 580,423 10,087,752 
Marathon Oil Corp. 233,659 2,708,108 
Marathon Petroleum Corp. 194,410 10,735,320 
Occidental Petroleum Corp. 220,023 5,742,600 
ONEOK, Inc. 132,268 6,873,968 
Phillips 66 Co. 130,582 9,588,636 
Pioneer Natural Resources Co. 35,657 5,183,458 
Targa Resources Corp. 67,159 2,828,065 
The Williams Companies, Inc. 362,482 9,080,174 
Valero Energy Corp. 121,760 8,154,267 
  260,478,268 
TOTAL ENERGY  283,957,530 
FINANCIALS - 20.5%   
Banks - 8.0%   
Bank of America Corp. 2,250,679 86,336,046 
Bank of Hawaii Corp. (b) 11,836 990,792 
Bank OZK 36,688 1,493,568 
BOK Financial Corp. 9,106 764,995 
Citigroup, Inc. 616,826 41,709,774 
Citizens Financial Group, Inc. 104,270 4,396,023 
Comerica, Inc. 41,584 2,855,157 
Commerce Bancshares, Inc. 31,715 2,243,202 
Cullen/Frost Bankers, Inc. 17,026 1,827,230 
East West Bancorp, Inc. 42,062 2,992,711 
Fifth Third Bancorp 209,250 7,593,683 
First Citizens Bancshares, Inc. (b) 1,804 1,411,792 
First Hawaiian, Inc. 38,684 1,064,971 
First Horizon National Corp. 163,082 2,519,617 
First Republic Bank 52,282 10,196,036 
FNB Corp., Pennsylvania 94,648 1,084,666 
Huntington Bancshares, Inc./Ohio 437,026 6,153,326 
JPMorgan Chase & Co. 897,647 136,244,862 
KeyCorp 288,467 5,671,261 
M&T Bank Corp. 38,253 5,120,164 
PacWest Bancorp 35,035 1,395,094 
Peoples United Financial, Inc. 126,763 1,990,179 
Pinnacle Financial Partners, Inc. 22,151 1,984,951 
PNC Financial Services Group, Inc. 126,616 23,096,025 
Popular, Inc. 24,686 1,796,153 
Prosperity Bancshares, Inc. 26,624 1,815,491 
Regions Financial Corp. 286,702 5,519,014 
Signature Bank 16,803 3,813,777 
Sterling Bancorp 52,285 1,135,107 
SVB Financial Group (a) 16,673 9,169,483 
Synovus Financial Corp. 40,710 1,665,039 
Truist Financial Corp. 400,822 21,816,741 
U.S. Bancorp 400,560 22,247,102 
Umpqua Holdings Corp. 65,388 1,233,872 
Webster Financial Corp. 26,906 1,294,179 
Wells Fargo & Co. 1,234,613 56,718,121 
Western Alliance Bancorp. 14,284 1,325,841 
Wintrust Financial Corp. 16,839 1,202,305 
Zions Bancorp NA 48,104 2,508,624 
  484,396,974 
Capital Markets - 4.8%   
Affiliated Managers Group, Inc. 12,371 1,960,061 
Ameriprise Financial, Inc. 15,329 3,948,137 
Ares Management Corp. 4,917 352,106 
Bank of New York Mellon Corp. 239,234 12,279,881 
BlackRock, Inc. Class A 42,660 36,993,472 
Carlyle Group LP 48,366 2,441,032 
Cboe Global Markets, Inc. 31,703 3,755,854 
Charles Schwab Corp. 468,142 31,810,249 
CME Group, Inc. 106,973 22,692,182 
Evercore, Inc. Class A 11,933 1,577,543 
FactSet Research Systems, Inc. 1,576 563,073 
Franklin Resources, Inc. 86,185 2,546,767 
Goldman Sachs Group, Inc. 93,068 34,889,332 
Interactive Brokers Group, Inc. 23,965 1,482,475 
Intercontinental Exchange, Inc. 165,910 19,880,995 
Invesco Ltd. 99,391 2,423,153 
Janus Henderson Group PLC (b) 50,912 2,130,158 
Jefferies Financial Group, Inc. 65,210 2,164,320 
KKR & Co. LP 164,048 10,459,700 
Lazard Ltd. Class A 30,436 1,436,579 
Moody's Corp. 2,511 944,136 
Morgan Stanley 414,344 39,768,737 
Morningstar, Inc. 649 163,957 
MSCI, Inc. 6,959 4,147,286 
NASDAQ, Inc. 34,045 6,357,223 
Northern Trust Corp. 61,216 6,908,226 
Raymond James Financial, Inc. 34,822 4,508,753 
S&P Global, Inc. 20,977 8,993,259 
SEI Investments Co. 32,648 1,984,998 
State Street Corp. 103,642 9,031,364 
Stifel Financial Corp. 30,410 2,023,481 
T. Rowe Price Group, Inc. 44,947 9,176,380 
Tradeweb Markets, Inc. Class A 31,276 2,712,567 
Virtu Financial, Inc. Class A 27,795 715,443 
  293,222,879 
Consumer Finance - 0.9%   
Ally Financial, Inc. 110,422 5,671,274 
American Express Co. 70,797 12,073,012 
Capital One Financial Corp. 133,740 21,625,758 
Credit Acceptance Corp. (a)(b) 2,560 1,241,011 
Discover Financial Services 40,887 5,083,072 
OneMain Holdings, Inc. 26,438 1,612,718 
Santander Consumer U.S.A. Holdings, Inc. 17,957 736,776 
SLM Corp. 95,897 1,805,741 
Synchrony Financial 140,680 6,614,774 
  56,464,136 
Diversified Financial Services - 2.7%   
Berkshire Hathaway, Inc. Class B (a) 559,735 155,768,656 
Equitable Holdings, Inc. 114,382 3,530,972 
Voya Financial, Inc. (b) 35,894 2,311,574 
  161,611,202 
Insurance - 3.8%   
AFLAC, Inc. 200,244 11,013,420 
Alleghany Corp. (a) 3,582 2,375,224 
Allstate Corp. 89,054 11,581,473 
American Financial Group, Inc. 20,203 2,555,477 
American International Group, Inc. 256,141 12,128,276 
Aon PLC (b) 27,436 7,134,183 
Arch Capital Group Ltd. (a) 88,161 3,438,279 
Arthur J. Gallagher & Co. 60,320 8,403,179 
Assurant, Inc. 17,998 2,840,264 
Assured Guaranty Ltd. 21,617 1,033,509 
Athene Holding Ltd. (a) 34,410 2,223,574 
Axis Capital Holdings Ltd. 23,016 1,170,824 
Brighthouse Financial, Inc. (a) 25,599 1,102,293 
Brown & Brown, Inc. 65,821 3,580,662 
Chubb Ltd. 133,579 22,540,120 
Cincinnati Financial Corp. 44,662 5,264,757 
CNA Financial Corp. 8,326 366,427 
Erie Indemnity Co. Class A 2,320 428,945 
Everest Re Group Ltd. 9,134 2,309,349 
Fidelity National Financial, Inc. 82,380 3,674,972 
First American Financial Corp. 31,737 2,136,217 
Globe Life, Inc. 30,233 2,814,995 
GoHealth, Inc. (a) 2,021 17,785 
Hanover Insurance Group, Inc. 10,664 1,449,238 
Hartford Financial Services Group, Inc. 106,372 6,767,387 
Kemper Corp. 18,113 1,195,639 
Lemonade, Inc. (a)(b) 10,177 886,010 
Lincoln National Corp. 47,898 2,951,475 
Loews Corp. 66,105 3,545,211 
Markel Corp. (a) 3,357 4,049,113 
Marsh & McLennan Companies, Inc. 133,701 19,683,461 
Mercury General Corp. 7,967 484,633 
MetLife, Inc. 221,071 12,755,797 
Old Republic International Corp. 83,402 2,056,693 
Primerica, Inc. 11,694 1,709,897 
Principal Financial Group, Inc. 80,115 4,977,545 
Progressive Corp. 174,304 16,586,769 
Prudential Financial, Inc. 117,619 11,794,833 
Reinsurance Group of America, Inc. 20,226 2,228,501 
RenaissanceRe Holdings Ltd. 8,145 1,243,660 
The Travelers Companies, Inc. 74,943 11,160,512 
Unum Group 60,820 1,666,468 
W.R. Berkley Corp. 41,145 3,010,580 
White Mountains Insurance Group Ltd. 897 1,015,018 
Willis Towers Watson PLC 38,299 7,892,658 
  229,245,302 
Mortgage Real Estate Investment Trusts - 0.2%   
AGNC Investment Corp. 156,111 2,477,482 
Annaly Capital Management, Inc. 416,248 3,533,946 
New Residential Investment Corp. 129,378 1,262,729 
Starwood Property Trust, Inc. 81,749 2,127,926 
  9,402,083 
Thrifts & Mortgage Finance - 0.1%   
MGIC Investment Corp. 100,942 1,397,037 
New York Community Bancorp, Inc. 134,782 1,587,732 
TFS Financial Corp. 14,565 283,726 
UWM Holdings Corp. Class A (b) 6,517 49,725 
  3,318,220 
TOTAL FINANCIALS  1,237,660,796 
HEALTH CARE - 17.6%   
Biotechnology - 1.5%   
Amgen, Inc. 30,360 7,333,154 
Biogen, Inc. (a) 44,710 14,608,098 
BioMarin Pharmaceutical, Inc. (a) 54,382 4,172,731 
Exact Sciences Corp. (a) 3,844 414,537 
Exelixis, Inc. (a) 13,144 221,476 
Gilead Sciences, Inc. 374,666 25,585,941 
Horizon Therapeutics PLC (a) 52,914 5,292,458 
Incyte Corp. (a) 7,937 613,927 
Ionis Pharmaceuticals, Inc. (a) 3,267 121,336 
Iovance Biotherapeutics, Inc. (a) 30,098 670,282 
Mirati Therapeutics, Inc. (a) 1,967 314,838 
Natera, Inc. (a) 1,569 179,682 
Regeneron Pharmaceuticals, Inc. (a) 26,710 15,347,833 
Repligen Corp. (a) 936 229,975 
Sage Therapeutics, Inc. (a) 15,276 668,019 
Seagen, Inc. (a) 4,260 653,441 
Ultragenyx Pharmaceutical, Inc. (a) 4,953 395,398 
United Therapeutics Corp. (a) 13,153 2,392,925 
Vertex Pharmaceuticals, Inc. (a) 46,386 9,350,490 
  88,566,541 
Health Care Equipment & Supplies - 4.2%   
Abbott Laboratories 259,203 31,358,379 
Baxter International, Inc. 149,965 11,599,793 
Becton, Dickinson & Co. 86,240 22,055,880 
Boston Scientific Corp. (a) 423,295 19,302,252 
Danaher Corp. 179,395 53,368,219 
Dentsply Sirona, Inc. 64,784 4,278,335 
Envista Holdings Corp. (a) 47,953 2,065,815 
Globus Medical, Inc. (a) 21,882 1,819,926 
Hill-Rom Holdings, Inc. 19,828 2,745,385 
Hologic, Inc. (a) 75,615 5,674,150 
ICU Medical, Inc. (a) 5,917 1,202,867 
Integra LifeSciences Holdings Corp. (a) 21,592 1,563,045 
Masimo Corp. (a) 4,089 1,113,803 
Medtronic PLC 400,704 52,616,442 
Quidel Corp. (a)(b) 11,177 1,581,210 
ResMed, Inc. 4,279 1,163,032 
STERIS PLC 25,409 5,537,892 
Stryker Corp. 59,616 16,152,359 
Tandem Diabetes Care, Inc. (a) 1,080 117,364 
Teleflex, Inc. 11,470 4,558,522 
The Cooper Companies, Inc. 14,429 6,085,719 
Zimmer Biomet Holdings, Inc. 62,249 10,172,732 
  256,133,121 
Health Care Providers & Services - 4.4%   
Acadia Healthcare Co., Inc. (a) 26,399 1,629,346 
agilon health, Inc. (a)(b) 917 33,736 
Amedisys, Inc. (a) 1,097 285,900 
AmerisourceBergen Corp. 43,775 5,347,992 
Anthem, Inc. 73,094 28,068,827 
Cardinal Health, Inc. 35,418 2,103,121 
Centene Corp. (a) 172,567 11,839,822 
Chemed Corp. 3,425 1,630,369 
Cigna Corp. 101,791 23,360,017 
CVS Health Corp. 392,820 32,352,655 
DaVita HealthCare Partners, Inc. (a) 6,221 748,075 
Encompass Health Corp. 12,391 1,031,551 
Henry Schein, Inc. (a) 41,985 3,365,098 
Humana, Inc. 38,475 16,384,964 
Laboratory Corp. of America Holdings (a) 29,139 8,629,515 
McKesson Corp. 40,701 8,296,085 
Molina Healthcare, Inc. (a) 14,579 3,980,213 
Oak Street Health, Inc. (a)(b) 2,935 185,022 
Premier, Inc. 36,358 1,295,799 
Quest Diagnostics, Inc. 38,864 5,510,915 
Signify Health, Inc. (b) 6,742 177,449 
UnitedHealth Group, Inc. 261,402 107,755,132 
Universal Health Services, Inc. Class B 22,597 3,624,785 
  267,636,388 
Health Care Technology - 0.3%   
Cerner Corp. 89,871 7,224,730 
Certara, Inc. 4,257 115,833 
Change Healthcare, Inc. (a) 73,635 1,598,616 
Teladoc Health, Inc. (a)(b) 43,717 6,489,789 
  15,428,968 
Life Sciences Tools & Services - 1.4%   
Adaptive Biotechnologies Corp. (a) 3,498 128,237 
Agilent Technologies, Inc. 9,415 1,442,660 
Bio-Rad Laboratories, Inc. Class A (a) 6,323 4,675,922 
Charles River Laboratories International, Inc. (a) 946 384,946 
IQVIA Holdings, Inc. (a) 28,776 7,127,815 
PerkinElmer, Inc. 33,388 6,084,295 
PPD, Inc. (a) 28,295 1,304,965 
QIAGEN NV (a) 67,665 3,572,035 
Syneos Health, Inc. (a) 26,411 2,368,274 
Thermo Fisher Scientific, Inc. 106,706 57,622,307 
Waters Corp. (a) 1,283 500,126 
  85,211,582 
Pharmaceuticals - 5.8%   
Bristol-Myers Squibb Co. 666,690 45,248,250 
Catalent, Inc. (a) 37,046 4,438,481 
Elanco Animal Health, Inc. (a) 132,700 4,839,569 
Eli Lilly & Co. 53,127 12,936,425 
Jazz Pharmaceuticals PLC (a) 17,664 2,994,401 
Johnson & Johnson 786,376 135,413,947 
Merck & Co., Inc. 756,109 58,122,099 
Nektar Therapeutics (a)(b) 52,755 833,001 
Organon & Co. (a) 75,611 2,193,475 
Perrigo Co. PLC 39,816 1,912,362 
Pfizer, Inc. 1,666,152 71,327,967 
Royalty Pharma PLC 39,611 1,513,140 
Viatris, Inc. 360,352 5,070,153 
Zoetis, Inc. Class A 7,381 1,496,129 
  348,339,399 
TOTAL HEALTH CARE  1,061,315,999 
INDUSTRIALS - 12.0%   
Aerospace & Defense - 2.6%   
BWX Technologies, Inc. 7,050 404,882 
Curtiss-Wright Corp. 12,172 1,439,948 
General Dynamics Corp. 75,027 14,707,543 
HEICO Corp. 9,041 1,222,795 
HEICO Corp. Class A 15,911 1,929,845 
Hexcel Corp. (a)(b) 24,954 1,357,997 
Howmet Aerospace, Inc. 108,167 3,550,041 
Huntington Ingalls Industries, Inc. 11,741 2,408,431 
L3Harris Technologies, Inc. 60,957 13,821,390 
Lockheed Martin Corp. 9,311 3,460,619 
Mercury Systems, Inc. (a) 16,414 1,083,324 
Northrop Grumman Corp. 41,117 14,926,293 
Raytheon Technologies Corp. 452,228 39,321,225 
Spirit AeroSystems Holdings, Inc. Class A 22,032 952,003 
Teledyne Technologies, Inc. (a) 13,697 6,201,591 
Textron, Inc. 67,263 4,641,820 
The Boeing Co. (a) 159,826 36,197,392 
TransDigm Group, Inc. (a) 10,975 7,035,963 
Virgin Galactic Holdings, Inc. (a) 3,388 101,606 
  154,764,708 
Air Freight & Logistics - 0.3%   
C.H. Robinson Worldwide, Inc. 31,597 2,817,504 
Expeditors International of Washington, Inc. 13,607 1,745,098 
FedEx Corp. 41,342 11,573,693 
XPO Logistics, Inc. (a) 4,104 569,184 
  16,705,479 
Airlines - 0.3%   
Alaska Air Group, Inc. (a) 36,347 2,109,216 
American Airlines Group, Inc. (a)(b) 190,333 3,878,987 
Copa Holdings SA Class A (a)(b) 9,374 664,710 
JetBlue Airways Corp. (a) 94,495 1,397,581 
Southwest Airlines Co. (a) 176,137 8,898,441 
United Airlines Holdings, Inc. (a) 96,394 4,503,528 
  21,452,463 
Building Products - 0.9%   
A.O. Smith Corp. 39,439 2,773,745 
Allegion PLC 6,380 871,508 
Armstrong World Industries, Inc. 7,318 791,661 
Builders FirstSource, Inc. (a) 61,083 2,718,194 
Carrier Global Corp. 137,953 7,621,903 
Fortune Brands Home & Security, Inc. 30,678 2,990,185 
Johnson Controls International PLC 213,526 15,250,027 
Lennox International, Inc. 10,153 3,344,703 
Masco Corp. 75,410 4,502,731 
Owens Corning 31,053 2,986,056 
The AZEK Co., Inc. (a) 14,835 539,549 
Trane Technologies PLC 36,515 7,434,819 
  51,825,081 
Commercial Services & Supplies - 0.5%   
ADT, Inc. (b) 47,317 496,355 
Cintas Corp. 1,675 660,252 
Clean Harbors, Inc. (a) 15,131 1,437,445 
Driven Brands Holdings, Inc. 10,829 344,579 
MSA Safety, Inc. 7,770 1,278,010 
Republic Services, Inc. 62,649 7,415,136 
Rollins, Inc. 4,744 181,838 
Stericycle, Inc. (a) 27,266 1,923,616 
Waste Management, Inc. 105,911 15,702,365 
  29,439,596 
Construction & Engineering - 0.2%   
AECOM (a) 41,674 2,623,795 
MasTec, Inc. (a) 16,753 1,695,906 
Quanta Services, Inc. 41,247 3,749,352 
Valmont Industries, Inc. 6,200 1,469,090 
  9,538,143 
Electrical Equipment - 1.1%   
Acuity Brands, Inc. 10,540 1,848,505 
AMETEK, Inc. 68,739 9,558,158 
ChargePoint Holdings, Inc. Class A (a)(b) 40,968 968,893 
Eaton Corp. PLC 118,782 18,773,495 
Emerson Electric Co. 177,995 17,957,916 
Hubbell, Inc. Class B 16,136 3,234,623 
nVent Electric PLC 49,713 1,571,428 
Regal Beloit Corp. 12,110 1,782,955 
Rockwell Automation, Inc. 13,602 4,181,527 
Sensata Technologies, Inc. PLC (a) 46,364 2,717,858 
Shoals Technologies Group, Inc. 30,450 885,791 
Sunrun, Inc. (a) 59,429 3,147,954 
  66,629,103 
Industrial Conglomerates - 1.9%   
3M Co. 147,415 29,179,325 
Carlisle Companies, Inc. 9,445 1,910,157 
General Electric Co. 2,607,344 33,765,105 
Honeywell International, Inc. 162,591 38,012,150 
Roper Technologies, Inc. 31,280 15,369,115 
  118,235,852 
Machinery - 2.0%   
AGCO Corp. 16,777 2,216,409 
Allison Transmission Holdings, Inc. 7,743 309,023 
Caterpillar, Inc. 22,566 4,665,521 
Colfax Corp. (a) 34,917 1,601,992 
Crane Co. 14,663 1,425,683 
Cummins, Inc. 43,566 10,111,669 
Donaldson Co., Inc. 32,943 2,180,497 
Dover Corp. 42,783 7,149,895 
Flowserve Corp. 38,821 1,633,976 
Fortive Corp. 97,408 7,077,665 
Gates Industrial Corp. PLC (a) 21,079 381,741 
Graco, Inc. 19,005 1,483,910 
IDEX Corp. 22,630 5,129,995 
Illinois Tool Works, Inc. 9,656 2,188,726 
Ingersoll Rand, Inc. (a) 111,801 5,463,715 
ITT, Inc. 25,673 2,513,643 
Middleby Corp. (a) 11,476 2,197,539 
Nordson Corp. 14,343 3,243,383 
Oshkosh Corp. 20,364 2,434,516 
Otis Worldwide Corp. 128,165 11,477,176 
PACCAR, Inc. 101,610 8,432,614 
Parker Hannifin Corp. 31,990 9,981,840 
Pentair PLC 49,274 3,630,016 
Snap-On, Inc. 15,912 3,468,498 
Stanley Black & Decker, Inc. 48,124 9,482,834 
Timken Co. 19,181 1,524,890 
Toro Co. 1,711 194,609 
Westinghouse Air Brake Co. 54,061 4,588,157 
Woodward, Inc. 17,115 2,080,499 
Xylem, Inc. 18,194 2,289,715 
  120,560,346 
Marine - 0.0%   
Kirby Corp. (a) 17,709 1,025,528 
Professional Services - 0.8%   
CACI International, Inc. Class A (a) 6,927 1,849,232 
Clarivate Analytics PLC (a) 122,785 2,799,498 
CoStar Group, Inc. (a) 26,177 2,325,826 
Dun & Bradstreet Holdings, Inc. (a) 47,582 997,319 
Equifax, Inc. 22,327 5,818,416 
FTI Consulting, Inc. (a) 10,019 1,459,768 
IHS Markit Ltd. 111,328 13,007,564 
Jacobs Engineering Group, Inc. 38,528 5,210,912 
Leidos Holdings, Inc. 42,080 4,478,154 
Manpower, Inc. 16,188 1,919,573 
Nielsen Holdings PLC 106,529 2,523,672 
Robert Half International, Inc. 3,997 392,545 
Science Applications Internati 17,286 1,509,068 
TransUnion Holding Co., Inc. 18,097 2,172,726 
Verisk Analytics, Inc. 17,183 3,263,739 
  49,728,012 
Road & Rail - 1.2%   
AMERCO 2,671 1,570,441 
CSX Corp. 675,743 21,840,014 
J.B. Hunt Transport Services, Inc. 2,821 475,197 
Kansas City Southern 19,809 5,304,850 
Knight-Swift Transportation Holdings, Inc. Class A 47,917 2,380,996 
Landstar System, Inc. 1,274 200,018 
Norfolk Southern Corp. 74,511 19,211,171 
Old Dominion Freight Lines, Inc. 2,411 648,921 
Ryder System, Inc. 15,522 1,182,000 
Schneider National, Inc. Class B 15,289 343,085 
TuSimple Holdings, Inc. (a)(b) 9,481 348,901 
Uber Technologies, Inc. (a) 69,348 3,013,864 
Union Pacific Corp. 72,958 15,960,292 
  72,479,750 
Trading Companies & Distributors - 0.2%   
Air Lease Corp. Class A 31,976 1,354,503 
Fastenal Co. 19,274 1,055,637 
MSC Industrial Direct Co., Inc. Class A (b) 13,417 1,196,394 
SiteOne Landscape Supply, Inc. (a) 6,274 1,096,570 
United Rentals, Inc. (a) 14,082 4,640,723 
Univar, Inc. (a) 49,720 1,220,129 
W.W. Grainger, Inc. 2,348 1,043,874 
Watsco, Inc. 9,735 2,749,553 
  14,357,383 
TOTAL INDUSTRIALS  726,741,444 
INFORMATION TECHNOLOGY - 10.2%   
Communications Equipment - 1.5%   
Arista Networks, Inc. (a) 1,902 723,502 
Ciena Corp. (a) 45,954 2,671,766 
Cisco Systems, Inc. 1,261,276 69,836,852 
F5 Networks, Inc. (a) 17,749 3,665,346 
Juniper Networks, Inc. 96,664 2,720,125 
Lumentum Holdings, Inc. (a) 22,557 1,894,562 
Motorola Solutions, Inc. 49,555 11,096,356 
Ubiquiti, Inc. (b) 215 67,317 
ViaSat, Inc. (a) 18,420 914,369 
  93,590,195 
Electronic Equipment & Components - 0.6%   
Amphenol Corp. Class A 50,329 3,648,349 
Arrow Electronics, Inc. (a) 21,876 2,593,837 
Avnet, Inc. 29,476 1,217,948 
Coherent, Inc. (a) 742 182,487 
Corning, Inc. 150,226 6,288,460 
IPG Photonics Corp. (a) 10,014 2,184,654 
Jabil, Inc. 9,025 537,349 
Keysight Technologies, Inc. (a) 31,011 5,102,860 
Littelfuse, Inc. 7,145 1,900,499 
National Instruments Corp. 39,171 1,727,833 
SYNNEX Corp. 12,371 1,478,829 
Trimble, Inc. (a) 74,666 6,383,943 
Vontier Corp. 23,121 747,964 
  33,995,012 
IT Services - 3.1%   
Accenture PLC Class A 37,198 11,817,061 
Akamai Technologies, Inc. (a) 47,923 5,746,926 
Alliance Data Systems Corp. 14,855 1,385,229 
Amdocs Ltd. 38,550 2,972,591 
Automatic Data Processing, Inc. 10,153 2,128,373 
Broadridge Financial Solutions, Inc. 3,183 552,219 
Cognizant Technology Solutions Corp. Class A 157,122 11,553,181 
Concentrix Corp. (a) 12,554 2,055,466 
DXC Technology Co. (a) 75,627 3,023,567 
Euronet Worldwide, Inc. (a) 4,415 630,550 
Fastly, Inc. Class A (a)(b) 31,560 1,517,089 
Fidelity National Information Services, Inc. 184,883 27,556,811 
Fiserv, Inc. (a) 166,344 19,147,858 
FleetCor Technologies, Inc. (a) 18,740 4,839,043 
Genpact Ltd. 51,843 2,582,300 
Global Payments, Inc. 87,488 16,921,054 
GoDaddy, Inc. (a) 44,942 3,768,387 
IBM Corp. 266,705 37,594,737 
Jack Henry & Associates, Inc. 16,261 2,830,877 
Paychex, Inc. 12,318 1,402,035 
Paysafe Ltd. (a) 91,721 989,670 
Snowflake Computing, Inc. 2,108 560,138 
SolarWinds, Inc. (a)(b) 21,028 236,355 
StoneCo Ltd. Class A (a) 4,499 264,721 
The Western Union Co. 91,489 2,123,460 
Twilio, Inc. Class A (a) 34,730 12,974,781 
VeriSign, Inc. (a) 29,397 6,360,629 
WEX, Inc. (a) 4,371 829,310 
  184,364,418 
Semiconductors & Semiconductor Equipment - 2.9%   
Analog Devices, Inc. 93,739 15,693,783 
Brooks Automation, Inc. 3,803 338,505 
Cirrus Logic, Inc. (a) 17,268 1,426,164 
Cree, Inc. (a) 34,377 3,188,811 
First Solar, Inc. (a) 31,584 2,717,487 
Intel Corp. 1,206,362 64,805,767 
Marvell Technology, Inc. 240,768 14,568,872 
Maxim Integrated Products, Inc. 4,177 417,324 
Microchip Technology, Inc. 11,734 1,679,370 
Micron Technology, Inc. 288,229 22,360,806 
MKS Instruments, Inc. 2,589 405,023 
NXP Semiconductors NV 56,982 11,760,515 
ON Semiconductor Corp. (a) 57,946 2,263,371 
Qorvo, Inc. (a) 33,690 6,387,287 
Skyworks Solutions, Inc. 25,967 4,791,171 
Texas Instruments, Inc. 104,750 19,967,445 
  172,771,701 
Software - 1.7%   
ANSYS, Inc. (a) 15,170 5,589,538 
Black Knight, Inc. (a) 45,308 3,751,955 
C3.Ai, Inc. (b) 3,980 200,393 
CDK Global, Inc. 30,756 1,475,980 
Ceridian HCM Holding, Inc. (a) 38,508 3,789,187 
Citrix Systems, Inc. 23,758 2,393,619 
Cloudflare, Inc. (a) 4,297 509,753 
Datto Holding Corp. (b) 7,028 183,361 
Dolby Laboratories, Inc. Class A 19,136 1,858,106 
Duck Creek Technologies, Inc. (a) 16,610 729,677 
Dynatrace, Inc. (a) 3,200 204,384 
FireEye, Inc. (a) 49,241 994,668 
Guidewire Software, Inc. (a) 25,004 2,880,461 
Jamf Holding Corp. (a)(b) 2,386 78,285 
Manhattan Associates, Inc. (a) 8,788 1,402,828 
McAfee Corp. 3,221 87,192 
Medallia, Inc. (a) 14,072 476,619 
N-able, Inc. (a)(b) 10,292 142,030 
NortonLifeLock, Inc. 120,435 2,989,197 
Nuance Communications, Inc. (a) 52,651 2,890,540 
Oracle Corp. 35,329 3,078,569 
Pegasystems, Inc. 673 85,902 
Salesforce.com, Inc. (a) 222,852 53,914,584 
SS&C Technologies Holdings, Inc. 66,809 5,237,158 
Synopsys, Inc. (a) 16,564 4,770,266 
Teradata Corp. (a) 4,687 232,756 
Tyler Technologies, Inc. (a) 1,607 791,672 
VMware, Inc. Class A (a)(b) 15,076 2,317,784 
  103,056,464 
Technology Hardware, Storage & Peripherals - 0.4%   
Dell Technologies, Inc. (a) 41,968 4,054,948 
Hewlett Packard Enterprise Co. 387,732 5,622,114 
HP, Inc. 242,934 7,013,505 
NCR Corp. (a) 24,998 1,109,911 
NetApp, Inc. 22,364 1,779,951 
Pure Storage, Inc. Class A (a) 5,029 98,166 
Western Digital Corp. (a) 91,517 5,942,199 
Xerox Holdings Corp. 45,529 1,098,615 
  26,719,409 
TOTAL INFORMATION TECHNOLOGY  614,497,199 
MATERIALS - 3.8%   
Chemicals - 1.9%   
Air Products & Chemicals, Inc. 65,964 19,197,503 
Albemarle Corp. U.S. 34,658 7,140,934 
Ashland Global Holdings, Inc. 16,403 1,395,403 
Axalta Coating Systems Ltd. (a) 51,285 1,543,679 
Celanese Corp. Class A 21,355 3,326,468 
CF Industries Holdings, Inc. 63,746 3,011,999 
Corteva, Inc. 220,084 9,415,194 
Diversey Holdings Ltd. (a) 3,448 57,513 
Dow, Inc. 206,958 12,864,509 
DuPont de Nemours, Inc. 158,926 11,927,396 
Eastman Chemical Co. 40,475 4,562,342 
Ecolab, Inc. 9,171 2,025,232 
Element Solutions, Inc. 69,051 1,615,103 
FMC Corp. 28,688 3,068,182 
Huntsman Corp. 62,837 1,659,525 
International Flavors & Fragrances, Inc. 74,263 11,186,978 
LyondellBasell Industries NV Class A 68,742 6,828,143 
NewMarket Corp. 1,998 631,188 
Olin Corp. 39,589 1,861,871 
PPG Industries, Inc. 40,796 6,670,962 
RPM International, Inc. 15,858 1,373,144 
The Chemours Co. LLC 23,767 790,253 
The Mosaic Co. 102,977 3,215,972 
Valvoline, Inc. 53,960 1,655,493 
Westlake Chemical Corp. 7,908 655,731 
  117,680,717 
Construction Materials - 0.3%   
Eagle Materials, Inc. 12,256 1,732,018 
Martin Marietta Materials, Inc. 18,541 6,735,945 
Vulcan Materials Co. 39,425 7,096,106 
  15,564,069 
Containers & Packaging - 0.7%   
Amcor PLC 459,482 5,311,612 
Aptargroup, Inc. 19,574 2,523,480 
Ardagh Group SA 5,448 127,211 
Avery Dennison Corp. 11,571 2,437,778 
Ball Corp. 67,498 5,459,238 
Berry Global Group, Inc. (a) 40,247 2,587,480 
Crown Holdings, Inc. 33,916 3,383,460 
Graphic Packaging Holding Co. 60,246 1,154,916 
International Paper Co. 116,709 6,741,112 
Packaging Corp. of America 27,945 3,954,218 
Sealed Air Corp. 20,664 1,172,682 
Silgan Holdings, Inc. 24,887 1,008,421 
Sonoco Products Co. 29,919 1,908,533 
WestRock Co. 77,624 3,819,877 
  41,590,018 
Metals & Mining - 0.9%   
Alcoa Corp. (a) 55,670 2,235,151 
Cleveland-Cliffs, Inc. (a)(b) 135,797 3,394,925 
Freeport-McMoRan, Inc. 308,598 11,757,584 
Newmont Corp. 239,167 15,024,471 
Nucor Corp. 89,090 9,267,142 
Reliance Steel & Aluminum Co. 18,880 2,966,992 
Royal Gold, Inc. 19,530 2,373,286 
Southern Copper Corp. 2,184 143,358 
Steel Dynamics, Inc. 48,621 3,133,623 
United States Steel Corp. 79,696 2,110,350 
  52,406,882 
Paper & Forest Products - 0.0%   
Louisiana-Pacific Corp. 28,199 1,563,353 
TOTAL MATERIALS  228,805,039 
REAL ESTATE - 4.7%   
Equity Real Estate Investment Trusts (REITs) - 4.5%   
Alexandria Real Estate Equities, Inc. 43,613 8,781,041 
American Campus Communities, Inc. 40,811 2,053,201 
American Homes 4 Rent Class A 82,852 3,479,784 
Americold Realty Trust 75,230 2,922,686 
Apartment Income (REIT) Corp. 46,575 2,451,708 
AvalonBay Communities, Inc. 41,567 9,470,210 
Boston Properties, Inc. 46,546 5,463,569 
Brixmor Property Group, Inc. 88,249 2,031,492 
Camden Property Trust (SBI) 28,160 4,206,822 
CoreSite Realty Corp. 2,790 385,606 
Cousins Properties, Inc. 44,189 1,755,187 
CubeSmart 59,814 2,970,363 
CyrusOne, Inc. 36,494 2,600,927 
Digital Realty Trust, Inc. 83,698 12,902,884 
Douglas Emmett, Inc. 49,642 1,658,043 
Duke Realty Corp. 111,576 5,676,987 
EPR Properties 21,986 1,105,896 
Equinix, Inc. 7,734 6,345,051 
Equity Lifestyle Properties, Inc. 24,445 2,048,491 
Equity Residential (SBI) 109,897 9,245,635 
Essex Property Trust, Inc. 19,322 6,339,548 
Extra Space Storage, Inc. 35,621 6,203,041 
Federal Realty Investment Trust (SBI) 22,999 2,703,072 
First Industrial Realty Trust, Inc. 38,337 2,100,101 
Gaming & Leisure Properties 65,701 3,110,285 
Healthcare Trust of America, Inc. 64,864 1,854,462 
Healthpeak Properties, Inc. 160,731 5,942,225 
Highwoods Properties, Inc. (SBI) 30,693 1,463,749 
Host Hotels & Resorts, Inc. (a) 208,453 3,320,656 
Hudson Pacific Properties, Inc. 43,589 1,188,236 
Invitation Homes, Inc. 169,266 6,885,741 
Iron Mountain, Inc. 25,207 1,103,058 
JBG SMITH Properties 36,796 1,200,653 
Kilroy Realty Corp. 34,593 2,396,257 
Kimco Realty Corp. 123,023 2,624,081 
Lamar Advertising Co. Class A 3,202 341,333 
Life Storage, Inc. 22,748 2,669,705 
Medical Properties Trust, Inc. 172,747 3,632,869 
Mid-America Apartment Communities, Inc. 33,939 6,553,621 
National Retail Properties, Inc. 52,058 2,544,074 
Omega Healthcare Investors, Inc. 70,058 2,541,704 
Park Hotels & Resorts, Inc. (a) 69,780 1,290,930 
Prologis (REIT), Inc. 219,971 28,165,087 
Public Storage 10,611 3,315,725 
Rayonier, Inc. 41,208 1,553,954 
Realty Income Corp. 111,431 7,832,485 
Regency Centers Corp. 50,343 3,292,936 
Rexford Industrial Realty, Inc. 40,002 2,460,923 
SBA Communications Corp. Class A 26,906 9,174,677 
Simon Property Group, Inc. 12,760 1,614,395 
SL Green Realty Corp. 20,937 1,558,969 
Spirit Realty Capital, Inc. 34,205 1,717,775 
Store Capital Corp. 72,801 2,634,668 
Sun Communities, Inc. 32,949 6,461,628 
UDR, Inc. 88,030 4,840,770 
Ventas, Inc. 111,775 6,681,910 
VEREIT, Inc. 68,215 3,340,489 
VICI Properties, Inc. (b) 160,112 4,993,893 
Vornado Realty Trust 52,315 2,275,703 
Weingarten Realty Investors (SBI) 35,508 1,143,003 
Welltower, Inc. 124,561 10,819,368 
Weyerhaeuser Co. 223,436 7,536,496 
WP Carey, Inc. 52,606 4,244,778 
  271,224,616 
Real Estate Management & Development - 0.2%   
CBRE Group, Inc. (a) 94,300 9,096,178 
Howard Hughes Corp. (a) 12,328 1,142,929 
Jones Lang LaSalle, Inc. (a) 15,238 3,391,522 
Opendoor Technologies, Inc. (a) 82,341 1,220,294 
  14,850,923 
TOTAL REAL ESTATE  286,075,539 
UTILITIES - 4.9%   
Electric Utilities - 3.1%   
Alliant Energy Corp. 74,573 4,364,758 
American Electric Power Co., Inc. 149,287 13,155,170 
Avangrid, Inc. (b) 16,982 885,441 
Duke Energy Corp. 229,597 24,132,941 
Edison International 111,193 6,060,019 
Entergy Corp. 59,761 6,150,602 
Evergy, Inc. 68,169 4,445,982 
Eversource Energy 102,367 8,831,201 
Exelon Corp. 291,180 13,627,224 
FirstEnergy Corp. 162,197 6,215,389 
Hawaiian Electric Industries, Inc. 31,501 1,365,253 
IDACORP, Inc. 15,028 1,584,703 
NextEra Energy, Inc. 585,266 45,592,221 
NRG Energy, Inc. 39,663 1,635,702 
OGE Energy Corp. 59,480 2,007,450 
PG&E Corp. (a) 450,343 3,958,515 
Pinnacle West Capital Corp. 33,575 2,805,191 
PPL Corp. 229,782 6,518,915 
Southern Co. 315,616 20,158,394 
Xcel Energy, Inc. 160,563 10,958,425 
  184,453,496 
Gas Utilities - 0.1%   
Atmos Energy Corp. 38,546 3,800,250 
National Fuel Gas Co. 26,073 1,340,934 
UGI Corp. 61,959 2,849,494 
  7,990,678 
Independent Power and Renewable Electricity Producers - 0.1%   
Brookfield Renewable Corp. 28,451 1,207,460 
The AES Corp. 196,932 4,667,288 
Vistra Corp. 142,798 2,734,582 
  8,609,330 
Multi-Utilities - 1.4%   
Ameren Corp. 75,902 6,369,696 
CenterPoint Energy, Inc. 173,217 4,410,105 
CMS Energy Corp. 86,162 5,323,950 
Consolidated Edison, Inc. 102,404 7,554,343 
Dominion Energy, Inc. 240,376 17,996,951 
DTE Energy Co. 57,534 6,749,889 
MDU Resources Group, Inc. 59,436 1,885,310 
NiSource, Inc. 116,731 2,891,427 
Public Service Enterprise Group, Inc. 150,393 9,358,956 
Sempra Energy 94,114 12,295,994 
WEC Energy Group, Inc. 94,126 8,861,022 
  83,697,643 
Water Utilities - 0.2%   
American Water Works Co., Inc. 54,152 9,211,797 
Essential Utilities, Inc. 66,792 3,280,823 
  12,492,620 
TOTAL UTILITIES  297,243,767 
TOTAL COMMON STOCKS   
(Cost $4,332,645,279)  6,026,680,325 
Money Market Funds - 1.4%   
Fidelity Cash Central Fund 0.06% (c) 18,057,656 18,061,268 
Fidelity Securities Lending Cash Central Fund 0.06% (c)(d) 67,252,037 67,258,763 
TOTAL MONEY MARKET FUNDS   
(Cost $85,319,654)  85,320,031 
TOTAL INVESTMENT IN SECURITIES - 101.1%   
(Cost $4,417,964,933)  6,112,000,356 
NET OTHER ASSETS (LIABILITIES) - (1.1)%  (67,457,526) 
NET ASSETS - 100%  $6,044,542,830 

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) 45 Sept. 2021 $9,876,375 $312,104 $312,104 
CME E-mini S&P MidCap 400 Index Contracts (United States) 40 Sept. 2021 10,794,800 203,669 203,668 
TOTAL FUTURES CONTRACTS     $515,772 

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 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 $3,917 
Fidelity Securities Lending Cash Central Fund 73,411 
Total $77,328 

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% $5,509,023 $516,628,654 $504,077,989 $1,580 $-- $18,061,268 0.0% 
Fidelity Securities Lending Cash Central Fund 0.06% 56,536,826 257,372,263 246,650,326 -- -- 67,258,763 0.2% 
Total $62,045,849 $774,000,917 $750,728,315 $1,580 $-- $85,320,031  

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 $509,508,479 $509,508,479 $-- $-- 
Consumer Discretionary 346,681,535 346,681,535 -- -- 
Consumer Staples 434,192,998 434,192,998 -- -- 
Energy 283,957,530 283,957,530 -- -- 
Financials 1,237,660,796 1,237,660,796 -- -- 
Health Care 1,061,315,999 1,061,315,999 -- -- 
Industrials 726,741,444 726,741,444 -- -- 
Information Technology 614,497,199 614,497,199 -- -- 
Materials 228,805,039 228,805,039 -- -- 
Real Estate 286,075,539 286,075,539 -- -- 
Utilities 297,243,767 297,243,767 -- -- 
Money Market Funds 85,320,031 85,320,031 -- -- 
Total Investments in Securities: $6,112,000,356 $6,112,000,356 $-- $-- 
Derivative Instruments:     
Assets     
Futures Contracts $515,772 $515,772 $-- $-- 
Total Assets $515,772 $515,772 $-- $-- 
Total Derivative Instruments: $515,772 $515,772 $-- $-- 

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) $515,772 $0 
Total Equity Risk 515,772 
Total Value of Derivatives $515,772 $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 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $64,294,997) — See accompanying schedule:
Unaffiliated issuers (cost $4,332,645,279) 
$6,026,680,325  
Fidelity Central Funds (cost $85,319,654) 85,320,031  
Total Investment in Securities (cost $4,417,964,933)  $6,112,000,356 
Segregated cash with brokers for derivative instruments  1,315,500 
Receivable for investments sold  20,919,838 
Receivable for fund shares sold  86,228 
Dividends receivable  7,514,079 
Distributions receivable from Fidelity Central Funds  14,396 
Other receivables  53 
Total assets  6,141,850,450 
Liabilities   
Payable to custodian bank $104  
Payable for fund shares redeemed 29,909,895  
Payable for daily variation margin on futures contracts 87,318  
Other payables and accrued expenses 62,346  
Collateral on securities loaned 67,247,957  
Total liabilities  97,307,620 
Net Assets  $6,044,542,830 
Net Assets consist of:   
Paid in capital  $4,145,453,284 
Total accumulated earnings (loss)  1,899,089,546 
Net Assets  $6,044,542,830 
Net Asset Value, offering price and redemption price per share ($6,044,542,830 ÷ 388,038,948 shares)  $15.58 

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


Statement of Operations

  Six months ended July 31, 2021 (Unaudited) 
Investment Income   
Dividends  $58,879,682 
Interest  412 
Income from Fidelity Central Funds (including $73,411 from security lending)  77,328 
Total income  58,957,422 
Expenses   
Custodian fees and expenses $78,760  
Independent trustees' fees and expenses 7,450  
Interest 4,044  
Total expenses  90,254 
Net investment income (loss)  58,867,168 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 327,466,874  
Fidelity Central Funds 1,580  
Futures contracts 2,019,411  
Total net realized gain (loss)  329,487,865 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 612,138,073  
Futures contracts 313,678  
Total change in net unrealized appreciation (depreciation)  612,451,751 
Net gain (loss)  941,939,616 
Net increase (decrease) in net assets resulting from operations  $1,000,806,784 

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


Statement of Changes in Net Assets

 Six months ended July 31, 2021 (Unaudited) Year ended January 31, 2021 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $58,867,168 $106,397,256 
Net realized gain (loss) 329,487,865 (153,667,926) 
Change in net unrealized appreciation (depreciation) 612,451,751 354,685,681 
Net increase (decrease) in net assets resulting from operations 1,000,806,784 307,415,011 
Distributions to shareholders (5,262,265) (128,478,104) 
Share transactions   
Proceeds from sales of shares 632,266,941 1,540,722,235 
Reinvestment of distributions 5,262,265 128,478,104 
Cost of shares redeemed (932,801,852) (540,744,199) 
Net increase (decrease) in net assets resulting from share transactions (295,272,646) 1,128,456,140 
Total increase (decrease) in net assets 700,271,873 1,307,393,047 
Net Assets   
Beginning of period 5,344,270,957 4,036,877,910 
End of period $6,044,542,830 $5,344,270,957 
Other Information   
Shares   
Sold 42,807,475 131,746,213 
Issued in reinvestment of distributions 369,541 10,082,192 
Redeemed (63,326,122) (46,286,207) 
Net increase (decrease) (20,149,106) 95,542,198 

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


Financial Highlights

Fidelity Series Large Cap Value Index Fund

 Six months ended (Unaudited) July 31, Years endedJanuary 31,     
 2021 2021 2020 2019 2018 2017 
Selected Per–Share Data       
Net asset value, beginning of period $13.09 $12.91 $12.02 $13.22 $11.75 $9.68 
Income from Investment Operations       
Net investment income (loss)A .15 .29 .33 .32 .30 .26 
Net realized and unrealized gain (loss) 2.35 .23 1.46 (.96) 1.69 2.10 
Total from investment operations 2.50 .52 1.79 (.64) 1.99 2.36 
Distributions from net investment income (.01) (.29) (.34) (.33) (.30) (.19) 
Distributions from net realized gain – (.05) (.57) (.22) (.22) (.10) 
Total distributions (.01) (.34) (.90)B (.56)B (.52) (.29) 
Net asset value, end of period $15.58 $13.09 $12.91 $12.02 $13.22 $11.75 
Total ReturnC,D 19.13% 4.14% 14.94% (4.73)% 17.16% 24.44% 
Ratios to Average Net AssetsE,F       
Expenses before reductions - %G,H - %H - %H - %H .03% .10% 
Expenses net of fee waivers, if any - %G,H - %H - %H - %H .03% .10% 
Expenses net of all reductions - %G,H - %H - %H - %H .03% .10% 
Net investment income (loss) 1.99%G 2.49% 2.58% 2.52% 2.39% 2.41% 
Supplemental Data       
Net assets, end of period (000 omitted) $6,044,543 $5,344,271 $4,036,878 $3,698,418 $4,024,272 $1,529,003 
Portfolio turnover rateI 46%G 21% 31% 19% 17% 16% 

 A Calculated based on average shares outstanding during the period.

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

 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 Annualized

 H Amount represents less than .005%.

 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 (Unaudited)

For the period ended July 31, 2021

1. Organization.

Fidelity Series Large Cap Value 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 only to certain other Fidelity funds and Fidelity managed 529 plans. 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. 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 certain deemed distributions, futures contracts, partnerships, capital loss carryforwards, passive foreign investment companies(PFIC) 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 $1,826,300,368 
Gross unrealized depreciation (226,316,693) 
Net unrealized appreciation (depreciation) $1,599,983,675 
Tax cost $4,512,532,453 

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

No expiration  
Short-term $(7,721,908) 
Long-term (14,427,658) 
Total capital loss carryforward $(22,149,566) 

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 Series Large Cap Value Index Fund 1,329,257,569 1,562,801,606 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

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 Series Large Cap Value Index Fund Borrower $54,784,667 .30% $4,044 

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 commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.

8. Security Lending.

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

 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 Series Large Cap Value Index Fund $7,573 $134 $– 

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.

At the end of the period, mutual funds and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

10. 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.

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 Series Large Cap Value Index Fund - %-C    
Actual  $1,000.00 $1,191.30 $--D 
Hypothetical-E  $1,000.00 $1,024.79 $--D 

 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 Amount represents less than .005%.

 D Amount represents less than $.005.

 E 5% return per year before expenses

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

XS6-SANN-0921
1.967966.107


Fidelity® SAI Tax-Free Bond 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.



Semi-Annual Report

July 31, 2021

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

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.

Investment Summary (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Five States as of July 31, 2021

 % of fund's net assets 
Illinois 12.5 
Other 7.9 
New York 6.9 
Texas 6.6 
Pennsylvania 4.9 

Top Five Sectors as of July 31, 2021

 % of fund's net assets 
General Obligations 27.3 
Transportation 17.5 
Health Care 16.1 
Education 11.6 
Special Tax 7.4 

Quality Diversification (% of fund's net assets)

As of July 31, 2021 
   AAA 7.4% 
   AA,A 68.0% 
   BBB 15.3% 
   BB and Below 2.3% 
   Not Rated 1.1% 
   Short-Term Investments and Net Other Assets 5.9% 


We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Schedule of Investments July 31, 2021 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 94.3%   
 Principal Amount Value 
Alabama - 1.1%   
Homewood Edl. Bldg. Auth. Rev. Series 2019 A:   
4% 12/1/36 $1,025,000 $1,195,630 
4% 12/1/38 1,705,000 1,979,131 
4% 12/1/41 1,345,000 1,551,245 
4% 12/1/44 1,200,000 1,375,595 
4% 12/1/49 1,450,000 1,650,593 
Lower Alabama Gas District Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (a) 8,505,000 9,709,700 
Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds (Alabama Pwr. Co. Barry Plant Proj.) Series 2008, 2.9%, tender 12/12/23 (a) 4,000,000 4,242,248 
Montgomery Med. Clinic Facilities Series 2015, 5% 3/1/25 1,400,000 1,590,659 
TOTAL ALABAMA  23,294,801 
Alaska - 0.3%   
Alaska Hsg. Fin. Corp. Series 2021 A:   
4% 6/1/30 1,100,000 1,369,373 
5% 6/1/27 750,000 936,368 
5% 12/1/27 1,000,000 1,265,325 
5% 6/1/28 1,315,000 1,684,924 
Alaska Int'l. Arpts. Revs. Series 2016 A, 5% 10/1/26 1,415,000 1,680,934 
TOTAL ALASKA  6,936,924 
Arizona - 0.9%   
Arizona State Univ. Revs. Series 2021 C:   
5% 7/1/39 1,545,000 2,075,897 
5% 7/1/40 1,545,000 2,071,621 
Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.) Series 2005, 2.4%, tender 8/14/23 (a) 265,000 276,227 
Maricopa County Indl. Dev. Auth.:   
(Creighton Univ. Proj.) Series 2020, 5% 7/1/47 600,000 754,594 
Bonds Series 2019 B, 5%, tender 9/1/24 (a) 650,000 748,368 
Maricopa County Indl. Dev. Auth. Sr. Living Facilities:   
(Christian Care Mesa II, Inc.) Series 2014 A, 4.5% 1/1/39 450,000 481,353 
Series 2016:   
5.75% 1/1/36 (b) 400,000 420,293 
6% 1/1/48 (b) 875,000 912,623 
Maricopa County Spl. Health Care District Gen. Oblig. Series 2018 C, 5% 7/1/36 2,300,000 2,878,839 
Phoenix Civic Impt. Board Arpt. Rev. Series 2019 A, 5% 7/1/44 1,700,000 2,158,654 
Phoenix Civic Impt. Corp. Series 2019 A:   
5% 7/1/32 865,000 1,050,587 
5% 7/1/39 500,000 597,349 
5% 7/1/45 2,565,000 3,029,286 
Western Maricopa Ed. Ctr. District Series 2019 B, 5% 7/1/24 1,380,000 1,571,245 
TOTAL ARIZONA  19,026,936 
California - 3.5%   
California Edl. Facilities Auth. Rev. Series 2018 A, 5% 10/1/42 1,340,000 1,655,622 
California Gen. Oblig.:   
Series 2017, 5% 11/1/29 2,375,000 3,010,850 
Series 2020, 4% 11/1/45 4,200,000 4,741,510 
Series 2021, 5% 9/1/29 (c) 10,215,000 13,583,973 
California Hsg. Fin. Agcy. Series 2021 1, 3.5% 11/20/35 766,360 912,916 
California Muni. Fin. Auth. Rev. Series 2017 A:   
5% 7/1/42 1,000,000 1,211,988 
5.25% 11/1/36 515,000 611,324 
California Muni. Fin. Auth. Student Hsg. (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018:   
5% 5/15/34 2,635,000 3,347,692 
5% 5/15/39 1,175,000 1,480,812 
California Pub. Fin. Auth. Univ. Hsg. Rev.:   
(Claremont Colleges Proj.) Series 2017 A, 5% 7/1/27 (b) 100,000 90,446 
(NCCD - Claremont Properties LLC - Claremont Colleges Proj.) Series 2017 A, 5% 7/1/47 (b) 100,000 90,828 
California Statewide Cmntys. Dev. Auth. Rev. Series 2015, 5% 2/1/45 800,000 843,239 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2017 A1, 5% 6/1/28 1,000,000 1,238,028 
Los Angeles Dept. Arpt. Rev. Series B, 5% 5/15/45 9,000,000 11,839,789 
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2021 B, 5% 7/1/51 6,660,000 8,721,609 
Middle Fork Proj. Fin. Auth. Series 2020:   
5% 4/1/24 2,745,000 3,074,788 
5% 4/1/25 2,885,000 3,346,774 
5% 4/1/26 2,030,000 2,429,494 
San Diego Assoc. of Governments (Mid-Coast Corridor Transit Proj.) Series 2019 A:   
5% 11/15/25 2,000,000 2,309,916 
5% 11/15/26 2,000,000 2,385,551 
San Diego County Reg'l. Arpt. Auth. Arpt. Rev. Series 2019 A, 5% 7/1/49 2,850,000 3,561,430 
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Series 2019 B, 5% 5/1/49 465,000 586,491 
Washington Township Health Care District Rev.:   
Series 2017 A, 5% 7/1/35 800,000 962,454 
Series 2017 B:   
5% 7/1/29 485,000 593,389 
5% 7/1/30 970,000 1,180,192 
TOTAL CALIFORNIA  73,811,105 
Colorado - 2.7%   
Colorado Health Facilities Auth.:   
Bonds:   
Series 2018 B, 5%, tender 11/20/25 (a) 1,000,000 1,199,471 
Series 2019 B, 5%, tender 8/1/26 (a) 755,000 902,295 
Series 2018 A, 4% 11/15/48 960,000 1,110,233 
Series 2019 A:   
4% 11/1/39 905,000 1,085,689 
5% 11/1/22 1,800,000 1,908,235 
5% 11/1/26 1,495,000 1,835,464 
5% 11/15/39 1,250,000 1,620,652 
Colorado Hsg. & Fin. Auth.:   
Series 2019 F, 4.25% 11/1/49 390,000 437,117 
Series 2019 H, 4.25% 11/1/49 220,000 246,805 
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2021 B, 5% 11/1/28 3,775,000 4,916,190 
Colorado State Bldg. Excellent Schools Today Ctfs. of Prtn. Series 2018 N:   
5% 3/15/37 2,000,000 2,477,315 
5% 3/15/38 2,000,000 2,472,985 
Colorado Univ. Co. Hosp. Auth. Rev. Series 2012 A, 5% 11/15/42 6,480,000 6,864,442 
Denver City & County Board Wtr. Rev.:   
Series 2020 A:   
5% 9/15/45 5,415,000 7,090,310 
5% 9/15/46 8,300,000 10,858,202 
Series 2020 B, 5% 9/15/27 2,290,000 2,913,034 
Univ. of Colorado Enterprise Sys. Rev. Bonds Series 2019 C, 2%, tender 10/15/24 (a) 6,725,000 7,075,848 
Vauxmont Metropolitan District:   
Series 2019, 5% 12/15/26 (FSA Insured) 135,000 158,715 
Series 2020:   
5% 12/1/22 (FSA Insured) 165,000 174,944 
5% 12/1/50 (FSA Insured) 1,500,000 1,879,255 
TOTAL COLORADO  57,227,201 
Connecticut - 4.0%   
Bridgeport Gen. Oblig. Series 2019 A:   
5% 2/1/23 (Build America Mutual Assurance Insured) 630,000 675,448 
5% 2/1/25 (Build America Mutual Assurance Insured) 670,000 777,136 
Connecticut Gen. Oblig.:   
Series 2011 D, 5% 11/1/22 155,000 156,860 
Series 2014 H, 5% 11/15/21 1,550,000 1,571,764 
Series 2015 B, 5% 6/15/32 265,000 309,094 
Series 2016 B:   
5% 5/15/25 1,000,000 1,178,418 
5% 5/15/26 545,000 664,112 
Series 2017 A, 5% 4/15/33 245,000 300,188 
Series 2018 A, 5% 4/15/38 1,000,000 1,249,544 
Series 2018 F, 5% 9/15/22 235,000 247,987 
Series 2019 A, 5% 4/15/26 655,000 795,983 
Series 2019 B, 5% 2/15/23 7,000,000 7,530,398 
Series 2020 A:   
4% 1/15/34 2,250,000 2,757,854 
5% 1/15/40 2,000,000 2,584,865 
Series 2021 D:   
5% 7/15/24 (c) 1,150,000 1,313,579 
5% 7/15/25 (c) 1,905,000 2,256,737 
5% 7/15/26 (c) 1,905,000 2,332,790 
5% 7/15/27 (c) 2,540,000 3,205,571 
5% 7/15/28 (c) 2,920,000 3,782,232 
Series A, 5% 3/1/27 1,000,000 1,123,333 
Series C, 5% 6/1/23 2,000,000 2,081,750 
Connecticut Health & Edl. Facilities Auth. Rev.:   
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1, 5% 7/1/42 3,335,000 3,991,552 
Bonds:   
Series 2010 A4, 2%, tender 2/8/22 (a) 805,000 813,051 
Series 2014 A, 1.1%, tender 2/7/23 (a) 6,000,000 6,087,353 
Series 2020 B:   
5%, tender 1/1/25 (a) 2,405,000 2,770,556 
5%, tender 1/1/27 (a) 1,780,000 2,182,769 
Series U1, 2%, tender 2/8/22 (a) 105,000 106,050 
Series 2019 A:   
5% 7/1/27 (b) 555,000 607,551 
5% 7/1/34 (b) 685,000 742,907 
Series 2019 Q-1:   
5% 11/1/24 460,000 528,571 
5% 11/1/26 500,000 612,417 
Series 2020 K:   
4% 7/1/45 2,865,000 3,336,352 
5% 7/1/40 1,050,000 1,348,427 
Series A, 5% 7/1/26 1,000,000 1,138,897 
Series K1, 5% 7/1/33 815,000 968,493 
Series K3, 5% 7/1/43 350,000 406,886 
Series R:   
4% 7/1/36 1,000,000 1,147,303 
5% 6/1/32 550,000 727,538 
5% 6/1/33 375,000 494,452 
5% 6/1/34 575,000 755,753 
5% 6/1/35 870,000 1,141,383 
Connecticut Hsg. Fin. Auth. Series 2021 B1, 3% 11/15/49 1,610,000 1,775,332 
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:   
Series 2012 A, 5% 1/1/24 410,000 438,360 
Series A, 5% 9/1/33 5,000,000 5,693,548 
Stratford Gen. Oblig. Series 2019:   
5% 1/1/22 1,400,000 1,427,344 
5% 1/1/24 1,520,000 1,690,952 
5% 1/1/28 3,890,000 4,773,181 
Univ. of Connecticut Gen. Oblig.:   
Series 2016 A, 5% 3/15/22 450,000 463,667 
Series 2019 A, 5% 11/1/25 495,000 590,130 
TOTAL CONNECTICUT  83,656,418 
Delaware - 0.1%   
Delaware Gen. Oblig. Series 2020 A, 5% 1/1/30 2,240,000 3,016,844 
District Of Columbia - 1.6%   
District of Columbia Gen. Oblig. Series 2017 D, 5% 6/1/42 500,000 614,971 
District of Columbia Rev. Series 2018:   
5% 10/1/23 350,000 383,529 
5% 10/1/25 495,000 581,087 
5% 10/1/26 830,000 1,003,323 
5% 10/1/27 905,000 1,122,860 
5% 10/1/43 3,080,000 3,783,326 
District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev. Bonds Series 2019 C, 1.75%, tender 10/1/24 (a) 3,225,000 3,367,004 
Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. (Dulles Metrorail and Cap. Impt. Projs.):   
Series 2019 A:   
5% 10/1/38 1,500,000 1,875,639 
5% 10/1/44 8,000,000 9,932,865 
Series 2019 B, 5% 10/1/47 7,500,000 9,450,437 
Metropolitan Washington DC Arpts. Auth. Sys. Rev. Series 2019 B, 5% 10/1/25 1,605,000 1,916,913 
TOTAL DISTRICT OF COLUMBIA  34,031,954 
Florida - 4.4%   
Atlantic Beach Health Care Facilities Series A, 5% 11/15/43 845,000 975,241 
Broward County School Board Ctfs. of Prtn. Series 2016, 5% 7/1/26 1,470,000 1,781,126 
Cap. Projs. Fin. Auth. Student Hsg. Rev. (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A, 5% 10/1/30 750,000 964,263 
Central Florida Expressway Auth. Sr. Lien Rev.:   
Orlando & Orange County Expressway Auth. Rev. Series 2017, 5% 7/1/39 2,000,000 2,454,900 
Series 2021:   
4% 7/1/38 (FSA Insured) 1,140,000 1,410,671 
4% 7/1/39 (FSA Insured) 995,000 1,227,977 
5% 7/1/32 (FSA Insured) 3,000,000 4,119,999 
5% 7/1/33 (FSA Insured) 2,660,000 3,622,068 
Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A, 4% 8/15/45 820,000 958,779 
Florida Higher Edl. Facilities Fing. Auth.:   
(St. Leo Univ. Proj.) Series 2019:   
5% 3/1/22 350,000 358,346 
5% 3/1/23 400,000 425,853 
5% 3/1/24 250,000 273,596 
5% 3/1/25 670,000 753,953 
Series 2019:   
5% 10/1/22 225,000 236,679 
5% 10/1/23 250,000 273,582 
Florida Hsg. Fin. Corp. Rev. Series 2019 1, 4% 7/1/50 9,130,000 10,160,417 
Florida Mid-Bay Bridge Auth. Rev. Series 2015 A:   
5% 10/1/29 2,475,000 2,868,354 
5% 10/1/35 1,000,000 1,147,400 
Hillsborough County Aviation Auth. Rev. Series 2018 F:   
5% 10/1/37 1,510,000 1,924,865 
5% 10/1/43 2,000,000 2,527,724 
Hillsborough County School Board Ctfs. of Prtn. Series 2020 A, 5% 7/1/27 5,000,000 6,237,166 
Lee County School Board Ctfs. Series 2019 A:   
5% 8/1/27 4,005,000 5,001,899 
5% 8/1/28 2,020,000 2,582,879 
Lee Memorial Health Sys. Hosp. Rev. Series 2019 A1:   
5% 4/1/26 1,000,000 1,202,402 
5% 4/1/44 3,235,000 4,036,337 
Manatee County School District Series 2017, 5% 10/1/28 (FSA Insured) 2,500,000 3,112,644 
Miami-Dade County Aviation Rev. Series 2020 A, 4% 10/1/37 2,000,000 2,420,234 
Miami-Dade County School Board Ctfs. of Prtn. Series 2015 B, 5% 5/1/28 1,715,000 1,993,017 
Miami-Dade County School District Series 2015, 5% 3/15/26 1,545,000 1,808,381 
Miami-Dade County Wtr. & Swr. Rev. Series 2019 B, 4% 10/1/49 4,000,000 4,706,713 
Orange County School Board Ctfs. of Prtn. Series 2015 D, 5% 8/1/30 (Pre-Refunded to 8/1/25 @ 100) 875,000 1,037,786 
Pasco County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/35 (Build America Mutual Assurance Insured) 2,000,000 2,511,578 
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017, 5% 8/15/28 1,550,000 1,944,370 
St. Johns County School Board (School Board of St. Johns County, Florida Master Lease Prog.) Series 2019 A:   
5% 7/1/24 800,000 908,611 
5% 7/1/25 1,455,000 1,714,425 
Tallahassee Health Facilities Rev.:   
(Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/55 1,020,000 1,161,383 
Series 2015 A, 5% 12/1/40 1,680,000 1,907,328 
Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.):   
Series 2016 B, 5% 7/1/37 960,000 1,130,820 
Series 2020 B:   
4% 7/1/45 3,000,000 3,517,633 
5% 7/1/40 700,000 898,281 
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 A:   
0% 9/1/38 1,000,000 606,311 
0% 9/1/39 850,000 491,622 
0% 9/1/40 1,000,000 551,403 
0% 9/1/41 1,000,000 526,321 
0% 9/1/42 1,000,000 501,923 
0% 9/1/45 1,850,000 813,049 
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A:   
5% 10/15/44 245,000 305,844 
5% 10/15/49 455,000 564,956 
TOTAL FLORIDA  92,661,109 
Georgia - 2.4%   
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/36 1,000,000 1,296,899 
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Vogtle Proj.):   
Series 1994:   
2.15%, tender 6/13/24 (a) 6,360,000 6,676,688 
2.25%, tender 5/25/23 (a) 1,840,000 1,904,762 
Series 2013 1st, 2.925%, tender 3/12/24 (a) 2,320,000 2,471,290 
Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 5,000,000 6,357,567 
Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (a) 800,000 889,154 
Fulton County Dev. Auth. Rev.:   
Series 2019 C, 5% 7/1/28 1,350,000 1,745,891 
Series 2019, 4% 6/15/49 190,000 222,589 
Georgia Muni. Elec. Auth. Pwr. Rev.:   
Series 2019 A:   
4% 1/1/49 1,855,000 2,121,080 
5% 1/1/26 1,225,000 1,459,637 
5% 1/1/30 410,000 525,529 
5% 1/1/39 1,215,000 1,514,665 
5% 1/1/44 1,590,000 1,964,219 
Series C, 5% 1/1/22 100,000 101,970 
Series HH, 5% 1/1/22 1,825,000 1,860,952 
Hosp. Auth. of Savannah Auth. Rev. Series 2019 A:   
4% 7/1/36 1,480,000 1,744,747 
4% 7/1/43 1,545,000 1,794,487 
Main Street Natural Gas, Inc. Bonds:   
Series 2018 A, 4%, tender 9/1/23 (a) 770,000 825,223 
Series 2019 B, 4%, tender 12/2/24 (a) 2,640,000 2,936,912 
Monroe County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 1,110,000 1,144,873 
Private Colleges & Univs. Auth. Rev.:   
(The Savannah College of Art and Design Projs.) Series 2014, 5% 4/1/44 2,000,000 2,189,754 
Series 2020 B:   
4% 9/1/38 3,000,000 3,681,956 
5% 9/1/25 1,355,000 1,611,812 
5% 9/1/31 1,385,000 1,868,223 
Series A:   
5% 6/1/22 420,000 436,112 
5% 6/1/23 420,000 455,388 
5% 6/1/24 695,000 778,209 
TOTAL GEORGIA  50,580,588 
Hawaii - 0.8%   
Hawaii Gen. Oblig.:   
Series 2020 C, 4% 7/1/40 930,000 1,130,195 
Series FG, 5% 10/1/27 1,000,000 1,232,718 
Honolulu City & County Gen. Oblig.:   
(Honolulu Rail Transit Proj.) Series 2020 B, 5% 3/1/29 7,055,000 9,248,367 
Series 2018 A, 5% 9/1/41 2,000,000 2,513,854 
Series 2019 A, 5% 9/1/24 765,000 877,963 
Honolulu City and County Wastewtr. Sys. Series 2015 A, 5% 7/1/40 (Pre-Refunded to 7/1/25 @ 100) 885,000 1,048,508 
TOTAL HAWAII  16,051,605 
Idaho - 0.4%   
Idaho Hsg. & Fin. Assoc. Single Family Mtg.:   
Series 2019 A, 4% 1/1/50 110,000 122,653 
Series 2021 A:   
5% 7/15/29 3,000,000 3,944,125 
5% 7/15/30 1,000,000 1,338,941 
5% 7/15/31 640,000 871,844 
5% 7/15/32 1,250,000 1,694,257 
TOTAL IDAHO  7,971,820 
Illinois - 12.5%   
Champaign County Cmnty. Unit:   
Series 2019:   
4% 6/1/26 100,000 115,850 
4% 6/1/27 830,000 982,592 
4% 6/1/28 625,000 746,915 
4% 6/1/29 1,550,000 1,878,880 
4% 6/1/30 1,000,000 1,236,897 
4% 6/1/31 1,250,000 1,532,579 
4% 6/1/34 1,000,000 1,195,314 
4% 6/1/35 1,290,000 1,538,282 
4% 6/1/36 1,575,000 1,873,082 
Series 2020 A:   
5% 1/1/29 675,000 858,114 
5% 1/1/30 625,000 791,873 
5% 1/1/31 850,000 1,072,294 
5% 1/1/33 1,650,000 2,069,348 
Chicago Board of Ed.:   
Series 1998 B1, 0% 12/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 60,000 59,911 
Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured) 1,465,000 1,459,328 
Series 2011 A:   
5% 12/1/41 60,000 60,847 
5.5% 12/1/39 170,000 172,705 
Series 2012 A, 5% 12/1/42 55,000 57,677 
Series 2015 C:   
5.25% 12/1/35 2,000,000 2,259,734 
5.25% 12/1/39 45,000 50,612 
Series 2016 A, 7% 12/1/44 3,200,000 3,947,697 
Series 2017 C, 5% 12/1/25 290,000 342,261 
Series 2017 D, 5% 12/1/31 865,000 1,065,669 
Series 2017 H, 5% 12/1/36 650,000 792,911 
Series 2018 A, 5% 12/1/27 185,000 230,374 
Series 2018 C:   
5% 12/1/24 100,000 114,358 
5% 12/1/25 505,000 596,005 
5% 12/1/27 505,000 628,860 
5% 12/1/46 1,590,000 1,958,652 
Series 2019 A:   
5% 12/1/21 185,000 187,803 
5% 12/1/23 2,150,000 2,371,662 
5% 12/1/28 240,000 305,774 
5% 12/1/30 575,000 743,075 
5% 12/1/31 600,000 772,830 
Series 2021 A:   
5% 12/1/35 3,500,000 4,541,663 
5% 12/1/36 1,250,000 1,619,459 
5% 12/1/38 1,425,000 1,837,381 
Series 2021 B, 5% 12/1/36 1,200,000 1,554,680 
Chicago Gen. Oblig. Series 2020 A:   
5% 1/1/26 2,090,000 2,472,115 
5% 1/1/27 1,520,000 1,849,489 
5% 1/1/30 1,745,000 2,270,217 
5% 1/1/32 1,300,000 1,670,387 
Chicago Midway Arpt. Rev.:   
Series 2013 B, 5% 1/1/25 620,000 661,332 
Series 2016 B, 5% 1/1/46 6,905,000 8,143,406 
Chicago O'Hare Int'l. Arpt. Rev.:   
Series 2013 D, 5% 1/1/25 500,000 533,848 
Series 2015 B, 5% 1/1/32 1,000,000 1,152,372 
Series 2016 D, 5% 1/1/52 1,205,000 1,454,274 
Series 2018 B:   
5% 1/1/36 2,250,000 2,849,972 
5% 1/1/37 3,250,000 4,106,726 
5% 1/1/48 10,000,000 12,422,704 
5% 1/1/53 385,000 476,544 
Cook County Cmnty. Consolidated School District No. 59 Series 2020:   
4% 3/1/24 900,000 987,730 
5% 3/1/25 850,000 990,838 
5% 3/1/26 1,235,000 1,485,459 
5% 3/1/27 1,245,000 1,546,539 
5% 3/1/28 1,350,000 1,717,128 
Cook County Gen. Oblig. Series 2021 A:   
5% 11/15/31 3,650,000 4,890,348 
5% 11/15/32 2,400,000 3,207,736 
5% 11/15/33 2,350,000 3,130,315 
Illinois Fin. Auth. Academic Facilities (Provident Group UIUC Properties LLC Univ. of Illinois at Urbana-Champaign Proj.) Series 2019 A:   
5% 10/1/27 240,000 300,712 
5% 10/1/28 200,000 256,715 
5% 10/1/44 1,000,000 1,247,250 
5% 10/1/49 1,250,000 1,550,749 
5% 10/1/51 1,000,000 1,238,727 
Illinois Fin. Auth. Rev.:   
(Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A, 5% 7/15/25 300,000 354,613 
(OSF Healthcare Sys.) Series 2018 A:   
4.125% 5/15/47 5,150,000 5,975,470 
5% 5/15/43 50,000 61,911 
(Presence Health Proj.) Series 2016 C, 5% 2/15/36 1,000,000 1,219,312 
Bonds Series E, 2.25%, tender 4/29/22 (a) 330,000 335,230 
Series 2012 A, 5% 5/15/22 1,000,000 1,037,516 
Series 2013, 4.25% 5/15/43 (Pre-Refunded to 5/15/22 @ 100) 405,000 417,506 
Series 2015 A:   
4.125% 11/15/37 680,000 764,225 
5% 11/15/45 10,000,000 11,713,940 
Series 2016 A:   
5% 2/15/24 850,000 953,889 
5% 8/15/25 1,175,000 1,395,527 
Series 2016 C, 5% 2/15/31 2,500,000 3,074,235 
Series 2016:   
4% 12/1/35 360,000 412,766 
5% 12/1/40 2,150,000 2,566,679 
5% 12/1/46 12,400,000 14,700,442 
Series 2017 A, 5% 1/1/35 3,000,000 3,599,543 
Series 2018 A:   
4.25% 1/1/44 55,000 63,712 
5% 1/1/38 215,000 263,143 
5% 10/1/41 3,000,000 3,731,012 
5% 1/1/44 320,000 387,839 
Series 2019, 4% 9/1/35 450,000 525,218 
Illinois Gen. Oblig.:   
Series 2006, 5.5% 1/1/28 5,000,000 6,392,229 
Series 2012:   
5% 8/1/21 10,000 10,000 
5% 8/1/22 60,000 62,852 
5% 8/1/24 1,000,000 1,047,866 
Series 2013, 5% 7/1/22 40,000 41,746 
Series 2014:   
5% 2/1/22 215,000 220,149 
5% 2/1/23 180,000 192,689 
5% 2/1/26 550,000 610,407 
Series 2016:   
5% 2/1/26 5,270,000 6,289,741 
5% 2/1/27 615,000 752,070 
Series 2017 D, 5% 11/1/25 1,185,000 1,403,725 
Series 2018 A:   
5% 10/1/24 500,000 571,154 
5% 10/1/28 1,000,000 1,267,381 
5% 10/1/29 1,600,000 2,014,749 
Series 2018 B, 5% 10/1/26 1,000,000 1,213,372 
Series 2019 B:   
5% 9/1/21 500,000 501,903 
5% 9/1/22 490,000 515,183 
5% 9/1/23 500,000 548,199 
5% 9/1/24 500,000 569,457 
Series 2021 A:   
5% 3/1/32 195,000 257,092 
5% 3/1/33 1,000,000 1,313,188 
5% 3/1/34 1,000,000 1,308,039 
5% 3/1/46 2,000,000 2,539,732 
Illinois Toll Hwy. Auth. Toll Hwy. Rev.:   
Series 2014 A, 5% 12/1/22 1,300,000 1,385,179 
Series 2015 A, 5% 1/1/37 470,000 549,805 
Series 2019 A, 5% 1/1/44 490,000 618,432 
Series A:   
5% 1/1/38 1,010,000 1,338,656 
5% 1/1/41 220,000 289,552 
5% 1/1/45 13,450,000 17,366,429 
Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2018, 5% 2/1/26 2,010,000 2,381,653 
Kane County School District No. 131 Series 2020 A:   
4% 12/1/30 (FSA Insured) 460,000 549,691 
4% 12/1/31 (FSA Insured) 615,000 732,367 
4% 12/1/33 (FSA Insured) 255,000 301,999 
4% 12/1/35 (FSA Insured) 275,000 324,391 
4% 12/1/36 (FSA Insured) 250,000 294,448 
4% 12/1/38 (FSA Insured) 580,000 680,129 
Metropolitan Pier & Exposition:   
(McCormick Place Expansion Proj.) Series 2010 B1:   
0% 6/15/43 (FSA Insured) 3,200,000 1,948,913 
0% 6/15/46 (FSA Insured) 8,000,000 4,443,366 
0% 6/15/47 (FSA Insured) 2,525,000 1,362,457 
Series 2017 A, 5% 6/15/57 6,625,000 7,948,534 
Series 2020 A:   
4% 6/15/50 8,955,000 10,313,437 
5% 6/15/50 7,310,000 9,131,873 
Series 2020 B, 5% 6/15/42 2,695,000 3,459,311 
Series 2022 A:   
0% 12/15/35 (c) 780,000 556,107 
0% 12/15/36 (c) 1,035,000 713,998 
0% 6/15/40 (c) 1,055,000 644,865 
0% 6/15/41 (c) 1,450,000 855,518 
Northern Illinois Univ. Revs. Series 2020 B:   
4% 4/1/36 (Build America Mutual Assurance Insured) 1,300,000 1,540,409 
4% 4/1/38 (Build America Mutual Assurance Insured) 1,300,000 1,531,482 
4% 4/1/40 (Build America Mutual Assurance Insured) 870,000 1,021,350 
Railsplitter Tobacco Settlement Auth. Rev. Series 2017, 5% 6/1/27 1,200,000 1,449,722 
Univ. of Illinois Board of Trustees Ctfs. of Prtn. Series 2014 C, 5% 3/15/23 215,000 231,952 
Univ. of Illinois Rev. Series 2018 A, 5% 4/1/29 100,000 127,279 
TOTAL ILLINOIS  263,527,535 
Indiana - 0.6%   
Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (a) 580,000 618,018 
Indiana Fin. Auth. Hosp. Rev. Bonds Series 2015 B, 1.65%, tender 1/1/22 (a) 965,000 971,106 
Indiana Fin. Auth. Rev. (DePauw Univ. Proj.) Series 2019, 5% 7/1/22 1,510,000 1,572,476 
Indiana Health Facility Fing. Auth. Rev. Bonds Series 2001 A2, 2%, tender 2/1/23 (a) 340,000 348,741 
Indiana Hsg. & Cmnty. Dev. Auth.:   
(Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (b) 695,000 735,137 
Series 2019 B, 3.5% 1/1/49 670,000 734,878 
Series 2021 B, 5% 1/1/23 500,000 534,069 
Series A:   
3.75% 1/1/49 3,170,000 3,521,053 
5% 1/1/28 325,000 408,636 
5% 7/1/28 325,000 413,507 
5% 1/1/29 325,000 416,836 
5% 7/1/29 270,000 349,898 
Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.):   
Series 2019, 5% 4/1/43 1,555,000 1,903,224 
Series 2020, 5% 4/1/32 765,000 964,028 
TOTAL INDIANA  13,491,607 
Iowa - 0.6%   
Iowa Fin. Auth. Rev.:   
Series 2018 B, 5% 2/15/48 1,000,000 1,231,651 
Series 2019 A2, 2.875% 5/15/49 505,000 509,942 
Series A, 5% 5/15/48 120,000 139,565 
Iowa Higher Ed. Ln. Auth. Rev. (Grinnell College Proj.) Series 2017, 5% 12/1/46 5,925,000 7,205,390 
Tobacco Settlement Auth. Tobacco Settlement Rev.:   
Series 2021 A2, 4% 6/1/49 1,200,000 1,410,802 
Series 2021 B1, 4% 6/1/49 1,550,000 1,829,811 
TOTAL IOWA  12,327,161 
Kentucky - 3.7%   
Ashland Med. Ctr. Rev. Series 2019:   
4% 2/1/36 760,000 881,741 
4% 2/1/37 575,000 665,271 
5% 2/1/24 1,180,000 1,311,462 
5% 2/1/25 945,000 1,088,982 
Boyle County Edl. Facilities Rev. Series 2017, 5% 6/1/37 320,000 386,585 
Carroll County Poll. Ctlr Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2016 A, 1.55%, tender 9/1/26 (a) 6,750,000 6,910,942 
Kenton County Arpt. Board Arpt. Rev. Series 2019:   
5% 1/1/38 730,000 925,374 
5% 1/1/39 690,000 872,905 
5% 1/1/49 2,500,000 3,126,536 
Kentucky Econ. Dev. Fin. Auth.:   
Bonds Series 2009 B, 2.7%, tender 11/10/21 (a) 355,000 357,289 
Series 2019 A2, 5% 8/1/49 3,400,000 4,239,828 
Kentucky State Property & Buildings Commission Rev.:   
(Proj. No. 112) Series 2016 B, 5% 11/1/27 1,095,000 1,342,384 
(Proj. No. 119) Series 2018:   
5% 5/1/28 1,000,000 1,268,162 
5% 5/1/38 4,000,000 4,919,860 
Series 2017:   
5% 4/1/25 3,425,000 3,992,201 
5% 4/1/26 3,470,000 4,177,659 
Series A:   
4% 11/1/34 1,250,000 1,460,630 
4% 11/1/35 400,000 466,656 
4% 11/1/36 1,000,000 1,165,391 
4% 11/1/37 1,250,000 1,453,238 
5% 11/1/22 1,400,000 1,485,272 
5% 8/1/27 400,000 470,121 
5% 11/1/29 1,105,000 1,417,395 
Series B:   
5% 8/1/21 110,000 110,000 
5% 8/1/23 1,330,000 1,456,091 
5% 8/1/25 2,965,000 3,494,700 
5% 8/1/26 1,910,000 2,325,328 
5% 5/1/27 2,000,000 2,479,691 
Series C, 5% 11/1/21 1,055,000 1,067,701 
Kentucky, Inc. Pub. Energy:   
Bonds:   
Series A, 4%, tender 6/1/26 (a) 11,515,000 13,313,306 
Series C1, 4%, tender 6/1/25 (a) 2,000,000 2,248,915 
Series A:   
4% 6/1/23 585,000 624,867 
4% 12/1/24 500,000 559,767 
4% 6/1/25