UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES


Investment Company Act file number   811-02105


Fidelity Salem Street Trust

 (Exact name of registrant as specified in charter)


245 Summer St., Boston, Massachusetts 02210

 (Address of principal executive offices)       (Zip code)


Cynthia Lo Bessette, Secretary

245 Summer St.

Boston, Massachusetts  02210

(Name and address of agent for service)



Registrant's telephone number, including area code:

617-563-7000



Date of fiscal year end:

July 31



Date of reporting period:

July 31, 2021




Item 1.

Reports to Stockholders





Fidelity® Real Estate Index Fund



Annual Report

July 31, 2021

FIDELITY INVESTMENTS



FIDELITY INVESTMENTS

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


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

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

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

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

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



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

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

 A From September 8, 2011

$10,000 Over Life of Fund

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

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


Period Ending Values
$24,748 Fidelity® Real Estate Index Fund
$29,438 MSCI US IMI Real Estate 25/25 Index
$25,423 Dow Jones U.S. Select Real Estate Securities Index℠
$24,947 Fidelity Real Estate Linked Index

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

Management's Discussion of Fund Performance

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

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

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

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

Investment Summary (Unaudited)

Top Ten Stocks as of July 31, 2021

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

Top Five REIT Sectors as of July 31, 2021

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

Asset Allocation (% of fund's net assets)

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


 * Foreign Investments - 0.2%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

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

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

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

Legend

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

 (b) Non-income producing

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

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

Affiliated Central Funds

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

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

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

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

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

Investment Valuation

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

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

Value of Derivative Instruments

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

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

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

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


Financial Statements

Statement of Assets and Liabilities

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

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


Statement of Operations

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

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


Statement of Changes in Net Assets

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

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


Financial Highlights

Fidelity Real Estate Index Fund

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

 A Calculated based on average shares outstanding during the period.

 B Amount represents less than $.005 per share.

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

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

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

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

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


Notes to Financial Statements

For the period ended July 31, 2021

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

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

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

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

3. Significant Accounting Policies.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The tax character of distributions paid was as follows:

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

4. Derivative Instruments.

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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

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

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

6. Fees and Other Transactions with Affiliates.

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

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

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

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

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

7. Committed Line of Credit.

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

  Amount 
Fidelity Real Estate Index Fund  $1,078 

8. Security Lending.

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

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

9. Other.

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

10. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

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

Opinion on the Financial Statements and Financial Highlights

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

Basis for Opinion

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

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

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

/s/ Deloitte & Touche LLP

Boston, Massachusetts

September 13, 2021


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

Trustees and Officers

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

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

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

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

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

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

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

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

Interested Trustees*:

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

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

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

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

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

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

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

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

Independent Trustees:

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

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

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

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

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

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

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

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

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

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

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

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

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

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

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

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

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

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

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

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

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

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

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

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

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

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

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

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

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

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

Shareholder Expense Example

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

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

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

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

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

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

 C 5% return per year before expenses

Distributions (Unaudited)

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

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

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

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

Liquidity Risk Management Program

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

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

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

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

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

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

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





FIDELITY INVESTMENTS

URX-I-ANN-0921
1.929343.109

Fidelity® SAI Small-Mid Cap 500 Index Fund

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



Annual Report

July 31, 2021

FIDELITY INVESTMENTS



FIDELITY INVESTMENTS

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts

Liquidity Risk Management Program


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

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

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

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

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



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

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

 A From August 12, 2015

$10,000 Over Life of Fund

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

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


Period Ending Values
$20,812 Fidelity® SAI Small-Mid Cap 500 Index Fund
$20,895 Russell SMID 500™ Index

Management's Discussion of Fund Performance

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

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

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

Investment Summary (Unaudited)

Top Five Stocks as of July 31, 2021

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

Top Five Market Sectors as of July 31, 2021

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

Asset Allocation (% of fund's net assets)

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


 * Foreign investments - 5.6%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

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

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

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

Legend

 (a) Non-income producing

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

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

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

Affiliated Central Funds

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

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

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

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

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

Investment Valuation

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

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

Value of Derivative Instruments

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

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

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

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


Financial Statements

Statement of Assets and Liabilities

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

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


Statement of Operations

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

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


Statement of Changes in Net Assets

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

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


Financial Highlights

Fidelity SAI Small-Mid Cap 500 Index Fund

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

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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

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

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

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

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


Notes to Financial Statements

For the period ended July 31, 2021

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

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

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

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

3. Significant Accounting Policies.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The tax character of distributions paid was as follows:

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

4. Derivative Instruments.

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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

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

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

6. Fees and Other Transactions with Affiliates.

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

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

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

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

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

7. Committed Line of Credit.

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

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

8. Security Lending.

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

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

9. Bank Borrowings.

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

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

10. Expense Reductions.

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

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

11. Other.

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

12. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

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

Opinion on the Financial Statements and Financial Highlights

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

Basis for Opinion

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

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

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

/s/ Deloitte & Touche LLP

Boston, Massachusetts

September 13, 2021


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

Trustees and Officers

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

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

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

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

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

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

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

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

Interested Trustees*:

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

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

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

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

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

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

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

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

Independent Trustees:

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

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

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

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

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

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

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

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

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

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

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

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

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

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

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

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

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

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

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

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

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

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

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

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

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

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

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

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

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

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

Shareholder Expense Example

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

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

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

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

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

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

 C 5% return per year before expenses

Distributions (Unaudited)

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

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

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

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

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

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

Board Approval of Investment Advisory Contracts

Fidelity SAI Small-Mid Cap 500 Index Fund

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

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

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

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

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

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

Liquidity Risk Management Program

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

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

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

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

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

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

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





FIDELITY INVESTMENTS

SV3-ANN-0921
1.9868212.105

Fidelity® SAI U.S. Quality Index Fund

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



Annual Report

July 31, 2021

FIDELITY INVESTMENTS



FIDELITY INVESTMENTS

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


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

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

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

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

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

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



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

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

 A From October 8, 2015

$10,000 Over Life of Fund

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

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


Period Ending Values
$26,383 Fidelity® SAI U.S. Quality Index Fund
$26,430 Fidelity U.S. Quality Focus Index℠
$26,537 Fidelity SAI U.S. Quality Index Fund Linked Index
$24,439 S&P 500 Index

Management's Discussion of Fund Performance

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

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

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

Investment Summary (Unaudited)

Top Five Stocks as of July 31, 2021

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

Top Five Market Sectors as of July 31, 2021

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

Asset Allocation (% of fund's net assets)

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


 * Foreign investments - 2.0%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

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

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

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

Legend

 (a) Non-income producing

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

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

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

Affiliated Central Funds

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

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

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

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

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

Investment Valuation

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

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

Value of Derivative Instruments

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

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

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

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


Financial Statements

Statement of Assets and Liabilities

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

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


Statement of Operations

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

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


Statement of Changes in Net Assets

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

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


Financial Highlights

Fidelity SAI U.S. Quality Index Fund

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

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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

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


Notes to Financial Statements

For the period ended July 31, 2021

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

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

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

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

3. Significant Accounting Policies.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The tax character of distributions paid was as follows:

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

4. Derivative Instruments.

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

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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

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

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

6. Fees and Other Transactions with Affiliates.

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

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

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

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

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

7. Committed Line of Credit.

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

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

8. Security Lending.

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

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

9. Other.

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

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

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

10. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

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

Opinion on the Financial Statements and Financial Highlights

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

Basis for Opinion

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

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

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

/s/ Deloitte & Touche LLP

Boston, Massachusetts

September 10, 2021


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

Trustees and Officers

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

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

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

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

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

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

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

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

Interested Trustees*:

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

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

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

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

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

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

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

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

Independent Trustees:

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

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

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

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

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

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

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

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

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

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

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

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

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

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

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

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

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

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

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

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

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

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

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

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

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

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

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

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

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

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

Shareholder Expense Example

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

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

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

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

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

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

 C 5% return per year before expenses

Distributions (Unaudited)

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

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

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

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

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

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

Liquidity Risk Management Program

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

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

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

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

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

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

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





FIDELITY INVESTMENTS

SV4-ANN-0921
1.9868208.105

Fidelity® SAI U.S. Large Cap Index Fund

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



Annual Report

July 31, 2021

FIDELITY INVESTMENTS



FIDELITY INVESTMENTS

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts

Liquidity Risk Management Program


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

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

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

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

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



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

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

 A From February 2, 2016

$10,000 Over Life of Fund

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

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


Period Ending Values
$25,659 Fidelity® SAI U.S. Large Cap Index Fund
$25,699 S&P 500® Index

Management's Discussion of Fund Performance

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

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

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

Investment Summary (Unaudited)

Top Five Stocks as of July 31, 2021

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

Top Five Market Sectors as of July 31, 2021

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

Asset Allocation (% of fund's net assets)

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


 * Foreign investments – 3.5%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

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

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

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

Legend

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

 (b) Non-income producing

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

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

Affiliated Central Funds

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

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

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

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

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

Investment Valuation

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

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

Value of Derivative Instruments

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

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

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

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


Financial Statements

Statement of Assets and Liabilities

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

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


Statement of Operations

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

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


Statement of Changes in Net Assets

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

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


Financial Highlights

Fidelity SAI U.S. Large Cap Index Fund

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

 A Calculated based on average shares outstanding during the period.

 B Amount represents less than $.005 per share.

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

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

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

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

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

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


Notes to Financial Statements

For the period ended July 31, 2021

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

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

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

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

3. Significant Accounting Policies.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The tax character of distributions paid was as follows:

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

4. Derivative Instruments.

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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

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

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

6. Fees and Other Transactions with Affiliates.

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

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

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

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

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

7. Committed Line of Credit.

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

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

8. Security Lending.

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

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

9. Expense Reductions.

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

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

10. Other.

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

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

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

11. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

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

Opinion on the Financial Statements and Financial Highlights

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

Basis for Opinion

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

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

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

/s/ Deloitte & Touche LLP

Boston, Massachusetts

September 13, 2021


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

Trustees and Officers

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

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

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

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

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

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

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

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

Interested Trustees*:

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

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

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

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

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

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

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

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

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

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

Independent Trustees:

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

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

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

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

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

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

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

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

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

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

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

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

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

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

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

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

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

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

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

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

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

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

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

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

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

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

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

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

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

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

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

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

Shareholder Expense Example

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

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

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

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

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

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

 C 5% return per year before expenses

Distributions (Unaudited)

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

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

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

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

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

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

Board Approval of Investment Advisory Contracts

Fidelity SAI U.S. Large Cap Index Fund

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

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

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

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

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

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

Liquidity Risk Management Program

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

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

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

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

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

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

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





FIDELITY INVESTMENTS

SV9-ANN-0921
1.9870993.105

Fidelity® SAI Real Estate Index Fund

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



Annual Report

July 31, 2021

FIDELITY INVESTMENTS



FIDELITY INVESTMENTS

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


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

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

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

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

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



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

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

 A From February 2, 2016

$10,000 Over Life of Fund

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

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


Period Ending Values
$15,485 Fidelity® SAI Real Estate Index Fund
$18,360 MSCI US IMI Real Estate 25/25 Index
$15,791 Dow Jones U.S. Select Real Estate Securities Index℠
$15,495 Fidelity Real Estate Linked Index

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

Management's Discussion of Fund Performance

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

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

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

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

Investment Summary (Unaudited)

Top Ten Stocks as of July 31, 2021

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

Top Five REIT Sectors as of July 31, 2021

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

Asset Allocation (% of fund's net assets)

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


 * Foreign Investments - 0.2%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

Common Stocks - 99.9%     
  Shares  Value 
Equity Real Estate Investment Trusts (REITs) - 95.2%     
REITs - Apartments - 12.1%     
American Campus Communities, Inc.  68,996  $3,471,189 
American Homes 4 Rent Class A  138,742  5,827,164 
Apartment Investment & Management Co. Class A  76,187  530,262 
AvalonBay Communities, Inc.  68,919  15,701,816 
Camden Property Trust (SBI)  48,246  7,207,470 
Centerspace  6,355  571,950 
Equity Residential (SBI)  183,148  15,408,241 
Essex Property Trust, Inc.  32,526  10,671,781 
Independence Realty Trust, Inc.  55,934  1,078,408 
Invitation Homes, Inc.  278,033  11,310,382 
Mid-America Apartment Communities, Inc.  56,803  10,968,659 
UDR, Inc.  147,212  8,095,188 
    90,842,510 
REITs - Diversified - 23.7%     
Alexander & Baldwin, Inc.  39,896  798,718 
American Finance Trust, Inc.  63,991  542,004 
Apartment Income (REIT) Corp.  76,090  4,005,378 
Apple Hospitality (REIT), Inc.  114,142  1,706,423 
Armada Hoffler Properties, Inc.  37,553  488,189 
Broadstone Net Lease, Inc. (a)  6,949  180,813 
CatchMark Timber Trust, Inc.  36,241  423,657 
CorePoint Lodging, Inc. (b)  35,230  473,491 
Cousins Properties, Inc.  76,210  3,027,061 
Crown Castle International Corp.  199,405  38,503,111 
Digital Realty Trust, Inc.  131,066  20,205,135 
Digitalbridge Group, Inc. (a)(b)  265,440  1,847,462 
Duke Realty Corp.  184,629  9,393,924 
EPR Properties  39,475  1,985,593 
Equinix, Inc.  38,423  31,522,613 
Gaming & Leisure Properties  107,108  5,070,493 
Gladstone Commercial Corp.  18,529  429,502 
Gladstone Land Corp.  7,624  177,792 
Global Net Lease, Inc.  44,087  814,287 
Lamar Advertising Co. Class A  44,344  4,727,070 
NexPoint Residential Trust, Inc.  11,755  692,957 
One Liberty Properties, Inc.  12,319  376,838 
Outfront Media, Inc. (b)  80,014  1,911,534 
Potlatch Corp.  37,021  1,922,871 
Preferred Apartment Communities, Inc. Class A  27,256  287,278 
PS Business Parks, Inc.  11,003  1,690,831 
Safehold, Inc.  8,078  729,605 
SBA Communications Corp. Class A  54,818  18,692,390 
Store Capital Corp.  121,335  4,391,114 
The GEO Group, Inc. (a)  62,842  434,867 
Uniti Group, Inc.  104,326  1,221,657 
VICI Properties, Inc. (a)  238,769  7,447,205 
Vornado Realty Trust  82,263  3,578,441 
Washington REIT (SBI)  40,320  979,373 
WP Carey, Inc.  85,955  6,935,709 
    177,615,386 
REITs - Health Care - 7.8%     
CareTrust (REIT), Inc.  53,693  1,295,075 
Community Healthcare Trust, Inc.  14,044  699,813 
Diversified Healthcare Trust (SBI)  137,169  534,959 
Global Medical REIT, Inc.  37,791  588,028 
Healthcare Realty Trust, Inc.  68,529  2,184,705 
Healthcare Trust of America, Inc.  108,689  3,107,419 
Healthpeak Properties, Inc.  251,834  9,310,303 
LTC Properties, Inc.  19,292  730,202 
Medical Properties Trust, Inc.  285,933  6,013,171 
New Senior Investment Group, Inc.  64,144  591,408 
Physicians Realty Trust  101,612  1,925,547 
Sabra Health Care REIT, Inc.  108,982  2,025,975 
Universal Health Realty Income Trust (SBI)  7,575  452,606 
Ventas, Inc.  184,817  11,048,360 
Welltower, Inc.  205,358  17,837,396 
    58,344,967 
REITs - Health Care Facilities - 0.8%     
National Health Investors, Inc.  22,897  1,562,262 
Omega Healthcare Investors, Inc.  113,113  4,103,740 
    5,666,002 
REITs - Hotels - 2.9%     
Chatham Lodging Trust (b)  32,124  394,483 
DiamondRock Hospitality Co. (b)  113,874  980,455 
Host Hotels & Resorts, Inc. (b)  353,490  5,631,096 
MGM Growth Properties LLC  77,904  2,944,771 
Park Hotels & Resorts, Inc. (b)  122,896  2,273,576 
Pebblebrook Hotel Trust  71,316  1,603,897 
RLJ Lodging Trust  91,622  1,314,776 
Ryman Hospitality Properties, Inc. (b)  27,832  2,134,714 
Service Properties Trust  93,156  1,036,826 
Summit Hotel Properties, Inc. (b)  66,124  595,777 
Sunstone Hotel Investors, Inc. (b)  116,632  1,345,933 
Xenia Hotels & Resorts, Inc. (b)  64,418  1,138,910 
    21,395,214 
REITs - Industrial Buildings - 0.4%     
Stag Industrial, Inc.  77,687  3,210,027 
REITs - Management/Investment - 12.0%     
American Assets Trust, Inc.  28,825  1,064,507 
American Tower Corp.  214,582  60,683,789 
CoreSite Realty Corp.  18,921  2,615,071 
Empire State Realty Trust, Inc.  82,934  947,936 
iStar Financial, Inc. (a)  44,020  1,066,605 
Lexington Corporate Properties Trust  130,846  1,720,625 
National Retail Properties, Inc.  87,717  4,286,730 
Rayonier, Inc.  66,678  2,514,427 
Retail Properties America, Inc.  118,702  1,496,832 
UMH Properties, Inc.  26,315  612,613 
Weyerhaeuser Co.  372,944  12,579,401 
    89,588,536 
REITs - Manufactured Homes - 2.2%     
Equity Lifestyle Properties, Inc.  86,672  7,263,114 
Sun Communities, Inc.  47,309  9,277,768 
    16,540,882 
REITs - Office Buildings - 0.7%     
CyrusOne, Inc.  58,738  4,186,257 
Office Properties Income Trust  25,525  739,715 
    4,925,972 
REITs - Office Property - 7.0%     
Alexandria Real Estate Equities, Inc.  61,563  12,395,094 
Boston Properties, Inc.  74,003  8,686,472 
Brandywine Realty Trust (SBI)  95,636  1,335,079 
City Office REIT, Inc.  33,170  426,898 
Columbia Property Trust, Inc.  58,094  968,427 
Corporate Office Properties Trust (SBI)  59,400  1,748,736 
Douglas Emmett, Inc.  85,120  2,843,008 
Easterly Government Properties, Inc.  39,172  889,204 
Equity Commonwealth  49,106  1,290,997 
Franklin Street Properties Corp.  64,923  338,898 
Highwoods Properties, Inc. (SBI)  54,605  2,604,112 
Hudson Pacific Properties, Inc.  78,285  2,134,049 
JBG SMITH Properties  59,617  1,945,303 
Kilroy Realty Corp.  53,027  3,673,180 
Mack-Cali Realty Corp.  45,682  822,276 
Paramount Group, Inc.  91,693  894,924 
Piedmont Office Realty Trust, Inc. Class A  65,795  1,251,421 
SL Green Realty Corp.  37,731  2,809,450 
VEREIT, Inc.  110,560  5,414,123 
    52,471,651 
REITs - Regional Malls - 3.0%     
Simon Property Group, Inc.  161,865  20,479,160 
Tanger Factory Outlet Centers, Inc.  55,277  949,106 
The Macerich Co.  63,847  1,040,706 
    22,468,972 
REITs - Shopping Centers - 5.4%     
Acadia Realty Trust (SBI)  47,098  1,007,897 
Alexanders, Inc.  1,129  314,810 
Brixmor Property Group, Inc.  154,627  3,559,514 
Federal Realty Investment Trust (SBI)  36,913  4,338,385 
Kimco Realty Corp.  222,700  4,750,191 
Kite Realty Group Trust  51,213  1,032,454 
Realty Income Corp.  166,542  11,706,237 
Regency Centers Corp.  85,319  5,580,716 
Retail Opportunity Investments Corp.  68,433  1,209,211 
RPT Realty  53,478  681,310 
Saul Centers, Inc.  9,364  426,998 
Seritage Growth Properties (b)  25,430  403,574 
SITE Centers Corp.  90,990  1,443,101 
Urban Edge Properties  67,628  1,284,932 
Urstadt Biddle Properties, Inc. Class A  19,548  372,780 
Weingarten Realty Investors (SBI)  65,592  2,111,406 
    40,223,516 
REITs - Single Tenant - 1.1%     
Agree Realty Corp.  24,304  1,826,446 
Essential Properties Realty Trust, Inc.  56,782  1,692,104 
Four Corners Property Trust, Inc.  38,682  1,110,560 
Getty Realty Corp.  19,448  614,362 
NETSTREIT Corp.  12,882  334,288 
Spirit Realty Capital, Inc.  53,025  2,662,916 
    8,240,676 
REITs - Storage - 7.1%     
CubeSmart  98,159  4,874,576 
Extra Space Storage, Inc.  64,283  11,194,242 
Iron Mountain, Inc.  144,220  6,311,067 
Life Storage, Inc.  35,633  4,181,889 
National Storage Affiliates Trust  41,305  2,237,492 
Public Storage  77,323  24,161,891 
    52,961,157 
REITs - Warehouse/Industrial - 9.0%     
Americold Realty Trust  102,076  3,965,653 
EastGroup Properties, Inc.  20,590  3,628,370 
First Industrial Realty Trust, Inc.  65,543  3,590,446 
Industrial Logistics Properties Trust  35,945  974,110 
Monmouth Real Estate Investment Corp. Class A  49,059  934,083 
Prologis (REIT), Inc.  354,861  45,436,402 
QTS Realty Trust, Inc. Class A  29,547  2,296,097 
Rexford Industrial Realty, Inc.  61,213  3,765,824 
Terreno Realty Corp.  36,538  2,497,738 
    67,088,723 
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS)    711,584,191 
Real Estate Management & Development - 4.7%     
Diversified Real Estate Activities - 0.2%     
Five Point Holdings LLC Class A (b)  40,040  335,135 
The RMR Group, Inc.  9,411  369,288 
The St. Joe Co.  19,118  865,472 
    1,569,895 
Real Estate Development - 0.3%     
Forestar Group, Inc. (b)  14,327  293,274 
Howard Hughes Corp. (b)  20,681  1,917,336 
    2,210,610 
Real Estate Operating Companies - 0.2%     
FRP Holdings, Inc. (b)  2,160  129,881 
Kennedy-Wilson Holdings, Inc.  61,074  1,233,084 
    1,362,965 
Real Estate Services - 4.0%     
CBRE Group, Inc. (b)  166,364  16,047,471 
Cushman & Wakefield PLC (b)  63,160  1,179,197 
eXp World Holdings, Inc. (a)  30,764  1,105,043 
Jones Lang LaSalle, Inc. (b)  25,860  5,755,660 
Marcus & Millichap, Inc. (b)  12,922  514,166 
Newmark Group, Inc.  92,447  1,190,717 
Opendoor Technologies, Inc. (b)  13,677  202,693 
RE/MAX Holdings, Inc.  11,108  381,004 
Realogy Holdings Corp. (b)  64,145  1,136,649 
Redfin Corp. (b)  47,628  2,789,572 
    30,302,172 
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT    35,445,642 
TOTAL COMMON STOCKS     
(Cost $547,046,353)    747,029,833 
Money Market Funds - 1.5%     
Fidelity Securities Lending Cash Central Fund 0.06% (c)(d)     
(Cost $11,396,932)  11,395,793  11,396,932 
TOTAL INVESTMENT IN SECURITIES - 101.4%     
(Cost $558,443,285)    758,426,765 
NET OTHER ASSETS (LIABILITIES) - (1.4)%    (10,601,071) 
NET ASSETS - 100%    $747,825,694 

Futures Contracts           
  Number of contracts  Expiration Date  Notional Amount  Value  Unrealized Appreciation/(Depreciation) 
Purchased           
Equity Index Contracts           
CBOT Dow Jones U.S. Real Estate Index Contracts (United States)  25  Sept. 2021  $1,037,500  $16,932  $16,932 

The notional amount of futures purchased as a percentage of Net Assets is 0.1%

Legend

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

 (b) Non-income producing

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

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

Affiliated Central Funds

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

Fund  Income earned 
Fidelity Cash Central Fund  $1,698 
Fidelity Securities Lending Cash Central Fund  43,157 
Total  $44,855 

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%  $34,234,808  $133,199,945  $167,434,757  $4  $--  $--  0.0% 
Fidelity Securities Lending Cash Central Fund 0.06%  1,196,182  39,858,412  29,657,662  --  --  11,396,932  0.0% 
Total  $35,430,990  $173,058,357  $197,092,419  $4  $--  $11,396,932   

Investment Valuation

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

  Valuation Inputs at Reporting Date: 
Description  Total  Level 1  Level 2  Level 3 
Investments in Securities:         
Common Stocks  $747,029,833  $747,029,833  $--  $-- 
Money Market Funds  11,396,932  11,396,932  --  -- 
Total Investments in Securities:  $758,426,765  $758,426,765  $--  $-- 
Derivative Instruments:         
Assets         
Futures Contracts  $16,932  $16,932  $--  $-- 
Total Assets  $16,932  $16,932  $--  $-- 
Total Derivative Instruments:  $16,932  $16,932  $--  $-- 

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)  $16,932  $0 
Total Equity Risk  16,932  0 
Total Value of Derivatives  $16,932  $0 

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

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


Financial Statements

Statement of Assets and Liabilities

    July 31, 2021 
Assets     
Investment in securities, at value (including securities loaned of $11,187,184) — See accompanying schedule:
Unaffiliated issuers (cost $547,046,353)  		$747,029,833   
Fidelity Central Funds (cost $11,396,932)  11,396,932   
Total Investment in Securities (cost $558,443,285)    $758,426,765 
Segregated cash with brokers for derivative instruments    57,500 
Receivable for investments sold    3,301,329 
Receivable for fund shares sold    106,330 
Dividends receivable    365,802 
Distributions receivable from Fidelity Central Funds    821 
Receivable for daily variation margin on futures contracts    2,000 
Prepaid expenses    646 
Receivable from investment adviser for expense reductions    5,806 
Total assets    762,266,999 
Liabilities     
Payable to custodian bank  $2,789,458   
Payable for fund shares redeemed  166,145   
Accrued management fee  43,474   
Other payables and accrued expenses  44,878   
Collateral on securities loaned  11,397,350   
Total liabilities    14,441,305 
Net Assets    $747,825,694 
Net Assets consist of:     
Paid in capital    $541,870,796 
Total accumulated earnings (loss)    205,954,898 
Net Assets    $747,825,694 
Net Asset Value, offering price and redemption price per share ($747,825,694 ÷ 56,793,585 shares)    $13.17 

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


Statement of Operations

    Year ended July 31, 2021 
Investment Income     
Dividends    $18,050,285 
Income from Fidelity Central Funds (including $43,157 from security lending)    44,855 
Total income    18,095,140 
Expenses     
Management fee  $478,847   
Custodian fees and expenses  17,650   
Independent trustees' fees and expenses  1,798   
Registration fees  36,013   
Audit  51,482   
Legal  959   
Interest  1,245   
Miscellaneous  1,901   
Total expenses before reductions  589,895   
Expense reductions  (108,421)   
Total expenses after reductions    481,474 
Net investment income (loss)    17,613,666 
Realized and Unrealized Gain (Loss)     
Net realized gain (loss) on:     
Investment securities:     
Unaffiliated issuers  28,673,341   
Fidelity Central Funds  4   
Futures contracts  1,424,497   
Total net realized gain (loss)    30,097,842 
Change in net unrealized appreciation (depreciation) on:     
Investment securities:     
Unaffiliated issuers  189,807,851   
Futures contracts  10,711   
Total change in net unrealized appreciation (depreciation)    189,818,562 
Net gain (loss)    219,916,404 
Net increase (decrease) in net assets resulting from operations    $237,530,070 

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


Statement of Changes in Net Assets

  Year ended July 31, 2021  Year ended July 31, 2020 
Increase (Decrease) in Net Assets     
Operations     
Net investment income (loss)  $17,613,666  $4,650,213 
Net realized gain (loss)  30,097,842  (27,111,980) 
Change in net unrealized appreciation (depreciation)  189,818,562  8,169,553 
Net increase (decrease) in net assets resulting from operations  237,530,070  (14,292,214) 
Distributions to shareholders  (16,700,258)  (3,402,434) 
Share transactions     
Proceeds from sales of shares  144,689,121  565,703,735 
Reinvestment of distributions  16,698,031  3,402,425 
Cost of shares redeemed  (207,219,025)  (83,279,953) 
Net increase (decrease) in net assets resulting from share transactions  (45,831,873)  485,826,207 
Total increase (decrease) in net assets  174,997,939  468,131,559 
Net Assets     
Beginning of period  572,827,755  104,696,196 
End of period  $747,825,694  $572,827,755 
Other Information     
Shares     
Sold  14,641,188  59,600,408 
Issued in reinvestment of distributions  1,654,297  289,184 
Redeemed  (18,761,090)  (9,440,066) 
Net increase (decrease)  (2,465,605)  50,449,526 

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


Financial Highlights

Fidelity SAI Real Estate Index Fund

           
Years ended July 31,  2021  2020  2019  2018  2017 
Selected Per–Share Data           
Net asset value, beginning of period  $9.67  $11.88  $11.11  $11.08  $12.05 
Income from Investment Operations           
Net investment income (loss)A  .28  .36  .37  .33  .28 
Net realized and unrealized gain (loss)  3.48  (2.20)  .79  .08  (.96) 
Total from investment operations  3.76  (1.84)  1.16  .41  (.68) 
Distributions from net investment income  (.26)  (.30)  (.37)  (.33)  (.24) 
Distributions from net realized gain  –  (.07)  (.02)  (.05)  (.05) 
Total distributions  (.26)  (.37)  (.39)  (.38)  (.29) 
Net asset value, end of period  $13.17  $9.67  $11.88  $11.11  $11.08 
Total ReturnB,C  39.72%  (16.04)%  10.79%  3.87%  (5.60)% 
Ratios to Average Net AssetsD,E           
Expenses before reductions  .09%  .16%  .15%  .15%  .15% 
Expenses net of fee waivers, if any  .07%  .07%  .07%  .07%  .09% 
Expenses net of all reductions  .07%  .07%  .07%  .07%  .09% 
Net investment income (loss)  2.58%  3.52%  3.31%  3.11%  2.55% 
Supplemental Data           
Net assets, end of period (000 omitted)  $747,826  $572,828  $104,696  $95,437  $98,222 
Portfolio turnover rateF  53%  82%  9%  8%  6% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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

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


Notes to Financial Statements

For the period ended July 31, 2021

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

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

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

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

3. Significant Accounting Policies.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Gross unrealized appreciation  $202,793,067 
Gross unrealized depreciation  (3,199,861) 
Net unrealized appreciation (depreciation)  $199,593,206 
Tax Cost  $558,833,559 

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

No expiration   
Short-term  $(890,875) 
Long-term  (11,418,962) 
Total capital loss carryforward  $(12,309,837) 

Due to large redemptions and then subscriptions in a prior period, approximately $12,309,837 of the Fund's realized capital losses are subject to limitation. Due to this limitation, the Fund will only be permitted to use approximately $70,663 of those capital losses per year to offset capital gains.


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

Undistributed ordinary income  $15,984,607 
Undistributed long-term capital gain  $2,686,921 
Net unrealized appreciation (depreciation) on securities and other investments  $199,593,206 

The tax character of distributions paid was as follows:

  July 31, 2021  July 31, 2020 
Ordinary Income  $16,700,258  $ 2,829,806 
Long-term Capital Gains  –  572,628 
Total  $16,700,258  $ 3,402,434 

4. Derivative Instruments.

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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

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

  Purchases ($)  Sales ($) 
Fidelity SAI Real Estate Index Fund  356,828,839  389,232,006 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .07% of the Fund's average net assets.

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

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

  Borrower or Lender  Average Loan Balance  Weighted Average Interest Rate  Interest Expense 
Fidelity SAI Real Estate Index Fund  Borrower  $6,071,783  .32%  $1,245 

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

7. Committed Line of Credit.

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

  Amount 
Fidelity SAI Real Estate Index Fund  $1,254 

8. Security Lending.

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

  Total Security Lending Fees Paid to NFS  Security Lending Income From Securities Loaned to NFS  Value of Securities Loaned to NFS at Period End 
Fidelity SAI Real Estate Index Fund  $5,316  $2,130  $– 

9. Expense Reductions.

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .07% of average net assets. This reimbursement will remain in place through November 30, 2022. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $108,421.

10. Other.

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

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

  Strategic Advisers Small-Mid Cap Fund 
Fidelity SAI Real Estate Index Fund  13% 

11. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

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

Opinion on the Financial Statements and Financial Highlights

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

Basis for Opinion

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

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

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

/s/ Deloitte & Touche LLP

Boston, Massachusetts

September 13, 2021


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

Trustees and Officers

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

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

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

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

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

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

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

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

Interested Trustees*:

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

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

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney’s Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). 

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

  Annualized Expense Ratio-A  Beginning
Account Value
February 1, 2021  		Ending
Account Value
July 31, 2021  		Expenses Paid
During Period-B
February 1, 2021
to July 31, 2021 
Fidelity SAI Real Estate Index Fund  .07%       
Actual    $1,000.00  $1,268.90  $.39 
Hypothetical-C    $1,000.00  $1,024.45  $.35 

 A Annualized expense ratio reflects expenses net of applicable fee waivers.

 B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity SAI Real Estate Index Fund voted to pay on September 7, 2021, to shareholders of record at the opening of business on September 3, 2021, a distribution of $0.289 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.053 per share from net investment income.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31,2021 $2,686,921, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 0%, 0%, and 84% of the dividends distributed in September, December, and June, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 0%, 0%, and 100% of the dividends distributed in September, December, and June, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund designates 85%, 99%, and 0% of the dividends distributed in September, December, and June, respectively during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





FIDELITY INVESTMENTS

SV8-ANN-0921
1.9870987.105

Fidelity® SAI U.S. Momentum Index Fund

Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.



Annual Report

July 31, 2021

FIDELITY INVESTMENTS



FIDELITY INVESTMENTS

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.



This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended July 31, 2021  Past 1 year  Life of fundA 
Fidelity® SAI U.S. Momentum Index Fund  32.98%  19.63% 

 A From February 9, 2017

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Momentum Index Fund on February 9, 2017, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the MSCI USA Custom Momentum Composite Index performed over the same period.


Period Ending Values
$22,301 Fidelity® SAI U.S. Momentum Index Fund
$22,435 MSCI USA Custom Momentum Composite Index

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.

Comments from the Geode Capital Management, LLC, passive equity index team:  For the fiscal year ending July 31, 2021, the fund gained 32.98%, roughly in line with the 33.14% advance of the benchmark MSCI USA Custom Momentum Composite Index. By sector, information technology rose roughly 36% and contributed most, followed by consumer discretionary, which gained about 61%, benefiting from the automobiles & components industry (+140%). Additionally, the health care sector increased about 48%, communication services gained 39%, aided by the media & entertainment industry (+39%). Industrials stocks also advanced roughly 25%. Other notable contributors included the financials (+23%), materials (+14%), consumer staples (+14%) and utilities (+3%) sectors. Conversely, stocks in the real estate sector returned approximately 5% and detracted most. Energy (-3%) also hurt. Turning to individual stocks, the top contributor was Tesla (+133%), from the automobiles & components segment. In media & entertainment, Alphabet (+81%) was helpful, as was Nvidia (+80%) within the semiconductors & semiconductor equipment industry. Moderna, in the pharmaceuticals, biotechnology & life sciences group, rose about 377% while PayPal, within the software & services category, gained 40% and further boosted the fund. Conversely, the biggest individual detractor was Regeneron Pharmaceuticals (-23%), from the pharmaceuticals, biotechnology & life sciences group, followed by Bank of America (-5%), which is in the banks segment. Within pharmaceuticals, biotechnology & life sciences, Vertex Pharmaceuticals returned -19% and hurt. Other detractors included Caterpillar (-3%), a stock in the capital goods category, and American Tower (-18%), from the real estate sector.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Investment Summary (Unaudited)

Top Five Stocks as of July 31, 2021

  % of fund's net assets 
Tesla, Inc.  4.7 
PayPal Holdings, Inc.  3.5 
The Walt Disney Co.  2.7 
Alphabet, Inc. Class C  2.6 
Alphabet, Inc. Class A  2.5 
  16.0 

Top Five Market Sectors as of July 31, 2021

  % of fund's net assets 
Information Technology  27.5 
Financials  20.3 
Communication Services  12.0 
Consumer Discretionary  11.7 
Industrials  11.0 

Asset Allocation (% of fund's net assets)

As of July 31, 2021 * 
    Stocks and Equity Futures  100.0% 


 * Foreign investments - 4.0%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

Common Stocks - 99.5%     
  Shares  Value 
COMMUNICATION SERVICES - 12.0%     
Entertainment - 3.6%     
Activision Blizzard, Inc.  65,367  $5,465,989 
Roku, Inc. Class A (a)  44,557  19,084,209 
Take-Two Interactive Software, Inc. (a)  5,339  925,889 
The Walt Disney Co. (a)  452,504  79,649,754 
    105,125,841 
Interactive Media & Services - 7.6%     
Alphabet, Inc.:     
Class A (a)  27,032  72,838,535 
Class C (a)  27,795  75,169,354 
IAC (a)  45,227  6,209,215 
Match Group, Inc. (a)  16,726  2,663,950 
Pinterest, Inc. Class A (a)  320,619  18,884,459 
Snap, Inc. Class A (a)  453,929  33,781,396 
Twitter, Inc. (a)  112,701  7,860,895 
Zillow Group, Inc.:     
Class A (a)  9,939  1,064,765 
Class C (a)(b)  27,683  2,941,596 
    221,414,165 
Media - 0.7%     
Discovery Communications, Inc.:     
Class A (a)  46,081  1,336,810 
Class C (non-vtg.) (a)  79,185  2,146,705 
Interpublic Group of Companies, Inc.  95,197  3,366,166 
News Corp. Class A  209,987  5,171,980 
Omnicom Group, Inc.  14,546  1,059,240 
ViacomCBS, Inc. Class B  150,673  6,167,046 
    19,247,947 
Wireless Telecommunication Services - 0.1%     
T-Mobile U.S., Inc. (a)  27,014  3,890,556 
TOTAL COMMUNICATION SERVICES    349,678,509 
CONSUMER DISCRETIONARY - 11.7%     
Auto Components - 0.4%     
Aptiv PLC (a)  64,678  10,791,524 
Lear Corp.  3,315  580,059 
    11,371,583 
Automobiles - 6.5%     
Ford Motor Co. (a)  1,424,772  19,875,569 
General Motors Co. (a)  550,468  31,288,601 
Tesla, Inc. (a)  201,849  138,710,629 
    189,874,799 
Distributors - 0.1%     
Pool Corp.  5,677  2,712,584 
Hotels, Restaurants & Leisure - 0.5%     
Caesars Entertainment, Inc. (a)  28,126  2,457,087 
DraftKings, Inc. Class A (a)(b)  31,598  1,532,503 
Expedia, Inc. (a)  35,792  5,757,859 
MGM Resorts International  93,037  3,491,679 
    13,239,128 
Household Durables - 0.3%     
D.R. Horton, Inc.  15,564  1,485,273 
Garmin Ltd.  8,106  1,274,263 
Lennar Corp. Class A  11,537  1,213,116 
Mohawk Industries, Inc. (a)  13,883  2,705,797 
Newell Brands, Inc.  17,183  425,279 
Whirlpool Corp.  4,884  1,082,001 
    8,185,729 
Internet & Direct Marketing Retail - 1.0%     
Chewy, Inc. (a)(b)  22,792  1,907,690 
eBay, Inc.  25,849  1,763,160 
Etsy, Inc. (a)  39,714  7,287,916 
MercadoLibre, Inc. (a)  10,589  16,610,964 
Wayfair LLC Class A (a)(b)  11,652  2,812,327 
    30,382,057 
Leisure Products - 0.4%     
Peloton Interactive, Inc. Class A (a)  92,684  10,941,346 
Multiline Retail - 1.6%     
Target Corp.  177,969  46,458,807 
Specialty Retail - 0.5%     
Bath & Body Works, Inc.  78,275  6,267,479 
Burlington Stores, Inc. (a)  3,688  1,234,742 
Carvana Co. Class A (a)(b)  14,276  4,819,007 
Tractor Supply Co.  17,832  3,226,344 
    15,547,572 
Textiles, Apparel & Luxury Goods - 0.4%     
NIKE, Inc. Class B  68,125  11,411,619 
TOTAL CONSUMER DISCRETIONARY    340,125,224 
CONSUMER STAPLES - 0.7%     
Food Products - 0.4%     
Archer Daniels Midland Co.  104,103  6,217,031 
Bunge Ltd.  66,577  5,168,373 
    11,385,404 
Personal Products - 0.3%     
Estee Lauder Companies, Inc. Class A  24,350  8,128,761 
TOTAL CONSUMER STAPLES    19,514,165 
ENERGY - 2.7%     
Energy Equipment & Services - 0.2%     
Baker Hughes Co. Class A  46,754  993,055 
Halliburton Co.  52,866  1,093,269 
Schlumberger Ltd.  71,127  2,050,591 
    4,136,915 
Oil, Gas & Consumable Fuels - 2.5%     
Cheniere Energy, Inc. (a)  66,208  5,623,045 
Devon Energy Corp.  178,150  4,603,396 
EOG Resources, Inc.  134,530  9,801,856 
Exxon Mobil Corp.  681,646  39,242,360 
Hess Corp.  45,606  3,486,123 
Marathon Petroleum Corp.  34,930  1,928,835 
Occidental Petroleum Corp.  127,513  3,328,089 
ONEOK, Inc.  26,253  1,364,368 
Pioneer Natural Resources Co.  26,011  3,781,219 
    73,159,291 
TOTAL ENERGY    77,296,206 
FINANCIALS - 20.3%     
Banks - 8.4%     
Bank of America Corp.  1,796,893  68,928,815 
Citizens Financial Group, Inc.  102,708  4,330,169 
Fifth Third Bancorp  167,838  6,090,841 
First Republic Bank  45,388  8,851,568 
Huntington Bancshares, Inc./Ohio  53,233  749,521 
JPMorgan Chase & Co.  446,153  67,717,102 
KeyCorp  46,262  909,511 
PNC Financial Services Group, Inc.  123,801  22,582,540 
Regions Financial Corp.  180,415  3,472,989 
SVB Financial Group (a)  28,060  15,431,878 
U.S. Bancorp  140,929  7,827,197 
Wells Fargo & Co.  859,350  39,478,539 
    246,370,670 
Capital Markets - 7.5%     
Ameriprise Financial, Inc.  19,744  5,085,265 
BlackRock, Inc. Class A  33,263  28,844,676 
Carlyle Group LP  37,306  1,882,834 
Charles Schwab Corp.  615,446  41,819,556 
Franklin Resources, Inc.  18,780  554,949 
Goldman Sachs Group, Inc.  124,816  46,791,022 
Invesco Ltd.  217,934  5,313,231 
KKR & Co. LP  136,026  8,673,018 
MarketAxess Holdings, Inc.  1,914  909,475 
Morgan Stanley  492,415  47,261,992 
MSCI, Inc.  3,736  2,226,507 
NASDAQ, Inc.  12,321  2,300,700 
Raymond James Financial, Inc.  42,659  5,523,487 
T. Rowe Price Group, Inc.  26,056  5,319,593 
The Blackstone Group LP  128,291  14,788,104 
    217,294,409 
Consumer Finance - 1.4%     
Ally Financial, Inc.  158,823  8,157,149 
American Express Co.  35,460  6,046,994 
Capital One Financial Corp.  132,254  21,385,472 
Discover Financial Services  14,283  1,775,663 
Synchrony Financial  62,941  2,959,486 
    40,324,764 
Diversified Financial Services - 2.3%     
Berkshire Hathaway, Inc. Class B (a)  234,674  65,307,427 
Equitable Holdings, Inc.  54,790  1,691,367 
    66,998,794 
Insurance - 0.7%     
American Financial Group, Inc.  9,757  1,234,163 
Arthur J. Gallagher & Co.  23,666  3,296,910 
Athene Holding Ltd. (a)  7,354  475,215 
Cincinnati Financial Corp.  29,937  3,528,974 
Erie Indemnity Co. Class A  1,574  291,017 
Hartford Financial Services Group, Inc.  59,984  3,816,182 
Loews Corp.  26,962  1,445,972 
MetLife, Inc.  118,168  6,818,294 
    20,906,727 
TOTAL FINANCIALS    591,895,364 
HEALTH CARE - 9.4%     
Biotechnology - 2.8%     
Exact Sciences Corp. (a)  9,925  1,070,312 
Horizon Therapeutics PLC (a)  44,851  4,485,997 
Moderna, Inc. (a)  204,656  72,366,362 
Novavax, Inc. (a)  13,195  2,366,259 
    80,288,930 
Health Care Equipment & Supplies - 2.5%     
Align Technology, Inc. (a)  21,631  15,050,850 
Danaher Corp.  88,900  26,446,861 
Hologic, Inc. (a)  9,316  699,073 
IDEXX Laboratories, Inc. (a)  26,599  18,048,219 
Insulet Corp. (a)  2,577  720,761 
Masimo Corp. (a)  2,110  574,743 
Novocure Ltd. (a)  31,055  4,782,781 
West Pharmaceutical Services, Inc.  14,707  6,055,313 
    72,378,601 
Health Care Providers & Services - 0.3%     
DaVita HealthCare Partners, Inc. (a)  3,653  439,273 
HCA Holdings, Inc.  29,278  7,266,800 
Laboratory Corp. of America Holdings (a)  5,149  1,524,876 
    9,230,949 
Health Care Technology - 0.1%     
Teladoc Health, Inc. (a)(b)  5,501  816,623 
Veeva Systems, Inc. Class A (a)  5,196  1,728,761 
    2,545,384 
Life Sciences Tools & Services - 2.3%     
10X Genomics, Inc. (a)  32,662  5,984,658 
Agilent Technologies, Inc.  101,839  15,604,790 
Avantor, Inc. (a)  129,295  4,858,906 
Bio-Rad Laboratories, Inc. Class A (a)  1,978  1,462,751 
Bio-Techne Corp.  7,556  3,643,805 
Charles River Laboratories International, Inc. (a)  10,526  4,283,240 
IQVIA Holdings, Inc. (a)  20,717  5,131,601 
Mettler-Toledo International, Inc. (a)  5,701  8,401,621 
PerkinElmer, Inc.  5,720  1,042,356 
PPD, Inc. (a)  13,335  615,010 
Thermo Fisher Scientific, Inc.  22,416  12,104,864 
Waters Corp. (a)  12,193  4,752,953 
    67,886,555 
Pharmaceuticals - 1.4%     
Catalent, Inc. (a)  20,177  2,417,406 
Eli Lilly & Co.  160,637  39,115,110 
    41,532,516 
TOTAL HEALTH CARE    273,862,935 
INDUSTRIALS - 11.0%     
Aerospace & Defense - 0.2%     
Howmet Aerospace, Inc.  72,272  2,371,967 
Textron, Inc.  58,387  4,029,287 
    6,401,254 
Air Freight & Logistics - 1.6%     
Expeditors International of Washington, Inc.  25,499  3,270,247 
FedEx Corp.  60,043  16,809,038 
United Parcel Service, Inc. Class B  133,199  25,488,961 
    45,568,246 
Building Products - 1.5%     
A.O. Smith Corp.  7,139  502,086 
Carrier Global Corp.  210,138  11,610,125 
Johnson Controls International PLC  271,352  19,379,960 
Owens Corning  5,149  495,128 
Trane Technologies PLC  56,036  11,409,490 
    43,396,789 
Electrical Equipment - 1.3%     
Eaton Corp. PLC  54,323  8,585,750 
Emerson Electric Co.  31,866  3,214,961 
Generac Holdings, Inc. (a)  40,018  16,781,948 
Plug Power, Inc. (a)(b)  315,619  8,610,086 
Sunrun, Inc. (a)  15,942  844,448 
    38,037,193 
Industrial Conglomerates - 0.9%     
General Electric Co.  2,055,707  26,621,406 
Machinery - 3.7%     
Caterpillar, Inc.  179,050  37,018,588 
Cummins, Inc.  15,349  3,562,503 
Deere & Co.  157,159  56,827,123 
Ingersoll Rand, Inc. (a)  14,567  711,889 
Parker Hannifin Corp.  14,556  4,541,909 
Pentair PLC  16,018  1,180,046 
Snap-On, Inc.  10,029  2,186,121 
Xylem, Inc.  18,458  2,322,939 
    108,351,118 
Professional Services - 0.4%     
Equifax, Inc.  7,058  1,839,315 
IHS Markit Ltd.  52,277  6,108,045 
Jacobs Engineering Group, Inc.  6,339  857,350 
Robert Half International, Inc.  34,712  3,409,066 
    12,213,776 
Road & Rail - 1.1%     
AMERCO  4,582  2,694,033 
Kansas City Southern  29,088  7,789,766 
Lyft, Inc. (a)  60,769  3,361,741 
Old Dominion Freight Lines, Inc.  19,376  5,215,050 
Uber Technologies, Inc. (a)  266,657  11,588,913 
    30,649,503 
Trading Companies & Distributors - 0.3%     
United Rentals, Inc. (a)  28,872  9,514,768 
TOTAL INDUSTRIALS    320,754,053 
INFORMATION TECHNOLOGY - 27.5%     
Communications Equipment - 0.2%     
F5 Networks, Inc. (a)  13,597  2,807,916 
Motorola Solutions, Inc.  8,813  1,973,407 
    4,781,323 
Electronic Equipment & Components - 1.2%     
Arrow Electronics, Inc. (a)  12,103  1,435,053 
Cognex Corp.  17,427  1,575,575 
Corning, Inc.  66,542  2,785,448 
Keysight Technologies, Inc. (a)  34,055  5,603,750 
TE Connectivity Ltd.  19,935  2,939,814 
Trimble, Inc. (a)  92,099  7,874,465 
Zebra Technologies Corp. Class A (a)  23,897  13,202,615 
    35,416,720 
IT Services - 5.5%     
EPAM Systems, Inc. (a)  20,682  11,577,784 
Gartner, Inc. (a)  11,801  3,124,079 
MongoDB, Inc. Class A (a)  7,086  2,543,307 
Okta, Inc. (a)  11,018  2,730,150 
PayPal Holdings, Inc. (a)  372,011  102,500,191 
Square, Inc. (a)  101,759  25,160,930 
Twilio, Inc. Class A (a)  32,637  12,192,857 
    159,829,298 
Semiconductors & Semiconductor Equipment - 11.1%     
Applied Materials, Inc.  505,453  70,728,038 
Broadcom, Inc.  64,516  31,316,066 
Enphase Energy, Inc. (a)  42,477  8,053,639 
KLA Corp.  45,270  15,761,203 
Lam Research Corp.  52,154  33,243,481 
Marvell Technology, Inc.  88,025  5,326,393 
Maxim Integrated Products, Inc.  74,556  7,448,890 
Microchip Technology, Inc.  14,161  2,026,722 
Micron Technology, Inc.  272,369  21,130,387 
Monolithic Power Systems, Inc.  6,197  2,784,064 
NVIDIA Corp.  254,137  49,554,174 
NXP Semiconductors NV  100,552  20,752,927 
ON Semiconductor Corp. (a)  115,567  4,514,047 
Qorvo, Inc. (a)  32,866  6,231,065 
Qualcomm, Inc.  65,760  9,850,848 
Skyworks Solutions, Inc.  14,989  2,765,620 
SolarEdge Technologies, Inc. (a)  3,236  839,677 
Teradyne, Inc.  32,890  4,177,030 
Texas Instruments, Inc.  140,442  26,771,054 
    323,275,325 
Software - 7.6%     
Avalara, Inc. (a)  7,328  1,225,022 
Bentley Systems, Inc. Class B (b)  32,541  1,978,818 
Cadence Design Systems, Inc. (a)  52,837  7,801,383 
Cloudflare, Inc. (a)  137,721  16,337,842 
Crowdstrike Holdings, Inc. (a)  106,216  26,937,440 
Datadog, Inc. Class A (a)  19,178  2,123,005 
DocuSign, Inc. (a)  23,934  7,133,289 
Dynatrace, Inc. (a)  8,722  557,074 
Fortinet, Inc. (a)  35,533  9,673,504 
HubSpot, Inc. (a)  19,473  11,606,297 
Intuit, Inc.  15,713  8,327,419 
Microsoft Corp.  183,103  52,167,876 
Oracle Corp.  224,458  19,559,270 
Palantir Technologies, Inc. (a)  64,885  1,408,653 
Palo Alto Networks, Inc. (a)  18,304  7,304,211 
PTC, Inc. (a)  27,229  3,688,168 
RingCentral, Inc. (a)  3,163  845,375 
ServiceNow, Inc. (a)  8,879  5,219,875 
Synopsys, Inc. (a)  22,192  6,391,074 
The Trade Desk, Inc. (a)  52,077  4,265,627 
Tyler Technologies, Inc. (a)  4,694  2,312,452 
Zendesk, Inc. (a)  16,651  2,173,455 
Zoom Video Communications, Inc. Class A (a)  45,616  17,247,410 
Zscaler, Inc. (a)  23,062  5,440,556 
    221,725,095 
Technology Hardware, Storage & Peripherals - 1.9%     
Apple, Inc.  174,287  25,421,502 
Dell Technologies, Inc. (a)  79,544  7,685,541 
Hewlett Packard Enterprise Co.  228,234  3,309,393 
HP, Inc.  253,783  7,326,715 
NetApp, Inc.  48,522  3,861,866 
Seagate Technology Holdings PLC  66,567  5,851,239 
Western Digital Corp. (a)  13,761  893,502 
    54,349,758 
TOTAL INFORMATION TECHNOLOGY    799,377,519 
MATERIALS - 3.4%     
Chemicals - 1.1%     
Albemarle Corp. U.S.  45,581  9,391,509 
Celanese Corp. Class A  11,439  1,781,853 
CF Industries Holdings, Inc.  21,400  1,011,150 
Corteva, Inc.  141,587  6,057,092 
Dow, Inc.  37,360  2,322,298 
DuPont de Nemours, Inc.  59,597  4,472,755 
Eastman Chemical Co.  16,755  1,888,624 
PPG Industries, Inc.  10,617  1,736,092 
The Mosaic Co.  151,150  4,720,415 
    33,381,788 
Construction Materials - 0.1%     
Martin Marietta Materials, Inc.  7,697  2,796,320 
Containers & Packaging - 0.4%     
Avery Dennison Corp.  27,542  5,802,549 
International Paper Co.  56,397  3,257,491 
Packaging Corp. of America  5,513  780,090 
Sealed Air Corp.  9,050  513,588 
WestRock Co.  13,594  668,961 
    11,022,679 
Metals & Mining - 1.8%     
Freeport-McMoRan, Inc.  939,501  35,794,988 
Nucor Corp.  117,529  12,225,367 
Steel Dynamics, Inc.  71,950  4,637,178 
    52,657,533 
TOTAL MATERIALS    99,858,320 
REAL ESTATE - 0.6%     
Equity Real Estate Investment Trusts (REITs) - 0.3%     
Extra Space Storage, Inc.  17,353  3,021,851 
Iron Mountain, Inc.  37,913  1,659,073 
Public Storage  11,116  3,473,528 
    8,154,452 
Real Estate Management & Development - 0.3%     
CBRE Group, Inc. (a)  100,501  9,694,326 
TOTAL REAL ESTATE    17,848,778 
UTILITIES - 0.2%     
Gas Utilities - 0.0%     
UGI Corp.  10,639  489,288 
Independent Power and Renewable Electricity Producers - 0.2%     
The AES Corp.  191,293  4,533,644 
TOTAL UTILITIES    5,022,932 
TOTAL COMMON STOCKS     
(Cost $2,329,508,001)    2,895,234,005 
Money Market Funds - 3.0%     
Fidelity Cash Central Fund 0.06% (c)  66,503,848  66,517,149 
Fidelity Securities Lending Cash Central Fund 0.06% (c)(d)  20,091,251  20,093,260 
TOTAL MONEY MARKET FUNDS     
(Cost $86,610,409)    86,610,409 
TOTAL INVESTMENT IN SECURITIES - 102.5%     
(Cost $2,416,118,410)    2,981,844,414 
NET OTHER ASSETS (LIABILITIES) - (2.5)%    (72,984,855) 
NET ASSETS - 100%    $2,908,859,559 

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)  64  Sept. 2021  $14,046,400  $413,644  $413,644 

The notional amount of futures purchased as a percentage of Net Assets is 0.5%

Legend

 (a) Non-income producing

 (b) Security or a portion of the security is on loan at period end.

 (c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

 (d) Investment made with cash collateral received from securities on loan.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund  Income earned 
Fidelity Cash Central Fund  $7,382 
Fidelity Securities Lending Cash Central Fund  9,586 
Total  $16,968 

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%  $28,555,285  $956,894,070  $918,931,989  $(145)  $(72)  $66,517,149  0.1% 
Fidelity Securities Lending Cash Central Fund 0.06%  5,732,278  262,518,587  248,157,605  --  --  20,093,260  0.1% 
Total  $34,287,563  $1,219,412,657  $1,167,089,594  $(145)  $(72)  $86,610,409   

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  $349,678,509  $349,678,509  $--  $-- 
Consumer Discretionary  340,125,224  340,125,224  --  -- 
Consumer Staples  19,514,165  19,514,165  --  -- 
Energy  77,296,206  77,296,206  --  -- 
Financials  591,895,364  591,895,364  --  -- 
Health Care  273,862,935  273,862,935  --  -- 
Industrials  320,754,053  320,754,053  --  -- 
Information Technology  799,377,519  799,377,519  --  -- 
Materials  99,858,320  99,858,320  --  -- 
Real Estate  17,848,778  17,848,778  --  -- 
Utilities  5,022,932  5,022,932  --  -- 
Money Market Funds  86,610,409  86,610,409  --  -- 
Total Investments in Securities:  $2,981,844,414  $2,981,844,414  $--  $-- 
Derivative Instruments:         
Assets         
Futures Contracts  $413,644  $413,644  $--  $-- 
Total Assets  $413,644  $413,644  $--  $-- 
Total Derivative Instruments:  $413,644  $413,644  $--  $-- 

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)  $413,644  $0 
Total Equity Risk  413,644  0 
Total Value of Derivatives  $413,644  $0 

 (a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

See accompanying notes which are an integral part of the financial statements.


Financial Statements

Statement of Assets and Liabilities

    July 31, 2021 
Assets     
Investment in securities, at value (including securities loaned of $19,292,234) — See accompanying schedule:
Unaffiliated issuers (cost $2,329,508,001)  		$2,895,234,005   
Fidelity Central Funds (cost $86,610,409)  86,610,409   
Total Investment in Securities (cost $2,416,118,410)    $2,981,844,414 
Segregated cash with brokers for derivative instruments    616,000 
Cash    361,941 
Receivable for investments sold    276,680,888 
Receivable for fund shares sold    310,626 
Dividends receivable    1,605,345 
Distributions receivable from Fidelity Central Funds    1,928 
Prepaid expenses    2,059 
Other receivables    16 
Total assets    3,261,423,217 
Liabilities     
Payable for investments purchased  $331,809,970   
Payable for fund shares redeemed  295,724   
Accrued management fee  228,140   
Payable for daily variation margin on futures contracts  63,161   
Other payables and accrued expenses  63,788   
Collateral on securities loaned  20,102,875   
Total liabilities    352,563,658 
Net Assets    $2,908,859,559 
Net Assets consist of:     
Paid in capital    $1,904,579,533 
Total accumulated earnings (loss)    1,004,280,026 
Net Assets    $2,908,859,559 
Net Asset Value, offering price and redemption price per share ($2,908,859,559 ÷ 152,723,189 shares)    $19.05 

See accompanying notes which are an integral part of the financial statements.


Statement of Operations

    Year ended July 31, 2021 
Investment Income     
Dividends    $15,434,771 
Income from Fidelity Central Funds (including $9,586 from security lending)    16,968 
Total income    15,451,739 
Expenses     
Management fee  $2,252,964   
Custodian fees and expenses  46,316   
Independent trustees' fees and expenses  6,074   
Registration fees  37,947   
Audit  52,413   
Legal  6,076   
Interest  2,664   
Miscellaneous  9,064   
Total expenses    2,413,518 
Net investment income (loss)    13,038,221 
Realized and Unrealized Gain (Loss)     
Net realized gain (loss) on:     
Investment securities:     
Unaffiliated issuers  479,303,186   
Fidelity Central Funds  (145)   
Futures contracts  2,751,342   
Total net realized gain (loss)    482,054,383 
Change in net unrealized appreciation (depreciation) on:     
Investment securities:     
Unaffiliated issuers  137,881,997   
Fidelity Central Funds  (72)   
Futures contracts  285,473   
Total change in net unrealized appreciation (depreciation)    138,167,398 
Net gain (loss)    620,221,781 
Net increase (decrease) in net assets resulting from operations    $633,260,002 

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets

  Year ended July 31, 2021  Year ended July 31, 2020 
Increase (Decrease) in Net Assets     
Operations     
Net investment income (loss)  $13,038,221  $39,104,562 
Net realized gain (loss)  482,054,383  259,357,435 
Change in net unrealized appreciation (depreciation)  138,167,398  (77,686,467) 
Net increase (decrease) in net assets resulting from operations  633,260,002  220,775,530 
Distributions to shareholders  (185,281,787)  (74,889,307) 
Share transactions     
Proceeds from sales of shares  1,215,829,630  671,359,872 
Reinvestment of distributions  177,412,411  61,020,034 
Cost of shares redeemed  (730,747,824)  (2,735,369,594) 
Net increase (decrease) in net assets resulting from share transactions  662,494,217  (2,002,989,688) 
Total increase (decrease) in net assets  1,110,472,432  (1,857,103,465) 
Net Assets     
Beginning of period  1,798,387,127  3,655,490,592 
End of period  $2,908,859,559  $1,798,387,127 
Other Information     
Shares     
Sold  71,831,071  49,727,677 
Issued in reinvestment of distributions  11,959,109  4,423,533 
Redeemed  (45,349,737)  (205,333,165) 
Net increase (decrease)  38,440,443  (151,181,955) 

See accompanying notes which are an integral part of the financial statements.


Financial Highlights

Fidelity SAI U.S. Momentum Index Fund

           
Years ended July 31,  2021  2020  2019  2018  2017 A 
Selected Per–Share Data           
Net asset value, beginning of period  $15.74  $13.77  $13.31  $10.98  $10.00 
Income from Investment Operations           
Net investment income (loss)B  .10  .19  .20  .15  .07 
Net realized and unrealized gain (loss)  4.66  2.07  .71C  2.29  .91 
Total from investment operations  4.76  2.26  .91  2.44  .98 
Distributions from net investment income  (.18)  (.22)  (.12)  (.06)  – 
Distributions from net realized gain  (1.27)  (.08)  (.33)  (.04)  – 
Total distributions  (1.45)  (.29)D  (.45)  (.11)D  – 
Net asset value, end of period  $19.05  $15.74  $13.77  $13.31  $10.98 
Total ReturnE,F  32.98%  16.76%  6.94%C  22.33%  9.80% 
Ratios to Average Net AssetsG,H           
Expenses before reductions  .11%  .11%  .21%  .23%  .35%I 
Expenses net of fee waivers, if any  .11%  .11%  .15%  .15%  .15%I 
Expenses net of all reductions  .11%  .11%  .15%  .15%  .15%I 
Net investment income (loss)  .58%  1.36%  1.54%  1.19%  1.40%I 
Supplemental Data           
Net assets, end of period (000 omitted)  $2,908,860  $1,798,387  $3,655,491  $2,512,747  $744,177 
Portfolio turnover rateJ  128%  163%  161%  153%  47%J 

 A For the period February 9, 2017 (commencement of operations) to July 31, 2017.

 B Calculated based on average shares outstanding during the period.

 C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 6.91%.

 D Total distributions per share do not sum due to rounding.

 E Total returns for periods of less than one year are not annualized.

 F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

 H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

 I Annualized

 J Amount not annualized.

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements

For the period ended July 31, 2021

1. Organization.

Fidelity SAI U.S. Momentum Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund  Investment Manager  Investment Objective  Investment Practices  Expense Ratio(a) 
Fidelity Money Market Central Funds  Fidelity Management & Research Company LLC (FMR)  Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.  Short-term Investments  Less than .005% to .01% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2021 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts 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  $607,026,398 
Gross unrealized depreciation  (46,875,928) 
Net unrealized appreciation (depreciation)  $560,150,470 
Tax Cost  $2,421,693,944 

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income  $126,909,221 
Undistributed long-term capital gain  $317,220,336 
Net unrealized appreciation (depreciation) on securities and other investments  $560,150,470 

The tax character of distributions paid was as follows:

  July 31, 2021  July 31, 2020 
Ordinary Income  $31,811,914  $ 55,904,171 
Long-term Capital Gains  153,469,873  18,985,136 
Total  $185,281,787  $ 74,889,307 

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Equity Risk  Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.

  Purchases ($)  Sales ($) 
Fidelity SAI U.S. Momentum Index Fund  3,348,292,307  2,859,829,628 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.

Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.

Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:

  Borrower or Lender  Average Loan Balance  Weighted Average Interest Rate  Interest Expense 
Fidelity SAI U.S. Momentum Index Fund  Borrower  $15,161,900  .32%  $2,664 

Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

  Amount 
Fidelity SAI U.S. Momentum Index Fund  $4,153 

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

  Total Security Lending Fees Paid to NFS  Security Lending Income From Securities Loaned to NFS  Value of Securities Loaned to NFS at Period End 
Fidelity SAI U.S. Momentum Index Fund  $1,350  $–  $– 

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, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

  Strategic Advisers Fidelity U.S. Total Stock Fund 
Fidelity SAI U.S. Momentum Index Fund  58% 

Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.

Fund  % of shares held 
Fidelity SAI U.S. Momentum Index Fund  59% 

10. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI U.S. Momentum Index Fund

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Momentum Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2021, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the four years in the period then ended and for the period from February 9, 2017 (commencement of operations) through July 31, 2017, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2021, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the four years in the period then ended and for the period from February 9, 2017 (commencement of operations) through July 31, 2017 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

September 13, 2021


We have served as the auditor of one or more of the Fidelity investment companies since 1999.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 283 funds. Mr. Chiel oversees 176 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Arthur E. Johnson serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney’s Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). 

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

  Annualized Expense Ratio-A  Beginning
Account Value
February 1, 2021  		Ending
Account Value
July 31, 2021  		Expenses Paid
During Period-B
February 1, 2021
to July 31, 2021 
Fidelity SAI U.S. Momentum Index Fund  .11%       
Actual    $1,000.00  $1,126.60  $.58 
Hypothetical-C    $1,000.00  $1,024.25  $.55 

 A Annualized expense ratio reflects expenses net of applicable fee waivers.

 B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity SAI U.S Momentum Index Fund voted to pay on September 13, 2021, to shareholders of record at the opening of business on September 10, 2021, a distribution of $2.883 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.039 per share from net investment income.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2021, $328,258,843, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 85% and 42% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 85% and 43% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund designates 12% and 4% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.

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

SY1-ANN-0921
1.9878817.104

Fidelity® SAI U.S. Value Index Fund

Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.



Annual Report

July 31, 2021

FIDELITY INVESTMENTS



FIDELITY INVESTMENTS

Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.



This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended July 31, 2021  Past 1 year  Life of fundA 
Fidelity® SAI U.S. Value Index Fund  42.39%  8.31% 

 A From December 19, 2017

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Value Index Fund on December 19, 2017, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Value Focus Index℠ and the S&P 500 Index performed over the same period.


Period Ending Values
$13,348 Fidelity® SAI U.S. Value Index Fund
$13,369 Fidelity U.S. Value Focus Index℠
$17,520 S&P 500 Index

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 36.45% for the 12 months ending July 31, 2021, as U.S. equities continued a historic rebound following a steep but brief decline due to the early-2020 outbreak and spread of COVID-19. A confluence of powerful forces propelled risk assets, returning the stock market to pre-pandemic highs by late August 2020. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as uncertainty about the election. But as the calendar turned, investors grew hopeful. The rollout of three COVID-19 vaccines was underway, the U.S. Federal Reserve pledged to hold interest rates near zero until the economy recovered, and the federal government planned to deploy trillions of dollars to boost consumers and the economy. This backdrop fueled a sharp rotation, with small-cap value usurping leadership from large growth. As part of the “reopening” theme, investors moved out of tech-driven mega-caps that had thrived due to the work-from-home trend in favor of cheap smaller companies that stood to benefit from a broad cyclical recovery. A flattish May reflected concerns about inflation and jobs, but the uptrend resumed through July, driven by corporate earnings. Notably, this leg saw momentum shift back to large growth, as easing rates and a hawkish Fed stymied the reflation trade. By sector, financials (+55%) led, driven by banks (+63%), whereas utilities (+12%) and consumer staples (+18%) notably lagged.

Comments from the Geode Capital Management, LLC, passive equity index team:  For the fiscal year ending July 31, 2021, the fund gained 42.39%, roughly in line with the 42.56% advance of the benchmark Fidelity U.S. Value Focus Index. By sector, financials gained approximately 68% and contributed most, followed by information technology, which rose about 37%, and health care, which advanced 30%. The energy sector was up 38%, consumer discretionary gained 59% and materials increased about 66%. Other notable contributors included industrials (+68%), communication services (+18%), consumer staples (+21%), utilities (+19%) and real estate (+96%). Turning to individual holdings, the biggest individual contributor was Bank of America (+73%). Exxon Mobil, within the energy sector, advanced 42% and also lifted the fund’s return. In diversified financials, Morgan Stanley (+100%) and Goldman Sachs (+93%) helped as well. Another key contributor was Cisco Systems (+34%), a stock in the technology hardware & equipment segment. In contrast, the biggest individual detractor was PG&E (-30%), from the utilities sector, followed by Marathon Petroleum (-14%), which is in the energy sector. Within insurance, American International Group returned roughly -12% and weighed on the portfolio’s result. Other notable detractors included Viatris (-8%), a stock in the pharmaceuticals, biotechnology & life sciences category, and Berkshire Hathaway (-3%), from the diversified financials industry.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Investment Summary (Unaudited)

Top Five Stocks as of July 31, 2021

  % of fund's net assets 
Berkshire Hathaway, Inc. Class B  4.3 
Pfizer, Inc.  3.8 
Verizon Communications, Inc.  3.5 
AbbVie, Inc.  3.5 
Intel Corp.  3.4 
  18.5 

Top Five Market Sectors as of July 31, 2021

  % of fund's net assets 
Health Care  22.7 
Financials  21.3 
Information Technology  17.5 
Communication Services  12.1 
Consumer Discretionary  6.8 

Asset Allocation (% of fund's net assets)

As of July 31, 2021 * 
    Stocks   100.0% 


 * Foreign investments - 2.8%

Schedule of Investments July 31, 2021

Showing Percentage of Net Assets

Common Stocks - 99.7%     
  Shares  Value 
COMMUNICATION SERVICES - 12.1%     
Diversified Telecommunication Services - 7.3%     
AT&T, Inc.  4,311,467  $120,936,649 
Liberty Global PLC Class A (a)  292,618  7,856,793 
Lumen Technologies, Inc.  600,696  7,490,679 
Verizon Communications, Inc.  2,285,986  127,512,299 
    263,796,420 
Interactive Media & Services - 0.5%     
Alphabet, Inc. Class A (a)  6,896  18,581,479 
Media - 4.3%     
Comcast Corp. Class A  1,563,701  91,992,530 
Discovery Communications, Inc. Class A (a)  273,204  7,925,648 
DISH Network Corp. Class A (a)  150,033  6,284,882 
Fox Corp. Class A  284,412  10,142,132 
Interpublic Group of Companies, Inc.  237,539  8,399,379 
Nexstar Broadcasting Group, Inc. Class A  25,811  3,796,024 
Omnicom Group, Inc.  129,876  9,457,570 
ViacomCBS, Inc. Class B  370,951  15,183,024 
    153,181,189 
TOTAL COMMUNICATION SERVICES    435,559,088 
CONSUMER DISCRETIONARY - 6.8%     
Auto Components - 0.4%     
BorgWarner, Inc.  144,831  7,093,822 
Lear Corp.  33,045  5,782,214 
The Goodyear Tire & Rubber Co. (a)  168,501  2,647,151 
    15,523,187 
Automobiles - 2.4%     
Ford Motor Co. (a)  2,367,559  33,027,448 
General Motors Co. (a)  770,865  43,815,967 
Harley-Davidson, Inc.  92,791  3,676,379 
Thor Industries, Inc.  33,433  3,957,130 
    84,476,924 
Distributors - 0.2%     
LKQ Corp. (a)  167,862  8,518,997 
Household Durables - 2.0%     
D.R. Horton, Inc.  198,086  18,903,347 
Lennar Corp. Class A  174,153  18,312,188 
Mohawk Industries, Inc. (a)  35,358  6,891,274 
Newell Brands, Inc.  228,566  5,657,009 
PulteGroup, Inc.  159,703  8,762,904 
Toll Brothers, Inc.  67,795  4,018,210 
Whirlpool Corp.  37,816  8,377,757 
    70,922,689 
Internet & Direct Marketing Retail - 0.6%     
Amazon.com, Inc. (a)  5,564  18,514,711 
Qurate Retail, Inc. Series A  229,198  2,718,288 
    21,232,999 
Leisure Products - 0.1%     
Polaris, Inc.  34,762  4,556,255 
Multiline Retail - 0.2%     
Kohl's Corp.  94,341  4,792,523 
Macy's, Inc. (a)  188,229  3,199,893 
    7,992,416 
Specialty Retail - 0.8%     
AutoNation, Inc. (a)  32,560  3,950,505 
Best Buy Co., Inc.  134,610  15,123,434 
Dick's Sporting Goods, Inc. (b)  39,572  4,121,028 
Foot Locker, Inc.  62,364  3,558,490 
    26,753,457 
Textiles, Apparel & Luxury Goods - 0.1%     
PVH Corp. (a)  43,034  4,502,217 
TOTAL CONSUMER DISCRETIONARY    244,479,141 
CONSUMER STAPLES - 4.1%     
Beverages - 0.1%     
Molson Coors Beverage Co. Class B  113,739  5,560,700 
Food & Staples Retailing - 1.1%     
Kroger Co.  457,173  18,606,941 
Walgreens Boots Alliance, Inc.  433,228  20,426,700 
    39,033,641 
Food Products - 1.4%     
Conagra Brands, Inc.  289,815  9,705,904 
Ingredion, Inc.  40,443  3,551,300 
The J.M. Smucker Co.  66,173  8,675,942 
The Kraft Heinz Co.  391,455  15,059,274 
Tyson Foods, Inc. Class A  177,998  12,719,737 
    49,712,157 
Tobacco - 1.5%     
Altria Group, Inc.  1,117,502  53,684,796 
TOTAL CONSUMER STAPLES    147,991,294 
ENERGY - 4.1%     
Energy Equipment & Services - 0.3%     
Baker Hughes Co. Class A  439,246  9,329,585 
Oil, Gas & Consumable Fuels - 3.8%     
Chevron Corp.  708,550  72,137,476 
EOG Resources, Inc.  352,408  25,676,447 
EQT Corp. (a)  168,537  3,099,395 
HollyFrontier Corp.  90,243  2,653,144 
Kinder Morgan, Inc.  1,176,017  20,439,175 
Marathon Oil Corp.  475,924  5,515,959 
PDC Energy, Inc.  59,972  2,371,893 
Targa Resources Corp.  138,073  5,814,254 
    137,707,743 
TOTAL ENERGY    147,037,328 
FINANCIALS - 21.3%     
Banks - 3.7%     
Citigroup, Inc.  1,248,180  84,401,932 
Citizens Financial Group, Inc.  257,196  10,843,383 
First Horizon National Corp.  333,550  5,153,348 
KeyCorp  586,045  11,521,645 
Popular, Inc.  48,666  3,540,938 
Prosperity Bancshares, Inc.  56,121  3,826,891 
Regions Financial Corp.  341,167  6,567,465 
Valley National Bancorp  245,092  3,159,236 
Zions Bancorp NA  98,920  5,158,678 
    134,173,516 
Capital Markets - 5.9%     
Bank of New York Mellon Corp.  487,181  25,007,001 
Goldman Sachs Group, Inc.  205,438  77,014,597 
Invesco Ltd.  228,490  5,570,586 
Janus Henderson Group PLC  103,032  4,310,859 
Jefferies Financial Group, Inc.  120,798  4,009,286 
Morgan Stanley  811,178  77,856,864 
State Street Corp.  209,999  18,299,313 
    212,068,506 
Consumer Finance - 2.2%     
Ally Financial, Inc.  223,835  11,496,166 
Capital One Financial Corp.  272,630  44,084,271 
OneMain Holdings, Inc.  55,218  3,368,298 
SLM Corp.  194,963  3,671,153 
Synchrony Financial  326,613  15,357,343 
    77,977,231 
Diversified Financial Services - 4.4%     
Berkshire Hathaway, Inc. Class B (a)  552,365  153,717,649 
Voya Financial, Inc. (b)  73,205  4,714,402 
    158,432,051 
Insurance - 4.4%     
AFLAC, Inc.  381,686  20,992,730 
Allstate Corp.  180,755  23,507,188 
Arch Capital Group Ltd. (a)  243,724  9,505,236 
Athene Holding Ltd. (a)  75,259  4,863,237 
Everest Re Group Ltd.  24,205  6,119,750 
Fidelity National Financial, Inc.  174,544  7,786,408 
First American Financial Corp.  66,267  4,460,432 
Hartford Financial Services Group, Inc.  215,689  13,722,134 
Lincoln National Corp.  108,059  6,658,596 
Markel Corp. (a)  8,308  10,020,860 
Old Republic International Corp.  171,141  4,220,337 
Principal Financial Group, Inc.  152,756  9,490,730 
Prudential Financial, Inc.  237,916  23,858,216 
Reinsurance Group of America, Inc.  41,052  4,523,109 
RenaissanceRe Holdings Ltd.  29,974  4,576,730 
Unum Group  123,330  3,379,242 
    157,684,935 
Mortgage Real Estate Investment Trusts - 0.4%     
AGNC Investment Corp.  316,964  5,030,219 
Annaly Capital Management, Inc.  844,482  7,169,652 
New Residential Investment Corp.  281,783  2,750,202 
    14,950,073 
Thrifts & Mortgage Finance - 0.3%     
Essent Group Ltd.  68,145  3,078,110 
MGIC Investment Corp.  204,895  2,835,747 
New York Community Bancorp, Inc.  280,828  3,308,154 
    9,222,011 
TOTAL FINANCIALS    764,508,323 
HEALTH CARE - 22.7%     
Biotechnology - 5.2%     
AbbVie, Inc.  1,066,528  124,037,206 
Biogen, Inc. (a)  18,767  6,131,742 
Gilead Sciences, Inc.  757,331  51,718,134 
United Therapeutics Corp. (a)  27,050  4,921,207 
    186,808,289 
Health Care Equipment & Supplies - 0.4%     
Hologic, Inc. (a)  154,725  11,610,564 
Quidel Corp. (a)(b)  23,382  3,307,852 
    14,918,416 
Health Care Providers & Services - 9.8%     
Anthem, Inc.  147,846  56,774,342 
Cardinal Health, Inc.  175,205  10,403,673 
Centene Corp. (a)  351,883  24,142,693 
Cigna Corp.  207,208  47,552,164 
CVS Health Corp.  795,006  65,476,694 
DaVita HealthCare Partners, Inc. (a)  42,325  5,089,581 
HCA Holdings, Inc.  154,062  38,238,188 
Humana, Inc.  77,905  33,176,623 
Laboratory Corp. of America Holdings (a)  58,960  17,461,004 
McKesson Corp.  95,520  19,469,842 
Molina Healthcare, Inc. (a)  35,265  9,627,698 
Quest Diagnostics, Inc. (b)  78,885  11,185,893 
Select Medical Holdings Corp.  65,138  2,569,694 
Tenet Healthcare Corp. (a)  64,485  4,632,602 
Universal Health Services, Inc. Class B  47,083  7,552,584 
    353,353,275 
Life Sciences Tools & Services - 0.3%     
Bio-Rad Laboratories, Inc. Class A (a)  13,014  9,623,983 
Pharmaceuticals - 7.0%     
Bristol-Myers Squibb Co.  1,348,951  91,553,304 
Jazz Pharmaceuticals PLC (a)  36,289  6,151,711 
Perrigo Co. PLC  80,643  3,873,283 
Pfizer, Inc.  3,211,986  137,505,121 
Viatris, Inc.  729,843  10,268,891 
    249,352,310 
TOTAL HEALTH CARE    814,056,273 
INDUSTRIALS - 3.1%     
Aerospace & Defense - 0.9%     
Huntington Ingalls Industries, Inc.  24,294  4,983,428 
L3Harris Technologies, Inc.  123,779  28,065,650 
    33,049,078 
Building Products - 0.3%     
Builders FirstSource, Inc. (a)  125,077  5,565,927 
Owens Corning  63,079  6,065,677 
    11,631,604 
Construction & Engineering - 0.1%     
EMCOR Group, Inc.  32,943  4,012,787 
Electrical Equipment - 0.1%     
Regal Beloit Corp.  24,534  3,612,141 
Machinery - 0.5%     
Oshkosh Corp.  41,434  4,953,435 
Timken Co.  39,588  3,147,246 
Westinghouse Air Brake Co.  107,278  9,104,684 
    17,205,365 
Professional Services - 0.5%     
CACI International, Inc. Class A (a)  14,221  3,796,438 
Manpower, Inc.  32,925  3,904,247 
Nielsen Holdings PLC  216,477  5,128,340 
Science Applications Internati  35,004  3,055,849 
    15,884,874 
Road & Rail - 0.1%     
Knight-Swift Transportation Holdings, Inc. Class A  73,958  3,674,973 
Trading Companies & Distributors - 0.6%     
AerCap Holdings NV (a)(b)  78,943  4,183,979 
United Rentals, Inc. (a)  42,108  13,876,691 
WESCO International, Inc. (a)  26,666  2,838,596 
    20,899,266 
TOTAL INDUSTRIALS    109,970,088 
INFORMATION TECHNOLOGY - 17.5%     
Communications Equipment - 1.7%     
Cisco Systems, Inc.  958,926  53,095,733 
Juniper Networks, Inc.  197,905  5,569,047 
Lumentum Holdings, Inc. (a)  45,832  3,849,430 
    62,514,210 
Electronic Equipment & Components - 0.7%     
Arrow Electronics, Inc. (a)  44,786  5,310,276 
Flex Ltd. (a)  296,333  5,325,104 
II-VI, Inc. (a)(b)  63,334  4,421,347 
Jabil, Inc.  80,866  4,814,762 
SYNNEX Corp.  25,048  2,994,238 
Vontier Corp.  101,928  3,297,371 
    26,163,098 
IT Services - 3.8%     
Alliance Data Systems Corp.  30,026  2,799,925 
Amdocs Ltd.  77,083  5,943,870 
DXC Technology Co. (a)  153,864  6,151,483 
Fidelity National Information Services, Inc.  253,450  37,776,723 
IBM Corp.  539,551  76,055,109 
The Western Union Co.  247,126  5,735,794 
    134,462,904 
Semiconductors & Semiconductor Equipment - 5.0%     
First Solar, Inc. (a)  51,357  4,418,756 
Intel Corp.  2,273,402  122,127,155 
Micron Technology, Inc.  677,164  52,534,383 
    179,080,294 
Software - 2.3%     
j2 Global, Inc. (a)(b)  25,624  3,619,902 
Microsoft Corp.  250,761  71,444,317 
VMware, Inc. Class A (a)(b)  48,835  7,507,893 
    82,572,112 
Technology Hardware, Storage & Peripherals - 4.0%     
Apple, Inc.  564,080  82,276,709 
Dell Technologies, Inc. (a)  150,853  14,575,417 
Hewlett Packard Enterprise Co.  788,581  11,434,425 
HP, Inc.  725,374  20,941,547 
NCR Corp. (a)  79,044  3,509,554 
Western Digital Corp. (a)  185,051  12,015,361 
    144,753,013 
TOTAL INFORMATION TECHNOLOGY    629,545,631 
MATERIALS - 6.3%     
Chemicals - 3.2%     
CF Industries Holdings, Inc.  129,534  6,120,482 
Corteva, Inc.  445,096  19,041,207 
Dow, Inc.  451,067  28,038,325 
DuPont de Nemours, Inc.  321,332  24,115,967 
Eastman Chemical Co.  82,435  9,292,073 
Huntsman Corp.  120,478  3,181,824 
LyondellBasell Industries NV Class A  155,462  15,442,040 
The Chemours Co. LLC  99,952  3,323,404 
The Mosaic Co.  208,693  6,517,482 
    115,072,804 
Containers & Packaging - 1.0%     
Berry Global Group, Inc. (a)  81,459  5,236,999 
Graphic Packaging Holding Co.  171,615  3,289,860 
International Paper Co.  236,550  13,663,128 
Sonoco Products Co.  58,615  3,739,051 
WestRock Co.  160,693  7,907,703 
    33,836,741 
Metals & Mining - 2.0%     
Alcoa Corp. (a)  112,753  4,527,033 
Newmont Corp.  483,779  30,390,997 
Nucor Corp.  180,696  18,795,998 
Reliance Steel & Aluminum Co.  38,470  6,045,561 
Steel Dynamics, Inc.  121,167  7,809,213 
United States Steel Corp. (b)  162,834  4,311,844 
    71,880,646 
Paper & Forest Products - 0.1%     
Louisiana-Pacific Corp.  61,745  3,423,143 
TOTAL MATERIALS    224,213,334 
UTILITIES - 1.7%     
Electric Utilities - 1.4%     
Evergy, Inc.  138,443  9,029,252 
Exelon Corp.  590,064  27,614,995 
NRG Energy, Inc. (b)  147,794  6,095,025 
PG&E Corp. (a)  899,025  7,902,430 
    50,641,702 
Gas Utilities - 0.2%     
UGI Corp.  126,024  5,795,844 
Multi-Utilities - 0.1%     
MDU Resources Group, Inc.  121,491  3,853,695 
TOTAL UTILITIES    60,291,241 
TOTAL COMMON STOCKS     
(Cost $2,972,471,277)    3,577,651,741 
Money Market Funds - 3.2%     
Fidelity Cash Central Fund 0.06% (c)  72,611,636  72,626,158 
Fidelity Securities Lending Cash Central Fund 0.06% (c)(d)  42,912,921  42,917,213 
TOTAL MONEY MARKET FUNDS     
(Cost $115,543,371)    115,543,371 
TOTAL INVESTMENT IN SECURITIES - 102.9%     
(Cost $3,088,014,648)    3,693,195,112 
NET OTHER ASSETS (LIABILITIES) - (2.9)%    (103,935,112) 
NET ASSETS - 100%    $3,589,260,000 

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)  53  Sept. 2021  $11,632,175  $369,779  $369,779 

The notional amount of futures purchased as a percentage of Net Assets is 0.3%

Legend

 (a) Non-income producing

 (b) Security or a portion of the security is on loan at period end.

 (c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

 (d) Investment made with cash collateral received from securities on loan.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund  Income earned 
Fidelity Cash Central Fund  $6,181 
Fidelity Securities Lending Cash Central Fund  144,201 
Total  $150,382 

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%  $8,346,573  $926,765,096  $862,484,877  $(467)  $(167)  $72,626,158  0.1% 
Fidelity Securities Lending Cash Central Fund 0.06%  22,683,129  302,843,588  282,609,504  --  --  42,917,213  0.1% 
Total  $31,029,702  $1,229,608,684  $1,145,094,381  $(467)  $(167)  $115,543,371   

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  $435,559,088  $435,559,088  $--  $-- 
Consumer Discretionary  244,479,141  244,479,141  --  -- 
Consumer Staples  147,991,294  147,991,294  --  -- 
Energy  147,037,328  147,037,328  --  -- 
Financials  764,508,323  764,508,323  --  -- 
Health Care  814,056,273  814,056,273  --  -- 
Industrials  109,970,088  109,970,088  --  -- 
Information Technology  629,545,631  629,545,631  --  -- 
Materials  224,213,334  224,213,334  --  -- 
Utilities  60,291,241  60,291,241  --  -- 
Money Market Funds  115,543,371  115,543,371  --  -- 
Total Investments in Securities:  $3,693,195,112  $3,693,195,112  $--  $-- 
Derivative Instruments:         
Assets         
Futures Contracts  $369,779  $369,779  $--  $-- 
Total Assets  $369,779  $369,779  $--  $-- 
Total Derivative Instruments:  $369,779  $369,779  $--  $-- 

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)  $369,779  $0 
Total Equity Risk  369,779  0 
Total Value of Derivatives  $369,779  $0 

 (a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

See accompanying notes which are an integral part of the financial statements.


Financial Statements

Statement of Assets and Liabilities

    July 31, 2021 
Assets     
Investment in securities, at value (including securities loaned of $42,012,222) — See accompanying schedule:
Unaffiliated issuers (cost $2,972,471,277)  		$3,577,651,741   
Fidelity Central Funds (cost $115,543,371)  115,543,371   
Total Investment in Securities (cost $3,088,014,648)    $3,693,195,112 
Segregated cash with brokers for derivative instruments    506,000 
Cash    1 
Receivable for fund shares sold    274,373 
Dividends receivable    9,418,233 
Distributions receivable from Fidelity Central Funds    16,856 
Prepaid expenses    2,553 
Total assets    3,703,413,128 
Liabilities     
Payable for investments purchased  $70,607,958   
Payable for fund shares redeemed  241,664   
Accrued management fee  283,391   
Payable for daily variation margin on futures contracts  50,851   
Other payables and accrued expenses  52,422   
Collateral on securities loaned  42,916,842   
Total liabilities    114,153,128 
Net Assets    $3,589,260,000 
Net Assets consist of:     
Paid in capital    $2,973,924,109 
Total accumulated earnings (loss)    615,335,891 
Net Assets    $3,589,260,000 
Net Asset Value, offering price and redemption price per share ($3,589,260,000 ÷ 293,801,553 shares)    $12.22 

See accompanying notes which are an integral part of the financial statements.


Statement of Operations

    Year ended July 31, 2021 
Investment Income     
Dividends    $81,543,552 
Interest    496 
Income from Fidelity Central Funds (including $144,201 from security lending)    150,382 
Total income    81,694,430 
Expenses     
Management fee  $2,726,850   
Custodian fees and expenses  33,819   
Independent trustees' fees and expenses  7,364   
Registration fees  34,624   
Audit  50,529   
Legal  5,239   
Interest  5,033   
Miscellaneous  11,565   
Total expenses    2,875,023 
Net investment income (loss)    78,819,407 
Realized and Unrealized Gain (Loss)     
Net realized gain (loss) on:     
Investment securities:     
Unaffiliated issuers  103,856,177   
Fidelity Central Funds  (467)   
Futures contracts  2,813,076   
Total net realized gain (loss)    106,668,786 
Change in net unrealized appreciation (depreciation) on:     
Investment securities:     
Unaffiliated issuers  705,381,087   
Fidelity Central Funds  (167)   
Futures contracts  (105,817)   
Total change in net unrealized appreciation (depreciation)    705,275,103 
Net gain (loss)    811,943,889 
Net increase (decrease) in net assets resulting from operations    $890,763,296 

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets

  Year ended July 31, 2021  Year ended July 31, 2020 
Increase (Decrease) in Net Assets     
Operations     
Net investment income (loss)  $78,819,407  $61,622,376 
Net realized gain (loss)  106,668,786  (89,124,858) 
Change in net unrealized appreciation (depreciation)  705,275,103  (108,080,086) 
Net increase (decrease) in net assets resulting from operations  890,763,296  (135,582,568) 
Distributions to shareholders  (64,578,607)  (47,902,133) 
Share transactions     
Proceeds from sales of shares  1,195,629,628  1,249,352,947 
Reinvestment of distributions  62,975,816  31,571,367 
Cost of shares redeemed  (777,831,052)  (603,278,266) 
Net increase (decrease) in net assets resulting from share transactions  480,774,392  677,646,048 
Total increase (decrease) in net assets  1,306,959,081  494,161,347 
Net Assets     
Beginning of period  2,282,300,919  1,788,139,572 
End of period  $3,589,260,000  $2,282,300,919 
Other Information     
Shares     
Sold  107,213,421  144,603,376 
Issued in reinvestment of distributions  6,773,175  3,017,446 
Redeemed  (79,062,982)  (66,443,904) 
Net increase (decrease)  34,923,614  81,176,918 

See accompanying notes which are an integral part of the financial statements.


Financial Highlights

Fidelity SAI U.S. Value Index Fund

         
Years ended July 31,  2021  2020  2019  2018 A 
Selected Per–Share Data         
Net asset value, beginning of period  $8.82  $10.06  $10.36  $10.00 
Income from Investment Operations         
Net investment income (loss)B  .31  .29  .25  .14 
Net realized and unrealized gain (loss)  3.35  (1.27)  (.22)  .23 
Total from investment operations  3.66  (.98)  .03  .37 
Distributions from net investment income  (.26)  (.26)  (.19)  (.01) 
Distributions from net realized gain  –  –  (.14)  – 
Total distributions  (.26)  (.26)  (.33)  (.01) 
Net asset value, end of period  $12.22  $8.82  $10.06  $10.36 
Total ReturnC,D  42.39%  (10.13)%  .62%  3.67% 
Ratios to Average Net AssetsE,F         
Expenses before reductions  .11%  .11%  .21%  .28%G 
Expenses net of fee waivers, if any  .11%  .11%  .15%  .15%G 
Expenses net of all reductions  .11%  .11%  .15%  .15%G 
Net investment income (loss)  2.89%  3.12%  2.61%  2.20%G 
Supplemental Data         
Net assets, end of period (000 omitted)  $3,589,260  $2,282,301  $1,788,140  $1,958,157 
Portfolio turnover rateH  80%  82%  99%  113%G 

 A For the period December 19, 2017 (commencement of operations) to July 31, 2018.

 B Calculated based on average shares outstanding during the period.

 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

For the period ended July 31, 2021

1. Organization.

Fidelity SAI U.S. 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 exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund  Investment Manager  Investment Objective  Investment Practices  Expense Ratio(a) 
Fidelity Money Market Central Funds  Fidelity Management & Research Company LLC (FMR)  Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.  Short-term Investments  Less than .005% to .01% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2021 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation  $618,219,293 
Gross unrealized depreciation  (77,391,399) 
Net unrealized appreciation (depreciation)  $540,827,894 
Tax Cost  $3,152,367,218 

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income  $74,507,997 
Net unrealized appreciation (depreciation) on securities and other investments  $540,827,894 

The tax character of distributions paid was as follows:

  July 31, 2021  July 31, 2020 
Ordinary Income  $64,578,607  $ 47,902,133 
Total  $64,578,607  $ 47,902,133 

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Equity Risk  Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.

  Purchases ($)  Sales ($) 
Fidelity SAI U.S. Value Index Fund  2,668,807,779  2,171,025,162 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.

Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.

Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:

  Borrower or Lender  Average Loan Balance  Weighted Average Interest Rate  Interest Expense 
Fidelity SAI U.S. Value Index Fund  Borrower  $19,657,103  .32%  $5,033 

Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

  Amount 
Fidelity SAI U.S. Value Index Fund  $5,029 

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

  Total Security Lending Fees Paid to NFS  Security Lending Income From Securities Loaned to NFS  Value of Securities Loaned to NFS at Period End 
Fidelity SAI U.S. Value Index Fund  $15,528  $–  $– 

9. Other.

Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is considered remote.

In addition, at the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

  Strategic Advisers Fidelity U.S. Total Stock Fund 
Fidelity SAI U.S. Value Index Fund  68% 

10. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI U.S. Value Index Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity SAI U.S. Value Index Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the “Fund”) as of July 31, 2021, the related statement of operations for the year ended July 31, 2021, the statement of changes in net assets for each of the two years in the period ended July 31, 2021, including the related notes, and the financial highlights for each of the three years in the period ended July 31, 2021 and for the period December 19, 2017 (commencement of operations) to July 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of July 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended July 31, 2021 and the financial highlights for each of the three years in the period ended July 31, 2021 and for the period December 19, 2017 (commencement of operations) to July 31, 2018 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of July 31, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

September 13, 2021



We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 283 funds. Mr. Chiel oversees 176 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Arthur E. Johnson serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney’s Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and as Executive Vice President and Chief Investment Officer for Bank of America Corporation, where he was responsible for the bank’s money-management products. Previously at Bank of America, Mr. Kenneally managed the principal investment research functions and also spent more than a decade as portfolio manager for various equity and fixed-income funds and institutional accounts. He began his career as a research analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). 

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2021 to July 31, 2021).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

  Annualized Expense Ratio-A  Beginning
Account Value
February 1, 2021  		Ending
Account Value
July 31, 2021  		Expenses Paid
During Period-B
February 1, 2021
to July 31, 2021 
Fidelity SAI U.S. Value Index Fund  .10%       
Actual    $1,000.00  $1,194.50  $.54 
Hypothetical-C    $1,000.00  $1,024.30  $.50 

 A Annualized expense ratio reflects expenses net of applicable fee waivers.

 B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity SAI U.S. Value Index Fund voted to pay on September 13, 2021, to shareholders of record at the opening of business on September 10, 2021, a distribution of $0.091 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.164 per share from net investment income.

The fund designates 100%, and 98% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 100% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





FIDELITY INVESTMENTS

USV-ANN-0921
1.9885515.103



Item 2.

Code of Ethics


As of the end of the period, July 31, 2021, Fidelity Salem Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer.  A copy of the code of ethics is filed as an exhibit to this Form N-CSR.


Item 3.

Audit Committee Financial Expert


The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR.  Ms. Acton is independent for purposes of Item 3 of Form N-CSR.  



Item 4.  

Principal Accountant Fees and Services


Fees and Services


The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Real Estate Index Fund, Fidelity SAI Real Estate Index Fund, Fidelity SAI Small-Mid Cap 500 Index Fund, Fidelity SAI U.S. Large Cap Index Fund, Fidelity SAI U.S. Momentum Index Fund and Fidelity SAI U.S. Quality Index Fund (the “Funds”):

 

Services Billed by Deloitte Entities


July 31, 2021 FeesA


Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Real Estate Index Fund

 $34,500

$-

 $8,100

$900

Fidelity SAI Real Estate Index Fund

 $36,200

$-

 $9,200

$900

Fidelity SAI Small-Mid Cap 500 Index Fund

 $40,000

$-

 $6,900

$1,000

Fidelity SAI U.S. Large Cap Index Fund

 $37,900

$-

 $8,500

$1,000

Fidelity SAI U.S. Momentum Index Fund

$39,200

$-

$6,900

$1,000

Fidelity SAI U.S. Quality Index Fund

 $39,500

$-

 $6,900

$1,000







July 31, 2020 FeesA


Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity Real Estate Index Fund

 $35,500

$-

 $8,600

$800

Fidelity SAI Real Estate Index Fund

 $37,400

$-

 $8,100

$800

Fidelity SAI Small-Mid Cap 500 Index Fund

 $40,700

$-

 $7,400

$900

Fidelity SAI U.S. Large Cap Index Fund

 $38,600

$-

 $9,100

$900

Fidelity SAI U.S. Momentum Index Fund

$40,200

$-

$7,200

$900

Fidelity SAI U.S. Quality Index Fund

 $40,200

$-

 $7,400

$900


A Amounts may reflect rounding.


The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity SAI U.S. Value Index Fund (the “Fund(s)”):



Services Billed by PwC


July 31, 2021 FeesA


Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity SAI U.S. Value Index Fund

 $35,500

$3,500

 $9,000

$1,700


July 31, 2020 Fees A


Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity SAI U.S. Value Index Fund

 $38,000

$3,500

 $9,000

$1,900


A Amounts may reflect rounding.




The following table(s) present(s) fees billed by Deloitte Entities and PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose





role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):


Services Billed by Deloitte Entities




July 31, 2021A

July 31, 2020A

Audit-Related Fees

$-

$-

Tax Fees

$-

$3,000

All Other Fees

$-

$-


A Amounts may reflect rounding.



Services Billed by PwC




July 31, 2021A

July 31, 2020 A

Audit-Related Fees

$8,959,700

$8,940,200

Tax Fees

$11,200

$20,800

All Other Fees

 $-

 $-


A Amounts may reflect rounding.


“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.


“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.


“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.  


Assurance services must be performed by an independent public accountant.


* * *


The aggregate non-audit fees billed by Deloitte Entities and PwC for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:


Billed By

July 31, 2021A

July 31, 2020A

Deloitte Entities

$573,900

$557,600

PwC

$14,287,800

$14,256,600


A Amounts may reflect rounding.


The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.


Audit Committee Pre-Approval Policies and Procedures

 

The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.


The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.


All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.


Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.


Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)


There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).



Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable.


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.


(a)(ii)  There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the





period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.


Item 12.

Disclosure of Securities Lending Activities for Closed-End Management

Investment Companies


Not applicable.


Item 13.

Exhibits


(a)

(1)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)


Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.






SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Fidelity Salem Street Trust



By:

/s/Laura M. Del Prato


Laura M. Del Prato


President and Treasurer



Date:

September 21, 2021


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By:

/s/Laura M. Del Prato


Laura M. Del Prato


President and Treasurer



Date:

September 21, 2021



By:

/s/John J. Burke III


John J. Burke III


Chief Financial Officer



Date:

September 21, 2021

 








                                                      Exhibit EX-99.CERT

     

I, Laura M. Del Prato, certify that:


1.

I have reviewed this report on Form N-CSR of Fidelity Salem Street Trust;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and





5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.


Date:

 September 21, 2021

/s/Laura M. Del Prato

Laura M. Del Prato

President and Treasurer







I, John J. Burke III, certify that:

1.

I have reviewed this report on Form N-CSR of Fidelity Salem Street Trust;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):





a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.


Date:

September 21, 2021

/s/John J. Burke III

John J. Burke III

Chief Financial Officer










Exhibit EX-99.906CERT



Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)


In connection with the attached Report of Fidelity Salem Street Trust (the “Trust”) on Form N-CSR to be filed with the Securities and Exchange Commission (the “Report”), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer’s knowledge:


1.

The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.


Dated: September 21, 2021



/s/Laura M. Del Prato

Laura M. Del Prato

President and Treasurer



 

Dated: September 21, 2021



/s/John J. Burke III

John J. Burke III

Chief Financial Officer




A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.







EXHIBIT EX-99.CODE ETH


FIDELITY FUNDS’ CODE OF ETHICS FOR

PRESIDENT, TREASURER AND PRINCIPAL ACCOUNTING OFFICER



I.  Purposes of the Code/Covered Officers


This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to the provisions of Rule 30b2-1(a) under the Investment Company Act of 1940), which Rule implements Sections 406 of the Sarbanes-Oxley Act of 2002 with respect to registered investment companies.  The Code applies to the Fidelity Funds’ President and Treasurer, and Chief Financial Officer (Covered Officers).  Fidelity’s Ethics Office, a part of Corporate Compliance Group within Core Compliance, administers the Code.


The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:


·

honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

·

full, fair, accurate, timely and understandable disclosure in reports and documents that the Fidelity Funds submit to the Securities and Exchange Commission (SEC), and in other public communications by a Fidelity Fund;

·

compliance with applicable laws and governmental rules and regulations;

·

the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

·

accountability for adherence to the Code.


Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.


II.

Covered Officers Should Handle Ethically

Actual and Apparent Conflicts of Interest


Overview.  A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or his service to, the Fidelity Funds.  For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Fidelity Funds.  


Certain conflicts of interest arise out of the relationships between Covered Officers and the Fidelity Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act).  For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a Fidelity Fund because of their status as “affiliated persons” of the Fund.  Separate compliance programs and procedures of the Fidelity Funds, Fidelity Management & Research Company (FMR) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions.  This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.


Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) of which the Covered Officers are also officers or employees.  As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fidelity Funds, FMR or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Fidelity Funds, FMR and other Fidelity companies.  The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company), and is consistent with the performance by the Covered Officers of their duties as officers of the Fidelity Funds.  Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically.  In addition, it is recognized by the Funds’ Board of Trustees (Board) that the Covered Officers also may be officers or employees of one or more other Fidelity Funds covered by this Code.


Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act.  The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive.  The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fidelity Fund.  


*               *               *


Each Covered Officer must:


·

not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by any Fidelity Fund whereby the Covered Officer would benefit personally to the detriment of any Fidelity Fund;

·

not cause a Fidelity Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fidelity Fund;

·

not engage in any outside business activity, including serving as a director or trustee, that prevents the Covered Officer from devoting appropriate time and attention to the Covered Officer’s responsibilities with the Fidelity Funds;

·

not have a consulting or employment relationship with any of the Fidelity Funds’ service providers that are not affiliated with Fidelity; and

·

not retaliate against any employee or Covered Officer for reports of actual or potential misconduct, which are made in good faith.


With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Fidelity Ethics Office for resolution.  Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Fidelity Ethics Office immediately.


III.  Disclosure and Compliance


·

Each Covered Officer should familiarize himself with the disclosure requirements generally applicable to the Fidelity Funds.

·

Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about any Fidelity Fund to others, whether within or outside Fidelity, including to the Board and auditors, and to governmental regulators and self-regulatory organizations;

·

Each Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the Fidelity Funds, FMR and the Fidelity service providers, and with the Board’s Compliance Committee,  with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fidelity Funds file with, or submit to, the SEC and in other public communications made by the Fidelity Funds; and

·

It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.


IV.  Reporting and Accountability


Each Covered Officer must:


·

upon receipt of the Code, and annually thereafter, submit to the Fidelity Ethics Office an acknowledgement stating that he or she has received, read, and understands the Code; and

·

notify the Fidelity Ethics Office promptly if he or she knows of any violation of the Code.  Failure to do so is itself a violation of this Code.  


The Fidelity Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it.  Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below.  The Covered Officer will be informed of any action determined to be appropriate.  The Fidelity Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response.  Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities.  Additionally, other legal remedies may be pursued.  


The policies and procedures described in the Code do not create any obligations to any person or entity other than the Fidelity Funds.  The Code is intended solely for the internal use by the Fidelity Funds and does not constitute a promise, contract or an admission by or on behalf of any Fidelity Fund as to any fact, circumstance, or legal conclusion.  The Fidelity Funds, the Fidelity companies and the Fidelity Chief Ethics Officer retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.


V.  Oversight


Material violations of this Code will be reported promptly by FMR to the Board’s Compliance Committee.  In addition, at least once each year, FMR will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.



VI.  Other Policies and Procedures


This Code shall be the sole code of ethics adopted by the Fidelity Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder.  Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others), and are not part of this Code.  


VII.  Amendments


Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Fidelity Funds.


VIII.  Records and Confidentiality


Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Fidelity Ethics Office.  All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly.  Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fidelity Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.